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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number 811-07538
LORD ABBETT SECURITIES TRUST
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(Exact name of registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302
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(Address of principal executive offices) (zip code)
Christina T. Simmons, Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
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(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 201-6984
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Date of fiscal year end: 10/31
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Date of reporting period: 4/30/04
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ITEM 1: REPORT TO SHAREHOLDERS.
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[LORD ABBETT LOGO]
2004
SEMI-
ANNUAL
REPORT
LORD ABBETT
ALL VALUE FUND
ALPHA FUND
INTERNATIONAL CORE EQUITY
FUND
INTERNATIONAL OPPORTUNITIES
FUND
LARGE-CAP VALUE FUND
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2004
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LORD ABBETT SECURITIES TRUST SEMI-ANNUAL REPORT
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2004
DEAR SHAREHOLDERS: We are pleased to provide you with this six-month overview of
the Lord Abbett Securities Trust's strategies and performance for the six-month
period ended April 30, 2004. On this and the following pages, we discuss the
major factors that influenced performance.
Thank you for investing in Lord Abbett Mutual Funds. We value the trust that
you place in us and look forward to serving your investment needs in the years
to come.
BEST REGARDS,
/s/ Robert S. Dow
ROBERT S. DOW
CHAIRMAN
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Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE REPORTING PERIOD?
A: Favorable economic news and strong U.S. equity returns during November and
December brought 2003 to a positive close. Manufacturing, inventory investment
and capital spending all showed signs of improvement. Unemployment reports were
also encouraging, as inflation and interest rates remained steady through
year-end. As a result of the tax bill and positive macroeconomic environment,
capital spending increased, particularly in technology.
This economic growth continued into the beginning of 2004, largely due to
strong consumer and capital spending. Corporate profits rose triggered by a rise
in industrial production. In January and February, inflation and short-term
interest rates continued to remain stable. However, somewhat disappointing
employment reports and higher energy prices weighed on consumer sentiment.
In March and April, the number of jobs increased and unemployment
stabilized. The U.S. housing market remained strong and there were improvements
in durable goods spending. But, retail sales dropped 0.5% in April after a 2%
gain in March. Meanwhile, producer prices moved higher both months (March 0.5%,
April 0.7%) driven by the higher costs of gasoline and food, suggesting an
inflationary trend and the possibility of an interest rate increase in the
coming months.
The increasing likelihood of a sustainable economic recovery in the United
States, continuing strong growth in China and generally low inflation worldwide
combined to improve both consumer and business sentiment in international
markets. International small-cap stocks rallied throughout the period, as
investors looked to this sector of the equity market to respond first to a
cyclical recovery.
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Continental Europe provided the strongest performance, even in local
currency terms, in the first three months of the fiscal year, followed by Asia
ex-Japan. By the second half, however, Japanese equity markets took the lead, an
encouraging turn of events, given that nation's decade-long period of stagnation
and deflation. Meanwhile, a stronger pound contributed to positive returns in
United Kingdom equities, when measured in U.S. dollars.
Overall, small-cap consumer discretionary stocks provided strong
performance, particularly in Japan and continental Europe, as consumers
increased their spending on durable goods, apparel, hotels and leisure. The
strengthening economic outlook also provided support to industrial stocks.
Underperforming sectors included utilities, an industry that is heavily
regulated and slower to respond to market shifts, and information technology,
which was the best performer in 2003 and was probably due for a correction.
LORD ABBETT
ALL VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned 8.2%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the Russell 3000(R) Value
Index,(1) which returned 8.2% over the same period. Standardized Average Annual
Total Returns, which reflect performance at the maximum 5.75% sales charge
applicable to Class A share investments and include the reinvestment of all
distributions are 1 Year: 18.98%, 5 Years: 4.18% and Life of Class A shares
(July 15, 1996) are: 11.64%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The greatest contribution to the portfolio's performance relative to its
benchmark was its underweight and stock selection within the financial services
sector. Price appreciation in this interest rate-sensitive sector lagged as bond
yields increased, reflecting investors' expectations that the Federal Reserve
would hike short-term rates in mid-2004. Stock selection within the
2
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sector also helped performance as the portfolio's second largest financial
services holding was acquired by another financial services company, boosting
stock prices.
Also contributing to performance during the period were the portfolio's good
stock selections within producer durable goods and healthcare sectors. Consumer
demand for durable goods was robust in the period, creating particular strength
in that sector.
Stock selection within the consumer discretionary sector was the biggest
detractor from performance due to lower-than-expected sales from two smaller-cap
holdings. The consumer discretionary sector includes stocks in the consumer
durables, apparel, media, hotel and leisure industries.
The portfolio underperformed its benchmark within the energy sector, as a
few select energy stocks in the portfolio appreciated less than the sector as a
whole. Nonetheless, energy was the Fund's top-performing sector, as energy
companies continued to gain from sustained increases in crude oil and natural
gas prices.
An underweight position in integrated oils also detracted from performance,
as that sector performed well in the period.
The Fund's portfolio is actively managed and, therefore, its holdings and
the weightings of a particular issuer or particular sector as a percentage of
portfolio assets are subject to change. Sectors may include many industries.
LORD ABBETT ALPHA FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: The Alpha Fund uses a "fund of funds" approach, which currently divides
assets among the Lord Abbett Developing Growth Fund, Lord Abbett Securities
Trust-International Opportunities Fund and Lord Abbett Small-Cap Value Fund. As
a result, the Fund's performance is directly related to the performance of its
underlying funds.
For the six-month period ended April 30, 2004, the Fund returned 8.3%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the S&P/Citigroup Small
Cap World Index,(2) which returned 10.8% over the same period. Standardized
Average Annual Total Returns, which reflect performance at the maximum 5.75%
sales charge applicable to Class A share investments and include the
reinvestment of all distributions are 1 Year: 32.94%, 5 Years: 1.04% and Life of
Class A shares (March 18, 1998): 0.93%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE
3
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FUND WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR
REFERRING TO OUR WEBSITE AT www.LordAbbett.com.
LORD ABBETT DEVELOPING GROWTH FUND COMPONENT
(APPROXIMATELY 27.5% OF ALPHA FUND'S PORTFOLIO)
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned -3.4%,
reflecting performance at the Net Asset Value (NAV) of Class Y shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R)
Growth Index(3) which returned 4.0% over the same period. Standardized Average
Annual Total Returns, which reflect performance of Class Y share investments and
include the reinvestment of all distributions are 1 Year: 30.12%, 5 Years:
- -1.04% and Life of Class Y shares (December 30, 1997): 2.08%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection within the materials and processing sector was a major
detractor from performance. This was primarily attributable to a decline in one
large holding due to investor concerns about market share losses to a Japanese
competitor.
Also detracting from performance was stock selection within the technology
sector. Particularly problematic were two semiconductor holdings that failed to
deliver on high earnings expectations, as the cyclical upturn in business
spending on technology was delayed. Although stock selection within the consumer
discretionary sector had a negative impact on the portfolio, one stock, an
Internet retailer of closed-out merchandise, made a large positive contribution
to performance as its sales growth accelerated. Stock selection also hurt
performance within the healthcare sector; with the exception of three specialty
pharmaceutical companies, which helped performance as their new drugs generated
strong sales.
The Fund's portfolio is actively managed and, therefore, its holdings and
the weightings of a particular issuer or particular sector as a percentage of
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portfolio assets are subject to change. Sectors may include many industries.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND COMPONENT
(APPROXIMATELY 41.9% OF ALPHA FUND'S PORTFOLIO)
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned 15.9%,
reflecting performance at the Net Asset Value (NAV) of Class Y shares with all
distributions reinvested, compared with its benchmark, the S&P/Citigroup US $500
Million-US $2.5 Billion World ex-U.S. Index,(4) which returned 13.7% over the
same period. Standardized Average Annual Total Returns, which reflect
performance of Class Y shares and include the reinvestment of all distributions
are 1 Year: 52.09%, 5 Years: -6.32% and Life of Class Y shares (December 30,
1997): -0.62%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
See discussion on page 6.
LORD ABBETT SMALL-CAP VALUE FUND COMPONENT
(APPROXIMATELY 30.4% OF ALPHA FUND'S PORTFOLIO)
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned 11.0%,
reflecting performance at the Net Asset Value (NAV) of Class Y shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R) Value
Index(5) which returned 9.1% over the same period. Standardized Average Annual
Total Returns, which reflect performance of Class Y share investments and
include the reinvestment of all distributions are 1 Year: 41.28%, 5 Years:
16.12% and Life of Class Y shares (December 30, 1997): 11.23%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
5
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Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection within the technology sector was the strongest contributor
to performance. Following several quarters of strength, the technology sector,
where the portfolio was overweight, weakened during the period. However, our
stock selection within the sector offset the negative impact.
Stock selection and an overweight position within the materials processing
sector also benefited performance, as an improving economy began to spark
increased demand for steel, aluminum and other raw materials needed for
manufacturing and production. The portfolio's continuing underweight in
financial services, a sector that typically underperforms in periods of rising
interest rates, also proved beneficial.
Detracting from performance was stock selection within the energy sector,
where an emphasis on energy services as opposed to energy production holdings
had a negative impact. The portfolio was also overweight natural gas stocks, a
sector which underperformed oil stocks as crude oil prices rose to near-record
levels. Stock selection within the consumer discretionary sector, which
generally performed well, also detracted from the portfolio's relative
performance, as did a few select stocks within the sector that underperformed
during the period. The consumer discretionary sector includes stocks in the
consumer durables, apparel, media, hotel and leisure industries.
The Fund's portfolio is actively managed and, therefore, its holdings and
the weightings of a particular issuer or particular sector as a percentage of
portfolio assets are subject to change. Sectors may include many industries.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned 15.7%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the S&P/Citigroup US $500
Million-US $2.5 Billion World ex-U.S. Index,(4) which returned 13.7% over the
same period. Standardized Average Annual Total Returns, which reflect
performance at the maximum 5.75% sales charge applicable to Class A share
investments and include the reinvestment of all distributions are 1 Year:
43.10%, 5 Years: -7.75% and Life of Class A shares (December 13, 1996): 0.83%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND
6
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PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT SHARES, ON
ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END BY
CALLING LORD ABBETT AT 800-821-5129 OR REFERRING TO OUR WEBSITE AT
www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: On a regional basis, but largely reflecting stock selection, the portfolio's
strongest performance was derived from continental Europe and Japan. In Europe,
consumer discretionary and healthcare holdings outperformed. Performance in
Japan reflected strong price appreciation in the portfolio's holdings of service
companies, including a temporary placement agency and a parking space rental
firm.
From a sector perspective, the strongest performers in the period were the
result of good stock selection within technology, healthcare, telecommunication
services, financial services (particularly in Europe), industrials, consumer
discretionary and consumer staples. The Fund outperformed the index in both the
information technology and industrial sectors where it was overweight.
The portfolio's weakest performance regionally occurred in Canada (only 2%
of the portfolio), largely reflecting poor stock selection within technology and
consumer discretionary companies. The portfolio was underweight the United
Kingdom, which hurt performance, as U.K. equity markets rebounded. Performance
in some of the portfolio's technology holdings in the U.K. also disappointed.
An underweight within the energy sector hurt performance. Stock selection
within industrial materials and utilities also detracted from performance.
Within continental Europe, the stock selection within information technology
detracted from performance as several hardware manufacturers sharply
underperformed.
The Fund's portfolio is actively managed and, therefore, its holdings and
the weightings of a particular issuer or particular sector as a percentage of
portfolio assets are subject to change. Sectors may include many industries.
LORD ABBETT LARGE-CAP VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned 6.9%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions are reinvested, compared with its benchmark, the Russell 1000(R)
Value Index,(6) which returned 8.2% over the same period. Standardized Average
Annual Total Returns, which reflect performance at the maximum 5.75% sales
charge applicable to Class A share investments and include the
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reinvestment of all distributions are Life of Class A shares (June 30, 2003):
9.23%.
PERFORMANCE DATA QUOTED REFLECT PAST PERFORMANCE AND ARE NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection within the financial services, producer durables and
technology sectors were the greatest positive contributors to performance. In
the technology sector, the portfolio's largest holding benefited from a
management change and the announcement of a successful spin-off of a product
line that was not a part of the company's core business.
Detracting from the Fund's performance was its stock selection within the
auto and transportation sector. Also detracting from performance was stock
selection within the materials and processing sector, as price declines in the
commodity markets negatively impacted the portfolio's holdings in gold stocks.
The Fund's portfolio is actively managed and, therefore, its holdings and
the weightings of a particular issuer or particular sector as a percentage of
portfolio assets are subject to change. Sectors may include many industries.
(1) The Russell 3000(R) Value Index measures the performance of those Russell
3000(R) Index companies with lower price-to-book ratios and lower forecasted
growth values. The stocks in this index are also members of either the
Russell 1000(R) Value or the Russell 2000(R) Value indices. Indices are
unmanaged, do not reflect the deduction of fees or expenses and are not
available for direct investment.
(2) The S&P/Citigroup Small Cap World Index is a subset of the Global Citigroup
Broad Market Index (BMI).
(3) The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
values. Indices are unmanaged, do not reflect the deduction of fees or
expenses and are not available for direct investment.
(4) S&P/Citigroup Global Equity Index System(SM) and the names of each of the
indexes and subindexes which it comprises (GEIS and such indexes and
subindexes, each an "Index" and collectively, the "Indexes") are service
marks of Citigroup. The S&P/Citigroup US $500 Million-US $2.5 Billion World
ex-U.S. Index is a subset of the Global S&P/Citigroup Broad Market Index
(BMI). The World ex-U.S. composite includes all developed countries except
the United States. Indexes are unmanaged, do not reflect the deduction of
fees or expenses and are not available for direct investment.
(5) The Russell 2000(R) Value Index measures the performance of those Russell
2000 companies with lower price-to-book ratios and lower forecasted growth
values. Indices are unmanaged, do not reflect the deduction of fees or
expenses and are not available for direct investment.
(6) The Russell 1000(R) Value Index measures the performance of those Russell
1000 companies with lower price-to-book ratios and lower forecasted growth
values. Indices are unmanaged, do not reflect the deduction of fees or
expenses and are not available for direct investment.
8
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IMPORTANT PERFORMANCE AND OTHER INFORMATION
The views of each Fund's management and the portfolio holdings described in this
report are as of April 30, 2004; these views and portfolio holdings may have
changed subsequent to this date and they do not guarantee the future performance
of the markets or each Fund. Information provided in this report should not be
considered a recommendation to purchase or sell securities.
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with
each Fund, please see the Funds' Prospectuses.
PERFORMANCE: BECAUSE OF ONGOING MARKET VOLATILITY, EACH FUND'S PERFORMANCE MAY
BE SUBJECT TO SUBSTANTIAL FLUCTUATION. Except where noted, comparative fund
performance does not account for the deduction of sales charges and would be
different if sales charges were included. Each Fund offers additional classes of
shares with distinct pricing options. For a full description of the differences
in pricing alternatives, please see each Fund's Prospectus.
THE PROSPECTUSES CONTAIN IMPORTANT INFORMATION ABOUT EACH FUND INCLUDING EACH
FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES AND ONGOING EXPENSES THAT YOU
SHOULD CAREFULLY CONSIDER BEFORE INVESTING. TO OBTAIN A PROSPECTUS ON THESE
FUNDS OR ANY LORD ABBETT MUTUAL FUND PLEASE CONTACT YOUR INVESTMENT PROFESSIONAL
OR LORD ABBETT DISTRIBUTOR LLC AT 800-874-3733 OR VISIT www.LordAbbett.com. READ
THE PROSPECTUS CAREFULLY BEFORE INVESTING.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY BANKS, AND ARE SUBJECT TO INVESTMENT RISKS INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
9
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SCHEDULE OF INVESTMENTS (UNAUDITED)
ALL VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
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COMMON STOCKS 92.65%
ADVERTISING AGENCY 0.65%
Interpublic Group of
Cos., Inc.* 585,000 $ 9,178
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AGRICULTURE FISHING & RANCHING 0.66%
Delta & Pine Land Co. 190,000 4,609
Monsanto Co. 135,000 4,670
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TOTAL 9,279
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AIR TRANSPORTATION 0.02%
AMR Corp.* 25,000 284
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ALUMINUM 1.32%
Alcoa, Inc. 605,000 18,604
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AUTO PARTS: AFTER MARKET 0.45%
Genuine Parts Co. 175,000 6,265
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AUTO PARTS: ORIGINAL EQUIPMENT 0.71%
Dana Corp. 495,000 9,979
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BANKS: NEW YORK CITY 0.48%
Bank of
New York Co., Inc. 230,000 6,702
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BANKS: OUTSIDE NEW YORK CITY 6.51%
Bank of America Corp. 60,543 4,873
Bank One Corp. 465,000 22,957
Cullen/Frost Bankers, Inc. 320,000 13,856
Doral Financial Corp.(a) 365,050 11,970
Wachovia Corp. 480,000 21,960
Wells Fargo & Co. 280,000 15,809
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TOTAL 91,425
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BEVERAGE: SOFT DRINKS 1.47%
PepsiCo, Inc. 380,000 20,706
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BIOTECHNOLOGY RESEARCH &
PRODUCTION 0.43%
Baxter Int'l., Inc. 190,600 $ 6,032
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CABLE TELEVISION SERVICES 1.21%
Viacom, Inc. 440,000 17,006
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CHEMICALS 2.54%
Cytec Industries, Inc. 185,000 7,274
E.I. du Pont de
Nemours & Co. 155,000 6,657
Eastman Chemical Co. 160,000 6,811
OM Group, Inc.* 155,500 3,958
Praxair, Inc. 220,000 8,041
Rohm & Haas Co. 75,000 2,909
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TOTAL 35,650
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COMMUNICATIONS TECHNOLOGY 0.49%
Avaya, Inc.* 500,000 6,840
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COMPUTER SERVICES SOFTWARE &
SYSTEMS 0.61%
Cadence Design
Systems, Inc.* 320,000 4,103
Electronics for
Imaging, Inc.* 177,000 4,492
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TOTAL 8,595
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COMPUTER TECHNOLOGY 3.23%
Apple Computer, Inc.* 995,000 25,601
EMC Corp.* 1,470,000 16,405
Zebra Technologies
Corp. Class A* 45,050 3,302
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TOTAL 45,308
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CONSUMER PRODUCTS 0.52%
Tupperware Corp. 170,000 3,184
Yankee Candle Co.* 150,000 4,062
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TOTAL 7,246
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</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
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SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
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CONTAINERS & PACKAGING: PAPER &
PLASTIC 0.84%
Pactiv Corp.* 515,000 $ 11,819
---------------
COPPER 0.41%
Mueller Industries, Inc. 170,000 5,704
---------------
DIVERSIFIED FINANCIAL SERVICES 2.68%
Citigroup, Inc. 640,000 30,777
Merrill Lynch & Co., Inc. 125,500 6,806
---------------
TOTAL 37,583
---------------
DIVERSIFIED MANUFACTURING 0.72%
Georgia-Pacific Corp. 290,000 10,179
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DRUGS & PHARMACEUTICALS 6.54%
Abbott Laboratories 146,000 6,427
Cardinal Health, Inc. 160,000 11,720
King
Pharmaceuticals, Inc.* 480,050 8,281
Merck & Co., Inc. 386,000 18,142
Novartis AG ADR 405,000 18,144
Schering-Plough Corp. 865,000 14,471
Wyeth 385,000 14,657
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TOTAL 91,842
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ELECTRICAL EQUIPMENT &
COMPONENTS 0.94%
Emerson Electric Co. 220,000 13,248
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ELECTRONICS 0.56%
Vishay
Intertechnology, Inc.* 450,000 7,830
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ELECTRONICS: INSTRUMENTS GAUGES &
METERS 0.17%
Dionex Corp.* 48,300 2,464
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ELECTRONICS: MEDICAL SYSTEMS 0.17%
Haemonetics Corp.* 84,700 2,391
---------------
ELECTRONICS: SEMI-CONDUCTORS /
COMPONENTS 0.43%
ATMI, Inc.* 120,000 $ 2,649
Vitesse Semiconductor
Corp.* 810,000 3,467
---------------
TOTAL 6,116
---------------
ELECTRONICS: TECHNOLOGY 1.95%
Cubic Corp. 138,420 3,267
Intermagnetics General
Corp.* 62,500 1,532
Motorola, Inc. 1,240,000 22,630
---------------
TOTAL 27,429
---------------
ENTERTAINMENT 1.94%
The Walt Disney Co. 1,180,000 27,175
---------------
FERTILIZERS 0.81%
Potash Corp. of
Saskatchewan, Inc.(a) 140,000 11,404
---------------
FINANCE COMPANIES 0.88%
Mellon Financial Corp. 309,400 9,171
Quanta Capital
Holdings Ltd.* 260,000 3,250
---------------
TOTAL 12,421
---------------
FOODS 1.99%
General Mills, Inc. 100,000 4,875
Kraft Foods, Inc. Class A 500,035 16,456
Smithfield Foods, Inc.* 250,000 6,650
---------------
TOTAL 27,981
---------------
FOREST PRODUCTS 0.08%
Weyerhaeuser Co. 18,000 1,066
---------------
GOLD 1.76%
Newmont Mining Corp. 660,000 24,684
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
HEALTHCARE FACILITIES 0.39%
Manor Care, Inc. 120,000 $ 3,893
Pharm Product
Development, Inc.* 55,000 1,626
---------------
TOTAL 5,519
---------------
HEALTHCARE MANAGEMENT SERVICES 0.19%
Sierra Health
Services, Inc.* 70,000 2,601
---------------
IDENTIFICATION CONTROL &
FILTER DEVICES 0.68%
Hubbell, Inc. 165,000 7,415
IDEX Corp. 46,000 2,174
---------------
TOTAL 9,589
---------------
INSURANCE: MULTI-LINE 2.82%
American Int'l.
Group, Inc. 260,000 18,629
Lincoln National Corp. 55,000 2,468
Markel Corp.* 30,100 8,820
SAFECO Corp. 222,000 9,721
---------------
TOTAL 39,638
---------------
INSURANCE: PROPERTY - CASUALTY 1.14%
Odyssey Re
Holdings Corp. 250,000 5,933
St. Paul Travelers
Cos., Inc. 135,018 5,491
XL Capital Ltd. Class A(a) 60,000 4,581
---------------
TOTAL 16,005
---------------
MACHINERY: AGRICULTURAL 2.30%
Deere & Co. 475,000 32,319
---------------
MACHINERY: ENGINES 0.71%
Briggs & Stratton Corp. 80,000 5,600
Cummins, Inc. 73,500 4,396
---------------
TOTAL 9,996
---------------
MACHINERY: INDUSTRIAL / SPECIALTY 0.83%
Illinois Tool Works, Inc. 74,100 $ 6,388
Woodward Governor Co. 85,000 5,299
---------------
TOTAL 11,687
---------------
MACHINERY: OIL WELL EQUIPMENT &
SERVICES 3.04%
Baker Hughes, Inc. 200,000 7,336
FMC Technologies, Inc.* 130,000 3,542
Grant Prideco, Inc.* 228,400 3,483
Grey Wolf, Inc.* 1,400,000 5,572
Halliburton Co. 200,000 5,960
Helmerich & Payne, Inc. 100,000 2,699
Key Energy Services, Inc.* 325,000 3,465
Schlumberger Ltd. 181,500 10,623
---------------
TOTAL 42,680
---------------
MACHINERY: SPECIALTY 0.14%
JLG Industries, Inc. 135,000 1,997
---------------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 1.14%
Bausch & Lomb, Inc. 182,000 11,435
Varian, Inc.* 110,005 4,515
---------------
TOTAL 15,950
---------------
MEDICAL SERVICES 0.19%
Covance, Inc.* 77,400 2,611
---------------
METAL FABRICATING 1.37%
Quanex Corp. 270,000 11,016
The Timken Co. 375,000 8,272
---------------
TOTAL 19,288
---------------
METALS & MINERALS MISCELLANEOUS 0.38%
Graftech Int'l., Ltd.* 335,000 2,971
Minerals
Technologies, Inc. 40,000 2,346
---------------
TOTAL 5,317
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
MILLING: FRUIT AND GRAIN PROCESSING 1.04%
Archer-Daniels-Midland Co. 830,000 $ 14,575
---------------
MISCELLANEOUS EQUIPMENT 0.45%
W.W. Grainger, Inc. 120,000 6,288
---------------
MISCELLANEOUS MATERIALS &
PROCESSING 0.19%
Rogers Corp.* 45,000 2,687
---------------
MULTI-SECTOR COMPANIES 4.51%
3M Co. 22,000 1,903
Eaton Corp. 212,000 12,589
General Electric Co. 670,000 20,066
Trinity Industries, Inc. 245,000 7,421
Tyco Int'l., Ltd.(a) 780,000 21,411
---------------
TOTAL 63,390
---------------
OFFICE FURNITURE &
BUSINESS EQUIPMENT 0.59%
Xerox Corp.* 615,000 8,259
---------------
OIL: CRUDE PRODUCERS 0.81%
Chesapeake Energy Corp. 170,000 2,338
EOG Resources, Inc. 90,000 4,432
Westport Resources
Corp.* 135,200 4,628
---------------
TOTAL 11,398
---------------
OIL: INTEGRATED DOMESTIC 0.27%
GlobalSantaFe Corp. 145,000 3,824
---------------
OIL: INTEGRATED INTERNATIONAL 5.49%
ChevronTexaco Corp. 77,000 7,046
Exxon Mobil Corp. 1,645,012 69,995
---------------
TOTAL 77,041
---------------
PAPER 1.43%
International Paper Co. 375,064 15,123
Meadwestvaco Corp. 190,000 4,968
---------------
TOTAL 20,091
---------------
PRODUCTION TECHNOLOGY
EQUIPMENT 0.16%
Solectron Corp.* 460,000 $ 2,254
---------------
PUBLISHING: NEWSPAPERS 1.69%
Journal Register Co.* 107,800 2,138
Tribune Co. 450,000 21,546
---------------
TOTAL 23,684
---------------
RADIO & TV BROADCASTERS 0.68%
Clear Channel
Communications, Inc. 230,000 9,543
---------------
RAILROADS 1.30%
CSX Corp. 410,000 12,612
Union Pacific Corp. 95,000 5,598
---------------
TOTAL 18,210
---------------
REAL ESTATE INVESTMENT TRUSTS 0.26%
Host Marriott Corp.* 306,800 3,651
---------------
RESTAURANTS 0.35%
Yum! Brands, Inc.* 125,000 4,849
---------------
RETAIL 4.25%
Barnes & Noble, Inc.* 225,000 6,721
Federated Department
Stores, Inc. 95,000 4,655
Foot Locker, Inc. 60,000 1,440
J.C. Penney Co., Inc. 152,000 5,146
Limited Brands, Inc. 770,000 15,893
May Department
Stores Co. 105,000 3,234
Pier 1 Imports, Inc. 830,000 17,148
Target Corp. 125,000 5,421
---------------
TOTAL 59,658
---------------
SAVINGS & LOAN 0.39%
Webster Financial Corp. 125,000 5,438
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
SERVICES: COMMERCIAL 1.02%
Waste Management, Inc. 505,000 $ 14,342
---------------
SHOES 0.54%
NIKE, Inc. Class B 106,000 7,627
---------------
SOAPS & HOUSEHOLD CHEMICALS 0.55%
Gillette Co. 190,000 7,775
---------------
UTILITIES: CABLE TV & RADIO 1.59%
Comcast Corp.* 645,075 18,701
Cox
Communications, Inc.* 110,000 3,596
---------------
TOTAL 22,297
---------------
UTILITIES: ELECTRICAL 1.94%
Ameren Corp. 180,000 7,870
CMS Energy Corp.* 550,000 4,570
NiSource, Inc. 150,000 3,024
Progress Energy, Inc. 275,000 11,762
---------------
TOTAL 27,226
---------------
UTILITIES: TELECOMMUNICATIONS 3.18%
SBC
Communications, Inc. 490,000 12,201
Verizon
Communications, Inc. 860,000 32,456
---------------
TOTAL 44,657
---------------
UTILITIES: WATER 0.48%
Aqua America, Inc. 328,150 6,711
---------------
TOTAL COMMON STOCKS
(Cost $1,166,287,859) 1,301,107
===============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 7.03%
REPURCHASE AGREEMENT 7.03%
Repurchase Agreement
dated 4/30/2004, 1.00%
due 5/3/2004 with
State Street Bank &
Trust Co. collateralized by
$100,655,000 of Federal
National Mortgage Assoc.
at 3.25% due 1/15/2008;
value: $100,655,000;
proceeds: $98,687,855
(Cost $98,679,632) $ 98,680 $ 98,680
===============
TOTAL INVESTMENTS
99.68% (Cost $1,264,967,491) $ 1,399,787
===============
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR-American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
ALPHA FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
INVESTMENTS IN UNDERLYING FUNDS 98.78%
Lord Abbett Developing Growth Fund,
Inc. - Class Y*(a) 2,598,664 $ 38,616
Lord Abbett Research
Fund, Inc. Small-Cap
Value Fund - Class Y*(b) 1,662,358 43,155
Lord Abbett Securities
Trust-International
Opportunites
Fund - Class Y(b) 6,142,808 59,585
---------------
TOTAL INVESTMENTS IN
UNDERLYING FUNDS
(Cost $141,310,619) 141,356
===============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 1.05%
REPURCHASE AGREEMENT 1.05%
Repurchase Agreement
dated 4/30/2004, 1.00%
due 5/3/2004 with
State Street Bank &
Trust Co. collateralized
by $1,535,000 of Federal
Home Loan Bank at
1.70% due 7/16/2018;
value: $1,529,244;
proceeds: $1,497,379
(Cost $1,497,254) $ 1,497 $ 1,497
===============
TOTAL INVESTMENTS
99.83% (Cost $142,807,873) $ 142,853
===============
</Table>
* Non-income producing security.
(a) Fund investment objective is long-term growth of capital through a
diversified and actively managed portfolio consisting of developing growth
companies, many of which are traded over the counter.
(b) Fund investment objective is long-term capial appreciation.
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
INTERNATIONAL CORE EQUITY FUND APRIL 30, 2004
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
COMMON STOCKS 95.44%
AUSTRALIA 4.57%
Qantas Airways Ltd. 246,694 $ 597
QBE Insurance Group Ltd. 65,655 552
Santos Ltd. 97,214 452
Zinifex Ltd.* 342,183 400
---------------
TOTAL 2,001
---------------
AUSTRIA 2.75%
Bank Austria
Creditanstalt* 13,609 772
Erste Bank Der
Oester Spark 2,899 434
---------------
TOTAL 1,206
---------------
BRAZIL 0.64%
Cia Vale Do Rio Doce ADR 7,200 281
---------------
FINLAND 2.40%
Nokia Oyj 34,500 486
Stora Enso Oyj R-Sh 42,000 566
---------------
TOTAL 1,052
---------------
FRANCE 10.04%
Axa 22,138 466
BNP Paribas S.A 8,882 534
Credit Agricole S.A 22,514 555
France Telecom S.A.* 17,885 432
Lafarge S.A 5,178 431
Schneider Electric S.A 9,579 645
Total S.A 4,840 895
Vinci S.A 4,504 439
---------------
TOTAL 4,397
---------------
GERMANY 4.62%
BASF AG 10,745 554
Deutsche Telekom AG
Registered* 25,888 447
MAN AG 11,746 $ 431
Muenchener Rueckver
AG Registered 5,462 591
---------------
TOTAL 2,023
---------------
ISRAEL 1.42%
Teva Pharmaceutical
Industries Ltd. ADR 10,100 622
---------------
ITALY 2.37%
Telecom Italia S.p.A.* 167,417 391
Telecom Italia S.p.A.* 202,145 648
---------------
TOTAL 1,039
---------------
JAPAN 20.63%
Acom Co. Ltd. 5,920 422
Aiful Corp. 4,050 411
Chugai Pharmaceutical
Co. Ltd. 21,400 324
Credit Saison Co. Ltd. 17,400 509
East Japan Railway 111 567
Fanuc Ltd. 8,900 545
Isetan Co. Ltd. 29,000 401
JSR Corp. 20,000 421
Kao Corp. 22,286 532
Konica Minolta
Holdings, Inc. 41,000 568
Kyocera Corp. 8,100 670
Mitsubishi Tokyo Financial 68 605
Mitsui Fudosan Co. Ltd. 34,000 374
Sony Corp. 11,331 439
Sumitomo Mitsui
Financial GR 29 219
Takashimaya Co. 53,000 639
THK Co. Ltd. 20,200 391
Toyota Motor Corp. 12,700 459
Yamanouchi
Pharmaceutical 16,100 537
---------------
TOTAL 9,033
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL CORE EQUITY FUND APRIL 30, 2004
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
NETHERLANDS 3.33%
ASM Lithography
Holding N.V.* 15,892 $ 253
Royal Dutch Petroleum Co. 15,776 767
Unilever N.V. 6,606 438
---------------
TOTAL 1,458
---------------
SINGAPORE 1.50%
DBS Group Holdings Ltd. 78,100 656
---------------
SOUTH KOREA 4.25%
Kookmin Bank* 10,700 399
KT&G Corp. 18,800 478
LG Chemical Ltd. 9,100 368
Samsung Electronics
Co., Ltd. 1,300 617
---------------
TOTAL 1,862
---------------
SPAIN 1.74%
ACS, Actividades
Cons Y Serv. 15,633 760
---------------
SWEDEN 3.30%
Atlas Copco AB - A Sh 20,300 712
Skandia Forsakrings AB 186,300 732
---------------
TOTAL 1,444
---------------
SWITZERLAND 7.02%
Credit Suisse Group 24,049 847
Nestle SA - Registered 2,546 644
Novartis AG Reg Sh 14,911 665
Roche Holding AG 3,334 350
UBS AG - Registered 8,018 570
---------------
TOTAL 3,076
---------------
TAIWAN 2.25%
Chinatrust Financial
Holding 279,000 300
Mediatek Inc. 30,000 286
Taiwan
Semiconductor ADR* 42,100 401
---------------
TOTAL 987
---------------
UNITED KINGDOM 22.61%
Alliance & Leicester plc 42,860 $ 636
AstraZeneca plc 14,112 660
Barclays plc 24,273 219
BP plc 110,945 959
British Aerospace plc 149,551 556
British Sky
Broadcasting plc 25,124 297
Cadbury Schweppes plc 53,328 424
Diageo plc 43,291 581
GlaxoSmithKline plc 37,271 771
HSBC Holdings plc 38,346 550
Mm02* 298,961 530
National Grid Transco plc 39,651 301
Prudential plc 78,936 620
Reed Elsevier plc 73,510 684
Royal Bank of Scotland
Group plc 19,918 598
Scottish Power plc 63,512 432
Vodafone Group plc 447,087 1,086
---------------
TOTAL 9,904
---------------
TOTAL COMMON STOCKS
(Cost $42,794,240) 41,801
===============
<Caption>
PRINCIPAL
AMOUNT
(000)
---------------
SHORT-TERM INVESTMENT 3.21%
REPURCHASE AGREEMENT 3.21%
Repurchase Agreement
dated 4/30/2004, 1.00%
due 5/3/2004 with
State Street Bank &
Trust Co. collateralized
by $1,440,000 of Federal
National Mortgage
Assoc. at zero coupon
due 7/19/2004;
value: $1,436,400;
proceeds: $1,404,257
(Cost $1,404,140) $ 1,404 1,404
===============
TOTAL INVESTMENTS
98.65% (Cost $44,198,380) $ 43,205
===============
</Table>
* Non-income producing security
ADR-American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
INTERNATIONAL CORE EQUITY FUND APRIL 30, 2004
<Table>
SECURITIES PRESENTED BY INDUSTRY:
Aerospace/Defense 1.27%
Air Transport 1.36%
Automotive 1.05%
Banks: Money Center 12.71%
Banks: Regional 5.31%
Beverages 2.30%
Broadcasting 0.68%
Building Materials 0.99%
Chemicals 2.11%
Construction/Home Bg 1.73%
Consumer Electronics 1.53%
Consumer Products 1.22%
Diversified 0.64%
Drugs 7.74%
Electric: Power 0.69%
Electric: Equip./Comp. 2.23%
Electrical Equipment 1.47%
Electronics 2.30%
Electronics: Semi./Com. 3.56%
Engineer/Contr. Svcs. 1.00%
Financial Services 3.06%
Food 2.47%
Health Care Products 1.23%
Insurance 6.76%
Machinery: Ind./Speclt. 3.50%
Metals & Mineral Msc. 0.91%
Miscellaneous 1.30%
Oil: Crude Producers 1.03%
Oil: Integrated Int'l. 5.99%
Paper and Forest Products 1.29%
Publishing 1.56%
Real Estate/REITS 0.85%
Retail-Specialty 2.37%
Telecomm. Equipment 1.11%
Telecommunications 7.08%
Telephone-Long Distance 0.99%
Tire & Rubber 0.96%
Tobacco 1.09%
Repurchase Agreement 3.21%
=====
TOTAL 98.65%
=====
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
INTERNATIONAL OPPORTUNITIES FUND APRIL 30, 2004
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
COMMON STOCK 95.24%
AUSTRALIA 2.36%
Newcrest Mining Ltd. 232,100 $ 1,911
Promina Group Ltd. 712,000 1,928
---------------
TOTAL 3,839
---------------
BELGIUM 1.48%
Colruyt N.V. 19,900 2,141
Oriflame Cosmetics S.A.* 8,600 267
---------------
TOTAL 2,408
---------------
BERMUDA 0.49%
Catlin Group Ltd.* 127,806 791
---------------
CANADA 1.95%
Cott Corp.* 77,200 2,355
Rona, Inc.* 37,905 816
---------------
TOTAL 3,171
---------------
FRANCE 6.44%
Imerys S.A.^ 10,700 2,435
IPSOS S.A. 24,600 2,532
Neopost S.A.^ 48,550 2,678
Pierre & Vacances^ 8,800 812
SR Teleperformance^ 82,369 1,688
Zodiac S.A.^ 10,800 324
---------------
TOTAL 10,469
---------------
GERMANY 6.45%
AWD Holding AG^ 54,200 1,823
Continental AG^ 50,200 2,179
Epcos AG*^ 61,100 1,277
Medion AG^ 43,400 1,846
Puma AG^ 14,600 3,359
---------------
TOTAL 10,484
---------------
HONG KONG 5.81%
ASM Pacific
Technology Ltd.^ 414,750 1,718
Dah Sing
Financial Group^ 273,422 1,963
Esprit Holdings Ltd. 620,700 $ 2,546
Hong Kong Exchanges &
Clearing Ltd. 898,000 1,796
Sino Land Co.^ 2,346,000 1,421
---------------
TOTAL 9,444
---------------
INDIA 1.23%
I.C.I.C.I. Bank Ltd. ADR^ 129,000 2,000
---------------
IRELAND 2.11%
Anglo Irish Bank
Corp. plc 102,100 1,671
Icon plc ADR* 44,000 1,755
---------------
TOTAL 3,426
---------------
ITALY 4.75%
Biscom, Inc.*^ 26,840 1,598
Davide
Campari-Milano S.p.A. 42,300 1,967
Hera S.p.A.* 845,500 1,703
Merloni Elettrodomestici^ 32,500 575
Milano
Assicurazioni S.p.A. 487,900 1,889
---------------
TOTAL 7,732
---------------
JAPAN 26.66%
Aeon Mall Co. Ltd. 28,300 1,562
Amada Corp. Ltd. 348,500 1,961
Arisawa Manufacturing
Co., Ltd. 54,120 2,511
Arrk Corp.^ 22,200 944
Calsonic Kansei Corp.^ 257,600 2,022
Casio Computer Co. Ltd.^ 205,700 2,373
Diamond City Co. Ltd.^ 37,000 1,402
Don Quijote Co. Ltd.^ 37,000 2,635
Global Media Online, Inc. 46,200 2,524
Goodwill Group, Inc.^ 540 2,124
Japan Cash Machines
Co. Ltd.^ 39,600 1,288
KOSE Corp.^ 56,430 1,912
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND APRIL 30, 2004
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
Matsumotokiyoshi
Co. Ltd.^ 68,000 $ 2,058
Misumi Corp. 35,600 1,258
Misumi Corp.-New Sh*(a) 17,800 629
Mitsui Mining &
Smelting Co. 456,700 1,924
Nitori Co. Ltd.^ 34,300 2,216
OBIC Business
Consultants^ 19,100 1,421
Pacific Metals Co. Ltd.*^ 308,000 1,312
Park24 Co. Ltd. 75,400 2,549
Rinnai Corp. 31,800 857
THK Co. Ltd.^ 94,200 1,822
Tokyu Land Corp. 489,500 1,521
Yamaha Motor Co., Ltd.^ 175,950 2,516
---------------
TOTAL 43,341
---------------
LUXEMBOURG 0.85%
Gemplus
International S.A.*^ 600,000 1,388
---------------
NETHERLANDS 1.22%
Oce N.V. 118,300 1,993
---------------
RUSSIA 1.78%
Uralsvyazinform ADR 71,500 532
Vimpelcom ADR* 26,300 2,361
---------------
TOTAL 2,893
---------------
SINGAPORE 2.45%
Neptune Orient
Lines Ltd.^ 967,944 1,109
Venture Corp. 172,000 1,931
Want Want Holdings Ltd. 877,000 939
---------------
TOTAL 3,979
---------------
SOUTH KOREA 1.22%
NHN Corp. 22,200 1,979
---------------
SPAIN 8.12%
Corporacion Mapfre
S.A. Rights^ 216,159 $ 2,591
Fadesa Inmobiliaria S.A.* 65,948 1,024
Grupo Empresarial
Ence S.A.^ 42,500 1,167
Grupo Ferrovial S.A.^ 59,100 2,357
Iberia Lineas Aereas de
Espana S.A.^ 748,300 2,485
Indra Sistemas, S.A. 148,800 1,930
Prosegur, Compania de
Seguridad S.A. 100,500 1,639
---------------
TOTAL 13,193
---------------
SWEDEN 1.46%
Getinege AB 206,000 2,373
---------------
SWITZERLAND 5.25%
Actelion Ltd.* 18,800 2,063
Geberit AG 4,815 2,926
Nobel Biocare AB*^ 17,900 2,426
Sez Holdings AG
Registered* 34,956 1,116
---------------
TOTAL 8,531
---------------
UNITED KINGDOM 13.16%
Aegis Group plc 1,111,200 1,778
Cairn Energy plc.* 65,863 1,255
Cattles plc 157,500 969
Close Brothers Group plc 154,650 2,246
ICAP plc 400,000 1,954
Kingston Comm
(Hull) plc* 780,700 844
Man Group plc 35,000 1,048
Michael Page
International 536,800 1,649
Next plc 98,500 2,437
Peter Hambro
Mining plc* 125,000 1,139
Premier Farnell plc 474,300 2,120
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND APRIL 30, 2004
<Table>
<Caption>
U.S. $
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
The Berkeley Group plc 106,000 $ 1,842
William Hill plc 222,700 2,117
---------------
TOTAL 21,398
---------------
TOTAL COMMON STOCKS
(Cost $118,117,211) 154,832
===============
NON-CONVERTIBLE PREFERRED STOCKS 1.30%
GERMANY 1.30%
ProsiebenSat.1 Media AG 95,800 1,884
ProsiebenSat.1
AG-New Sh* 11,975 235
---------------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Cost $1,547,167) 2,119
===============
SHORT-TERM INVESTMENTS 26.29%
COLLATERAL FOR SECURITIES ON LOAN 25.92%
State Street Navigator
Securities Lending Prime
Portfolio, 1.07%(b) 42,138 42,138
---------------
<Caption>
PRINCIPAL U.S. $
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT 0.37%
Repurchase Agreement
dated 4/30/2004,
1.00% due 5/3/2004
with State Street Bank &
Trust Co. collateralized
by $610,000 of Federal
Home Loan Bank at 1.95%
due 4/2/2018;
value: $606,950;
proceeds: $594,468 $ 594 $ 594
---------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $42,732,161) 42,732
===============
TOTAL INVESTMENTS
122.83% (Cost $162,396,539) $ 199,683
===============
</Table>
* Non-income producing security.
^ Security (or a portion of security) on loan. See Note 5.
(a) Security received on a when-issued basis.
(b) Rate shown reflects 7 day yield as of April 30, 2004.
ADR-American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
INTERNATIONAL OPPORTUNITIES FUND APRIL 30, 2004
<Table>
SECURITIES PRESENTED BY INDUSTRY:
Aerospace & Defense 0.20%
Air Transportation 1.53%
Autos & Auto Parts 4.13%
Banks & Financial Services 1.03%
Chemicals 1.54%
Communication Equipment 0.85%
Computer Hardware 1.14%
Computer Services 1.19%
Computer Software 0.87%
Construction Materials 1.50%
Consumer Building 2.93%
Consumer Durables 1.99%
Consumer Non-Durables 5.99%
Diversified Financials 1.72%
Electronics 5.02%
Engineering & Capital Goods 4.00%
Engineering & Construction 1.45%
Food & Drink 3.24%
General Manufacturing & Services 7.76%
Healthcare Facilities 1.08%
Healthcare Products & Supplies 4.22%
Internet Companies 2.77%
Leisure & Recreation 1.80%
Media 4.99%
Mining & Metals 3.87%
Non-Property Financials 11.20%
Office Equipment 1.22%
Oil & Gas 0.77%
Paper & Forest Products 0.72%
Property 4.26%
Retail 6.55%
Surface Transportation 0.68%
Telecommunications Services 3.28%
Utilities & Infrastructure 1.05%
Collateral for Securities on Loan 25.92%
Repurchase Agreement 0.37%
======
TOTAL 122.83%
======
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
LARGE-CAP VALUE APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
COMMON STOCKS 93.48%
AEROSPACE & DEFENSE 0.07%
Honeywell International, Inc. 230 $ 8
---------------
AIRLINES 0.48%
AMR Corp.* 1,841 21
Delta Air Lines, Inc.* 5,387 33
---------------
TOTAL 54
---------------
BEVERAGES 2.34%
Diageo plc ADR(a) 715 39
PepsiCo, Inc. 4,164 227
---------------
TOTAL 266
---------------
CHEMICALS 3.90%
E.I. du Pont de
Nemours & Co. 1,639 71
Monsanto Co. 2,688 93
Potash Corp. of
Saskatchewan, Inc.(a) 1,072 87
Praxair, Inc. 3,028 111
Rohm & Haas Co. 2,067 80
---------------
TOTAL 442
---------------
COMMERCIAL BANKS 8.62%
Bank of America Corp. 1,520 122
Bank of New York Co., Inc. 3,869 113
Bank One Corp. 5,311 262
Mellon Financial Corp. 5,082 151
U.S. Bancorp 2,610 67
Wachovia Corp. 3,207 147
Wells Fargo & Co. 2,063 116
---------------
TOTAL 978
---------------
COMMERCIAL SERVICES & SUPPLIES 0.96%
Waste Management, Inc. 3,825 109
---------------
COMMUNICATIONS EQUIPMENT 3.46%
Corning, Inc.* 5,117 $ 57
Motorola, Inc. 16,501 301
Nortel Networks Corp.*(a) 9,420 35
---------------
TOTAL 393
---------------
COMPUTERS & PERIPHERALS 2.92%
Apple Computer, Inc.* 5,438 140
EMC Corp.* 17,164 191
---------------
TOTAL 331
---------------
DIVERSIFIED FINANCIALS 3.79%
Citigroup, Inc. 5,026 242
J.P. Morgan Chase & Co. 1,949 73
Merrill Lynch & Co., Inc. 2,121 115
---------------
TOTAL 430
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES 3.98%
BellSouth Corp. 1,906 49
SBC Communications, Inc. 5,142 128
Verizon
Communications, Inc. 7,254 274
---------------
TOTAL 451
---------------
ELECTRIC UTILITIES 2.41%
Constellation Energy
Group, Inc. 1,651 64
FPL Group, Inc. 1,152 73
Progress Energy, Inc. 2,736 117
Southern Co. 670 19
---------------
TOTAL 273
---------------
ELECTRICAL EQUIPMENT 0.79%
Emerson Electric Co. 1,501 90
---------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS 0.40%
Solectron Corp.* 9,280 45
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
LARGE-CAP VALUE APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES 3.61%
Baker Hughes, Inc. 5,041 $ 185
GlobalSantaFe Corp. 1,965 52
Schlumberger Ltd. 2,954 173
---------------
TOTAL 410
---------------
FOOD & STAPLES RETAILING 0.79%
CVS Corp. 920 36
Kroger Co.* 3,085 54
---------------
TOTAL 90
---------------
FOOD PRODUCTS 4.42%
Archer-Daniels-Midland Co. 4,190 74
General Mills, Inc. 1,228 60
H.J. Heinz Co. 1,235 47
Kellogg Co. 2,524 108
Kraft Foods, Inc. Class A 6,455 212
---------------
TOTAL 501
---------------
HEALTHCARE EQUIPMENT & SUPPLIES 0.78%
Baxter Int'l., Inc. 2,773 88
---------------
HEALTHCARE PROVIDERS & SERVICES 1.69%
Cardinal Health, Inc. 1,688 124
CIGNA Corp. 1,055 68
---------------
TOTAL 192
---------------
HOUSEHOLD DURABLES 0.51%
Newell Rubbermaid, Inc. 2,463 58
---------------
HOUSEHOLD PRODUCTS 0.56%
Kimberly Clark Corp. 980 64
---------------
INDUSTRIAL CONGLOMERATES 2.94%
General Electric Co. 5,100 153
Tyco Int'l., Ltd.(a) 6,593 181
---------------
TOTAL 334
---------------
INSURANCE 3.47%
Allstate Corp. 760 $ 35
American Int'l. Group, Inc. 3,948 283
Hartford Financial
Group, Inc. 1,236 75
---------------
TOTAL 393
---------------
LEISURE EQUIPMENT & PRODUCTS 0.28%
Eastman Kodak Co. 1,255 32
---------------
MACHINERY 5.62%
Deere & Co. 5,071 345
Eaton Corp. 2,556 152
Illinois Tool Works, Inc. 1,168 101
Parker Hannifin Corp. 715 39
---------------
TOTAL 637
---------------
MEDIA 8.13%
Clear Channel
Communications, Inc. 2,820 117
Comcast Corp.* 7,045 204
Cox Communications, Inc.* 2,045 67
The Walt Disney Co. 9,779 225
Time Warner, Inc.* 1,670 28
Tribune Co. 3,747 179
Viacom, Inc. 2,629 102
---------------
TOTAL 922
---------------
METALS & MINING 3.22%
Alcoa, Inc. 4,801 148
Barrick Gold Corp.(a) 3,560 68
Newmont Mining Corp. 3,972 149
---------------
TOTAL 365
---------------
MULTI-LINE RETAIL 1.07%
Target Corp. 2,779 121
---------------
OFFICE ELECTRONICS 1.43%
Xerox Corp.* 12,089 162
---------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
LARGE-CAP VALUE APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ------------------------------------------------------------------------------------------
OIL & GAS 5.73%
BP plc ADR(a) 1,916 $ 101
Exxon Mobil Corp. 12,893 549
---------------
TOTAL 650
---------------
PAPER & FOREST PRODUCTS 2.29%
International Paper Co. 5,985 241
Weyerhaeuser Co. 317 19
---------------
TOTAL 260
---------------
PERSONAL PRODUCTS 0.91%
Gillette Co. 2,515 103
---------------
PHARMACEUTICALS 7.51%
Abbott Laboratories 2,078 92
Bristol-Myers Squibb Co. 2,470 62
Merck & Co., Inc. 2,214 104
Novartis AG ADR(a) 3,573 160
Pfizer, Inc. 1,270 45
Schering-Plough Corp. 10,546 176
Wyeth 5,583 213
---------------
TOTAL 852
---------------
ROAD & RAIL 1.82%
Canadian National
Railway(a) 1,224 46
CSX Corp. 2,570 79
Union Pacific Corp. 1,370 81
---------------
TOTAL 206
---------------
SEMICONDUCTOR EQUIPMENT &
PRODUCTS 0.28%
Teradyne, Inc.* 1,551 32
---------------
SPECIALTY RETAIL 1.37%
The Gap, Inc. 7,058 155
---------------
TEXTILES & APPAREL 0.93%
NIKE, Inc. Class B 1,470 106
---------------
TOTAL COMMON STOCKS
(Cost $10,557,742) 10,603
===============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 6.70%
REPURCHASE AGREEMENT 6.70%
Repurchase Agreement
dated 4/30/2004, 1.00%
due 5/3/2004 with
State Street Bank &
Trust Co. collateralized
by $780,000 of Federal
National Mortgage Assoc.
at zero coupon
due 7/1/2004;
value: $779,025;
proceeds: $759,839
(Cost $759,776) $ 760 $ 760
===============
TOTAL INVESTMENTS
100.18% (Cost $11,317,518) $ 11,363
===============
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR-American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
April 30, 2004
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA CORE EQUITY
FUND FUND FUND
ASSETS:
Investment in securities, at cost $ 1,264,967,491 $ 142,807,873 $ 44,198,380
- ------------------------------------------------------------------------------------------------------------------------------
Investment in securities, at value $ 1,399,787,033 $ 142,853,460 $ 43,205,282
Cash - - 1,415
Foreign cash, at value (cost $1,389,105) - - 1,381,329
Receivables:
Interest and dividends 1,375,075 125 167,511
Investment securities sold 6,990,535 - 1,292,026
Capital shares sold 12,590,445 267,860 970,052
From Lord, Abbett & Co. LLC - - 150,099
From affiliates - 349,491 -
Deferred offering expense - - 41,065
Prepaid expenses and other assets 215,487 3,129 49,310
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 1,420,958,575 143,474,065 47,258,089
==============================================================================================================================
LIABILITIES:
Payables:
Investment securities purchased 13,766,893 - 3,134,493
Capital shares reacquired 854,502 177,131 89,822
Management fees 685,307 - 26,879
12b-1 distribution fees 771,858 98,555 19,085
Fund administration 48,525 - 1,433
Trustees' fees 162,673 5,993 256
To Lord, Abbett & Co. LLC - - 41,065
Accrued expenses and other liabilities 375,023 95,685 149,332
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 16,664,781 377,364 3,462,365
==============================================================================================================================
NET ASSETS $ 1,404,293,794 $ 143,096,701 $ 43,795,724
==============================================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 1,255,527,993 $ 151,297,616 $ 44,826,808
Undistributed (distributions in excess of)
net investment income (578,692) 912,504 143,111
Accumulated net realized gain (loss) on investments
and foreign currency related transactions 14,524,951 (9,159,006) (171,805)
Net unrealized appreciation (depreciation) on
investments and translation of assets and
liabilities denominated in foreign currencies 134,819,542 45,587 (1,002,390)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 1,404,293,794 $ 143,096,701 $ 43,795,724
==============================================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 949,345,136 $ 69,510,819 $ 35,434,467
Class B Shares $ 148,591,249 $ 43,360,408 $ 1,763,902
Class C Shares $ 303,498,998 $ 30,225,474 $ 5,840,580
Class P Shares $ 2,844,644 - $ 10,007
Class Y Shares $ 13,767 - $ 746,768
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF
AUTHORIZED SHARES OF BENEFICIAL INTEREST):
Class A Shares 89,332,971 4,462,946 3,536,667
Class B Shares 14,369,498 2,863,855 176,573
Class C Shares 29,431,890 1,996,018 584,065
Class P Shares 269,010 - 1,000
Class Y Shares 1,293 - 74,457
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE (NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 10.63 $ 15.58 $ 10.02
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 11.28 $ 16.53 $ 10.63
Class B Shares-Net asset value $ 10.34 $ 15.14 $ 9.99
Class C Shares-Net asset value $ 10.31 $ 15.14 $ 10.00
Class P Shares-Net asset value $ 10.57 - $ 10.01
Class Y Shares-Net asset value $ 10.65 - $ 10.03
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)(CONCLUDED)
April 30, 2004
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 162,396,539 $ 11,317,518
- -----------------------------------------------------------------------------------------------------------
Investment in securities, at value $ 199,682,717 $ 11,362,736
Foreign cash, at value (cost $4,744,320) 4,662,427 -
Receivables:
Interest and dividends 328,875 13,638
Investment securities sold 3,892,680 8,542
Capital shares sold 351,038 61,478
From Lord, Abbett & Co. LLC - 5,786
Prepaid expenses and other assets 2,686 -
- -----------------------------------------------------------------------------------------------------------
TOTAL ASSETS 208,920,423 11,452,180
- -----------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return of securities on loan 42,137,742 -
Payables:
Investment securities purchased 3,448,278 46,336
Capital shares reacquired 127,594 7,094
Management fees 107,681 3,786
12b-1 distribution fees 227,598 3,314
Fund administration 5,699 379
Trustees' fees 11,240 856
To affiliate 120,071 -
Accrued expenses and other liabilities 163,249 47,512
- -----------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 46,349,152 109,277
===========================================================================================================
NET ASSETS $ 162,571,271 $ 11,342,903
===========================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 245,163,624 $ 11,195,202
Undistributed (distributions in excess of) net investment income (307,432) 5,469
Accumulated net realized gain (loss) on investments
and foreign currency related transactions (119,494,367) 97,014
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 37,209,446 45,218
- -----------------------------------------------------------------------------------------------------------
NET ASSETS $ 162,571,271 $ 11,342,903
===========================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 68,759,663 $ 9,377,371
Class B Shares $ 21,820,462 $ 881,817
Class C Shares $ 12,401,381 $ 570,120
Class P Shares $ 909 $ 11,465
Class Y Shares $ 59,588,856 $ 502,130
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF AUTHORIZED
SHARES OF BENEFICIAL INTEREST):
Class A Shares 7,195,088 823,104
Class B Shares 2,335,765 78,028
Class C Shares 1,334,374 50,384
Class P Shares 94.20 1,006.21
Class Y Shares 6,144,062 43,963
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 9.56 $ 11.39
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 10.14 $ 12.08
Class B Shares-Net asset value $ 9.34 $ 11.30
Class C Shares-Net asset value $ 9.29 $ 11.32
Class P Shares-Net asset value $ 9.65 $ 11.39
Class Y Shares-Net asset value $ 9.70 $ 11.42
===========================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)
For the Six Months Ended April 30, 2004
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA CORE EQUITY
FUND FUND FUND*
INVESTMENT INCOME:
Dividends $ 8,299,891 $ 1,416,348 $ 350,266
Interest and other 324,075 7,315 10,873
Foreign withholding tax (47,753) - (39,452)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 8,576,213 1,423,663 321,687
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 3,336,127 259,338 73,067
12b-1 distribution plan-Class A 1,382,965 120,228 29,472
12b-1 distribution plan-Class B 642,904 221,211 3,162
12b-1 distribution plan-Class C 1,310,364 152,912 12,107
12b-1 distribution plan-Class P 4,604 - 18
Shareholder servicing 949,703 257,691 5,814
Professional 62,126 12,680 15,458
Reports to shareholders 70,022 7,706 1,878
Fund administration 228,683 16,808 3,897
Custody 25,031 2,845 101,494
Trustees' fees 9,904 1,336 369
Registration 61,512 16,031 26,183
Offering - - 41,065
Other 342,753 14,087 36,790
- ------------------------------------------------------------------------------------------------------------------------------
Gross expenses 8,426,698 1,082,873 350,774
Expense reductions (4,431) (576) (38)
Expenses assumed by Lord, Abbett & Co. LLC - - (172,160)
Expenses assumed by Underlying Funds - (311,800) -
Management fee waived - (259,338) -
- ------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES 8,422,267 511,159 178,576
- ------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 153,946 912,504 143,111
- ------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Capital gains received from Underlying Funds - 2,192,549 -
Net realized gain (loss) on investments
and foreign currency related transactions 15,536,834 (661,820) (171,805)
Net change in unrealized appreciation/depreciation
on investments and translation of assets and
liabilities denominated in foreign currencies 50,907,625 8,477,517 (1,002,390)
==============================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) 66,444,459 10,008,246 (1,174,195)
==============================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 66,598,405 $ 10,920,750 $ (1,031,084)
==============================================================================================================================
</Table>
*For the period December 15, 2003 (commencement of investment operations) to
April 30, 2004.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)(CONCLUDED)
For the Six Months Ended April 30, 2004
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 1,669,646 $ 49,569
Interest and other 24,753 4,510
Securities lending-net 88,725 -
Foreign withholding tax (92,173) (299)
- -----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 1,690,951 53,780
- -----------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 568,384 12,862
12b-1 distribution plan-Class A 109,051 9,248
12b-1 distribution plan-Class B 100,755 2,619
12b-1 distribution plan-Class C 57,979 1,600
12b-1 distribution plan-Class P 2 26
Shareholder servicing 286,711 5,686
Subsidy (see Note 3) 120,071 -
Professional 14,795 3,327
Reports to shareholders 8,309 521
Fund administration 30,314 1,286
Custody 46,819 23,736
Trustees' fees 1,389 43
Registration 27,699 17,012
Offering - 39,540
Other 948 693
- -----------------------------------------------------------------------------------------------------------
Gross expenses 1,373,226 118,199
Expense reductions (616) (19)
Expenses assumed by Lord, Abbett & Co. LLC - (85,314)
- -----------------------------------------------------------------------------------------------------------
NET EXPENSES 1,372,610 32,866
- -----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 318,341 20,914
- -----------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments and foreign currency
related transactions 12,885,484 86,793
Net change in unrealized appreciation/depreciation
on investments and translation of assets and liabilities
denominated in foreign currencies 8,327,719 (83,060)
===========================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) 21,213,203 3,733
===========================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 21,531,544 $ 24,647
===========================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
For the Six Months Ended April 30, 2004
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA CORE EQUITY
INCREASE (DECREASE) IN NET ASSETS FUND FUND FUND*
OPERATIONS:
Net investment income $ 153,946 $ 912,504 $ 143,111
Capital gains received from Underlying Funds - 2,192,549 -
Net realized gain (loss) on investment
and foreign currency related transactions 15,536,834 (661,820) (171,805)
Net change in unrealized appreciation/depreciation
on investments and translation of assets and
liabilities denominated in foreign currencies 50,907,625 8,477,517 (1,002,390)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 66,598,405 10,920,750 (1,031,084)
==============================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (563,576) - -
Class B - - -
Class C - - -
Class P (791) - -
Class Y (36) - -
Net realized gain
Class A (5,324,535) - -
Class B (1,049,372) - -
Class C (2,125,180) - -
Class P (13,578) - -
Class Y (123) - -
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (9,077,191) - -
==============================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 646,370,871 11,968,006 46,172,858
Reinvestment of distributions 7,831,712 - -
Cost of shares reacquired (61,117,554) (13,486,928) (1,346,050)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 593,085,029 (1,518,922) 44,826,808
==============================================================================================================================
NET INCREASE IN NET ASSETS 650,606,243 9,401,828 43,795,724
==============================================================================================================================
NET ASSETS:
Beginning of year 753,687,551 133,694,873 -
- ------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 1,404,293,794 $ 143,096,701 $ 43,795,724
==============================================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME $ (578,692) $ 912,504 $ 143,111
==============================================================================================================================
</Table>
*For the period December 15, 2003 (commencement of investment operations) to
April 30, 2004.
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)(CONCLUDED)
For the Six Months Ended April 30, 2004
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
INCREASE IN NET ASSETS FUND VALUE FUND
OPERATIONS:
Net investment income $ 318,341 $ 20,914
Net realized gain on investment
and foreign currency related transactions 12,885,484 86,793
Net change in unrealized appreciation/depreciation
on investments and translation of assets and liabilities
denominated in foreign currencies 8,327,719 (83,060)
- -----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 21,531,544 24,647
===========================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (972,237) (19,175)
Class B (207,101) (1,026)
Class C (160,664) (1,139)
Class P (11) (67)
Class Y (992,385) (83)
- -----------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,332,398) (21,490)
===========================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 17,994,037 9,015,914
Reinvestment of distributions 2,290,181 20,348
Cost of shares reacquired (13,680,898) (248,656)
- -----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL SHARE TRANSACTIONS 6,603,320 8,787,606
===========================================================================================================
NET INCREASE IN NET ASSETS 25,802,466 8,790,763
===========================================================================================================
NET ASSETS:
Beginning of year 136,768,805 2,552,140
- -----------------------------------------------------------------------------------------------------------
END OF YEAR $ 162,571,271 $ 11,342,903
===========================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME $ (307,432) $ 5,469
===========================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended October 31, 2003
<Table>
<Caption>
ALL VALUE ALPHA
INCREASE IN NET ASSETS FUND FUND
OPERATIONS:
Net investment loss $ (49,294) $ (241,018)
Capital gains received from Underlying Funds - 2,224,496
Net realized gain (loss) on investment 8,709,355 (12,911,153)
Net change in unrealized appreciation/depreciation on investments 98,646,882 47,133,769
- -----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 107,306,943 36,206,094
===========================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain
Class A (4,249,997) (455,060)
Class B (1,079,982) (307,761)
Class C (2,554,556) (213,341)
Class P (8,336) -
- -----------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (7,892,871) (976,162)
===========================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 380,083,034 19,941,639
Reinvestment of distributions 6,853,029 793,168
Cost of shares reacquired (82,203,980) (35,741,742)
- -----------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 304,732,083 (15,006,935)
===========================================================================================================
NET INCREASE IN NET ASSETS 404,146,155 20,222,997
===========================================================================================================
NET ASSETS:
Beginning of year 349,541,396 113,471,876
- -----------------------------------------------------------------------------------------------------------
END OF YEAR $ 753,687,551 $ 133,694,873
===========================================================================================================
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME $ (168,235) -
===========================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
For the Year Ended October 31, 2003
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
INCREASE IN NET ASSETS FUND VALUE FUND*
OPERATIONS:
Net investment income $ 1,328,106 $ 4,577
Net realized gain (loss) on investment
and foreign currency related transactions (7,252,730) 10,221
Net change in unrealized appreciation/depreciation
on investments and translation of assets and liabilities
denominated in foreign currencies 41,544,219 128,278
- -----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 35,619,595 143,076
===========================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (382,666) -
Class B (12,235) -
Class C (48,712) -
Class P (4) -
Class Y (572,917) -
- -----------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,016,534) -
===========================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 49,149,289 2,562,220
Reinvestment of distributions 996,745 -
Cost of shares reacquired (59,701,584) (153,156)
- -----------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS (9,555,550) 2,409,064
===========================================================================================================
NET INCREASE IN NET ASSETS 25,047,511 2,552,140
===========================================================================================================
NET ASSETS:
Beginning of year 111,721,294 -
- -----------------------------------------------------------------------------------------------------------
END OF YEAR $ 136,768,805 $ 2,552,140
===========================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,706,625 $ 6,045
===========================================================================================================
</Table>
*For the period June 23, 2003 (commencement of investment operations) to
October 31, 2003.
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
FINANCIAL HIGHLIGHTS
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 --------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 9.93 $ 8.22 $ 9.83 $ 11.53 $ 10.87 $ 9.15
========== ========== ========== ========== ========== ==========
Investment operations
Net investment income(a) .01 .02 .01 .04 .05 .04
Net realized and
unrealized gain (loss) .80 1.87 (.67) (.83) 1.17 2.06
---------- ---------- ---------- ---------- ---------- ----------
Total from investment
operations .81 1.89 (.66) (.79) 1.22 2.10
---------- ---------- ---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income (.01) - (.02) (.03) - (.05)
Net realized gain (.10) (.18) (.93) (.88) (.56) (.33)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions (.11) (.18) (.95) (.91) (.56) (.38)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.63 $ 9.93 $ 8.22 $ 9.83 $ 11.53 $ 10.87
========== ========== ========== ========== ========== ==========
Total Return(b) 8.20%(d) 23.46% (7.95)% (7.26)% 11.44% 23.77%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .64%(d) 1.38% 1.42% 1.42% 1.35% 1.30%
Expenses, excluding expense
reductions .64%(d) 1.38% 1.42% 1.43% 1.36% 1.30%
Net investment income .11%(d) .25% .13% .40% .48% .36%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 --------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 949,345 $ 452,098 $ 189,698 $ 166,406 $ 136,038 $ 102,329
Portfolio turnover rate 7.73% 36.39% 79.39% 103.11% 65.06% 37.68%
==================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 --------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 9.69 $ 8.07 $ 9.70 $ 11.42 $ 10.85 $ 9.13
========== ========== ========== ========== ========= ==========
Investment operations
Net investment loss(a) (.02) (.03) (.04) (.03) (.02) (.04)
Net realized and
unrealized gain (loss) .77 1.83 (.66) (.81) 1.15 2.10
---------- ---------- ---------- ---------- --------- ----------
Total from investment
operations .75 1.80 (.70) (.84) 1.13 2.06
---------- ---------- ---------- ---------- --------- ----------
Distributions to shareholders from:
Net investment income - - - -(e) - (.01)
Net realized gain (.10) (.18) (.93) (.88) (.56) (.33)
---------- ---------- ---------- ---------- --------- ----------
Total distributions (.10) (.18) (.93) (.88) (.56) (.34)
---------- ---------- ---------- ---------- --------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.34 $ 9.69 $ 8.07 $ 9.70 $ 11.42 $ 10.85
========== ========== ========== ========== ========= ==========
Total Return(b) 7.77%(d) 22.77% (8.51)% (7.86)% 10.80% 23.17%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .94%(d) 2.00% 2.03% 2.03% 2.00% 1.98%
Expenses, excluding expense
reductions .94%(d) 2.00% 2.03% 2.04% 2.01% 1.98%
Net investment loss (.19)%(d) (.37)% (.48)% (.27)% (.17)% (.38)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 --------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 148,591 $ 100,272 $ 47,423 $ 39,188 $ 17,453 $ 9,739
Portfolio turnover rate 7.73% 36.39% 79.39% 103.11% 65.06% 37.68%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 --------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 9.66 $ 8.05 $ 9.67 $ 11.38 $ 10.81 $ 9.11
========== ========== ========== ========== ========= ==========
Investment operations
Net investment loss(a) (.02) (.03) (.03) (.01) (.02) (.03)
Net realized and
unrealized gain (loss) .77 1.82 (.66) (.82) 1.15 2.07
---------- ---------- ---------- ---------- --------- ----------
Total from investment
operations .75 1.79 (.69) (.83) 1.13 2.04
---------- ---------- ---------- ---------- --------- ----------
Distributions to shareholders from:
Net investment income - - - -(e) - (.01)
Net realized gain (.10) (.18) (.93) (.88) (.56) (.33)
---------- ---------- ---------- ---------- --------- ----------
Total distributions (.10) (.18) (.93) (.88) (.56) (.34)
---------- ---------- ---------- ---------- --------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.31 $ 9.66 $ 8.05 $ 9.67 $ 11.38 $ 10.81
========== ========== ========== ========== ========= ==========
Total Return(b) 7.79%(d) 22.70% (8.42)% (7.70)% 10.74% 23.00%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .94%(d) 2.00% 1.89% 1.98% 2.00% 1.98%
Expenses, excluding expense
reductions .94%(d) 2.00% 1.89% 1.99% 2.01% 1.98%
Net investment loss (.19)%(d) (.37)% (.34)% (.14)% (.17)% (.31)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 --------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 303,499 $ 200,025 $ 112,052 $ 112,299 $ 112,776 $ 104,984
Portfolio turnover rate 7.73% 36.39% 79.39% 103.11% 65.06% 37.68%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 8/15/2001(c)
4/30/2004 --------------------- TO
(UNAUDITED) 2003 2002 10/31/2001
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.88 $ 8.19 $ 9.83 $ 10.85
=========== ======== ========= ============
Investment operations
Net investment income (loss)(a) .01 .01 -(e) -(e)
Net realized and unrealized gain (loss) .79 1.86 (.66) (1.02)
----------- -------- --------- ------------
Total from investment operations .80 1.87 (.66) (1.02)
----------- -------- --------- ------------
Distributions to shareholders from:
Net investment income (.01) - (.05) -
Net realized gain (.10) (.18) (.93) -
----------- -------- --------- ------------
Total distributions (.11) (.18) (.98) -
----------- -------- --------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.57 $ 9.88 $ 8.19 $ 9.83
=========== ======== ========= ============
Total Return(b) 8.08%(d) 23.30% (8.04)% (9.40)%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .68%(d) 1.45% 1.48% .31%(d)
Expenses, excluding expense reductions .68%(d) 1.45% 1.48% .31%(d)
Net investment income (loss) .07%(d) .18% .07% (.01)%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 8/15/2001(c)
4/30/2004 --------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 10/31/2001
- -----------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 2,845 $ 1,280 $ 368 $ 1
Portfolio turnover rate 7.73% 36.39% 79.39% 103.11%
- -----------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 3/31/2003(c)
4/30/2004 TO
(UNAUDITED) 10/31/2003
- -----------------------------------------------------------------------------------
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.95 $ 7.83
=========== ============
Investment operations
Net investment income(a) .04 .03
Net realized and unrealized gain .79 2.09
----------- ------------
Total from investment operations .83 2.12
----------- ------------
Distributions to shareholders from:
Net investment income (.03) -
Net realized gain (.10) -
----------- ------------
Total distributions (.13) -
----------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.65 $ 9.95
=========== ============
Total Return(b) 8.38%(d) 27.08%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .45%(d)+ 1.00%(d)+
Expenses, excluding expense reductions .45%(d)+ 1.00%(d)+
Net investment income .30%(d)+ .63%(d)+
<Caption>
SIX MONTHS
ENDED 3/31/2003(c)
4/30/2004 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2003
- -----------------------------------------------------------------------------------
Net assets, end of period (000) $ 14 $ 13
Portfolio turnover rate 7.73% 36.39%
- -----------------------------------------------------------------------------------
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
FINANCIAL HIGHLIGHTS
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.38 $ 10.62 $ 12.96 $ 17.46 $ 15.21 $ 12.91
========== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) .12 .02 (.05) (.05) (.03) .07
Net realized and
unrealized gain (loss) 1.08 3.83 (1.70) (3.82) 2.60 2.23
---------- -------- -------- -------- -------- --------
Total from investment
operations 1.20 3.85 (1.75) (3.87) 2.57 2.30
---------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income - - - (.30) (.21) -
Net realized gain - (.09) (.59) (.33) (.11) -
---------- -------- -------- -------- -------- --------
Total distributions - (.09) (.59) (.63) (.32) -
---------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 15.58 $ 14.38 $ 10.62 $ 12.96 $ 17.46 $ 15.21
========== ======== ======== ======== ======== ========
Total Return(b) 8.34%(c) 36.59% (14.41)% (22.67)% 17.10% 17.82%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .19%*(c) .39% .37% .36% .40% .33%
Expenses, excluding expense
reductions .59%*(c) 1.45% 1.37% 1.34% 1.33% .83%
Net investment income (loss) .80%(c) .13% (.34)% (.32)% (.16)% .15%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 69,511 $ 62,383 $ 53,121 $ 70,785 $ 96,652 $ 75,136
Portfolio turnover rate 2.14% 2.47% 1.75% 15.34% 1.54% 1.67%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.02 $ 10.43 $ 12.81 $ 17.27 $ 15.05 $ 12.85
========== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) .07 (.06) (.12) (.14) (.13) (.03)
Net realized and
unrealized gain (loss) 1.05 3.74 (1.67) (3.79) 2.58 2.23
---------- -------- -------- -------- -------- --------
Total from investment
operations 1.12 3.68 (1.79) (3.93) 2.45 2.20
---------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income - - - (.20) (.12) -
Net realized gain - (.09) (.59) (.33) (.11) -
---------- -------- -------- -------- -------- --------
Total distributions - (.09) (.59) (.53) (.23) -
---------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 15.14 $ 14.02 $ 10.43 $ 12.81 $ 17.27 $ 15.05
========== ======== ======== ======== ======== ========
Total Return(b) 7.99%(c) 35.62% (14.91)% (23.21)% 16.40% 17.12%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .51%*(c) 1.04% 1.00% 1.00% 1.00% 1.00%
Expenses, excluding expense
reductions .91%*(c) 2.10% 2.00% 1.98% 1.93% 1.50%
Net investment income (loss) .50%(c) (.52)% (.97)% (.96)% (.75)% (.83)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 43,360 $ 42,342 $ 35,661 $ 50,377 $ 70,300 $ 52,280
Portfolio turnover rate 2.14% 2.47% 1.75% 15.34% 1.54% 1.67%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.02 $ 10.43 $ 12.80 $ 17.25 $ 15.04 $ 12.86
========== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) .07 (.06) (.10) (.14) (.12) (.04)
Net realized and
unrealized gain (loss) 1.05 3.74 (1.68) (3.78) 2.56 2.22
---------- -------- -------- -------- -------- --------
Total from investment
operations 1.12 3.68 (1.78) (3.92) 2.44 2.18
---------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income - - - (.20) (.12) -
Net realized gain - (.09) (.59) (.33) (.11) -
---------- -------- -------- -------- -------- --------
Total distributions - (.09) (.59) (.53) (.23) -
---------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 15.14 $ 14.02 $ 10.43 $ 12.80 $ 17.25 $ 15.04
========== ======== ======== ======== ======== ========
Total Return(b) 7.99%(c) 35.62% (14.77)% (23.25)% 16.34% 16.95%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .51%*(c) 1.04% .89% 1.00% 1.00% 1.00%
Expenses, excluding expense
reductions .91%*(c) 2.10% 1.89% 1.98% 1.93% 1.50%
Net investment income (loss) .50%(c) (.52)% (.86)% (.97)% (.70)% (.84)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 30,226 $ 28,970 $ 24,690 $ 35,395 $ 44,977 $ 34,667
Portfolio turnover rate 2.14% 2.47% 1.75% 15.34% 1.54% 1.67%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
* Does not include expenses of the underlying funds in which the Fund invests.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Not annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
TO
4/30/2004
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
=============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations
Net investment income(b) .06
Net realized and unrealized loss (.19)
-------------
Total from investment operations (.13)
-------------
NET ASSET VALUE, END OF PERIOD $ 10.02
=============
Total Return(c) 1.50%(d)(e)
Total Return(c) (1.28)%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .67%(d)
Expenses, excluding expense reductions 1.34%(d)
Net investment income .60%(d)
<Caption>
12/15/2003(a)
TO
4/30/2004
SUPPLEMENTAL DATA: (UNAUDITED)
- -----------------------------------------------------------------
Net assets, end of period (000) $ 35,434
Portfolio turnover rate 57.66%
- -----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
TO
4/30/2004
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
=============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations
Net investment income(b) .05
Net realized and unrealized loss (.21)
-------------
Total from investment operations (.16)
-------------
NET ASSET VALUE, END OF PERIOD $ 9.99
=============
Total Return(c) 1.50%(d)(e)
Total Return(c) (1.58)%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .92%(d)
Expenses, excluding expense reductions 1.59%(d)
Net investment income .35%(d)
<Caption>
12/15/2003(a)
TO
4/30/2004
SUPPLEMENTAL DATA: (UNAUDITED)
- -----------------------------------------------------------------
Net assets, end of period (000) $ 1,764
Portfolio turnover rate 57.66%
- -----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
TO
4/30/2004
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
=============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations
Net investment income(b) .04
Net realized and unrealized loss (.19)
-------------
Total from investment operations (.15)
-------------
NET ASSET VALUE, END OF PERIOD $ 10.00
=============
Total Return(c) 1.50%(d)(e)
Total Return(c) (1.48)%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .92%(d)
Expenses, excluding expense reductions 1.59%(d)
Net investment income .35%(d)
<Caption>
12/15/2003(a)
TO
4/30/2004
SUPPLEMENTAL DATA: (UNAUDITED)
- -----------------------------------------------------------------
Net assets, end of period (000) $ 5,841
Portfolio turnover rate 57.66%
- -----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
TO
4/30/2004
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
=============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations
Net investment income(b) .03
Net realized and unrealized loss (.17)
-------------
Total from investment operations (.14)
-------------
NET ASSET VALUE, END OF PERIOD $ 10.01
=============
Total Return(c) 1.50%(d)(e)
Total Return(c) (1.38)%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .71%(d)
Expenses, excluding expense reductions 1.38%(d)
Net investment income .56%(d)
<Caption>
12/15/2003(a)
TO
4/30/2004
SUPPLEMENTAL DATA: (UNAUDITED)
- -----------------------------------------------------------------
Net assets, end of period (000) $ 10
Portfolio turnover rate 57.66%
- -----------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL CORE EQUITY FUND
<Table>
<Caption>
12/15/2003(a)
TO
4/30/2004
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
=============
Unrealized appreciation on investments .15
-------------
NET ASSET VALUE ON SEC EFFECTIVE DATE $ 10.15
=============
Investment operations
Net investment income(b) .05
Net realized and unrealized loss (.17)
-------------
Total from investment operations (.12)
-------------
NET ASSET VALUE, END OF PERIOD $ 10.03
=============
Total Return(c) 1.50%(d)(e)
Total Return(c) (1.18)%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .54%(d)
Expenses, excluding expense reductions 1.21%(d)
Net investment income .73%(d)
<Caption>
12/15/2003(a)
TO
4/30/2004
SUPPLEMENTAL DATA: (UNAUDITED)
- -----------------------------------------------------------------
Net assets, end of period (000) $ 747
Portfolio turnover rate 57.66%
- -----------------------------------------------------------------
</Table>
(a) Commencement of investment operations is December 15, 2003; SEC effective
date is December 31, 2003; date shares first became available to the public
is January 2, 2004.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Total return for the period 12/15/2003 through 12/31/2003.
(f) Total return for the period 12/31/2003 through 4/30/2004.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.41 $ 6.29 $ 7.78 $ 14.48 $ 13.90 $ 12.39
======== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) .02 .08 .03 (.06) (.08) .07
Net realized and
unrealized gain (loss) 1.28 2.09 (1.52) (6.56) 1.54 1.55
-------- -------- -------- -------- -------- --------
Total from investment
operations 1.30 2.17 (1.49) (6.62) 1.46 1.62
-------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income (.15) (.05) - - (.06) (.09)
Net realized gain - - - (.08) (.82) (.02)
-------- -------- -------- -------- -------- --------
Total distributions (.15) (.05) - (.08) (.88) (.11)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.56 $ 8.41 $ 6.29 $ 7.78 $ 14.48 $ 13.90
======== ======== ======== ======== ======== ========
Total Return(b) 15.71%(d) 35.07% (19.16)% (45.92)% 10.97% 13.16%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .92%(d) 2.11% 1.89% 2.07% 1.80% 1.51%
Expenses, excluding expense
reductions .92%(d) 2.11% 1.89% 2.08% 1.80% 1.51%
Net investment income (loss) .23%(d) 1.11% .50% (.55)% (.53)% .52%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 68,760 $ 55,230 $ 44,975 $ 71,591 $ 135,701 $ 104,885
Portfolio turnover rate 39.59% 72.36% 82.38% 65.26% 35.14% 75.15%
==================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.20 $ 6.13 $ 7.65 $ 14.31 $ 13.75 $ 12.28
======== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) (.01) .03 (.02) (.11) (.17) (.02)
Net realized and
unrealized gain (loss) 1.24 2.05 (1.50) (6.47) 1.55 1.53
-------- -------- -------- -------- -------- --------
Total from investment
operations 1.23 2.08 (1.52) (6.58) 1.38 1.51
-------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income (.09) (.01) - - -(e) (.02)
Net realized gain - - - (.08) (.82) (.02)
-------- -------- -------- -------- -------- --------
Total distributions (.09) (.01) - (.08) (.82) (.04)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.34 $ 8.20 $ 6.13 $ 7.65 $ 14.31 $ 13.75
======== ======== ======== ======== ======== ========
Total Return(b) 15.24%(d) 33.89% (19.87)% (46.19)% 10.42% 12.31%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.23%(d) 2.73% 2.69% 2.59% 2.35% 2.19%
Expenses, excluding expense
reductions 1.23%(d) 2.73% 2.69% 2.60% 2.36% 2.19%
Net investment income (loss) (.12)%(d) .49% (.30)% (1.07)% (1.09)% (.16)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 21,820 $ 17,978 $ 13,174 $ 17,743 $ 33,124 $ 22,928
Portfolio turnover rate 39.59% 72.36% 82.38% 65.26% 35.14% 75.15%
==================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.19 $ 6.12 $ 7.61 $ 14.30 $ 13.75 $ 12.28
======== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) (.01) .07 -(e) (.13) (.17) (.02)
Net realized and
unrealized gain (loss) 1.24 2.04 (1.49) (6.48) 1.54 1.53
-------- -------- -------- -------- -------- --------
Total from investment
operations 1.23 2.11 (1.49) (6.61) 1.37 1.51
-------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income (.13) (.04) - - -(e) (.02)
Net realized gain - - - (.08) (.82) (.02)
-------- -------- -------- -------- -------- --------
Total distributions (.13) (.04) - (.08) (.82) (.04)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.29 $ 8.19 $ 6.12 $ 7.61 $ 14.30 $ 13.75
======== ======== ======== ======== ======== ========
Total Return(b) 15.24%(d) 34.67% (19.58)% (46.43)% 10.35% 12.31%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.23%(d) 2.73% 2.36% 2.83% 2.35% 2.19%
Expenses, excluding expense
reductions 1.23%(d) 2.73% 2.36% 2.84% 2.36% 2.19%
Net investment income (loss) (.12)%(d) .99% .03% (1.32)% (1.10)% (.15)%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 12,401 $ 10,323 $ 7,823 $ 11,399 $ 25,546 $ 20,111
Portfolio turnover rate 39.59% 72.36% 82.38% 65.26% 35.14% 75.15%
==================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 3/9/1999(c)
4/30/2004 ----------------------------------------------- TO
(UNAUDITED) 2003 2002 2001 2000 10/31/1999
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.47 $ 6.31 $ 7.82 $ 14.51 $ 13.91 $ 12.70
======== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) .02 .10 .03 (.06) (.08) .08
Net realized and
unrealized gain (loss) 1.28 2.10 (1.54) (6.55) 1.55 1.13
-------- -------- -------- -------- -------- --------
Total from investment
operations 1.30 2.20 (1.51) (6.61) 1.47 1.21
-------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income (.12) (.04) - - (.05) -
Net realized gain - - - (.08) (.82) -
-------- -------- -------- -------- -------- --------
Total distributions (.12) (.04) - (.08) (.87) -
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.65 $ 8.47 $ 6.31 $ 7.82 $ 14.51 $ 13.91
======== ======== ======== ======== ======== ========
Total Return(b) 15.65%(d) 35.17% (19.31)% (45.75)% 11.03% 9.53%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .94%(d)+ 2.18%+ 2.14% 2.04% 1.80% .98%(d)
Expenses, excluding expense
reductions .94%(d)+ 2.18%+ 2.14% 2.05% 1.80% .98%(d)
Net investment income (loss) .17%(d)+ 1.00%+ .25% (.55)% (.51)% .60%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 3/9/1999(c)
4/30/2004 ----------------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 10/31/1999
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 1 $ 1 $ 1 $ 1 $ 1 $ 1
Portfolio turnover rate 39.59% 72.36% 82.38% 65.26% 35.14% 75.15%
==================================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
50
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.53 $ 6.39 $ 7.90 $ 14.61 $ 14.00 $ 12.41
======== ======== ======== ======== ======== ========
Investment operations
Net investment income (loss)(a) .03 .10 .06 (.01) (.01) .12
Net realized and
unrealized gain (loss) 1.30 2.12 (1.57) (6.62) 1.54 1.56
-------- -------- -------- -------- -------- --------
Total from investment
operations 1.33 2.22 (1.51) (6.63) 1.53 1.68
-------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income (.16) (.08) - - (.10) (.07)
Net realized gain - - - (.08) (.82) (.02)
-------- -------- -------- -------- -------- --------
Total distributions (.16) (.08) - (.08) (.92) (.09)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.70 $ 8.53 $ 6.39 $ 7.90 $ 14.61 $ 14.00
======== ======== ======== ======== ======== ========
Total Return(b) 15.90%(d) 35.22% (19.11)% (45.58)% 11.45% 13.65%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .73%(d) 1.74% 1.69% 1.59% 1.35% 1.20%
Expenses, excluding expense
reductions .73%(d) 1.74% 1.69% 1.60% 1.37% 1.20%
Net investment income (loss) .38%(d) 1.47% .70% (.06)% (.09)% .86%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2004 ------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 59,589 $ 53,237 $ 45,748 $ 60,227 $ 79,833 $ 64,810
Portfolio turnover rate 39.59% 72.36% 82.38% 65.26% 35.14% 75.15%
==================================================================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
51
<Page>
FINANCIAL HIGHLIGHTS
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
(UNAUDITED) 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.73 $ 10.00
============ ============
Unrealized depreciation on investments (.10)
------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
============
Investment operations
Net investment income(b) .04 .03
Net realized and unrealized gain .69 .80
------------ ------------
Total from investment operations .73 .83
------------ ------------
Distributions to shareholders from net investment income (.07) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 11.39 $ 10.73
============ ============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 6.89%(d) 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .48%(d) .33%(d)+
Expenses, excluding expenses assumed 1.82%(d) 7.12%(d)+
Net investment income .37%(d) .27%(d)+
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2003
- ----------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 9,377 $ 2,271
Portfolio turnover rate 12.27% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
(UNAUDITED) 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.68 $ 10.00
============ ============
Unrealized depreciation on investments (.11)
------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.89
============
Investment operations
Net investment income(b) .01 -(g)
Net realized and unrealized gain .68 .79
------------ ------------
Total from investment operations .69 .79
------------ ------------
Distributions to shareholders from net investment income (.07) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 11.30 $ 10.68
============ ============
Total Return(c) (1.10)%(d)(e)
Total Return(c) 6.53%(d) 7.99%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense assumed .80%(d) .56%(d)+
Expenses, excluding expense assumed 2.14%(d) 7.35%(d)+
Net investment income .05%(d) .04%(d)+
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2003
- ----------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 882 $ 111
Portfolio turnover rate 12.27% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
53
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
(UNAUDITED) 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.69 $ 10.00
============ ============
Unrealized depreciation on investments (.11)
------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.89
============
Investment operations
Net investment income(b) .01 -(g)
Net realized and unrealized gain .69 .80
------------ ------------
Total from investment operations .70 .80
------------ ------------
Distributions to shareholders from net investment income (.07) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 11.32 $ 10.69
============ ============
Total Return(c) (1.10)%(d)(e)
Total Return(c) 6.59%(d) 8.09%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense assumed .80%(d) .56%(d)+
Expenses, excluding expense assumed 2.14%(d) 7.35%(d)+
Net investment income .05%(d) .04%(d)+
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2003
- ----------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 570 $ 148
Portfolio turnover rate 12.27% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
54
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
(UNAUDITED) 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.73 $ 10.00
============ ============
Unrealized depreciation on investments (.10)
------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
============
Investment operations
Net investment income(b) .04 .02
Net realized and unrealized gain .69 .81
------------ ------------
Total from investment operations .73 .83
------------ ------------
Distributions to shareholders from net investment income (.07) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 11.39 $ 10.73
============ ============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 6.81%(d) 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .53%(d) .37%(d)+
Expenses, excluding expenses assumed 1.87%(d) 7.16%(d)+
Net investment income .35%(d) .23%(d)+
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2003
- ----------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 12 $ 11
Portfolio turnover rate 12.27% 8.87%
==============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
(UNAUDITED) 10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.75 $ 10.00
============ ============
Unrealized depreciation on investments (.10)
------------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
============
Investment operations
Net investment income(b) .07 .04
Net realized and unrealized gain .68 .81
------------ ------------
Total from investment operations .75 .85
------------ ------------
Distributions to shareholders from net investment income (.08) -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 11.42 $ 10.75
============ ============
Total Return(c) (1.00)%(d)(e)
Total Return(c) 7.05%(d) 8.59%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .30%(d) .21%(d)+
Expenses, excluding expense assumed 1.64%(d) 7.00%(d)+
Net investment income .60%(d) .39%(d)+
<Caption>
SIX MONTHS
ENDED 6/23/2003(a)
4/30/2004 TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2003
- ----------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 502 $ 11
Portfolio turnover rate 12.27% 8.87%
==============================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Commencement of investment operations; SEC effective date and date shares
first became available to the public is June 30, 2003.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Total return for the period 6/23/2003 through 6/30/2003.
(f) Total return for the period 6/30/2003 through 10/31/2003.
(g) Amount is less than $.01
SEE NOTES TO FINANCIAL STATEMENTS.
56
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as a diversified open-end management investment
company organized as a Delaware business trust on February 26, 1993. The Trust
currently consists of seven funds. This report covers the following five funds
and their respective classes (separately, a "Fund" and collectively, the
"Funds"): Lord Abbett All Value Fund ("All Value Fund"), Class A, B, C, P and Y
shares; Alpha Series ("Alpha Fund"), Class A, B and C shares; Lord Abbett
International Opportunities Fund ("International Opportunities Fund"), Class A,
B, C, P and Y shares; Lord Abbett Large-Cap Value Fund ("Large-Cap Value Fund"),
Class A, B, C, P, and Y shares, and Lord Abbett International Core Equity Fund
("International Core Equity Fund"), Class A, B, C, P and Y shares. International
Core Equity Fund commenced investment operations on December 15, 2003 and was
capitalized with a $5,040,000 investment from Lord, Abbett & Co. LLC ("Lord
Abbett"). Shares first became available to the public on January 2, 2004.
All Value Fund's investment objective is long-term growth of capital and income
without excessive fluctuations in market value. Alpha Fund's, International
Opportunities Fund's, and International Core Equity Fund's investment objective
is long-term capital appreciation. Alpha Fund invests in other funds
("Underlying Funds") managed by Lord Abbett. Large-Cap Value Fund's investment
objective is to seek a high level of total return.
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the Net Asset Value ("NAV") for Class A shares.
There is no front-end sales charge in the case of the Class B and C shares,
although there may be a contingent deferred sales charge ("CDSC") as follows:
certain redemptions of Class A shares made within 24 months following any
purchases made without a sales charge; Class B shares redeemed before the sixth
anniversary of purchase; and Class C shares redeemed before the first
anniversary of purchase. Class B shares will convert to Class A shares on the
eighth anniversary of the original purchase of Class B shares.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
certain estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sales price or official
closing price on the exchange or system on which they are principally
traded. Unlisted equity securities are valued at last quoted sales price or,
if no sales price is available, at the mean between the most recently quoted
bid and asked prices. Fixed income securities are valued at the mean between
the bid and asked prices on the basis of prices supplied by independent
pricing services, which reflect broker/dealer supplied valuations and
electronic data processing techniques. Exchange-traded options and futures
contracts are valued at the last sales price in the market where they are
principally traded. If no sale has occurred, the mean between the most
recently quoted bid and asked prices is used. Securities for which market
quotations are not readily available are
57
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
valued at fair value as determined by management and approved in good faith
by the Board of Trustees. Short-term securities with 60 days or less
remaining to maturity are valued using the amortized cost method, which
approximates current market value.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date that
the securities are purchased or sold (trade date). Realized gains and losses
on sales of portfolio securities are calculated using the identified-cost
method. Realized and unrealized gains or losses are allocated to each class
of shares based upon the relative proportion of net assets at the beginning
of the day.
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis. Discounts are accreted and
premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable net investment
income and capital gains to its shareholders. Therefore, no federal income
tax provision is required.
(e) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are allocated to the funds within the Trust on a pro rata
basis. Expenses, excluding class specific expenses, are allocated to each
class of shares based upon the relative proportion of net assets at the
beginning of the day. Class A, B, C and P shares bear all expenses and fees
relating to their respective 12b-1 Distribution Plans.
(f) FOREIGN TRANSACTIONS-The books and records of International Opportunities
Fund and International Core Equity Fund are maintained in U.S. dollars and
transactions denominated in foreign currencies are recorded in the Fund's
records at the rate prevailing when earned or recorded. Asset and liability
accounts that are denominated in foreign currencies are adjusted to reflect
current exchange rates. The resultant exchange gains and losses are included
as net realized gain(loss) on investments and foreign currency related
transactions on the Statements of Operations. The Funds do not isolate that
portion of the results of operations arising as a result of changes in the
foreign exchange rates from the changes in market prices of the securities.
(g) OFFERING COSTS-Lord Abbett incurred initial offering costs on behalf of
Large-Cap Value Fund and International Core Equity Fund which will be
reimbursed by the Funds in the full amount thereof. Such expenses were
deferred and are being amortized on the straight-line method over a period
of one year from the commencement of investment operations.
(h) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS-International Opportunities Fund
and International Core Equity Fund may enter into forward foreign currency
exchange contracts in order to reduce their exposure to changes in foreign
currency exchange rates on their foreign portfolio holdings and to lock in
the U.S. dollar cost of firm purchase and sale commitments for securities
denominated in foreign currencies. A forward foreign currency exchange
contract is a commitment to purchase or sell a foreign currency at a future
date at a negotiated rate. The contracts are valued daily at forward
exchange rates and any unrealized gain or loss is included in net unrealized
appreciation/depreciation on investments and translation of assets and
liabilities denominated in foreign currencies on the Statements of
Operations. The gain or loss arising from the difference between the
58
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
U.S. dollar cost of the original contract and the value of the foreign
currency in U.S. dollars upon closing of such contracts is included in net
realized gain or loss on investments and foreign currency related
transactions on the Statements of Operations. At April 30, 2004, there are
no forward foreign currency exchange contracts outstanding.
(i) SECURITIES LENDING-Each Fund may lend securities to member banks of the
Federal Reserve System and to registered broker/dealers approved by the
Fund. The loans are collateralized at all times by cash and/or U.S. Treasury
securities in an amount at least equal to 102% of the market value of
domestic securities loaned (105% in the case of foreign securities loaned).
The dividend and interest income earned on the securities loaned is
accounted for in the same manner as other dividend and interest income.
Lending portfolio securities could result in a loss or delay in recovering
the Fund's securities if the borrower defaults.
(j) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
Fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed-upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash, U.S. Government securities or U.S.
government sponsored enterprises securities having a value equal to, or in
excess of, the value of the repurchase agreement. If the seller of the
agreement defaults on its obligation to repurchase the underlying securities
at a time when the value of these securities has declined, the Fund may
incur a loss upon disposition of the securities.
(k) WHEN-ISSUED OR FORWARD TRANSACTIONS-Each Fund may purchase portfolio
securities on a when-issued or forward basis. When-issued or forward
transactions involve a commitment by the Fund to purchase securities, with
payment and delivery ("settlement") to take place in the future, in order to
secure what is considered to be an advantageous price at the time of
entering the transaction. During the period between purchase and settlement,
the value of the securities will fluctuate and assets consisting of cash
and/or marketable securities (normally short-term U.S. Government
Securities) marked to market daily in an amount sufficient to make payment
at settlement will be segregated at a Fund's custodian in order to pay for
the commitment. At the time each Fund makes the commitment to purchase a
security on a when-issued basis, it will record the transaction and reflect
the liability for the purchase and the value of the security in determining
its net asset value. Each Fund, generally, has the ability to close out a
purchase obligation on or before the settlement date rather than take
delivery of the security. Under no circumstances will settlement for such
securities take place more than 120 days after the purchase date.
(l) REDEMPTION FEES-International Opportunities Fund and International Core
Equity Fund may impose a 2.00% redemption fee of the NAV of the shares being
redeemed or exchanged within ten business days or less after such shares
were acquired. This does not include shares acquired through the
reinvestment of dividends or other distributions or certain automatic or
systematic investment, exchange or withdrawal plans. The Funds will use the
"last-in, first-out" method to determine the holding period. The fees are
retained by each Fund and are included as paid in capital on the Statements
of Asset and Liabilities. During the six months ended April 30, 2004,
redemption fees were received as follows:
<Table>
<Caption>
FUND REDEMPTION FEES
------------------------------------------------------
International Core Equity Fund $ 5,871
International Opportunities Fund 410
</Table>
59
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord Abbett pursuant to which Lord
Abbett supplies the Trust with investment management services and executive and
other personnel, pays the remuneration of officers, provides office space and
pays for ordinary and necessary office and clerical expenses relating to
research and statistical work and supervision of the Trust's investment
portfolios.
The management fee is based on average daily net assets at the following annual
rates:
<Table>
<Caption>
MANAGEMENT VOLUNTARY
FEES WAIVER
- ---------------------------------------------------------------------------
All Value Fund .58%(1) -
Alpha Fund .10%(2) .10%(2)
International Core Equity Fund .75%(3) -
International Opportunities Fund .75% -
Large-Cap Value Fund .40%(4) -
</Table>
(1) The management fee for All Value Fund is based on average daily net assets
at the following annual rates:
<Table>
- -------------------------------
First $200 million .75%
Next $300 million .65%
Over $500 million .50%
</Table>
(2) Rate change effective March 1, 2004. Prior to March 1, 2004, the management
fee and voluntary waiver rates were .50% and .50% of average daily net
assets, respectively.
(3) The management fee for International Core Equity Fund is based on average
daily net assets at the following annual rates:
<Table>
- -------------------------------
First $1 billion .75%
Next $1 billion .70%
Over $2 billion .65%
</Table>
(4) The management fee for Large-Cap Value Fund is based on average daily net
assets at the following annual rates:
<Table>
- -------------------------------
First $2 billion .40%
Next $3 billion .375%
Over $5 billion .35%
</Table>
Lord Abbett may stop waiving all or a portion of its management fee at any time.
Lord Abbett is currently reimbursing expenses for International Core Equity Fund
to the extent necessary to maintain total operating expenses for Class A at
1.75%, for Classes B and C at 2.40%, Class P at 1.85%, and Class Y at 1.40% of
average daily net assets. Lord Abbett may stop reimbursing such expenses at any
time.
Lord Abbett is currently reimbursing expenses for Large-Cap Value Fund to the
extent necessary to maintain total operating expenses for Class A at .95%, for
Classes B and C at 1.60%, Class P at 1.05%, and Class Y at .60% of average daily
net assets. Lord Abbett may stop reimbursing such expenses at any time.
Lord Abbett provides certain administrative services to the Funds pursuant to an
Administrative Services Agreement at an annual rate of .04% of each Fund's
average daily net assets. Effective March 1, 2004, this fee is no longer charged
to Alpha Fund.
60
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
Alpha Fund has entered into a Servicing Agreement with the Underlying Funds
pursuant to which each Underlying Fund will pay a portion of the expenses
(excluding management fee, administration fees and distribution and service
fees) of Alpha Fund in proportion to the average daily value of total Underlying
Fund shares owned by Alpha Fund.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan with respect to one or more classes of
shares pursuant to Rule 12b-1 of the Act, which provides for the payment of
ongoing distribution and service fees to Lord Abbett Distributor LLC
("Distributor"), an affiliate of Lord Abbett. The fees are accrued daily at
annual rates based upon average daily net assets as follows:
<Table>
<Caption>
FEE CLASS A CLASS B CLASS C CLASS P(2)
- -----------------------------------------------------------------
Service .25% .25% .25% .20%
Distribution .10%(1) .75% .75% .25%
</Table>
(1) In addition, each Fund pays a one-time distribution fee of up to 1% on
certain qualifying purchases, which is generally amortized over a two-year
period. All Value Fund, Alpha Fund and International Opportunities Fund
collected $6,376, $275, and $1,594, respectively, of CDSCs for the six
months ended April 30, 2004.
(2) All Value Fund, International Opportunities Fund, Large-Cap Value Fund and
International Core Equity Fund only.
Class Y does not have a distribution plan.
COMMISSIONS
Distributor received the following commissions on sales of Class A
shares of the Funds, after concessions were paid to authorized dealers, for the
six months ended April 30, 2004:
<Table>
<Caption>
DISTRIBUTOR DEALERS'
COMMISSIONS CONCESSIONS
- --------------------------------------------------------------------------------
All Value Fund $ 1,631,130 $ 8,888,660
Alpha Fund 29,182 160,111
International Core Equity Fund 85,614 465,307
International Opportunities Fund 39,403 210,880
Large-Cap Value Fund 11,863 65,107
</Table>
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARD
Dividends from net investment income, if any, are declared and paid
semi-annually for All Value Fund, and annually for Alpha Fund, International
Core Equity Fund, International Opportunities Fund and Large-Cap Value Fund.
Taxable net realized gains from investment transactions, reduced by capital loss
carryforwards, if any, are declared and distributed to shareholders at least
annually. The capital loss carryforward amount is available to offset future net
capital gains. Dividends and distributions to shareholders are recorded on the
ex-dividend date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined in accordance with federal
income tax regulations which may differ from accounting principles generally
accepted in the United States of America. These book/tax differences are either
considered temporary or permanent in nature. To the extent these differences are
permanent in nature, such amounts are reclassified within the components of net
assets based on their federal tax basis treatment; temporary differences do not
require reclassification. Dividends and distributions which exceed net
investment income and net realized capital gains for tax purposes are reported
as distributions of paid-in capital.
61
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
The tax character of distributions paid during the six months ended April 30,
2004 and the fiscal year ended October 31, 2003 are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- ----------------------------------------------------------------------------------------------------
4/30/2004 4/30/2004
(UNAUDITED) 10/31/2003 (UNAUDITED) 10/31/2003
- ----------------------------------------------------------------------------------------------------
Disitributions paid from:
Ordinary Income $ 564,403 $ - $ - $ -
Net long-term capital gains 8,512,788 7,892,871 - 976,162
- ----------------------------------------------------------------------------------------------------
Total distributions paid $ 9,077,191 $ 7,892,871 $ - $ 976,162
====================================================================================================
<Caption>
INTERNATIONAL OPPORTUNITIES FUND LARGE-CAP VALUE FUND
- ----------------------------------------------------------------------------------------------------
4/30/2004 4/30/2004
(UNAUDITED) 10/31/2003 (UNAUDITED) 10/31/2003
- ----------------------------------------------------------------------------------------------------
Disitributions paid from:
Ordinary Income $ 2,332,398 $ 1,016,534 $ 21,490 $ -
Net long-term capital gains - - - -
- ----------------------------------------------------------------------------------------------------
Total distributions paid $ 2,332,398 $ 1,016,534 $ 21,490 $ -
====================================================================================================
</Table>
As of October 31, 2003, the capital loss carryforwards along with the related
expiration dates were as follows:
<Table>
<Caption>
2009 2010 2011 TOTAL
- ----------------------------------------------------------------------------------------------------
Alpha Fund $ - $ - $ 9,986,380 $ 9,986,380
International Oppourtunities Fund 86,405,958 37,966,698 7,911,942 132,284,598
</Table>
As of April 30, 2004, the aggregate unrealized security gains and losses based
on cost for U.S. federal income tax purposes are as follows:
<Table>
<Caption>
INTERNATIONAL
ALL VALUE FUND ALPHA FUND CORE EQUITY FUND
- ---------------------------------------------------------------------------------------------------
Tax cost $ 1,266,198,287 $ 142,807,873 $ 44,198,380
- ---------------------------------------------------------------------------------------------------
Gross unrealized gain 153,190,026 16,534,140 749,871
Gross unrealized loss (19,601,280) (16,488,553) (1,742,969)
- ---------------------------------------------------------------------------------------------------
Net unrealized security gain (loss) $ 133,588,746 $ 45,587 $ (993,098)
===================================================================================================
<Caption>
INTERNATIONAL OPPORTUNITIES FUND LARGE-CAP VALUE FUND
- ---------------------------------------------------------------------------------------------------
Tax cost $ 162,491,792 $ 11,318,299
- ---------------------------------------------------------------------------------------------------
Gross unrealized gain 40,451,285 359,831
Gross unrealized loss (3,260,360) (315,394)
- ---------------------------------------------------------------------------------------------------
Net unrealized security gain (loss) $ 37,190,925 $ 44,437
===================================================================================================
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
5. PORTFOLIO SECURITIES TRANSACTIONS
As of April 30, 2004, the value of securities loaned for International
Opportunities Fund was $41,070,341. These loans are collateralized by cash of
$42,137,742, which is invested in a restricted money market account, and U.S.
Treasury Securities with a value of $1,065,750 for a total of $43,203,492. In
connection with the securities lending program, State Street Bank and Trust
Company ("SSB") received fees of $38,025 for the six months ended April 30,
2004, which are netted against securities lending income on the Statement of
Operations.
62
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
Purchases and sales of investment securities (other than short-term investments)
for the six months ended April 30, 2004 are as follows:
<Table>
<Caption>
PURCHASES SALES
- ----------------------------------------------------------------------------
All Value Fund $ 618,251,428 $ 83,115,148
Alpha Fund 3,608,897 3,000,000
International Core Equity Fund 57,649,643 14,750,167
International Opportunities Fund 63,586,352 56,151,692
Large-Cap Value Fund 8,994,117 727,147
</Table>
There were no purchases or sales of U.S. Government securities for the six
months ended April 30, 2004.
6. TRUSTEES' REMUNERATION
The Trust's officers and the one Trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities.
Outside Trustees' fees are allocated among all Lord Abbett-sponsored funds based
on the net assets of each fund. There is an equity based plan available to all
outside Trustees under which outside Trustees must defer receipt of a portion
of, and may elect to defer receipt of an additional portion of Trustees' fees.
The deferred amounts are treated as though equivalent dollar amounts have been
invested proportionately in the funds. Such amounts and earnings accrued thereon
are included in Trustees' fees on the Statements of Operations and in Trustees'
fees payable on the Statements of Assets and Liabilities and are not deductible
for U.S. federal income tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of the Funds' expenses.
8. LINE OF CREDIT
All Value Fund, International Core Equity Fund, International Opportunities
Fund, and Large-Cap Value Fund along with certain other funds managed by Lord
Abbett, have available a $200,000,000 unsecured revolving credit facility
("Facility") from a consortium of banks, to be used for temporary or emergency
purposes as an additional source of liquidity to fund redemptions of investor
shares. Any borrowings under this Facility will bear interest at current market
rates as defined in the agreement. The fee for this Facility is an annual rate
of .09%. At April 30, 2004, there were no loans outstanding pursuant to this
Facility nor was the Facility utilized at any time during the six months then
ended.
9. CUSTODIAN AND ACCOUNTING AGENT
SSB is the Trust's custodian and accounting agent. SSB performs custodian
functions and accounting and recordkeeping functions relating to portfolio
transactions and calculating each Fund's NAV.
63
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
10. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
investing in equity securities. The value of an investment will fluctuate in
response to movements in the stock market in general, and to the changing
prospects of individual companies in which the Funds invest.
Large company value stocks, in which Large-Cap Value Fund and All Value Fund
invest, may perform differently than the market as a whole and other types of
stocks, such as small company stocks and growth stocks. This is because
different types of stocks tend to shift in and out of favor depending on market
and economic conditions. The market may fail to recognize the intrinsic value of
a particular value stock for a long time. In addition, if the Fund's assessment
of a company's value or prospects for exceeding earnings expectations or market
conditions is wrong, the Fund could suffer losses or produce poor performance
relative to other funds, even in a rising market.
In addition, although All Value Fund invests a significant portion of its assets
in large-cap company stocks, it also invests in mid-cap and small-cap company
stocks which may be more volatile and less liquid than large-cap stocks.
International Core Equity Fund is subject to the risks of investing in foreign
securities and in the securities of large foreign companies. Foreign securities
may pose greater risks than domestic securities, including greater price
fluctuations and higher transaction costs. Foreign investments also may be
affected by changes in currency rates or currency controls.
International Opportunities Fund is also subject to the risks of investing in
foreign securities and in the securities of small-cap companies. Foreign
securities may pose greater risks than domestic securities, including greater
price fluctuations and higher transaction costs. Foreign investments also may be
affected by changes in currency rates or currency controls. Investing in
small-cap companies generally involves greater risks than investing in the
stocks of large-cap companies, including more volatility and less liquidity.
Alpha Fund's investments are concentrated in the Underlying Funds and, as a
result, the Fund's performance is directly related to their performance and
subject to their risks, including those associated with foreign investments and
small-cap companies.
These factors can affect the Funds' performance.
11. SUMMARY OF CAPITAL TRANSACTIONS
The Trust has an unlimited number of authorized shares of beneficial interest.
ALL VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
- ---------------------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 46,847,824 $ 493,184,868 27,768,543 $ 249,660,107
Reinvestment of distributions 551,403 5,492,183 479,325 3,949,635
Shares reaquired (3,596,996) (38,248,532) (5,801,553) (49,453,926)
- ---------------------------------------------------------------------------------------------------------------
Increase 43,802,231 $ 460,428,519 22,446,315 $ 204,155,816
- ---------------------------------------------------------------------------------------------------------------
</Table>
64
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
<Table>
<Caption>
CLASS B SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 4,707,506 $ 48,723,712 5,556,058 $ 48,455,739
Reinvestment of distributions 89,056 865,628 111,869 903,903
Shares reaquired (779,481) (8,067,024) (1,192,893) (10,010,179)
- ---------------------------------------------------------------------------------------------------------------
Increase 4,017,081 $ 41,522,316 4,475,034 $ 39,349,463
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS C SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 10,003,973 $ 102,944,040 9,254,889 $ 81,004,246
Reinvestment of distributions 150,630 1,459,610 246,867 1,991,155
Shares reaquired (1,432,311) (14,751,558) (2,717,580) (22,518,068)
- ---------------------------------------------------------------------------------------------------------------
Increase 8,722,292 $ 89,652,092 6,784,176 $ 60,477,333
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS P SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 142,711 $ 1,518,251 109,104 $ 952,942
Reinvestment of distributions 1,424 14,132 1,017 8,336
Shares reaquired (4,684) (50,440) (25,508) (221,807)
- ---------------------------------------------------------------------------------------------------------------
Increase 139,451 $ 1,481,943 84,613 $ 739,471
- ---------------------------------------------------------------------------------------------------------------
<Caption>
PERIOD ENDED
OCTOBER 31, 2003*
- ---------------------------------------------------------------------------------------------------------------
CLASS Y SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold - $ - 1,277 $ 10,000
Reinvestment of distributions 16 159 - -
- ---------------------------------------------------------------------------------------------------------------
Increase 16 $ 159 1,277 $ 10,000
- ---------------------------------------------------------------------------------------------------------------
</Table>
*For the period March 31, 2003 (commencement of offering of class shares) to
October 31, 2003.
ALPHA FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
- ---------------------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 510,049 $ 7,783,225 1,246,461 $ 14,036,440
Reinvestment of distributions - - 40,092 423,777
Shares reaquired (385,696) (5,919,749) (1,949,873) (21,553,883)
- ---------------------------------------------------------------------------------------------------------------
Increase (decrease) 124,353 $ 1,863,476 (663,320) $ (7,093,666)
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS B SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 143,698 $ 2,153,592 263,430 $ 2,978,159
Reinvestment of distributions - - 21,207 219,918
Shares reaquired (299,195) (4,486,041) (685,817) (7,733,583)
- ---------------------------------------------------------------------------------------------------------------
Decrease (155,497) $ (2,332,449) (401,180) $ (4,535,506)
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS C SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 134,811 $ 2,031,189 256,016 $ 2,927,040
Reinvestment of distributions - - 14,414 149,473
Shares reaquired (204,413) (3,081,138) (572,517) (6,454,276)
- ---------------------------------------------------------------------------------------------------------------
Decrease (69,602) $ (1,049,949) (302,087) $ (3,377,763)
- ---------------------------------------------------------------------------------------------------------------
</Table>
INTERNATIONAL CORE EQUITY FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS ENDED
APRIL 30, 2004 (UNAUDITED)***
- ---------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT
- ---------------------------------------------------------------------------
Shares Sold 3,656,642 $ 37,453,501
Shares reaquired (119,975) (1,226,377)
- ---------------------------------------------------------------------------
Increase 3,536,667 $ 36,227,124
- ---------------------------------------------------------------------------
</Table>
65
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONCLUDED)
<Table>
<Caption>
CLASS B SHARES
- ---------------------------------------------------------------------------
Shares Sold 183,957 $ 1,888,423
Shares reaquired (7,384) (75,117)
- ---------------------------------------------------------------------------
Increase 176,573 $ 1,813,306
- ---------------------------------------------------------------------------
<Caption>
CLASS C SHARES
- ---------------------------------------------------------------------------
Shares Sold 588,443 $ 6,060,582
Shares reaquired (4,378) (44,556)
- ---------------------------------------------------------------------------
Increase 584,065 $ 6,016,026
- ---------------------------------------------------------------------------
<Caption>
CLASS P SHARES
- ---------------------------------------------------------------------------
Shares Sold 1,000 $ 10,000
- ---------------------------------------------------------------------------
Increase 1,000 $ 10,000
- ---------------------------------------------------------------------------
<Caption>
CLASS Y SHARES
- ---------------------------------------------------------------------------
Shares Sold 74,457 $ 760,352
- ---------------------------------------------------------------------------
Increase 74,457 $ 760,352
- ---------------------------------------------------------------------------
</Table>
***For the period December 15, 2003 (commencement of investment operations) to
April 30, 2004.
INTERNATIONAL OPPORTUNITIES FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
- ---------------------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 1,361,471 $ 12,347,729 6,041,513 $ 39,688,836
Reinvestment of distributions 115,961 950,311 58,932 367,146
Shares reaquired (847,426) (7,588,548) (6,681,759) (44,022,341)
- ---------------------------------------------------------------------------------------------------------------
Increase (decrease) 630,006 $ 5,709,492 (581,314) $ (3,966,359)
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS B SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 381,921 $ 3,387,811 537,533 $ 3,511,769
Reinvestment of distributions 24,194 194,275 1,854 11,365
Shares reaquired (261,840) (2,316,402) (497,425) (3,213,964)
- ---------------------------------------------------------------------------------------------------------------
Increase 144,275 $ 1,265,684 41,962 $ 309,170
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS C SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 252,659 $ 2,258,497 817,450 $ 5,148,118
Reinvestment of distributions 19,174 153,200 7,441 45,314
Shares reaquired (197,170) (1,775,948) (842,797) (5,298,381)
- ---------------------------------------------------------------------------------------------------------------
Increase (decrease) 74,663 $ 635,749 (17,906) $ (104,949)
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS P SHARES
- ---------------------------------------------------------------------------------------------------------------
Reinvestment of distributions 1.35 $ 11 .625 $ 4
- ---------------------------------------------------------------------------------------------------------------
Increase 1.35 $ 11 .625 $ 4
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS Y SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold - $ - 132,176 $ 800,566
Reinvestment of distributions 119,564 992,384 90,651 572,916
Shares reaquired (212,992) (2,000,000) (1,143,976) (7,166,898)
- ---------------------------------------------------------------------------------------------------------------
Decrease (93,428) $ (1,007,616) (921,149) $ (5,793,416)
- ---------------------------------------------------------------------------------------------------------------
</Table>
66
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONCLUDED)
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS ENDED PERIOD ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003**
- ---------------------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 626,253 $ 7,274,796 226,357 $ 2,290,607
Reinvestment of distributions 1,753 18,774 - -
Shares reaquired (16,470) (188,025) (14,789) (153,156)
- ---------------------------------------------------------------------------------------------------------------
Increase 611,536 $ 7,105,545 211,568 $ 2,137,451
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS B SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 70,916 $ 804,611 10,429 $ 108,006
Reinvestment of distributions 63 673 - -
Shares reaquired (3,380) (38,767) - -
- ---------------------------------------------------------------------------------------------------------------
Increase 67,599 $ 766,517 10,429 $ 108,006
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS C SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 38,275 $ 436,612 13,881 $ 143,607
Reinvestment of distributions 70 751 - -
Shares reaquired (1,842) (21,864) - -
- ---------------------------------------------------------------------------------------------------------------
Increase 36,503 $ 415,499 13,881 $ 143,607
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS P SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold - $ - 1,000 $ 10,000
Reinvestment of distributions 6.21 67 - -
- ---------------------------------------------------------------------------------------------------------------
Increase 6.21 $ 67 1,000 $ 10,000
- ---------------------------------------------------------------------------------------------------------------
<Caption>
CLASS Y SHARES
- ---------------------------------------------------------------------------------------------------------------
Shares Sold 42,955 $ 499,895 1,000 $ 10,000
Reinvestment of distributions 8 83 - -
- ---------------------------------------------------------------------------------------------------------------
Increase 42,963 $ 499,978 1,000 $ 10,000
- ---------------------------------------------------------------------------------------------------------------
</Table>
**For the period June 23, 2003 (commencement of investment operations) to
October 31, 2003.
67
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows it to send only one copy of the
Funds' Prospectus, proxy material, annual report and semi-annual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219336, Kansas City, MO 64121.
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to the Funds' portfolio securities is available without charge,
upon request, (i) by calling 888-522-2388; (ii) or on Lord Abbett's web site at
www.LordAbbett.com, and (iii) on the Securities and Exchange Commission's
("SEC") website at www.sec.gov.
SHAREHOLDER REPORTS AND QUARTERLY PORTFOLIO DISCLOSURE
The Trust will be required to file its complete schedule of portfolio holdings
with the SEC for its first and third fiscal quarters on Form N-Q for fiscal
quarters ending on or after July 9, 2004. Once filed, the Funds' Forms N-Q will
be available without charge, upon request on the SEC's website at www.sec.gov
and may be available by calling Lord Abbett at 800-821-5129; or on Lord Abbett's
website at www.LordAbbett.com. You can also obtain copies of Form N-Q by (i)
visiting the SEC's Public Reference Room in Washington, DC (information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330); (ii) sending your request and a duplicating fee to the SEC's
Public Reference Room, Washington, DC 20549-0102; or (iii) sending your request
electronically to publicinfo@sec.gov.
68
<Page>
[LORD ABBETT LOGO]
<Table>
This report when not used for the general
information of shareholders of the Fund, is to
be distributed only if preceded or accompanied Lord Abbett Securities Trust
by a current Fund Prospectus. Lord Abbett All Value Fund
Lord Abbett International Core Equity Fund
Lord Abbett Mutual Fund shares are distributed by: Lord Abbett International Opportunities Fund
LORD ABBETT DISTRIBUTOR LLC: Alpha Series LST-3-4/04
90 Hudson Street - Jersey City, New Jersey 07302-3973 Lord Abbett Large-Cap Value Fund (6/04)
</Table>
<Page>
[LORD ABBETT LOGO]
2004
SEMI-
ANNUAL
REPORT
LORD ABBETT
MICRO-CAP GROWTH FUND
MICRO-CAP VALUE FUND
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2004
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT MICRO-CAP GROWTH FUND AND
MICRO-CAP VALUE FUND
SEMI-ANNUAL REPORT
FOR THE SIX-MONTH PERIOD ENDED APRIL 30, 2004
DEAR SHAREHOLDERS: We are pleased to provide you with this six-month overview of
the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund's
strategies and performance for the six-month period ended April 30, 2004. On
this and the following pages, we discuss the major factors that influenced
performance.
Thank you for investing in Lord Abbett Mutual Funds. We value the trust that
you place in us and look forward to serving your investment needs in the years
to come.
BEST REGARDS,
/s/ Robert S. Dow
ROBERT S. DOW
CHAIRMAN
- --------------------------------------------------------------------------------
Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE REPORTING PERIOD?
A: Favorable economic news and strong U.S. equity returns during November and
December brought 2003 to a positive close. Manufacturing, inventory investment
and capital spending all showed signs of improvement. Unemployment reports were
also encouraging, as inflation and interest rates remained steady through
year-end. As a result of the tax bill and a positive macroeconomic environment,
capital spending increased, particularly in technology.
This economic growth continued into the beginning of 2004, largely due to
strong consumer and capital spending. Corporate profits rose, triggered by a
rise in industrial production. In January and February, inflation and short-term
interest rates continued to remain stable. However, somewhat disappointing
employment reports and higher energy prices weighed on consumer sentiment.
In March and April, the number of jobs increased and unemployment
stabilized. The U.S. housing market remained strong and there were improvements
in durable goods spending. But, retail sales dropped 0.5% in April after a 2%
gain in March. Meanwhile, producer prices moved higher both months (March 0.5%,
April 0.7%) driven by the higher costs of gasoline and food, suggesting an
inflationary trend and the possibility of an interest rate increase in the
coming months.
1
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT MICRO-CAP GROWTH FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned 14.4%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R)
Growth Index,(1) which returned 4.0% over the same period. Standardized Average
Annual Total Returns, which reflect performance at the maximum 5.75% sales
charge applicable to Class A share investments and include the reinvestment of
all distributions are 1 Year: 46.01% and Life of Class A Shares (May 1, 2000):
- -3.63%.
PERFORMANCE DATA QUOTED REFLECTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Strong stock selection within the technology sector was the most significant
contributor to the Fund's outperformance relative to its benchmark. The Fund
benefited from a focus on technology as companies within this sector have become
increasingly aware of the need to secure their digital content, software and
Internet access. The portfolio's investment in an online educational services
company also proved beneficial, reflecting the growing use of online classes,
particularly at the college level. Increasingly, companies are working to
harness the growing popularity of the Internet and to enhance the capture and
use of information online; the portfolio's holdings within the technology sector
reflected this trend.
Also contributing to performance were the portfolio's overweight position
and stock selection in health care. Specifically, the portfolio's holdings
within biotech companies included a cancer treatment company, which has found a
new way to inhibit the growth of certain solid tumors. An industry trend toward
preemptive mental health care also added to performance as the portfolio's
holdings in a behavioral health services company improved in price.
Portfolio holdings within the consumer discretionary sector detracted from
performance. The sector includes stocks within the consumer durables such as
2
<Page>
- --------------------------------------------------------------------------------
televisions, refrigerators and dishwashers, apparel, media, hotel and leisure
industries. For most of the period, the sector benefited from strong consumer
demand, however, consumer sentiment shifted towards the latter half of the
quarter, which hurt performance.
Finally, even though the energy sector overall performed well, the
portfolio's underweight did not capture the full potential gains of the sector.
The Fund's portfolio is actively managed and, therefore, its holdings and
weightings of a particular issuer or particular sector as a percentage of
portfolio assets are subject to change. Sectors may include many industries.
LORD ABBETT MICRO-CAP VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE SIX-MONTH PERIOD ENDED APRIL 30, 2004?
A: For the six-month period ended April 30, 2004, the Fund returned 12.7%,
reflecting performance at the Net Asset Value (NAV) of Class A shares with all
distributions reinvested, compared with its benchmark, the Russell 2000(R) Value
Index,(2) which returned 9.1% over the same period. Standardized Average Annual
Total Returns, which reflect performance at the maximum 5.75% sales charge
applicable to Class A share investments and include the reinvestment of all
distributions are 1 Year: 46.45% and Life of Class A Shares (May 1, 2000):
22.58%.
PERFORMANCE DATA QUOTED REFLECTS PAST PERFORMANCE AND IS NO GUARANTEE OF
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE
QUOTED. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND
WILL FLUCTUATE SO THAT SHARES, ON ANY GIVEN DAY OR WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. YOU CAN OBTAIN PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH END BY CALLING LORD ABBETT AT 800-821-5129 OR REFERRING
TO OUR WEBSITE AT www.LordAbbett.com.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection within the consumer discretionary sector, which benefited
from strong consumer demand, was a significant contributor to the Fund's
outperformance relative to its benchmark. The sector includes stocks within the
consumer durables, such as televisions, refrigerators and dishwashers, apparel,
media, hotel and leisure. The portfolio's holdings in a shoe company benefited
performance when the firm was acquired by another company. Also adding to gains
in the period was the portfolio's holdings in a sporting goods company.
Performance also benefited from stock selection within the healthcare sector.
The financial sector also provided a positive contribution due to its
underweight position. The portfolio's largest holding in this sector was a hotel
properties real estate investment trust, which had excellent performance as
hotel
3
<Page>
- --------------------------------------------------------------------------------
business returns rose from previously depressed levels.
The selection of stocks within the technology sector worked against
performance as a cable communications equipment company performed poorly due to
lower-than-anticipated sales. Also, an electronics company in the portfolio
underperformed after losing part of a sizable contract that it had with the
United States Department of Defense. Although the portfolio's technology portion
performed better than its benchmark, the sector still produced negative returns.
Finally, even though the auto and transportation sector of the portfolio
outperformed its benchmark, overweighting of the sector detracted from overall
performance. An airline holding suffered, as did all airlines during the period,
as high crude oil prices added to operating costs and over-capacity in the
industry made it difficult to raise prices.
The Fund's portfolio is actively managed and, therefore, its holdings and
weightings of a particular issuer or particular sector as a percentage of
portfolio assets are subject to change. Sectors may include many industries.
(1) The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
values. Indices are unmanaged, do not reflect the deduction of fees or expenses
and are not available for direct investment.
(2) The Russell 2000(R) Value Index measures the performance of those Russell
2000 companies with lower price-to-book ratios and lower forecasted growth
values. Indices are unmanaged, do not reflect the deduction of fees or expenses
and are not available for direct investment.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
The views of each Fund's management and the portfolio holdings described in this
report are as of April 30, 2004; these views and portfolio holdings may have
changed subsequent to this date and they do not guarantee the future performance
of the markets or the Funds. Information provided in this report should not be
considered a recommendation to purchase or sell securities.
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with
the Funds, please see the Funds' Prospectus.
PERFORMANCE: BECAUSE OF ONGOING MARKET VOLATILITY, FUND PERFORMANCE MAY BE
SUBJECT TO SUBSTANTIAL FLUCTUATION. Except where noted, comparative fund
performance does not account for the deduction of sales charges and would be
different if sales charges were included. The Funds offer an additional class of
shares with distinct pricing options. For a full description of the differences
in pricing alternatives, please see the Funds' Prospectus.
THE PROSPECTUS CONTAINS IMPORTANT INFORMATION ABOUT EACH FUND, INCLUDING EACH
FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES AND ONGOING EXPENSES, THAT YOU
SHOULD CAREFULLY CONSIDER BEFORE INVESTING. TO OBTAIN A PROSPECTUS ON THESE
FUNDS OR ANY LORD ABBETT MUTUAL FUND, PLEASE CONTACT YOUR INVESTMENT
PROFESSIONAL OR LORD ABBETT DISTRIBUTOR LLC AT 800-874-3733 OR VISIT
www.LordAbbett.com. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY BANKS, AND ARE SUBJECT TO INVESTMENT RISKS INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
4
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
MICRO-CAP GROWTH FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS 93.16%
ADVERTISING AGENCY 2.94%
24/7 Real Media, Inc.* 13,800 $ 75
Modem Media Poppe
Tyson, Inc.* 18,400 95
----------
TOTAL 170
----------
BANKS 1.33%
Online Resources Corp.* 13,500 77
----------
BANKS: OUTSIDE NEW YORK CITY 6.39%
Heritage Commerce Corp.* 11,600 162
Nara Bancorp, Inc. 7,200 207
----------
TOTAL 369
----------
BIOTECHNOLOGY RESEARCH &
PRODUCTION 11.84%
Exact Sciences Corp.* 19,700 134
Kosan Biosciences, Inc.* 3,300 45
Matrixx Initiatives, Inc.* 10,600 107
Regeneration
Technologies, Inc.* 8,700 83
Sequenom, Inc.* 31,700 63
Vion Pharmaceuticals, Inc.* 47,400 252
----------
TOTAL 684
----------
CASINOS & GAMBLING 3.88%
Mikohn Gaming Corp.* 30,400 131
Youbet.com, Inc.* 20,900 93
----------
TOTAL 224
----------
CHEMICALS 5.70%
Medis Technologies Ltd.* 9,500 118
Ultralife Batteries, Inc.* 10,300 211
----------
TOTAL 329
----------
COMMUNICATIONS TECHNOLOGY 2.55%
KVH Industries, Inc.* 7,300 $ 100
Seachange Int'l, Inc.* 4,000 47
----------
TOTAL 147
----------
COMPUTER SERVICES SOFTWARE &
SYSTEMS 13.66%
Aladdin Knowledge
Systems LTD.*(a) 10,000 205
Digitas, Inc.* 18,900 187
eCollege.com, Inc.* 7,700 139
Electronic Clearing
House, Inc.* 17,100 159
Kana Software, Inc.* 39,500 99
----------
TOTAL 789
----------
DRUGS & PHARMACEUTICALS 3.62%
Bone Care
International, Inc.* 800 20
Bradley
Pharmaceuticals, Inc.* 2,600 68
Flamel
Technologies SA ADR* 4,600 121
----------
TOTAL 209
----------
ELECTRONICS 1.66%
II-VI, Inc.* 3,900 96
----------
ELECTRONICS: INSTRUMENTS
GAUGES & METERS 3.39%
Measurement
Specialties, Inc.* 10,400 196
----------
ELECTRONICS: MEDICAL SYSTEMS 3.29%
Rita Medical
Systems, Inc.* 29,700 190
----------
ELECTRONICS: SEMI-CONDUCTORS/
COMPONENTS 1.09%
Hi/Fn, Inc.* 7,200 63
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
MICRO-CAP GROWTH FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
FINANCE COMPANIES 2.34%
Asta Funding, Inc. 8,400 $ 135
----------
HEALTHCARE MANAGEMENT
SERVICES 6.89%
Psychiatric Solutions, Inc.* 10,700 249
World Health
Alternatives, Inc.* 55,100 149
----------
TOTAL 398
----------
JEWELRY WATCHES & GEMSTONES 2.23%
L J International, Inc.*(a) 38,200 129
----------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 6.35%
Molecular Devices Corp.* 6,100 120
Neogen Corp.* 6,650 112
Palomar Medical
Technologies, Inc.* 8,600 135
----------
TOTAL 367
----------
OIL: INTEGRATED DOMESTIC 3.08%
Gasco Energy, Inc.* 86,300 178
----------
RETAIL 1.18%
The Bon-Ton Stores, Inc. 5,300 68
----------
SERVICES: COMMERCIAL 7.93%
Ebookers.com plc ADR* 9,900 102
Exponent, Inc.* 4,200 105
Gevity HR, Inc. 7,800 172
Opinion Research Corp.* 11,700 79
----------
TOTAL 458
----------
TEXTILES APPAREL MANUFACTURERS 1.82%
Oxford Industries, Inc. 2,700 105
----------
TOTAL COMMON STOCKS
(Cost $4,597,465) 5,381
==========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 10.32%
REPURCHASE AGREEMENT 10.32%
Repurchase Agreement
dated 4/30/2004, 1.00%
due 5/3/2004 with
State Street Bank &
Trust Co. collateralized
by $615,000 of Federal
National Mortgage
Assoc. at 3.75%
due 9/15/2008;
value: $610,388;
proceeds: $595,963
(Cost $595,914) $ 596 $ 596
==========
TOTAL INVESTMENTS
103.48% (Cost $5,193,379) $ 5,977
==========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR- American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
MICRO-CAP VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS 94.85%
AEROSPACE 0.94%
Allied Defense Group, Inc.* 5,000 $ 99
----------
AIR TRANSPORTATION 2.87%
Frontier Airlines, Inc.* 17,600 160
Offshore Logistics, Inc.* 6,500 143
----------
TOTAL 303
----------
AUTO COMPONENTS 0.89%
Wabash National Corp.* 3,700 94
----------
AUTO PARTS: AFTER MARKET 3.53%
Keystone Automotive
Industries, Inc.* 9,500 246
Standard Motor
Products, Inc. 8,700 127
----------
TOTAL 373
----------
BANKS 1.68%
Hanmi Financial Corp. 7,158 177
----------
BANKS: OUTSIDE NEW YORK CITY 1.68%
Cobiz, Inc. 8,700 177
----------
CHEMICALS 3.63%
NuCo2, Inc.* 13,000 234
Quaker Chemical Corp. 5,900 149
----------
Total 383
----------
COMMUNICATIONS TECHNOLOGY 1.69%
Bel Fuse, Inc. Class A 6,400 179
----------
COMPUTER SERVICES SOFTWARE &
SYSTEMS 4.02%
MICROS Systems, Inc.* 5,500 241
Moldflow Corp.* 16,800 184
----------
TOTAL 425
----------
COMPUTER TECHNOLOGY 1.14%
Fargo Electronics, Inc.* 12,400 $ 120
----------
CONSTRUCTION 1.28%
Modtech Holdings, Inc.* 19,100 135
----------
CONTAINERS & PACKAGING:
METAL & GLASS 1.10%
Mobile Mini, Inc.* 6,000 116
----------
ELECTRICAL EQUIPMENT &
COMPONENTS 2.40%
AZZ, Inc.* 6,800 109
Powell Industries, Inc.* 9,100 144
----------
TOTAL 253
----------
ELECTRONICS: TECHNOLOGY 1.53%
Intermagnetics
General Corp.* 6,600 162
----------
FINANCIAL MISCELLANEOUS 0.98%
Financial Federal Corp.* 3,300 103
----------
FOODS 1.02%
Tasty Baking Co. 11,600 108
----------
FUNERAL PARLORS & CEMETERY 2.83%
Carriage Services, Inc.* 39,800 197
Rock of Ages Corp. 14,500 102
----------
TOTAL 299
----------
HEALTHCARE FACILITIES 0.87%
Capital Senior
Living Corp.* 15,600 92
----------
HEALTHCARE MANAGEMENT SERVICES 3.39%
American Dental
Partners, Inc.* 14,000 222
American Medical Security
Group, Inc.* 5,300 136
----------
TOTAL 358
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
MICRO-CAP VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
HOTEL/MOTEL 1.38%
The Marcus Corp. 9,000 $ 146
----------
HOUSEHOLD EQUIPMENT & PRODUCTS 0.82%
Craftmade Int'l., Inc. 3,800 87
----------
HOUSEHOLD FURNISHINGS 0.57%
Haverty Furniture Cos., Inc. 3,300 60
----------
IDENTIFICATION CONTROL & FILTER
DEVICES 0.56%
Robbins & Myers, Inc. 2,700 59
----------
INSURANCE: PROPERTY-CASUALTY 2.77%
Donegal Group, Inc. 8,000 165
The Navigators Group, Inc.* 4,900 128
----------
TOTAL 293
----------
MACHINERY: INDUSTRIAL/SPECIALTY 2.72%
Tennant Co. 2,700 107
Twin Disc, Inc. 8,300 180
----------
TOTAL 287
----------
MACHINERY: OIL WELL EQUIPMENT &
SERVICES 1.32%
Lufkin Industries, Inc. 4,400 139
----------
MACHINERY: SPECIALTY 1.24%
Quipp, Inc.* 8,700 131
----------
MEDICAL & DENTAL INSTRUMENTS &
SUPPLIES 1.14%
ICU Medical, Inc.* 3,600 120
----------
METAL FABRICATING 0.76%
NN, Inc. 7,000 80
----------
METALS & MINERALS MISCELLANEOUS 1.54%
Castle (A.M.) & Co.* 17,400 163
----------
OIL: INTEGRATED DOMESTIC 1.63%
Pioneer Drilling Co.* 22,700 $ 172
----------
POLLUTION CONTROL AND
ENVIRONMENTAL SERVICES 1.76%
Team, Inc.* 14,000 186
----------
RAILROADS 1.42%
Genesee & Wyoming,
Inc. Class A* 6,487 150
----------
REAL ESTATE INVESTMENT TRUSTS 3.39%
Agree Realty Corp. 3,900 95
Government Properties
Trust, Inc. 9,300 102
Lasalle Hotel Properties 7,300 161
----------
TOTAL 358
----------
RENTAL & LEASING SERVICES:
COMMERCIAL 1.38%
McGrath Rent Corp. 4,700 146
----------
RETAIL 3.02%
Hibbett Sporting
Goods, Inc.* 4,350 105
Mothers Work, Inc.* 5,100 125
Sharper Image Corp.* 2,900 89
----------
TOTAL 319
----------
SAVINGS & LOAN 1.28%
Franklin Bank Corp.* 8,000 135
----------
SERVICES: COMMERCIAL 11.30%
Ambassadors Int'l., Inc. 5,300 125
Exponent, Inc.* 8,100 203
Hudson Highland
Group, Inc.* 4,100 126
Integrated Alarm Services* 16,500 160
Monro Muffler Brake, Inc.* 12,000 285
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONCLUDED)
MICRO-CAP VALUE FUND APRIL 30, 2004
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
SM&A* 10,200 $ 82
World Fuel Services 5,000 212
----------
TOTAL 1,193
----------
SHOES 1.11%
Skechers USA, Inc. Class A* 9,500 117
----------
STEEL 0.93%
Steel Technologies, Inc. 5,100 98
----------
TELECOMMUNICATIONS
EQUIPMENT 0.47%
Arris Group, Inc.* 4,100 25
C-Cor.Net Corp.* 2,800 25
----------
TOTAL 50
----------
TEXTILE PRODUCTS 1.00%
Quaker Fabric Corp. 13,200 106
----------
TEXTILES APPAREL MANUFACTURERS 4.73%
Cutter & Buck, Inc. 25,100 268
Hartmarx Corp.* 17,200 100
Phillips-Van Heusen Corp. 7,300 132
----------
TOTAL 500
----------
TOBACCO 1.36%
Dimon, Inc. 14,300 99
Standard Commercial Corp. 2,400 45
----------
TOTAL 144
----------
TRANSPORTATION MISCELLANEOUS 1.69%
Hub Group, Inc. Class A* 5,200 179
----------
TRUCKERS 2.45%
Covenant Transport, Inc.* 5,600 99
P.A.M. Transportation Svcs.* 9,100 160
----------
TOTAL 259
----------
UTILITIES: GAS DISTRIBUTORS 0.44%
Chesapeake Utilities Corp. 1,900 46
----------
UTILITIES: MISCELLANEOUS 1.47%
Waste Industries USA, Inc. 14,400 $ 155
----------
UTILITIES: WATER 1.73%
Consolidated Water Co.
Ord. Sh.(a) 9,000 183
----------
TOTAL COMMON STOCKS
(Cost $7,462,806) 10,017
==========
<Caption>
PRINCIPAL
AMOUNT
(000)
----------
SHORT-TERM INVESTMENT 7.06%
REPURCHASE AGREEMENT 7.06%
Repurchase Agreement
dated 4/30/2004,
1.00% due 5/3/2004
with State Street Bank &
Trust Co. collateralized
by $770,000 of Federal
Home Loan Bank at
1.72% due 3/5/2018;
value: $764,225;
proceeds: $745,983
(Cost $745,921) $ 746 746
==========
TOTAL INVESTMENTS
101.91% (Cost $8,208,727) $ 10,763
==========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
April 30, 2004
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 4,597,465 $ 7,462,806
- ------------------------------------------------------------------------------------------------
Investment in securities, at value $ 5,380,859 $ 10,017,207
Repurchase agreements, at cost and value 595,914 745,921
Receivables:
Interest and dividends 212 2,137
Investment securities sold 81,024 124,494
Capital shares sold 3,502 4,378
Prepaid expenses and other assets 2,221 40
- ------------------------------------------------------------------------------------------------
TOTAL ASSETS 6,063,732 10,894,177
- ------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 253,056 302,551
Management fees 7,898 14,110
12b-1 distribution fees 1,839 3,460
Fund administration 211 376
Trustees' fees - 27
To Lord, Abbett & Co. LLC 2,368 11,258
Accrued expenses and other liabilities 21,965 1,780
- ------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 287,337 333,562
================================================================================================
NET ASSETS $ 5,776,395 $ 10,560,615
================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 4,922,476 $ 7,041,663
Accumulated net investment loss (54,722) (190,587)
Accumulated net realized gain on investments 125,247 1,155,138
Net unrealized appreciation on investments 783,394 2,554,401
- ------------------------------------------------------------------------------------------------
NET ASSETS $ 5,776,395 $ 10,560,615
================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 5,767,109 $ 10,536,350
Class Y Shares $ 9,286 $ 24,265
OUTSTANDING SHARES BY CLASS (UNLIMITED NUMBER OF AUTHORIZED
SHARES OF BENEFICIAL INTEREST):
Class A Shares 463,541 470,010
Class Y Shares 739.40 1,078.36
NETASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 12.44 $ 22.42
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 13.20 $ 23.79
Class Y Shares-Net asset value $ 12.56 $ 22.50
================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)
For the Six Months Ended April 30, 2004
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 3,419 $ 41,204
Interest 1,369 2,166
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 4,788 43,370
- ------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 40,582 75,513
12b-1 distribution plan-Class A 9,453 17,578
Shareholder servicing 2,357 2,634
Professional 2,927 3,330
Reports to shareholders 3,164 5,158
Fund administration 1,082 2,014
Custody 1,707 1,968
Trustees' fees 41 101
Registration 4,916 2,810
Other - 60
- ------------------------------------------------------------------------------------------------
Gross expenses 66,229 111,166
Expense reductions (29) (42)
Expenses assumed by Lord, Abbett & Co. LLC (6,690) (364)
- ------------------------------------------------------------------------------------------------
NET EXPENSES 59,510 110,760
- ------------------------------------------------------------------------------------------------
NET INVESTMENT LOSS (54,722) (67,390)
- ------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on investments 546,528 1,031,354
Net change in unrealized appreciation on investments 196,389 187,157
================================================================================================
NET REALIZED AND UNREALIZED GAIN 742,917 1,218,511
================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 688,195 $ 1,151,121
================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<Table>
<Caption>
FOR THE SIX MONTHS ENDED
APRIL 30, 2004
-----------------------------
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (54,722) $ (67,390)
Net realized gain on investments 546,528 1,031,354
Net change in unrealized appreciation on investments 196,389 187,157
- ------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 688,195 1,151,121
================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (122,771)
Class Y - (351)
Net realized gain
Class A - (532,495)
Class Y - (1,280)
- ------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (656,897)
================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 483,539 571,031
Reinvestment of distributions - 656,889
Cost of shares reacquired (58,379) (74,789)
- ------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 425,160 1,153,131
================================================================================================
NET INCREASE IN NET ASSETS 1,113,355 1,647,355
================================================================================================
NET ASSETS:
Beginning of period 4,663,040 8,913,260
- ------------------------------------------------------------------------------------------------
END OF PERIOD $ 5,776,395 $ 10,560,615
================================================================================================
ACCUMULATED NET INVESTMENT LOSS $ (54,722) $ (190,587)
================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
For the Year Ended October 31, 2003
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (55,992) $ (56,735)
Net realized gain on investments 175,560 713,072
Net change in unrealized appreciation on investments 1,242,069 1,944,037
- -------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 1,361,637 2,600,374
===========================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (18,897)
Class Y - (107)
Net realized gain
Class A - (222,077)
Class Y - (596)
- -------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (241,677)
===========================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 990,181 1,066,841
Reinvestment of distributions - 239,810
Cost of shares reacquired (392,729) (208,835)
- -------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 597,452 1,097,816
===========================================================================================
NET INCREASE IN NET ASSETS 1,959,089 3,456,513
===========================================================================================
NET ASSETS:
Beginning of year 2,703,951 5,456,747
- -------------------------------------------------------------------------------------------
END OF YEAR $ 4,663,040 $ 8,913,260
===========================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME - $ (75)
===========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP GROWTH FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2004 ---------------------------------- TO
(UNAUDITED) 2003 2002 2001 10/31/2000
PER SHARE OPERATING PERFORMANCE
(CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.87 $ 7.51 $ 9.49 $ 13.18 $ 16.76
============ ======== ======== ======== ============
Investment operations
Net investment income (loss)(a) (.12) (.14) (.02) -(f) (.01)
Net realized and unrealized gain (loss) 1.69 3.50 (1.95) (1.34) (3.57)
------------ -------- -------- -------- ------------
Total from investment operations 1.57 3.36 (1.97) (1.34) (3.58)
------------ -------- -------- -------- ------------
Distributions to shareholders from:
Net investment income - - (.01) (.01) -
Net realized gain - - - (2.34) -
------------ -------- -------- -------- ------------
Total distributions - - (.01) (2.35) -
------------ -------- -------- -------- ------------
NET ASSET VALUE, END OF PERIOD $ 12.44 $ 10.87 $ 7.51 $ 9.49 $ 13.18
============ ======== ======== ======== ============
Total Return(b) 14.44%(e) 44.74% (20.81)% (11.30)% (21.36)%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions 1.10%(e) 1.75% .38% .38% .18%(e)
Expenses, excluding waiver and
expense reductions 1.23%(e) 2.84% 2.99% 4.02% 1.36%(e)
Net investment income (loss) (1.01)%(e) (1.60)% (.24)% .04% (.04)%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2004 ---------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 10/31/2000
- ------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 5,767 $ 4,655 $ 2,698 $ 2,266 $ 2,160
Portfolio turnover rate 46.49% 126.71% 34.08% 80.17% 103.33%
- ------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
MICRO-CAP GROWTH FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2004 ----------------------------------------------- TO
(UNAUDITED) 2003 2002 2001 2000 10/31/1999
PER SHARE OPERATING PERFORMANCE
(CLASS Y SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 10.96 $ 7.55 $ 9.52 $ 13.21 $ 12.57 $ 10.00
=========== ======== ======== ======== ======== ===========
Investment operations
Net investment income (loss)(a) (.10) (.11) .01 .04 .04 .02
Net realized and
unrealized gain (loss) 1.70 3.52 (1.95) (1.35) 1.73 2.55
----------- -------- -------- -------- -------- -----------
Total from investment operations 1.60 3.41 (1.94) (1.31) 1.77 2.57
----------- -------- -------- -------- -------- -----------
Distributions to shareholders from:
Net investment income - - (.03) (.04) (.02) -
Net realized gain - - - (2.34) (1.11) -
----------- -------- -------- -------- -------- -----------
Total distributions - - (.03) (2.38) (1.13) -
----------- -------- -------- -------- -------- -----------
NET ASSET VALUE, END OF PERIOD $ 12.56 $ 10.96 $ 7.55 $ 9.52 $ 13.21 $ 12.57
=========== ======== ======== ======== ======== ===========
Total Return(b) 14.60%(e) 45.17% (20.42)% (11.00)% 14.48% 25.70%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions .92%(e) 1.42% .00% .00% .00% .00%(e)
Expenses, excluding waiver and
expense reductions 1.06%(e) 2.51% 2.61% 3.64% 2.33% 1.71%(e)
Net investment income (loss) (.84)%(e) (1.27)% .14% .42% .22% .19%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2004 ----------------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 10/31/1999
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 9 $ 8 $ 6 $ 7 $ 8 $ 1,404
Portfolio turnover rate 46.49% 126.71% 34.08% 80.17% 103.33% 41.18%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Commencement of investment operations.
(e) Not annualized.
(f) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2004 ---------------------------------- TO
(UNAUDITED) 2003 2002 2001 10/31/2000
PER SHARE OPERATING PERFORMANCE
(CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 21.43 $ 15.56 $ 15.68 $ 15.90 $ 13.13
============ ======== ======== ======== ============
Investment operations
Net investment income (loss)(a) (.15) (.14) .05 .10 .07
Net realized and unrealized gain 2.72 6.69 .60 2.20 2.70
------------ -------- -------- -------- ------------
Total from investment operations 2.57 6.55 .65 2.30 2.77
------------ -------- -------- -------- ------------
Distributions to shareholders from:
Net investment income (.30) (.05) (.05) (.14) -
Net realized gain (1.28) (.63) (.72) (2.38) -
------------ -------- -------- -------- ------------
Total distributions (1.58) (.68) (.77) (2.52) -
------------ -------- -------- -------- ------------
NET ASSET VALUE, END OF PERIOD $ 22.42 $ 21.43 $ 15.56 $ 15.68 $ 15.90
============ ======== ======== ======== ============
Total Return(b) 12.69%(e) 43.80% 4.12% 17.16% 21.10%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions 1.10%(e) 1.73% .38% .38% .17%(e)
Expenses, excluding waiver and
expense reductions 1.11%(e) 2.18% 2.76% 3.08% 1.50%(e)
Net investment income (loss) (.67)%(e) (.84)% .31% .64% .49%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2004 ---------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 10/31/2000
- ------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 10,537 $ 8,892 $ 5,442 $ 4,889 $ 2,032
Portfolio turnover rate 24.64% 48.55% 36.02% 52.63% 82.02%
- ------------------------------------------------------------------------------------------------------------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
MICRO-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2004 ----------------------------------------------- TO
(UNAUDITED) 2003 2002 2001 2000 10/31/1999
PER SHARE OPERATING PERFORMANCE
(CLASS Y SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 21.53 $ 15.63 $ 15.72 $ 15.92 $ 10.75 $ 10.00
=========== ======== ======== ======== ======== ===========
Investment operations
Net investment income (loss)(a) (.11) (.09) .12 .16 .14 .12
Net realized and unrealized gain 2.71 6.73 .59 2.19 5.19 .63
----------- -------- -------- -------- -------- -----------
Total from investment operations 2.60 6.64 .71 2.35 5.33 .75
----------- -------- -------- -------- -------- -----------
Distributions to shareholders from:
Net investment income (.35) (.11) (.08) (.17) (.09) -
Net realized gain (1.28) (.63) (.72) (2.38) (.07) -
----------- -------- -------- -------- -------- -----------
Total distributions (1.63) (.74) (.80) (2.55) (.16) -
----------- -------- -------- -------- -------- -----------
NET ASSET VALUE, END OF PERIOD $ 22.50 $ 21.53 $ 15.63 $ 15.72 $ 15.92 $ 10.75
=========== ======== ======== ======== ======== ===========
Total Return(b) 12.83%(e) 44.35% 4.51% 17.48% 50.12% 7.60%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions .92%(e) 1.41% .00% .00% .00% .00%(e)
Expenses, excluding waiver and
expense reductions .93%(e) 1.86% 2.38% 2.70% 2.50% 1.80%(e)
Net investment income (loss) (.49)%(e) (.52)% .69% 1.02% 1.15% 1.08%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2004 ----------------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2003 2002 2001 2000 10/31/1999
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 24 $ 21 $ 15 $ 14 $ 12 $ 1,152
Portfolio turnover rate 24.64% 48.55% 36.02% 52.63% 82.02% 30.38%
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Commencement of investment operations.
(e) Not annualized.
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as an open-end management investment company
organized as a Delaware business trust on February 26, 1993. The Trust currently
consists of seven funds. This report covers the following two Funds and their
respective classes (separately, a "Fund" and collectively, the "Funds"): Lord
Abbett Micro-Cap Growth Fund ("Micro-Cap Growth Fund"), Class A and Y shares and
Lord Abbett Micro-Cap Value Fund ("Micro-Cap Value Fund"), Class A and Y shares.
The investment objective of both Micro-Cap Growth Fund and Micro-Cap Value Fund
is long-term capital appreciation.
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the Net Asset Value ("NAV") for Class A shares.
There is no front-end sales charge in the case of Class Y shares, although there
may be a contingent deferred sales charge ("CDSC") for certain redemptions of
Class A shares made within 24 months following any purchases made without a
sales charge.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sales price or official
closing price on the exchange or system on which they are principally
traded. Unlisted equity securities are valued at the last quoted sales price
or, if no sales price is available, at the mean between the most recently
quoted bid and asked prices. Securities for which market quotations are not
readily available are valued at fair value as determined by management and
approved in good faith by the Board of Trustees. Short-term securities with
60 days or less remaining to maturity are valued using the amortized cost
method, which approximates current market value.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date that
the securities are purchased or sold (trade date). Realized gains and losses
on sales of portfolio securities are calculated using the identified-cost
method. Realized and unrealized gains or losses are allocated to each class
of shares based upon the relative proportion of net assets at the beginning
of the day.
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis. Discounts are accreted and
premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all taxable income and capital
gains to its shareholders. Therefore, no federal income tax provision is
required.
18
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
(e) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are allocated to the Funds within the Trust on a pro rata
basis. Expenses, excluding class specific expenses, are allocated to each
class of shares based upon the relative proportion of net assets at the
beginning of the day. Class A shares bear all expenses and fees relating to
the Class A 12b-1 Distribution Plan.
(f) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
Fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed-upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash, U.S. Government securities or U.S.
government sponsored enterprises securities having a value equal to, or in
excess of, the value of the repurchase agreement. If the seller of the
agreement defaults on its obligation to repurchase the underlying securities
at a time when the value of these securities has declined, the Fund may
incur a loss upon disposition of the securities.
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord, Abbett & Co. LLC ("Lord Abbett")
pursuant to which Lord Abbett supplies the Trust with investment management
services and executive and other personnel, pays the remuneration of officers,
provides office space and pays for ordinary and necessary office and clerical
expenses relating to research and statistical work and supervision of the
Trust's investment portfolios.
The management fee is based on average daily net assets at an annual rate of
1.50%.
Lord Abbett is currently reimbursing expenses for each Fund to the extent
necessary to maintain total operating expenses for Class A at 2.20% and Class Y
at 1.85% of average daily net assets. Lord Abbett may stop reimbursing such
expenses at any time.
Lord Abbett provides certain administrative services to the Funds pursuant to an
Administrative Services Agreement at an annual rate of .04% of each Fund's
average daily net assets.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan with respect to the Class A shares of
the Micro-Cap Growth Fund and Micro-Cap Value Fund pursuant to Rule 12b-1 of the
Act, which provides for the payment of ongoing distribution and service fees to
Lord Abbett Distributor LLC ("Distributor"), an affiliate of Lord Abbett. The
fees are accrued daily based upon the average daily net assets attributable to
Class A at an annual rate of .25% and .10%, respectively.
Class Y does not have a distribution plan.
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS
Dividends from net investment income, if any, are declared and paid at least
annually. Taxable net realized gains from investment transactions, reduced by
capital loss carryforwards, if any, are declared and distributed to shareholders
at least annually. The capital loss carryforward amount is available to offset
future net capital gains. Dividends and distributions to shareholders are
19
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
recorded on the ex-dividend date. The amount of dividends and distributions from
net investment income and net realized capital gains are determined in
accordance with federal income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These book/tax
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the components of net assets based on their federal tax basis treatment;
temporary differences do not require reclassification. Dividends and
distributions, which exceed net investment income and net realized capital gains
for tax purposes, are reported as distributions of paid-in capital.
The tax character of distributions paid during the six months ended April 30,
2004 and the fiscal year ended October 31, 2003 are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- -----------------------------------------------------------------------------------------------
4/30/2004 10/31/2003 4/30/2004 10/31/2003
(UNAUDITED) (UNAUDITED)
- -----------------------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ - $ - $ 123,122 $ 241,677
Net long-term capital gains - - 533,775 -
- -----------------------------------------------------------------------------------------------
Total distributions paid $ - $ - $ 656,897 $ 241,677
===============================================================================================
</Table>
At October 31, 2003, Micro-Cap Growth had a capital loss carryforward in the
amount of $421,281, which expires in 2010.
As of April 30, 2004, the aggregate unrealized security gains and losses based
on cost for U.S. federal income tax purposes are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
Tax cost $ 5,193,379 $ 8,208,727
- --------------------------------------------------------------------------------
Gross unrealized gain 1,212,002 2,640,871
Gross unrealized loss (428,608) (86,470)
- --------------------------------------------------------------------------------
Net unrealized security gain $ 783,394 $ 2,554,401
================================================================================
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (other than short-term investments)
are as follows for the six months ended April 30, 2004:
<Table>
<Caption>
PURCHASES SALES
- -----------------------------------------------------------------------
Micro-Cap Growth $ 2,380,554 $ 2,396,157
Micro-Cap Value 2,815,187 2,347,957
</Table>
There were no purchases or sales of U.S. Government securities for the six
months ended April 30, 2004.
6. TRUSTEES' REMUNERATION
The Trust's officers and the one Trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities.
Outside Trustees' fees are allocated among all Lord Abbett-sponsored funds based
on the net assets of each fund. There is an equity
20
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
based plan available to all outside Trustees under which outside Trustees must
defer receipt of a portion of, and may elect to defer receipt of an additional
portion of Trustees' fees. The deferred amounts are treated as though equivalent
dollar amounts have been invested proportionately in the funds. Such amounts and
earnings accrued thereon are included in Trustees' fees on the Statements of
Operations and in Trustees' fees payable on the Statements of Assets and
Liabilities and are not deductible for U.S. federal income tax purposes until
such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of the Funds' expenses.
8. CUSTODIAN AND ACCOUNTING AGENT
State Street Bank and Trust Company ("SSB") is the Trust's custodian and
accounting agent. SSB performs custodian, accounting and record keeping
functions relating to portfolio transactions and calculating each Fund's NAV.
9. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
equity investing, as well as the particular risks associated with micro-cap and
growth or value stocks. The value of an investment will fluctuate in response to
movements in the stock market in general, and to the changing prospects of
individual companies in which the Funds invest. Micro-cap companies may be
subject to greater risks and may be more sensitive to changes in economic
conditions than larger, more established companies. There may be less liquidity
in micro-cap company stocks, subjecting them to greater price fluctuations than
larger company stocks. In the case of Micro-Cap Growth Fund, the growth stocks
in which it generally invests may add to the Fund's volatility. In the case of
the Micro-Cap Value Fund, the intrinsic value of particular value stocks may not
be recognized for a long time. These factors can affect the Funds' performance.
10. SUMMARY OF CAPITAL TRANSACTIONS
The Trust has an unlimited number of authorized shares of beneficial interest.
MICRO-CAP GROWTH FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
- --------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
Shares sold 40,510 $ 483,539 112,263 $ 990,181
Shares reaquired (5,109) (58,379) (43,307) (392,729)
- --------------------------------------------------------------------------------
Increase 35,401 $ 425,160 68,956 $ 597,452
- --------------------------------------------------------------------------------
CLASS Y SHARES
- --------------------------------------------------------------------------------
Increase - $ - - $ -
- --------------------------------------------------------------------------------
</Table>
21
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONCLUDED)
MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2004 (UNAUDITED) OCTOBER 31, 2003
- -----------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------------
Shares sold 26,485 $ 571,031 61,900 $ 1,066,841
Reinvestment of distributions 32,042 655,258 15,556 239,107
Shares reaquired (3,345) (74,789) (12,443) (208,835)
- -----------------------------------------------------------------------------------------------
Increase 55,182 $ 1,151,500 65,013 $ 1,097,113
- -----------------------------------------------------------------------------------------------
CLASS Y SHARES
- -----------------------------------------------------------------------------------------------
Reinvestment of distributions 79.60 $ 1,631 46 $ 703
- -----------------------------------------------------------------------------------------------
Increase 79.60 $ 1,631 46 $ 703
- -----------------------------------------------------------------------------------------------
</Table>
All of the outstanding capital shares of Micro-Cap Growth Fund and Micro-Cap
Value Fund are held by Lord Abbett and partners and employees of Lord Abbett.
22
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows it to send only one copy of the
Funds' Prospectus, proxy material, annual report and semi-annual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219336, Kansas City, MO 64121.
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to the Funds' portfolio securities is available without charge,
upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett's web site at
www.LordAbbett.com; and (iii) on the Securities and Exchange Commission's
("SEC") website at www.sec.gov.
SHAREHOLDER REPORTS AND QUARTERLY PORTFOLIO DISCLOSURE
The Trust will be required to file its complete schedule of portfolio holdings
with the SEC for its first and third fiscal quarters on Form N-Q for fiscal
quarters ending on or after July 9, 2004. Once filed, the Fund's Forms N-Q will
be available without charge, upon request on the SEC's website at www.sec.gov
and may be available by calling Lord Abbett at 800-821-5129; or on Lord Abbett's
website at www.LordAbbett.com. You can also obtain copies of Form N-Q by (i)
visiting the SEC's Public Reference Room in Washington, DC (information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330); (ii) sending your request and a duplicating fee to the SEC's
Public Reference Room, Washington, DC 20549-0102; or (iii) sending your request
electronically to publicinfo@sec.gov.
23
<Page>
[LORD ABBETT(R) LOGO]
<Table>
This report when not used for the general
information of shareholders of the Fund, is to
be distributed only if preceded or accompanied Lord Abbett Securities Trust
by a current Fund Prospectus. Lord Abbett Micro-Cap Growth Fund
Lord Abbett Micro-Cap Value Fund
Lord Abbett Mutual Fund shares are distributed by:
LORD ABBETT DISTRIBUTOR LLC LAMC-3-4/04
90 Hudson Street - Jersey City, New Jersey 07302-3973 6/04
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ITEM 2: CODE OF ETHICS.
Not applicable
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4-8: [RESERVED]
ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not Applicable.
ITEM 10: CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940) as of June 21, 2004, the Chief
Executive Officer and Chief Financial Officer of the Registrant
have concluded that such disclosure controls and procedures are
reasonably designed and effective to ensure that material
information relating to the Registrant, including its
consolidated subsidiaries, is made known to them by others
within those entities.
(b) There were no significant changes in the Registrant's internal
controls over financial reporting (as defined in Rule 30a-3(d)
under the Investment Company Act of 1940) that occurred during
the Registrant's last fiscal half-year that have materially
affected, or are reasonably likely to materially affect, the
Registrant's internal control over financial reporting.
ITEM 11: EXHIBITS.
ITEM 11(a): NOT APPLICABLE.
ITEM 11(b):
(i) Certification of each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2
under the Act (17 CFR 270.30a-2) is attached hereto as a part of
EX-99.CERT.
(ii) Certification of each principal executive officer and principal
financial officer of the registrant as required by Section 906
of the Sarbanes-Oxley Act of 2002 is attached hereto as a part
of EX-99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities and Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Lord Abbett Securities Trust
/s/ ROBERT S. DOW
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ JOAN A. BINSTOCK
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: June 21, 2004
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Pursuant to the requirements of the Securities and Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
Lord Abbett Securities Trust
/s/ ROBERT S. DOW
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ JOAN A. BINSTOCK
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: June 21, 2004