<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09247
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State Street Research Institutional Funds
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(Exact name of registrant as specified in charter)
One Financial Center, Boston, MA 02111
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(Address of principal executive offices) (Zip code)
Richard S. Davis, President and Chief Executive Officer
State Street Research
One Financial Center, Boston, MA 02111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
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Date of fiscal year end: 1/31/04
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Date of reporting period: 02/01/04 - 07/31/04
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
ITEM 1: REPORT TO SHAREHOLDERS
The Semi-annual Report is attached.
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[State Street Logo]
[Photos]
State Street Research
Institutional Funds
July 31, 2004
Semiannual Report to Shareholders
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State Street Research
Institutional
Core Fixed Income Fund
A bond fund investing in U.S. investment
grade fixed income securities and seeking
competitive total returns relative to the
Lehman Brothers Aggregate Bond Index.
State Street Research
Institutional
Core Plus Fixed Income Fund
A bond fund investing in a broad spectrum
of fixed income securities, including high
yield and foreign securities, and seeking
competitive total returns relative to the
Lehman Brothers Aggregate Bond Index.
State Street Research
Institutional
Large Cap Growth Fund
An equity fund investing in growth
companies seeking competitive
total returns relative to the
Russell 1000(R) Growth Index.
State Street Research
Institutional
Large Cap Analyst Fund
An equity fund emphasizing stock
selection within a defined sector mix
and seeking competitive
total returns relative to the
Russell 1000(R) Index.
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Summary Portfolio Schedule
For the Six months ended July 31, 2004 (unaudited)
State Street Research
Institutional Core Fixed Income Fund
<Table>
<Caption>
Industries % of Fund Net Assets
- ----------------------------------------------------------------
U.S. Agency Mortgage 35.3
Finance/Mortgage 31.1
Commercial Paper 23.2
U.S. Treasury 18.9
Short-Term Investments 17.1
Corporate 10.0
Foreign Government 1.4
Foreign 0.7
Cash and Other Assets, Less Liabilities (37.7)
- ----------------------------------------------------------------
Total 100.0
================================================================
</Table>
State Street Research
Institutional Large Cap Growth Fund
<Table>
<Caption>
Industries % of Fund Net Assets
- ----------------------------------------------------------------
Consumer Discretionary 21.2
Health Care 20.8
Technology 20.6
Financial Services 13.8
Other 5.9
Consumer Staples 5.8
Other Energy 5.7
Short-Term Investments 4.1
Commercial Paper 3.1
Utilities 1.4
Materials & Processing 1.1
Automobiles & Transportation 0.5
Cash and Other Assets, Less Liabilities (4.0)
- ----------------------------------------------------------------
Total 100.0
================================================================
</Table>
State Street Research
Institutional Core Plus Fixed Income Fund
<Table>
<Caption>
Industries % of Fund Net Assets
- ----------------------------------------------------------------
U.S. Agency Mortgage 34.2
Finance/Mortgage 29.5
Commercial Paper 22.7
U.S. Treasury 17.7
Corporate 12.7
Short-Term Investments 10.3
Foreign Government 3.5
Foreign 0.4
Cash and Other Assets, Less Liabilities (31.0)
- ----------------------------------------------------------------
Total 100.0
================================================================
</Table>
State Street Research
Institutional Large Cap Analyst Fund
<Table>
<Caption>
Industries % of Fund Net Assets
- ----------------------------------------------------------------
Financial Services 21.6
Health Care 14.6
Consumer Discretionary 13.6
Technology 12.6
Utilities 7.4
Consumer Staples 7.2
Other 6.4
Integrated Oils 4.1
Producer Durables 4.0
Materials & Processing 3.9
Other Energy 3.3
Automobiles & Transportation 1.0
Cash and Other Assets, Less Liabilities 0.3
- ----------------------------------------------------------------
Total 100.0
================================================================
</Table>
Because of Active Management, there is no guarantee that the fund currently
invests or will continue to invest in the securities or industries referenced.
1
<Page>
About Your Fund's Expenses
As a fund shareholder, you incur ongoing expenses, which include management
fees. The examples below illustrate the ongoing cost in dollars of investing in
the funds for the purpose of comparing these costs with the expenses of other
funds. The examples are based on a $1,000 investment at the beginning of the
period and held for the entire period shown.
<Table>
<Caption>
Beginning Ending Expenses
Account Account Paid Annualized
Value Value During Expense
Six months ended July 31, 2004 1/31/2004 7/31/2004 Period* Ratio**
- ------------------------------------------------------------------------------------------------------------------------
Actual Fund Return
- ------------------------------------------------------------------
State Street Research Institutional Core Fixed Income Fund $1,000 $ 999 $2 0.25%
State Street Research Institutional Core Plus Fixed Income Fund $1,000 $ 997 $3 0.30%
State Street Research Institutional Large Cap Growth Fund $1,000 $ 968 $4 0.45%
State Street Research Institutional Large Cap Analyst Fund $1,000 $ 991 $4 0.45%
Hypothetical 5% Return
- ------------------------------------------------------------------
State Street Research Institutional Core Fixed Income Fund $1,000 $1,048 $3 0.25%
State Street Research Institutional Core Plus Fixed Income Fund $1,000 $1,047 $3 0.30%
State Street Research Institutional Large Cap Growth Fund $1,000 $1,046 $5 0.45%
State Street Research Institutional Large Cap Analyst Fund $1,000 $1,046 $5 0.45%
</Table>
*Expenses are equal to the fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
period and then dividing that result by the number of days in the year.
**The Investment Manager has contractually agreed to bear or reimburse certain
fund operating expenses through June 1, 2005. Please refer to the fund's
prospectus for more information.
Actual Fund Return is based on the fund's actual return and expenses. To
estimate the ongoing expenses you paid during the entire period shown, simply
divide your account value by the $1,000, then multiply the result by the number
shown for your fund under the column "Expenses Paid During the Period".
Hypothetical 5% Return is based on the fund's actual expense ratio and an
assumed rate of 5% per year before expenses. Please note that the return used
is not the fund's actual return, therefore, this information may not be used to
estimate your actual ending account balance and expenses paid during the
period. To compare your fund's ongoing expenses with those of other funds,
simply compare this 5% hypothetical example with the 5% hypothetical examples
shown in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only. A fund's actual performance and expenses
may be higher or lower. The funds do not charge transaction fees or carry a
sales load.
2
<Page>
State Street Research Institutional
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
FIXED INCOME SECURITIES 97.4%
U.S. Treasury 18.9%
U.S. Treasury Bond, 7.25% .......... $ 975,000 5/15/2016 $1,191,480
U.S. Treasury Bond, 8.875% ......... 850,000 2/15/2019 1,189,867
U.S. Treasury Bond, 6.25% .......... 650,000 8/15/2023 729,067
U.S. Treasury Bond, 6.25% .......... 1,050,000 5/15/2030 1,191,832
U.S. Treasury Note, 7.00%* ......... 5,175,000 7/15/2006 5,598,098
U.S. Treasury Note, 6.50% .......... 1,275,000 2/15/2010 1,443,190
U.S. Treasury Note, 5.75% .......... 150,000 8/15/2010 164,490
U.S. Treasury Note, 4.00% .......... 2,000,000 11/15/2012 1,956,876
-------------
13,464,900
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U.S. Agency Mortgage 35.3%
Federal Home Loan Mortgage
Corp., 9.00% ...................... 5,499 12/01/2009 5,911
Federal Home Loan Mortgage
Corp., 4.00% ...................... 350,000 3/15/2010 354,277
Federal Home Loan Mortgage
Corp., 3.75% ...................... 350,000 3/15/2011 353,413
Federal Home Loan Mortgage
Corp., 5.50% ...................... 638,629 7/01/2033 642,754
Federal National Mortgage
Association, 8.00% ................ 5,733 4/01/2008 6,062
Federal National Mortgage
Association, 7.75% ................ 5,758 5/01/2008 6,127
Federal National Mortgage
Association, 8.00% ................ 5,104 6/01/2008 5,401
Federal National Mortgage
Association, 8.25% ................ 3,139 7/01/2008 3,281
Federal National Mortgage
Association, 8.50% ................ 14,683 2/01/2009 15,659
Federal National Mortgage
Association, 9.00% ................ 1,497 5/01/2009 1,611
Federal National Mortgage
Association, 3.50% ................ 350,000 6/25/2010 351,835
Federal National Mortgage
Association, 6.50% ................ 48,123 12/01/2014 50,926
Federal National Mortgage
Association, 7.00% ................ 18,603 10/01/2015 19,751
Federal National Mortgage
Association, 7.00% ................ 401,444 1/01/2017 425,967
Federal National Mortgage
Association, 5.00% ................ 263,176 6/01/2018 265,479
Federal National Mortgage
Association, 4.50% ................ 201,926 10/01/2018 198,992
Federal National Mortgage
Association, 5.00% ................ 274,561 6/01/2023 272,882
Federal National Mortgage
Association, 5.50% ................ 162,786 1/01/2024 165,716
Federal National Mortgage
Association, 7.50% ................ 38,673 7/01/2029 41,461
Federal National Mortgage
Association, 6.50% ................ 188,586 12/01/2029 197,476
Federal National Mortgage
Association, 7.00% ................ 51,846 2/01/2030 54,966
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, 5.50% ................ $ 384,894 5/01/2033 $ 386,784
Federal National Mortgage
Association, 5.50% ................ 318,478 11/01/2033 320,042
Federal National Mortgage
Association, 5.50% ................ 1,045,523 1/01/2034 1,050,659
Federal National Mortgage
Association, 5.00% ................ 1,312,299 3/01/2034 1,283,366
Federal National Mortgage
Association TBA, 6.50% ............ 475,000 8/17/2019 501,867
Federal National Mortgage
Association TBA, 6.00% ............ 1,110,000 8/17/2019 1,158,563
Federal National Mortgage
Association TBA, 5.50% ............ 1,275,000 9/20/2019 1,308,406
Federal National Mortgage
Association TBA, 5.00% ............ 2,900,000 8/17/2019 2,920,845
Federal National Mortgage
Association TBA, 4.50% ............ 3,425,000 8/17/2019 3,368,275
Federal National Mortgage
Association TBA, 4.00% ............ 375,000 8/17/2019 359,531
Federal National Mortgage
Association TBA, 7.00% ............ 500,000 8/12/2034 528,125
Federal National Mortgage
Association TBA, 6.50% ............ 1,175,000 8/12/2034 1,226,040
Federal National Mortgage
Association TBA, 6.00% ............ 1,725,000 8/12/2034 1,769,203
Federal National Mortgage
Association TBA, 5.50% ............ 675,000 8/12/2034 676,688
Federal National Mortgage
Association TBA, 5.00% ............ 900,000 8/12/2034 877,219
Government National Mortgage
Association, 6.50% ................ 4,385 9/15/2008 4,650
Government National Mortgage
Association, 6.50% ................ 15,321 2/15/2009 16,272
Government National Mortgage
Association, 7.50% ................ 15,575 6/15/2009 16,410
Government National Mortgage
Association, 6.50% ................ 37,304 7/15/2009 39,592
Government National Mortgage
Association, 7.50% ................ 14,173 12/15/2009 15,116
Government National Mortgage
Association, 7.50% ................ 105,070 12/15/2014 112,483
Government National Mortgage
Association, 7.00% ................ 29,082 1/15/2025 31,060
Government National Mortgage
Association, 7.00% ................ 38,469 11/15/2028 40,949
Government National Mortgage
Association, 6.50% ................ 128,199 11/15/2028 134,530
Government National Mortgage
Association, 7.50% ................ 85,847 12/15/2028 92,539
Government National Mortgage
Association, 7.00% ................ 11,738 6/15/2029 12,482
Government National Mortgage
Association, 6.50% ................ 69,964 9/15/2029 73,352
</Table>
The accompanying notes are an integral part of the financial statements.
3
<Page>
State Street Research Institutional
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Government National Mortgage
Association, 6.50% ................ $ 98,732 8/15/2031 $ 103,434
Government National Mortgage
Association, 5.50% ................ 577,686 4/15/2033 582,404
Government National Mortgage
Association, 6.00% ................ 188,301 9/20/2033 193,681
Government National Mortgage
Association, 6.00% ................ 298,308 10/20/2033 307,864
Government National Mortgage
Association, 5.00% ................ 846,084 10/20/2033 829,632
Government National Mortgage
Association, 6.00% ................ 415,485 11/20/2033 427,355
Government National Mortgage
Association, 6.00% ................ 376,136 2/20/2034 386,811
Government National Mortgage
Association, 5.50% ................ 575,000 4/15/2033 578,234
-------------
25,174,410
-------------
Finance/Mortgage 31.1%
AIG Sunamerica Global Finance
Inc. Sr. Note, 6.90%+ ............. 100,000 3/15/2032 111,767
Allstate Financial Global
Funding LLC Note, 2.50%+ .......... 150,000 6/20/2008 142,374
Amortizing Residential
Collateral Trust Note 2002 Cl.
B, 3.50% .......................... 150,000 7/25/2032 150,369
Amortizing Residential
Collateral Trust Note 2002 Cl.
M2, 2.55% ......................... 150,000 7/25/2032 150,407
Artesia Mortgage Inc. Note
1998-C1 Cl. D1, 6.89%+ ............ 125,000 6/25/2030 135,507
BAE Systems Holdings Inc.
Note, 6.66%+ ...................... 377,404 9/15/2013 408,574
Bank of America Corp. Global
Note, 7.40% ....................... 225,000 1/15/2011 256,485
Bank One Issuance Tr, 2004 1
Nt Cl B, 1.81%++ .................. 350,000 3/15/2012 350,000
Bankamerica Institution Bond
Note Cap, 8.07%+ .................. 100,000 12/31/2026 111,333
Bear Stearns Commercial
Mortgage Securities Inc. Note
1999-C1 Cl. A2, 6.02% ............. 25,000 2/14/2031 26,783
Bear Stearns Commercial
Mortgage Securities Inc. Note
2000-WF2 Cl. A2, 7.32% ............ 225,000 10/15/2032 255,172
Bear Stearns Commercial
Mortgage Securities Inc. Note
2001-Cl. A1, 6.08% ................ 86,312 2/15/2035 91,242
Bear Stearns Commercial
Mortgage Securities Inc. Note
2001-Cl. A2, 6.48% ................ 450,000 2/15/2035 492,341
Bear Stearns Commercial
Mortgage Inc., Note A1,
4.36% ............................. 322,726 6/11/2041 325,362
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
CDC Commercial Mortgage
Trust Note, 2002 Fx1 Class A
1, 5.25% .......................... $ 320,292 5/15/2019 $ 331,173
Centex Home Equity Loan
Trust Note, 2002 D Cl. M2,
3.50%++ ........................... 150,000 2/1/2011 152,673
Chase Commercial Mortgage
Securities Corp. Note 1998-2
Cl. A1, 6.03% ..................... 56,957 11/18/2030 59,438
Chase Commercial Mortgage
Securities Corp. Note 1998-2
Cl. A2, 6.39% ..................... 325,000 11/18/2030 351,510
Chase Manhattan Auto Owner
Trust Note 2002-A, 4.17% .......... 134,032 9/15/2008 135,541
CIT Group Inc. Note, 4.13% ......... 150,000 2/21/2006 152,695
Citibank Credit Card Issuance
Trust Note 2001 Cl. C3,
6.65% ............................. 350,000 5/15/2008 369,628
Citibank Credit Card Issuance
Trust Note 2000-1 Cl. B1,
7.05% ............................. 125,000 9/17/2007 131,176
Citigroup Inc., Sub. Note,
7.25% ............................. 325,000 10/01/2010 369,397
Countrywide Asset-Backed
Securities Inc. Note 2003-2
M2, 2003 3.10% .................... 200,000 2/26/2033 203,899
Countrywide Asset-Backed
Securities Inc. Note 2002-2
M2, 2.60% ......................... 175,000 6/25/2033 175,616
Crestar Capital Trust Bond
Note, 8.16% ....................... 100,000 12/15/2026 113,556
Detroit Edison Rate Reduction
Bond Note 2001-1 Cl. A4,
6.19% ............................. 10,000 3/01/2013 10,847
Discover Card Master Trust
Note, Series 2000 Cl. A,
6.35% ............................. 25,000 7/15/2008 26,304
Distribution Financial Services
Note Trust 2001-1 Cl. A4,
5.67% ............................. 261,246 1/17/2017 266,342
ERAC USA Finance Co. Note,
6.70%+ ............................ 75,000 6/01/2034 76,094
ERAC USA Finance Co. Note,
8.25%+ ............................ 175,000 5/01/2005 181,948
ERAC USA Finance Co. Note,
6.63%+ ............................ 100,000 5/15/2006 105,770
ERAC USA Finance Co. Note,
7.35%+ ............................ 50,000 6/15/2008 55,516
ERP Operating LP Note,
6.63% ............................. 175,000 4/13/2005 179,755
Federal Realty Investment Trust
Note, 4.50% ....................... 175,000 2/15/2011 166,513
First National Bank Note,
7.38% ............................. 75,000 9/15/2006 81,959
</Table>
The accompanying notes are an integral part of the financial statements.
4
<Page>
State Street Research Institutional
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
First Union Capital Bond Note,
7.94% ............................. $ 75,000 1/15/2027 $82,829
First Union-Lehman Brothers
Bank Note 1998-C2 Cl. A1,
6.28% ............................. 118,995 11/18/2035 121,261
Ford Credit Auto Owner Trust
Note 2002-C Cl. C, 4.81% .......... 175,000 3/15/2007 178,508
Ford Motor Credit Co. Note,
7.38% ............................. 600,000 10/28/2009 643,734
General Electric Business Loan
Trust Note, 2.38%+++ .............. 120,890 4/15/2031 120,553
General Electric Capital Corp.
Global Note, 6.13% ................ 275,000 2/22/2011 296,397
General Electric Capital Corp.
Global Note, 6.75% ................ 350,000 3/15/2032 382,156
General Motors Acceptance
Corp. Note, 8.00% ................. 25,000 11/01/2031 25,386
GGP Mall Properties Trust Note
2001 Cl. C2, 5.56%+++ ............. 95,366 11/15/2011 99,224
GGP Mall Properties Trust Note
2001 Cl. C3, 2.68%+++ ............. 28,684 11/15/2011 29,031
Goldman Sachs Group Inc.
Note, 6.88% ....................... 325,000 1/15/2011 359,628
Holmes Fing Plc, Ser 8 Cl 1C
Note, 2.22%++ ..................... 150,000 7/15/2040 150,046
Household Finance Corp. Note,
6.38% ............................. 175,000 10/15/2011 188,622
Household Finance Corp. Note,
6.38% ............................. 400,000 11/27/2012 429,440
IMPAC CMB Trust Note 7 Cl
1A1, 1.79%++ ...................... 350,000 11/25/2034 350,000
IMPAC CMB Trust Note
2002-3 Cl. B1, 3.65%++ ............ 66,167 6/25/2032 66,425
International Lease Finance
Corp. Global Note, 5.75% .......... 250,000 2/15/2007 264,391
J.P. Morgan Chase & Co. Note,
6.75% ............................. 250,000 2/01/2011 275,293
J.P. Morgan Commercial
Mortgage Finance Corp.,
Note 1999 Pls1 Class
144A A 2, 7.34%+ .................. 375,000 2/15/2032 415,440
J.P. Morgan Commercial
Mortgage Finance Corp. Note
1997 Cl. C5, 7.24% ................ 75,000 9/15/2029 83,472
J.P. Morgan Commercial
Mortgage Finance Corp. Note
1999 Cl. A2, 6.51% ................ 370,000 10/15/2035 402,044
J.P. Morgan Commercial
Mortgage Finance Corp. Note
1999 Cl. B, , 6.66% ............... 400,000 10/15/2035 437,614
John Hancock Global Funding
II Note, 7.90%+ ................... 280,000 7/02/2010 326,347
J.P. Morgan Capital Trust Note,
7.54% ............................. 75,000 1/15/2027 79,944
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
LB-UBS Commercial Mortgage
Trust Note, 1999 J.P. Morgan
Capital Trust Note, 7.47% ......... $ 125,000 10/15/2032 $137,995
LB-UBS Commercial Mortgage
Tr, Ser2004 C4 Coml Mtg
Pass Cl A2, 4.57% ................. 350,000 6/15/2029 354,271
LB-UBS Commercial Mortgage
Trust Note 2001-C7 Cl. A3,
5.64% ............................. 277,035 12/15/2025 291,779
LB-UBS Commercial Mortgage
Trust Note 2001-WM Cl. A1,
6.16%+ ............................ 78,233 7/14/2016 83,397
Lehman Brothers Commercial
Conduit Mortgage Trust Note
1998-C4 Cl. A1, 6.21% ............. 425,000 10/15/2035 456,853
Lehman Brothers Holdings Inc.
Note, 6.25% ....................... 100,000 5/15/2006 105,488
Long Beach Mortgage Loan
Trust Note 2004-1, 2.55%++ ........ 125,000 6/25/2034 124,768
Manufacturers & Traders Trust
Co. Note, 3.85%++ ................. 125,000 4/01/2008 123,146
Massachusetts Mutual Life
Insurance Co. Note, 5.63%+ ........ 150,000 5/15/2033 141,343
MBNA Corp. Note, 5.63% ............. 275,000 11/30/2007 288,550
MBNA Master Credit Card
Trust Note 1999 Cl. A,
7.00% ............................. 475,000 2/15/2012 533,856
MBNA Master Credit Card
Trust Note 2001 Cl. C3,
6.55% ............................. 275,000 12/15/2008 290,037
Mellon Capital Ii, Capital Secs
Series Note, 7.99% ................ 125,000 1/15/2027 139,196
Merrill Lynch & Company Inc.
Note, 3.70% ....................... 200,000 4/21/2008 198,192
Morgan Stanley, Global Sub
Note, 4.75% ....................... 350,000 4/01/2014 326,931
Morgan Stanley Capital Inc.
Note, 2004 Cl G 144A,
2.43%++ ........................... 150,000 4/15/2016 150,499
Morgan Stanley Capital Inc.
Note 1999-WF1 Cl. A2,
6.21%++ ........................... 250,000 11/15/2031 268,498
Morgan Stanley Capital Inc.
Note 2002-TOP7 Cl. A1,
5.38%++ ........................... 256,281 1/15/2039 267,625
Morgan Stanley Dean Witter,
Commercial Mortgage Note Cl
E, 7.53%+ ......................... 150,000 2/15/2033 166,190
NationsLink Funding Corp
Note 1998-2 Cl. B, 6.80% .......... 250,000 8/20/2030 273,136
NationsLink Funding Corp.,
1999 1 Class A2, 6.32% ............ 317,316 1/20/2031 341,344
NationsLink Funding Corp.
Note 1999-2 Cl. D, 7.63% .......... 175,000 6/20/2031 194,911
</Table>
The accompanying notes are an integral part of the financial statements.
5
<Page>
State Street Research Institutional
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Nomura Asset Securities Corp.,
Commercial Mortgage Note
1998 D6 Class A 1B, 6.59% .......... $ 325,000 3/15/2030 $353,888
Northwest Airlines Inc. Series
Note 2001 Cl. G, 8.07% ............. 66,952 4/01/2021 72,875
Option One Mortgage Loan
Trust Note 2003 Cl. M2,
3.15%++ ............................ 125,000 4/25/2033 126,994
Option One Mortgage Loan
Trust Note, 2003 4 Cl M 5A,
5.20%++ ............................ 125,000 7/25/2033 128,475
Residential Asset Mortgage
Corp. Note 2003-KS2 Cl.
MII2, 3.20% ........................ 150,000 4/25/2033 152,750
Residential Asset Mortgage
Corp. Note 2003-RZ2 Cl. M3,
5.50% .............................. 150,000 4/25/2033 151,443
Residential Asset Security Corp.
Note 2002-KS1 Cl. AI3,
4.99%++ ............................ 50,532 2/25/2027 50,486
Residential Asset Security Corp.
Note 2003-KS1 Cl. M2,
3.20%++ ............................ 150,000 4/25/2033 152,365
Safeco Capital Trust Bond Note,
8.07% .............................. 200,000 7/15/2037 220,899
Salomon Brothers Mortgage
Securities Inc. Note 2001-
MMA A3, 6.47%+ ..................... 300,000 2/18/2034 322,890
Salomon Brothers Mortgage
Securities Inc. Note 2001-
MMA A2, 6.13%+ ..................... 175,000 2/18/2034 184,054
Simon Property Group LP
Global Note, 7.38% ................. 225,000 1/20/2006 239,426
Spieker Properties LP Note,
8.00% .............................. 75,000 7/19/2005 78,070
Structured Asset Securities Corp.
Note 2003 Cl. M2, 3.40%++ .......... 100,000 4/25/2033 101,198
U S Bancorp Cap I, Cap Secs
Ser B, 8.27% ....................... 125,000 12/15/2026 140,418
USA Education Inc. Note,
5.63% .............................. 125,000 4/10/2007 131,585
Vornado Realty Trust Sr. Note,
5.63% .............................. 325,000 6/15/2007 340,104
Wachovia Bank Commercial
Mortgage Trust Note, 2004
Cla1, 3.40% ........................ 375,000 7/15/2041 371,831
Wachovia Bank Commercial
Mortgage Trust Note 2003 Cl.
A1, 2.99% .......................... 286,824 6/15/2035 269,075
Washington Mutual Inc. Note
2003 Ar5 Cl B2, 4.55% .............. 149,434 6/25/2033 148,793
Washington Mutual Inc. Note
2003-AR4 Cl. A6, 3.42% ............. 350,000 5/25/2033 344,335
Washington Mutual Inc. Note
2003-AR5 Cl. A6, 3.70% ............. 350,000 6/25/2033 344,486
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
West Penn Funding LLC Note
1999A Cl. A3, 6.81% ................ $ 19,185 9/25/2008 $ 20,016
-------------
22,217,312
-------------
Foreign 0.7%
Codelco Inc. Note, 5.50%+ ........... 100,000 10/15/2013 101,099
Corporacion Andina De
Fomento Note, 6.88% ................ 50,000 3/15/2012 54,792
Pemex Project Funding Master
Trust Note, 7.38% .................. 75,000 12/15/2014 78,563
Petroleos Mexicanos Note, 6.50% ..... 100,000 2/01/2005 101,950
Petronas Capital Ltd Note,
7.88%+ ............................. 100,000 5/22/2022 112,938
State of Qatar Bond Note,
9.75%+ ............................. 50,000 6/15/2030 69,313
-------------
518,655
-------------
Foreign Government 1.4%
Banque Centrale De Tunisie
Note, 7.38% ........................ 50,000 4/25/2012 54,875
Hong Kong Government Note,
5.13% .............................. 175,000 8/01/2014 173,906
Korea Development Bank Note,
3.88% .............................. 75,000 3/02/2009 72,653
Malaysia Government Bond
Note, 7.50% ........................ 75,000 7/15/2011 85,732
Republic of Chile Note, 5.63% 200,000 7/23/2007 209,840
Republic of South Africa Note,
9.13% .............................. 100,000 5/19/2009 116,500
Republic of South Africa Note,
6.50% .............................. 100,000 6/02/2014 102,500
United Mexican States Note,
8.30% .............................. 125,000 8/15/2031 135,000
United Mexican States Note,
6.63% .............................. 50,000 3/03/2015 50,800
-------------
1,001,806
-------------
Corporate 10.0%
Alcan Aluminum Ltd Note, 6.13%. 100,000 12/15/2033 98,451
AT&T Broadband Corp. Note,
9.46% .............................. 100,000 11/15/2022 130,103
Boeing Co. Note, 8.75% .............. 125,000 8/15/2021 159,471
British Telecommunications
PLC Note, 8.88% .................... 100,000 12/15/2030 125,924
Cargill Inc. Note, 4.38%+ ........... 125,000 6/01/2013 117,093
Cargill Inc. Note, 6.13%+ ........... 125,000 4/19/2034 122,888
Centex Corp. Note, 7.88% ............ 100,000 2/01/2011 113,627
Citigroup Capital Ii Note, 7.75%..... 100,000 12/01/2036 108,925
Comcast Corp. Note, 7.05% ........... 250,000 3/15/2033 263,528
Continental Airlines Inc. Note,
6.70% .............................. 108,469 12/15/2022 100,736
Cox Communications Inc.
Note, 7.75% ........................ 100,000 11/01/2010 114,111
Deutsche Telekom BV Global
Note, 8.75% ........................ 125,000 6/15/2030 155,277
</Table>
The accompanying notes are an integral part of the financial statements.
6
<Page>
State Street Research Institutional
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
DTE Energy Co. Note, 6.45% ......... $ 175,000 6/01/2006 $ 183,906
Encana Corp. Note, 6.50% ........... 75,000 8/15/2034 74,342
Entergy Gulf States Inc. Note,
3.60% ............................. 185,000 6/01/2008 180,298
Exelon Corp. Sr. Note, 6.75% ....... 25,000 5/01/2011 27,332
General Electric Co. Note,
5.00% ............................. 275,000 2/01/2013 274,506
General Motors Acceptance
Corp. Global Note, 7.25% .......... 325,000 3/02/2011 341,831
General Motors Bond Corp.
Note, 8.25% ....................... 225,000 7/15/2023 233,783
Halliburton Co. Note, 1.92%+++ 150,000 1/26/2007 149,848
Hewlett Packard Co. Note,
3.63% ............................. 225,000 3/15/2008 223,507
Hutchison Whampoa Ltd. Note,
6.25% ............................. 125,000 1/24/2014 123,020
Indiana Michigan Power Co.
Note, 6.13% ....................... 100,000 12/15/2006 105,875
International Paper Co. Note,
6.75% ............................. 100,000 9/01/2011 109,080
Kern River Funding Corp.
Note, 4.90%+ ...................... 142,463 4/30/2018 139,318
Lennar Corp. Note, 2.30%++ ......... 175,000 3/19/2009 175,796
Loral Corp. Note, 7.00% ............ 75,000 9/15/2023 80,867
Meadwestvaco Corp. Note,
6.85% ............................. 100,000 4/01/2012 108,044
Motorola Inc. Note, 7.63% .......... 125,000 11/15/2010 142,298
Newmont Mining Corp. Note,
8.63% ............................. 125,000 5/15/2011 153,182
News America Inc. Note,
6.63% ............................. 225,000 1/09/2008 244,017
Norfolk Southern Corp. Note,
9.00% ............................. 150,000 3/01/2021 191,372
Progress Energy Inc. Sr. Note,
7.10% ............................. 150,000 3/01/2011 165,376
Pulte Homes Inc. Sr. Note,
6.38% ............................. 125,000 5/15/2033 116,504
Rohm & Haas Co. Note,
9.65% ............................. 75,000 6/01/2020 99,542
Sprint Capital Corp. Note,
8.75% ............................. 150,000 3/15/2032 181,764
TCI Communications Inc.
Note, 7.88% ....................... 75,000 2/15/2026 85,666
Telecom de Puerto Rico Inc. Sr.
Note, 6.65% ....................... 325,000 5/15/2006 343,072
Telecom Italia Media SPA Note,
5.25%+ ............................ 150,000 11/15/2013 147,332
Thomson Corp. Note, 5.75% .......... 125,000 2/01/2008 132,309
Time Warner Entertainment Co.
LP Note, 8.38% .................... 100,000 3/15/2023 116,186
Time Warner Inc. Note, 9.15%........ 175,000 2/01/2023 218,235
Tyco International Group SA Sr.
Note, 6.38% ....................... 175,000 10/15/2011 188,047
UnitedHealth Group Inc. Note,
7.50% ............................. 125,000 11/15/2005 132,226
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Verizon Global Funding Corp.
Note, 7.75% ....................... $ 250,000 12/01/2030 $ 286,850
Weyerhaeuser Co. Note, 7.38% ....... 75,000 3/15/2032 82,781
-------------
7,168,246
-------------
Total Fixed Income Securities (Cost $69,203,425) 69,545,329
-------------
COMMERCIAL PAPER 23.2%
American Express Credit Corp.,
1.29% ............................. $ 605,000 8/17/2004 604,653
Citicorp Note, 1.35% ............... 2,000,000 8/27/2004 1,998,050
EI du Pont De Nemours & Co.,
1.24% ............................. 1,042,000 8/11/2004 1,041,641
General Electric Capital Corp.,
1.31% ............................. 1,083,000 8/16/2004 1,082,409
General Electric Capital Corp.,
1.30% ............................. 979,000 8/17/2004 978,434
Goldman Sachs Group LP,
1.13% ............................. 2,575,000 8/23/2004 2,573,222
International Lease Finance
Corp., 1.30% ...................... 1,035,000 8/18/2004 1,034,365
International Lease Finance
Corp., 1.28% ...................... 2,000,000 8/19/2004 1,998,720
Royal Bank Of Scotland, 1.27% ...... 1,817,000 8/06/2004 1,816,679
Royal Bank Of Scotland, 1.25% ...... 1,000,000 8/12/2004 999,618
UBS Finance Inc., 1.27% ............ 1,763,000 8/10/2004 1,762,443
UBS Finance Inc., 1.30% ............ 644,000 8/12/2004 643,744
-------------
Total Commercial Paper (Cost $16,533,978) 16,533,978
-------------
- --------------------------------------------------------------------------------
Shares
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS 17.1%
State Street Navigator Securities
Lending Prime Portfolio ....................... 12,194,374 12,194,374
-------------
Total Short-Term Investments (Cost $12,194,374) 12,194,374
-------------
Total Investments (Cost $97,931,777) - 137.7% 98,273,681
Cash and Other Assets, Less Liabilities - (37.7%) (26,922,557)
-------------
Net Assets - 100.0% $71,351,124
=============
Federal Income Tax Information:
At July 31, 2004, the net unrealized appreciation
of investments based on cost for Federal income tax
purposes of $98,093,180 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $ 656,746
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (476,245)
-------------
$ 180,501
=============
</Table>
The accompanying notes are an integral part of the financial statements.
7
<Page>
State Street Research Institutional
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
*A portion of this security was pledged and segregated with the custodian to
cover margin requirements for futures contracts at July 31, 2004.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at July 31, 2004, were $3,948,040 and $4,177,181 (5.90% of net assets),
respectively.
Futures contracts open at July 31, 2004 are as follows:
<Table>
<Caption>
Unrealized
Number of Notional Expiration Appreciation
Type Contracts Amount Month (Depreciation)
- -----------------------------------------------------------------------------------------------
2-Year U.S. Treasury Notes Long 11 $2,322,375 September 2004 $ 7,334
5-Year U.S. Treasury Notes Long 3 328,500 September 2004 2,050
10-Year U.S. Treasury Notes Long 9 968,344 September 2004 24,149
10-Year U.S. Treasury Notes Short (7) (775,031) September 2004 (17,686)
---------
$ 15,847
=========
</Table>
Options open at July 31, 2004 are as follows:
<Table>
<Caption>
Number of Expiration
Type Contracts Premium Month Value
- -----------------------------------------------------------------------------------------------
10-Year U.S. Treasury Futures Call (60) $ (46,058) August 2004 $ (42,188)
10-Year U.S. Treasury Futures Put (60) (62,417) August 2004 (59,063)
---------- ----------
$ (108,475) $ (101,251)
========== ==========
</Table>
The accompanying notes are an integral part of the financial statements.
8
<Page>
State Street Research Institutional
Core Plus Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
FIXED INCOME SECURITIES 98.0%
U.S. Treasury 17.7%
U.S. Treasury Bond, 7.25% ........... $ 725,000 5/15/2016 $ 885,973
U.S. Treasury Bond, 8.875% .......... 1,050,000 2/15/2019 1,469,836
U.S. Treasury Bond, 6.25% ........... 1,250,000 8/15/2023 1,402,051
U.S. Treasury Bond, 6.25% ........... 575,000 5/15/2030 652,670
U.S. Treasury Note, 7.00%* .......... 5,675,000 7/15/2006 6,138,977
U.S. Treasury Note, 5.75% ........... 150,000 8/15/2010 164,490
U.S. Treasury Note, 6.50% ........... 150,000 2/15/2010 169,787
U.S. Treasury Note, 5.625% .......... 500,000 5/15/2008 539,727
U.S. Treasury STRIPS, 0.00% ......... 525,000 8/15/2025 163,608
-------------
11,587,119
-------------
U.S. Agency Mortgage 34.2%
Federal Home Loan Mortgage
Corp., 9.00% ....................... 4,627 12/01/2009 4,974
Federal Home Loan Mortgage
Corp., 5.50% ....................... 589,504 7/01/2033 593,311
Federal National Mortgage
Association, 5.50% ................. 162,786 1/01/2024 165,716
Federal National Mortgage
Association, 8.00% ................. 4,834 4/01/2008 5,111
Federal National Mortgage
Association, 7.75% ................. 4,837 5/01/2008 5,147
Federal National Mortgage
Association, 8.00% ................. 4,303 6/01/2008 4,554
Federal National Mortgage
Association, 8.25% ................. 2,619 7/01/2008 2,738
Federal National Mortgage
Association, 8.50% ................. 11,043 2/01/2009 11,777
Federal National Mortgage
Association, 7.00% ................. 12,216 10/01/2015 12,970
Federal National Mortgage
Association, 6.00% ................. 82,586 5/01/2016 86,314
Federal National Mortgage
Association, 7.00% ................. 315,420 1/01/2017 334,688
Federal National Mortgage
Association, 5.00% ................. 244,378 6/01/2018 246,516
Federal National Mortgage
Association, 4.50% ................. 179,490 10/01/2018 176,882
Federal National Mortgage
Association, 5.00% ................. 253,441 6/01/2023 251,891
Federal National Mortgage
Association, 6.50% ................. 235,733 12/01/2029 246,845
Federal National Mortgage
Association, 7.50% ................. 33,951 6/01/2031 36,346
Federal National Mortgage
Association, 6.50% ................. 201,545 7/01/2032 210,588
Federal National Mortgage
Association, 5.50% ................. 366,566 5/01/2033 368,366
Federal National Mortgage
Association, 5.50% ................. 298,573 11/01/2033 300,039
Federal National Mortgage
Association, 5.50% ................. 978,787 1/01/2034 983,596
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, 5.00% ................. $1,001,429 3/01/2034 $ 979,350
Federal National Mortgage
Association TBA, 7.00% ............. 650,000 8/12/2034 686,563
Federal National Mortgage
Association TBA, 6.50% ............. 1,125,000 8/12/2034 1,173,868
Federal National Mortgage
Association TBA, 5.50% ............. 575,000 8/17/2019 583,242
Federal National Mortgage
Association TBA, 5.00% ............. 3,750,000 8/17/2019 3,750,142
Federal National Mortgage
Association TBA, 4.50% ............. 3,250,000 8/17/2019 3,196,173
Federal National Mortgage
Association TBA, 4.00% ............. 350,000 8/17/2019 335,563
Federal National Mortgage
Association TBA, 6.00% ............. 2,300,000 8/17/2019 2,376,156
Federal National Mortgage
Association TBA, 5.50% ............. 875,000 8/17/2019 898,516
Government National Mortgage
Association, 6.50% ................. 10,352 2/15/2009 10,994
Government National Mortgage
Association, 6.50% ................. 20,384 5/15/2009 21,582
Government National Mortgage
Association, 7.50% ................. 10,372 6/15/2009 10,928
Government National Mortgage
Association, 6.50% ................. 5,856 6/15/2009 6,231
Government National Mortgage
Association, 7.50% ................. 11,811 12/15/2009 12,597
Government National Mortgage
Association, 7.00% ................. 20,701 1/15/2025 22,109
Government National Mortgage
Association, 7.00% ................. 22,226 10/15/2025 23,715
Government National Mortgage
Association, 7.00% ................. 42,331 5/15/2027 45,092
Government National Mortgage
Association, 7.00% ................. 58,985 11/15/2028 62,788
Government National Mortgage
Association, 6.50% ................. 75,389 11/15/2028 79,112
Government National Mortgage
Association, 7.50% ................. 58,627 12/15/2028 63,197
Government National Mortgage
Association, 6.50% ................. 111,119 9/15/2029 116,500
Government National Mortgage
Association, 5.50% ................. 704,055 4/15/2033 709,805
Government National Mortgage
Association, 6.00% ................. 230,146 9/20/2033 236,721
Government National Mortgage
Association, 6.00% ................. 362,231 10/20/2033 373,835
Government National Mortgage
Association, 5.00% ................. 1,034,103 10/20/2033 1,013,995
Government National Mortgage
Association, 6.00% ................. 502,956 11/20/2033 517,324
Government National Mortgage
Association, 6.00% ................. 352,627 2/20/2034 362,636
</Table>
The accompanying notes are an integral part of the financial statements.
9
<Page>
State Street Research Institutional
Core Plus Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Government National Mortgage
Association, 5.50% ................. $ 700,000 8/19/2034 $ 703,937
-----------
22,421,040
-----------
Finance/Mortgage 29.5%
Asset Backed Fdg Corp, Ser
2004 Opt4 Cl N1 144A,
4.45%++ ............................ 100,000 5/26/2034 99,790
Banc of America Commercial
Mortgage Inc. 2000-1 Cl. E,
7.75% .............................. 300,000 11/15/2031 337,674
Bank America Corp. Sub. Note,
7.40% .............................. 250,000 1/15/2011 284,983
Bank One Issuance Trust Note,
2004 1.81%++ ....................... 325,000 3/25/2012 325,000
Bankamerica Institutional Bond
Secs Ser A 144A, 8.07%+ ............ 100,000 12/31/2026 111,333
Bear Stearns Commercial
Mortgage Inc. Note, 6.48% .......... 650,000 2/15/2035 711,159
Bear Stearns Commercial
Mortgage Securities Inc. Note,
2004 Cl A1, 4.36% .................. 297,901 6/11/2041 300,334
Bear Stearns Commercial
Mortgage Securities Inc. Note
2001 Cl. A, 6.08% .................. 431,561 2/15/2035 456,210
Bear Stearns Commerical
Mortgage Securities Inc. Note
2000 Cl. A2, Ser 2000 Cl A2,
7.32% .............................. 275,000 10/15/2032 311,877
Beazer Homes USA Inc. Sr.
Note, 8.38% ........................ 125,000 4/15/2012 133,750
Centex Home Equity Loan
Trust Note, 2003 B Asset
Backed Certificate Class M 3,
1.00%++ ............................ 100,000 6/25/2033 104,087
Chase Commercial Mortgage
Securities Corp. 1998-2 Cl. A,
6.03% .............................. 37,971 11/18/2030 39,625
Chase Funding International
Trust Note, 2003 6, 5.00%+ ......... 43,141 1/27/2035 42,926
Chase Manhattan Auto Owner
Trust Note 2002-A, 4.17% ........... 160,839 9/15/2008 162,649
CIT Group Holdings Inc. Note,
4.13% .............................. 150,000 2/21/2006 152,695
Citibank Credit Card Trust
Note Cl. C1, Note Class 2000
C1, 7.45% .......................... 225,000 9/15/2007 236,618
Citigroup Capital Inc. Note,
7.75% .............................. 100,000 12/01/2036 108,925
Citigroup Inc., Sub Note,
7.25% .............................. 400,000 10/01/2010 454,643
Commercial Mortgage
Acceptance Corp. Note 1998
C2 Class F 144A, 5.44%+ ............ 150,000 9/15/2030 139,332
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Commercial Mortgage
Acceptance Corp. Note 1998-
C1 Cl. F, 6.23%+ ................... $ 400,000 7/15/2031 $ 377,436
Community Program Loan
Trust Note 1987 A4, 4.50% .......... 87,988 10/01/2018 88,704
Countrywide Asset-Backed
Note, 2003 4 Certificate Class
M 3, 3.20%++ ....................... 100,000 6/25/2033 101,656
Countrywide Asset-Backed
Note, 2003 2 Certificate Class
M 1 T4, 3.20%++ .................... 200,000 3/26/2033 203,899
Crestar Capital Trust Note, Ser
B, 8.16% ........................... 75,000 12/15/2026 85,167
Dow Jones CDX Note, 7.75% ........... 1,950,000 12/29/2009 1,907,353
EOP Operating LP Note,
6.80% .............................. 400,000 1/15/2009 435,088
Equity Residential Properties LP
Note, 7.25% ........................ 100,000 6/15/2005 103,766
ERAC USA Finance Co., Note,
6.70%+ ............................. 225,000 6/01/2034 228,282
ERAC USA Finance Co. Note,
8.25%+ ............................. 250,000 5/01/2005 259,926
ERAC USA Finance Co. Note,
Note 144A, 6.63%+ .................. 75,000 5/15/2006 79,328
ERAC USA Finance Co. Note,
Guaranteed Note, 7.35%+ ............ 100,000 6/15/2008 111,031
ERP Operating LP Note,
6.63% .............................. 200,000 4/13/2005 205,435
First National Bank Note,
7.38% .............................. 75,000 9/15/2006 81,959
First Union Capital Note A,
7.94% .............................. 50,000 1/15/2027 55,220
Ford Motor Credit Co. Note,
7.38% .............................. 275,000 10/28/2009 295,045
General Electric Business Loan
Trust Note, 2003 1, 2.68%+++ ....... 92,962 4/15/2031 92,962
General Electric Capital Corp.
Global Note, Tranche Trust
00482, 6.13% ....................... 350,000 2/22/2011 377,232
General Motors Acceptance
Corp. Note, 8.00% .................. 50,000 11/01/2031 50,772
GGP Mall Properties Trust,
Series 2001 C1A Class C2,
5.56%+ ............................. 190,731 11/15/2011 198,448
Goldman Sachs Group Inc.
Bond Note, 6.88% ................... 275,000 1/15/2011 304,300
Grace Church Card Funding
LLC Note, Cl C, 2.17%++ ............ 150,000 8/15/2008 150,282
Granite Mortgage Trust Note,
Cl C, 2.45%++ ...................... 150,000 3/20/2044 150,000
Household Finance Corp. Note,
6.38% .............................. 125,000 10/15/2011 134,730
Household Finance Corp. Note,
6.38% .............................. 500,000 11/27/2012 536,800
</Table>
The accompanying notes are an integral part of the financial statements.
10
<Page>
State Street Research Institutional
Core Plus Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
International Lease Finance
Corp. Note, 5.75% .................. $ 200,000 2/15/2007 $211,513
Istar Financial Inc. Note,
7.00% .............................. 50,000 3/15/2008 53,928
J.P. Morgan Chase & Co. Note,
6.75% .............................. 200,000 2/01/2011 220,234
J.P. Morgan Commercial
Mortgage Finance Corp. Note
1997-C5 Cl. C, 7.24% ............... 125,000 9/15/2029 139,119
J.P. Morgan Commercial
Mortgage Finance Corp. Note
1997-C5 Cl. D, 7.35% ............... 125,000 9/15/2029 140,388
J.P. Morgan Commercial
Mortgage Finance Corp. Note
1999-C7 Cl. B, 6.66% ............... 100,000 8/01/2004 109,403
John Hancock Global Funding
II Note, 7.90%+ .................... 225,000 7/02/2010 262,243
JP Morgan Commercial
Mortgage Finance Corp. Note
1999-C7 Cl. A1, 6.18% .............. 159,373 10/15/2035 167,732
J.P. Morgan Capital Trust Note,
7.54% .............................. 75,000 1/15/2027 79,944
Kb Home, Sr Nt 144A, 6.38%........... 100,000 8/15/2011 99,750
Knollwood Cdo Ltd, Mezz Secd
Nt Cl C, 4.78%+++ .................. 98,179 1/10/2039 98,364
LB-UBS Commercial Mortgage
Trust, 2001 C7 Mortgage Class
A 3, 5.64% ......................... 300,121 12/15/2025 316,093
LB-UBS Commercial Mortgage
Trust 2001-WM Cl. A1,
6.16%+ ............................. 149,452 7/14/2016 159,316
Lehman Brothers Holdings Inc.
Note, 6.25% ........................ 125,000 5/15/2006 131,860
Long Beach Asset Holdings
Corp Note, 4.94% ................... 66,409 6/25/2034 66,409
MBNA Corp. Note, 5.63% .............. 350,000 11/30/2007 367,245
MBNA Credit Card Master
Trust Note 2001 Cl. C,
6.55% .............................. 300,000 12/15/2008 316,404
Mellon Capital Note, 8.00% .......... 100,000 1/15/2027 111,357
Merrill Lynch & Co. Inc. Note,
Tranche Trust, 3.70% ............... 225,000 4/21/2008 222,966
Morgan Stanley, Global Note,
4.75% .............................. 350,000 4/01/2014 326,931
Morgan Stanley Cap I Inc.
Note, 2004, 2.43% .................. 125,000 4/01/2014 125,416
Morgan Stanley Capital I Inc.
Note, 7.22%+++ ..................... 208,283 7/15/2029 225,972
Morgan Stanley Dean Witter
Capital Inc. Note 2001 Cl. C,
7.00% .............................. 100,000 2/15/2033 110,940
Morgan Stanley Dean Witter
Capital Inc. Note 2001 Cl. B,
6.81% .............................. 200,000 2/15/2033 221,282
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
NationsLink Funding Corp.
Note 1998 Cl. A2, 6.48% ............ $ 175,000 8/20/2030 $189,522
Nationslink Funding Corp.
Note 1998 Cl. B, 6.80% ............. 75,000 8/20/2030 81,941
NationsLink Funding Corp.
Note 1998 Cl. E, 7.11% ............. 250,000 8/20/2030 271,431
Nationslink Funding Corp.
Note 1999 Cl. D, 7.63% ............. 50,000 8/20/2030 55,689
Option One Mortgage Loan
Trust Corp. Note, Series 2003
5 Class M2, 3.00%++ ................ 75,000 8/25/2033 76,333
Option One Mortgage Loan
Trust Corp. Note, 2003 2
Class M 2, 3.15%++ ................. 250,000 1/25/2032 253,351
Option One Mortgage Loan
Trust Corp. Note, Series 2003
4 Class M2, 3.15%++ ................ 100,000 1//25/2032 100,575
PECO Energy Transition Trust
Note 2000-A Cl. A4, 7.65% .......... 200,000 3/01/2010 230,009
Residential Asset Security
Mortgage Corp. Note, 2003
Ks1 Class M 2, 3.20%++ ............. 150,000 1/25/2033 152,365
Safeco Capital Trust Note,
8.07% .............................. 200,000 7/15/2037 220,899
Simon Property Group LP
Global Note, 7.38% ................. 200,000 1/20/2006 212,823
Structured Asset Investment
Loan Trust Note, 2003 Bc2
Class M2, 3.40%++ .................. 200,000 4/25/2033 202,596
Structured Asset Securities Corp.
Note, 2002 Bc4 Class M2,
2.60% .............................. 150,000 4/25/2033 150,470
Structured Asset Securities Corp.
Note, 2002 Bc3 Mortgage
Class M2, 2.60% .................... 150,000 4/25/2033 150,407
Structured Asset Securities Corp.
Note, 2002 Bc5 Certificate
Cla, 2.60% ......................... 93,726 4/25/2033 93,844
Systems 2001 Asset Trust LLC.
Note, G 144A, 6.66% ................ 377,404 9/15/2013 408,574
U S Bancorp Note, 8.27% ............. 100,000 12/15/2026 112,334
Vornado Realty Trust Sr. Note,
5.63% .............................. 200,000 6/15/2007 209,295
Washington Mutual Inc. Note,
Class A 6, 3.42% ................... 375,000 5/25/2033 368,930
Washington Mutual Inc. Note,
Certificate Class A6, 3.70% ........ 275,000 6/25/2033 270,668
Washinton Mutual Inc. Note,
2003 Ar8 Certificate Class B 1,
4.20% .............................. 99,719 8/25/2033 95,493
-------------
19,320,789
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
11
<Page>
State Street Research Institutional
Core Plus Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Foreign 0.4%
Corporacion Andina De
Fomento Note, 6.88% ................ $ 50,000 3/15/2012 $ 54,792
Petroleos Mexicanos Note,
6.50% .............................. 100,000 2/01/2005 101,950
Petronas Capital Ltd. Note,
7.88%+ ............................. 100,000 5/22/2022 112,939
-------------
269,681
-------------
Foreign Government 3.5%
Canadian Dollar
Canada Government Note, 3.50%........ 150,000 6/01/2005 113,764
Euro
Republic of Germany, 5.00% .......... 75,000 8/19/2005 92,707
Japanese Yen
Japan Government Note, 0.10% ........ 25,000,000 10/20/2005 224,578
Cabinet Ministers Ukraine
Note, 1.00%++ ...................... $ 200,000 8/05/2009 200,000
Colombia Republic Note,
10.75% ............................. 100,000 1/15/2013 111,750
Hong Kong Government Note,
5.13% .............................. 175,000 8/01/2014 173,906
Korea Development Bank Note,
3.88% .............................. 75,000 3/02/2009 72,653
Malaysia Government Note,
7.50% .............................. 100,000 7/15/2011 114,310
Peru Republic Note, 4.50%++ ......... 125,000 3/07/2014 102,812
Republic of Argentina Note,
1.23%++ ............................ 250,000 8/03/2012 169,125
Republic of Brazil Note, 8.00%....... 175,916 4/15/2014 166,240
Republic of Chile Note, 5.63% ....... 225,000 7/23/2007 236,070
Republic of South Africa Note,
9.13% .............................. 75,000 5/19/2009 87,375
Russian Federation Note, 8.25% ...... 100,000 3/31/2010 107,500
South Africa Republic Note,
6.50% .............................. 100,000 6/02/2014 102,500
State of Qatar Bond Note,
9.75%+ ............................. 50,000 6/15/2030 69,313
Ukraine Government Note,
7.65% .............................. 100,000 6/11/2013 96,000
United Mexican States Note,
8.30% .............................. 25,000 8/15/2031 27,000
-------------
2,267,603
-------------
Corporate 12.7%
Alcan Aluminum Ltd. Note,
6.13% ............................. 75,000 12/15/2033 73,838
Ametek Inc. Sr. Note, 7.20% ........ 50,000 7/15/2008 54,362
Arvinmeritor Inc. Note, 8.75% ...... 50,000 3/01/2012 54,000
AT&T Broadband Corp. Bond
Note, 9.46% ....................... 150,000 11/15/2022 195,155
Ball Corp. Note, 6.88% ............. 50,000 12/15/2012 51,063
Beckman Coulter Inc. Sr. Note,
7.45% ............................. 50,000 3/04/2008 55,610
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Bio Rad Laboratories Inc. Note,
7.50% .............................. $ 25,000 8/15/2013 $ 26,344
Boeing Co. Note, 8.75% .............. 75,000 8/15/2021 95,682
Boise Cascade Co. Note, 6.50%........ 50,000 11/01/2010 54,125
Bombardier Capital Inc. Note,
6.13%+ ............................. 175,000 6/29/2006 174,508
Briggs & Stratton Corp. Sr.
Note, 8.88% ........................ 50,000 3/15/2011 58,625
British Telecommunications
PLC Note, 8.88% .................... 75,000 12/15/2030 94,443
Cargill Inc. Note, 3.63%+ ........... 100,000 3/04/2009 97,055
Cargill Inc. Note, 4.38%+ ........... 125,000 6/01/2013 117,093
Centex Corp. Note, 7.88% ............ 100,000 2/01/2011 113,627
Comcast Corp. Note, 7.05% ........... 200,000 3/15/2033 210,822
Continental Airlines Inc. Note,
9.56% .............................. 150,000 9/01/2019 150,000
Cox Communications Inc.
Note, 7.75% ........................ 75,000 11/01/2010 85,583
D. R. Horton Inc. Sr. Note,
8.50% .............................. 125,000 4/15/2012 140,312
Dana Corp. Sr. Note, 9.00% .......... 100,000 8/15/2011 118,000
Deutsche Telekom BV Global
Note, 8.25% ........................ 100,000 6/15/2030 124,222
Dominion Resources Inc. Sr.
Note, 8.13% ........................ 325,000 6/15/2010 378,443
DTE Energy Co. Note, 6.45% .......... 175,000 6/01/2006 183,906
Echostar Dbs Corp. Note,
5.75% .............................. 100,000 10/01/2008 99,250
Encana Corp. Note, 6.50% ............ 75,000 8/15/2034 74,342
Entergy Gulf States Inc. Note,
3.60% .............................. 175,000 6/01/2008 170,553
Firstenergy Corp. Note, 6.45% ....... 100,000 11/15/2011 105,773
Fisher Scientific International
Inc. Note, 8.00% ................... 25,000 9/01/2013 27,344
FMC Corp. Note, 10.25% .............. 75,000 11/01/2009 86,625
General Electric Co. Note,
5.00% .............................. 450,000 2/01/2013 449,191
General Motors Acceptance
Corp. Note, 7.25% .................. 275,000 3/02/2011 289,241
General Motors Corp. Bond
Note, 8.25% ........................ 200,000 7/15/2023 207,807
Halliburton Co. Note, 2.41%+++ 125,000 1/26/2007 124,874
Hutchison Whampoa Ltd. Note,
6.25% .............................. 225,000 1/24/2014 221,436
Indiana Michigan Power Co.
Note, 6.13% ........................ 100,000 12/15/2006 105,875
International Paper Co. Note,
5.85% .............................. 175,000 10/30/2012 179,696
J C Penney Co., Inc. Note,
8.00% .............................. 75,000 3/01/2010 84,187
K2 Inc. Note, 7.38%+ ................ 100,000 7/01/2014 101,875
Lamar Media Corp. Note,
7.25% .............................. 75,000 1/01/2013 77,437
</Table>
The accompanying notes are an integral part of the financial statements.
12
<Page>
State Street Research Institutional
Core Plus Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
Loral Corp. Note, 7.00% ............. $ 50,000 9/15/2023 $ 53,911
Luscar Coal Ltd. Sr. Note,
9.75% .............................. 100,000 10/15/2011 112,500
Massey Energy Co. Note,
6.63% .............................. 50,000 11/15/2010 51,000
Meadwestvaco Corp. Note,
6.85% .............................. 100,000 4/01/2012 108,043
Motorola Inc. Note, 7.63% ........... 125,000 11/15/2010 142,298
Norfolk Southern Corp. Note,
6.00% .............................. 200,000 4/30/2008 212,991
Packaging Corp. of America
Note, 4.38% ........................ 100,000 8/01/2008 99,403
Perkinelmer Inc. Note, 8.88%+ ....... 50,000 1/15/2013 55,125
Plains All American Pipeline
Note, 7.75% ........................ 50,000 10/15/2012 56,436
Plains Exploration + Production
Co. Note, 7.13%+ ................... 75,000 6/15/2014 77,063
Progress Energy Inc. Sr. Note,
7.10% .............................. 150,000 3/01/2011 165,376
Pulte Homes Inc. Note, 6.38%......... 125,000 5/15/2033 116,504
Rogers Wireless Inc. Note,
6.38%+ ............................. 50,000 3/01/2014 46,625
Saks Inc. Note, 7.00% ............... 79,000 12/01/2013 77,420
Senior Housing Properties Trust
Sr. Note, 8.63% .................... 25,000 1/15/2012 27,313
Smithfield Foods Inc. Note,
7.00% .............................. 100,000 8/01/2011 101,625
Sprint Capital Corp. Note,
8.75% .............................. 175,000 3/15/2032 212,059
TCI Communications Inc. Deb.
Note, 7.88% ........................ 75,000 2/15/2026 85,666
Telecom de Puerto Rico Inc. Sr.
Note, 6.65% ........................ 300,000 5/15/2006 316,682
Telecom Italia Capital Inc.
Note, 6.38%+ ....................... 175,000 11/15/2033 172,242
Time Warner Enterprise Co.
Note, 8.38% ........................ 25,000 3/15/2023 29,047
Time Warner Inc. Note, 9.15%......... 250,000 2/01/2023 311,765
Tyco International Group S A
Note, 6.38% ........................ 175,000 10/15/2011 188,047
Verizon Global Funding Corp.
Note, 7.75% ........................ 250,000 12/01/2030 286,850
Weyerhaeuser Co. Note, 7.38%......... 75,000 3/15/2032 82,781
-------------
8,301,096
-------------
Total Fixed Income Securities (Cost $63,756,968) 64,167,328
-------------
</Table>
<Table>
<Caption>
- --------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER 22.7%
American Express Credit Corp.,
1.26% .............................. $1,066,000 8/12/2004 $1,065,590
E.I. Du Pont De Nemours &
Co., 1.44% ......................... 1,371,000 9/23/2004 1,368,093
Federal Home Loan Mortgage,
1.24% .............................. 1,500,000 8/17/2004 1,499,173
General Electric Capital Corp.,
1.32% .............................. 1,380,000 8/19/2004 1,379,089
Goldman Sachs Group Inc.,
1.30% .............................. 221,000 8/13/2004 220,904
Goldman Sachs Group Inc.,
1.13% .............................. 1,602,000 8/23/2004 1,600,894
Goldman Sachs Group Inc.,
1.37% .............................. 1,000,000 8/25/2004 999,087
International Lease Finance
Corp. 1.25% ........................ 1,126,000 8/05/2004 1,125,844
International Lease Finance
Corp. 1.39% ........................ 1,339,000 9/07/2004 1,337,087
Toronto Dominion Holdings,
Inc., 1.27% ........................ 1,900,000 8/02/2004 1,899,933
UBS Finance Inc., 1.27% ............. 1,500,000 8/10/2004 1,499,526
UBS Finance Inc., 1.35% ............. 424,000 8/23/2004 423,650
UBS Finance Inc., 1.45% ............. 452,000 9/07/2004 451,326
-------------
Total Commercial Paper (Cost $14,870,196) 14,870,196
-------------
- --------------------------------------------------------------------------------
Shares
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS 10.3%
State Street Navigator Securities Lending
Prime Portfolio ................................ 6,710,825 6,710,825
-------------
Total Short-Term Investments (Cost $6,710,825) 6,710,825
-------------
Total Investments (Cost $85,337,989) - 131.0% 85,748,349
Cash and Other Assets, Less Liabilities - (31.0%) (20,268,533)
-------------
Net Assets - 100.0% $65,479,816
=============
Federal Income Tax Information:
At July 31, 2004, the net unrealized appreciation
of investments based on cost for Federal income tax
purposes of $85,481,389 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $ 761,922
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (494,962)
-------------
$ 266,960
=============
</Table>
The accompanying notes are an integral part of the financial statements.
13
<Page>
State Street Research Institutional
Core Plus Fixed Income Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
*A portion of this security was pledged and segregated with the custodian to
cover margin requirements for futures contracts at July 31, 2004.
++Interest rates on these floating-rate bonds will reset annually or biannually
based on the six month London Interbank Offered Rate (LIBOR) plus .8125%.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at July 31, 2004, were $3,432,748 and $3,535,611 (5.40% of net assets),
respectively.
Futures contracts open at July 31, 2004 are as follows:
<Table>
<Caption>
Unrealized
Number of Notional Expiration Appreciation
Type Contracts Amount Month (Depreciation)
- ----------------------------------------------------------------------------------------------------------------------
2-Year U.S. Treasury Notes Long 8 $ 1,689,000 September 2004 $ 5,334
10-Year U.S. Treasury Notes Long 18 1,936,688 September 2004 48,799
5-Year U.S. Treasury Notes Short (4) (438,000) September 2004 (7,267)
10-Year U.S. Treasury Notes Short (14) (1,550,063) September 2004 (27,091)
---------
$ 19,775
=========
</Table>
Forward currency exchange contracts outstanding at July 31, 2004 are as
follows:
<Table>
<Caption>
Unrealized
Appreciation Delivery
Transaction Total Value Contract Price (Depreciation) Date
- ----------------------------------------------------------------------------------------------------------------------
Buy Canadian Dollar, Sell U.S. dollars 150,000 CAD 1.32900 CAD $ 5 12/01/04
Buy Euro, Sell U.S. dollars 75,000 0.83119 EUR (152) 08/19/04
Buy Yen, Sell U.S. dollars 25,000,000 111.37500 (1) 10/20/04
-----
$(148)
=====
</Table>
Options open at July 31, 2004 are as follows:
<Table>
<Caption>
Number of Expiration
Type Contracts Premium Month Value
- ----------------------------------------------------------------------------------------------------------------------
10-Year U.S. Treasury Futures Call (52) $ (40,091) August 2004 $ (36,563)
10-Year U.S. Treasury Futures Put (52) (53,998) August 2004 (51,187)
--------- ---------
$ (94,089) $ (87,750)
========= =========
</Table>
The accompanying notes are an integral part of the financial statements.
14
<Page>
State Street Research Institutional
Large Cap Growth Fund
- --------------------------------------------------------------------------------
Investment Portfolio July 31, 2004 (Unaudited)
<Table>
<Caption>
Value
Shares (Note 1)
- -------------------------------------------------------------------
COMMON STOCKS 96.8%
Automobiles & Transportation 0.5%
Air Transport 0.5%
Expeditors International Washington Inc. 460 $21,349
----------
Total Automobiles & Transportation 21,349
----------
Consumer Discretionary 21.2%
Casinos/Gambling, Hotel/Motel 3.4%
International Game Technology Inc. ...... 1,714 55,430
Marriott International Inc. ............. 1,210 59,048
Starwood Hotels + Resorts Inc. .......... 440 19,800
----------
134,278
----------
Commercial Services 2.6%
eBay Inc.* .............................. 610 47,781
InterActivecorp. ........................ 271 7,398
Manpower Inc.* .......................... 1,041 45,336
----------
100,515
----------
Communications, Media & Entertainment 1.7%
Walt Disney Co. ......................... 2,820 65,114
----------
Consumer Electronics 3.0%
Harman International Inc. ............... 430 36,864
Yahoo!, Inc.* ........................... 2,610 80,388
----------
117,252
----------
Printing & Publishing 2.4%
News Corp. Ltd. ADR ..................... 2,750 93,225
----------
Restaurants 0.9%
Starbucks Corp.* ........................ 780 36,629
----------
Retail 4.4%
Nordstrom Inc. .......................... 820 35,998
Petsmart Inc. ........................... 650 20,157
Staples Inc.* ........................... 1,530 44,186
Target Corp. ............................ 1,620 70,632
----------
170,973
----------
Shoes 1.1%
Nike Inc. Cl. B ......................... 580 42,172
----------
Textile Apparel Manufacturers 1.7%
Coach Inc.* ............................. 672 28,755
Polo Ralph Lauren Corp. ................. 1,170 38,563
----------
67,318
----------
Total Consumer Discretionary 827,476
----------
Consumer Staples 5.8%
Beverages 2.1%
Coca-Cola Co. ........................... 1,860 81,580
----------
</Table>
<Table>
<Caption>
Value
Shares (Note 1)
- -------------------------------------------------------------------
Household Products 3.7%
Clorox Co. .............................. 977 $48,625
Procter & Gamble Co. .................... 1,854 96,686
----------
145,311
----------
Total Consumer Staples 226,891
----------
Financial Services 13.8%
Banks & Savings & Loan 0.9%
Goldman Sachs Group Inc. ................ 400 35,276
----------
Financial Data Processing Services & Systems 2.4%
Alliance Data Systems Corp. ............. 770 30,577
First Data Corp. ........................ 1,400 62,454
----------
93,031
----------
Insurance 2.1%
American International Group Inc. ....... 1,182 83,508
----------
Miscellaneous Financial 7.8%
American Express Co. .................... 1,379 69,294
Citigroup Inc. .......................... 1,720 75,835
Federal National Mortgage Association ... 430 30,513
MBNA Corp. .............................. 1,910 47,158
Providian Financial Corp. ............... 2,420 33,493
SLM Corp. ............................... 1,343 50,926
----------
307,219
----------
Securities Brokerage & Services 0.6%
Ameritrade Holding Corp.* ............... 2,030 22,513
----------
Total Financial Services 541,547
----------
Health Care 20.8%
Drugs & Biotechnology 15.0%
Allergan Inc. ........................... 623 47,124
Amgen Inc.* ............................. 367 20,875
Biogen Idec Inc.* ....................... 1,090 65,400
Charles River Laboratories
International, Inc. .................... 930 41,915
Chiron Corp.* ........................... 720 32,998
Elan Plc ................................ 1,020 20,961
Genentech, Inc.* ........................ 390 18,985
IVAX Corp.* ............................. 860 20,511
Johnson & Johnson Ltd. .................. 840 46,427
Novartis AG ADR ......................... 2,186 97,627
Pfizer Inc. ............................. 5,385 172,104
----------
584,927
----------
Health Care Services 3.7%
Caremark Rx Inc.* ....................... 2,160 65,880
Unitedhealth Group Inc. ................. 1,250 78,625
----------
144,505
----------
</Table>
The accompanying notes are an integral part of the financial statements.
15
<Page>
State Street Research Institutional
Large Cap Growth Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
Value
Shares (Note 1)
- -------------------------------------------------------------------
Hospital Supply 2.1%
Alcon Inc.* ............................. 280 $21,448
Guidant Corp. ........................... 1,100 60,852
----------
82,300
----------
Total Health Care 811,732
----------
Materials & Processing 1.1%
Agriculture 1.1%
Monsanto Co. ............................ 1,150 41,699
----------
Total Materials & Processing 41,699
----------
Other 5.9%
Multi-Sector 5.9%
General Electric Co. .................... 4,251 141,346
Tyco International Ltd. ................. 2,860 88,660
----------
Total Other 230,006
----------
Other Energy 5.7%
Gas Pipelines 2.7%
EOG Resources Inc. ...................... 1,650 104,857
----------
Miscellaneous Energy 1.4%
Consol Energy Inc. ...................... 1,520 54,477
----------
Oil & Gas Producers 1.6%
Burlington Resources Inc. ............... 636 24,276
Newfield Exploration Co.* ............... 700 41,349
----------
65,625
----------
Total Other Energy 224,959
----------
Technology 20.6%
Communications Technology 5.9%
Cisco Systems Inc.* ..................... 6,195 129,228
Juniper Networks Inc.* .................. 1,650 37,884
Qualcomm Inc. ........................... 920 63,553
----------
230,665
----------
Computer Software 6.9%
Microsoft Corp. ......................... 5,952 169,394
Oracle Systems Corp.* ................... 4,490 47,190
Red Hat Inc.* ........................... 1,240 21,229
Symantec Corp.* ......................... 650 30,394
----------
268,207
----------
Computer Technology 1.6%
Dell Inc.* .............................. 1,140 40,436
Zebra Technologies Corp. Cl. A* ......... 250 20,657
----------
61,093
----------
Electronics 1.9%
Flextronics International Ltd.* ......... 1,740 21,872
General Dynamics Corp. .................. 550 54,351
----------
76,223
----------
</Table>
<Table>
<Caption>
Value
Shares (Note 1)
- -------------------------------------------------------------------
Electronics: Semiconductors/Components 4.3%
Intel Corp. ............................. 3,049 $74,335
Linear Technology Corp. ................. 1,872 73,195
PMC Sierra Inc.* ........................ 1,680 19,958
----------
167,488
----------
Total Technology 803,676
----------
Utilities 1.4%
Cable Television & Radio 0.7%
Comcast Corp.* .......................... 1,010 27,068
----------
Telecommunications 0.7%
Sprint Corp. ............................ 1,520 28,394
----------
Total Utilities
55,462
----------
Total Common Stocks (Cost $3,437,003)
3,784,797
------------
SHORT-TERM INVESTMENTS 4.1%
State Street Navigator Securities Lending
Prime Portfolio ........................ 161,495 161,495
----------
Total Short-Term Investments (Cost $161,495)
161,495
----------
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------
Principal Maturity
Amount Date
- -------------------------------------------------------------------
COMMERCIAL PAPER 3.1%
American Express
Credit Corp., 1.25% $120,000 8/03/2004 119,992
----------
Total Commercial Paper (Cost $119,992) 119,992
----------
Investments (Cost $3,718,490) - 104.0% 4,066,284
Cash and Other Assets, Less Liabilities - (4.0%) (156,072)
----------
Net Assets - 100.0% $3,910,212
==========
</Table>
<Table>
Federal Income Tax Information:
At July 31, 2004, the net unrealized appreciation
of investments based on cost for Federal income tax
purposes of $3,720,441 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $ 435,113
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (89,270)
----------
$ 345,843
==========
</Table>
- --------------------------------------------------------------------------------
*Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
The accompanying notes are an integral part of the financial statements.
16
<Page>
State Street Research Institutional
Large Cap Analyst Fund
- --------------------------------------------------------------------------------
Investment Portfolio July 31, 2004 (Unaudited)
<Table>
<Caption>
- -------------------------------------------------------------------
Value
Shares (Note 1)
- -------------------------------------------------------------------
COMMON STOCKS 99.7%
Automobiles & Transportation 1.0%
Railroads 1.0%
Union Pacific Corp. ..................... 1,480 $ 83,383
----------
Total Automobiles & Transportation 83,383
----------
Consumer Discretionary 13.6%
Casinos/Gambling, Hotel/Motel 0.8%
International Game Technology Inc. ...... 1,880 60,799
----------
Commercial Services 1.6%
InterActivecorp. ........................ 4,510 123,123
----------
Communications, Media & Entertainment 1.8%
Univision Communications Inc. Cl. A* .... 1,350 39,110
Walt Disney Co. ......................... 4,650 107,368
----------
146,478
----------
Consumer Electronics 1.4%
Yahoo!, Inc.* ........................... 3,580 110,264
----------
Printing & Publishing 1.2%
News Corp. Ltd. ADR ..................... 2,850 96,615
----------
Restaurants 1.1%
McDonald's Corp. ........................ 3,290 90,475
----------
Retail 4.8%
Bed Bath & Beyond Inc.* ................. 2,020 71,488
Best Buy Company Inc. ................... 1,330 64,053
Federated Department Stores Inc. ........ 1,210 57,983
Home Depot Inc. ......................... 2,990 100,823
Lowes Companies Inc. .................... 820 39,950
Nordstrom Inc. .......................... 1,150 50,485
----------
384,782
----------
Textile Apparel Manufacturers 0.9%
Coach Inc.* ............................. 1,746 74,712
----------
Total Consumer Discretionary 1,087,248
----------
Consumer Staples 7.2%
Beverages 2.1%
Coca-Cola Co. ........................... 1,545 67,764
PepsiCo Inc. ............................ 2,045 102,250
----------
170,014
----------
Drug & Grocery Store Chains 1.4%
CVS Corp. ............................... 2,590 108,443
----------
Foods 1.0%
Kellogg Co. ............................. 850 35,411
Sara Lee Corp. .......................... 1,870 41,065
----------
76,476
----------
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------
Value
Shares (Note 1)
- -------------------------------------------------------------------
Household Products 1.9%
Clorox Co. .............................. 890 $ 44,295
Procter & Gamble Co. .................... 2,070 107,951
----------
152,246
----------
Tobacco 0.8%
Altria Group Inc. ....................... 1,400 66,640
----------
Total Consumer Staples 573,819
----------
Financial Services 21.6%
Banks & Savings & Loan 5.8%
Bank of America Corp. ................... 2,000 170,020
Bank of New York Co., Inc. .............. 2,760 79,295
Fifth Third Bancorp. .................... 1,150 56,764
J.P. Morgan Chase & Co. ................. 3,130 116,843
Wachovia Corp. .......................... 880 38,993
----------
461,915
----------
Financial Data Processing Services & Systems 1.9%
DST Systems Inc. ........................ 1,320 60,139
First Data Corp. ........................ 2,120 94,573
----------
154,712
----------
Insurance 4.5%
AFLAC Inc. .............................. 950 37,658
Allstate Corp. .......................... 1,100 51,788
American International Group Inc. ....... 2,420 170,973
Hartford Financial Services Group Inc. .. 1,540 100,254
----------
360,673
----------
Miscellaneous Financial 8.4%
AMBAC Financial Group Inc. .............. 1,150 81,776
American Express Co. .................... 2,560 128,640
Citigroup Inc. .......................... 4,410 194,437
Federal Home Loan Mortgage Corp. ........ 1,020 65,596
Federal National Mortgage Association ... 610 43,286
MBNA Corp. .............................. 1,850 45,676
Morgan Stanley Dean Witter Inc. ......... 1,460 72,022
Willis Group Holdings Ltd. .............. 1,280 44,544
----------
675,977
----------
Securities Brokerage & Services 1.0%
Lehman Brothers Holdings Inc. ........... 1,120 78,512
----------
Total Financial Services 1,731,789
----------
</Table>
The accompanying notes are an integral part of the financial statements.
17
<Page>
State Street Research Institutional
Large Cap Analyst Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- --------------------------------------------------------------------------------
Value
Shares (Note 1)
- --------------------------------------------------------------------------------
Health Care 14.6%
Drugs & Biotechnology 9.9%
Amgen Inc.* ............................. 1,670 $ 94,990
Biogen Idec Inc.* ....................... 1,004 60,240
Charles River Laboratories
International, Inc. .................... 1,530 68,957
Chiron Corp. ............................ 1,350 61,870
Elan Plc ................................ 2,590 53,225
Gilead Sciences Inc.* ................... 1,120 72,397
IVAX Corp.* ............................. 2,660 63,441
Novartis AG ADR ......................... 3,940 175,960
Pfizer Inc. ............................. 4,455 142,382
----------
793,462
----------
Health Care Services 2.4%
Aetna Inc. .............................. 490 42,042
Caremark Rx Inc.* ....................... 2,040 62,220
Medco Health Solutions Inc.* ............ 1,490 45,147
Wellpoint Health Networks Inc. Cl. A* ... 430 43,473
----------
192,882
----------
Hospital Supply 2.3%
Boston Scientific Corp.* ................ 1,150 43,999
Guidant Corp. ........................... 1,600 88,512
Medtronic Inc. .......................... 980 48,676
----------
181,187
----------
Total Health Care 1,167,531
----------
Integrated Oils 4.1%
Integrated International 4.1%
Exxon Mobil Corp. ....................... 5,340 247,242
Total Fina SA ADR ....................... 810 78,853
----------
Total Integrated Oils 326,095
----------
Materials & Processing 3.9%
Chemicals 2.6%
Air Products & Chemicals Inc. ........... 760 39,330
Dow Chemical Co. ........................ 2,510 100,124
Sherwin Williams Co. .................... 1,740 70,261
----------
209,715
----------
Containers & Packaging 0.5%
Sealed Air Corp. ........................ 890 42,222
----------
Paper & Forest Products 0.8%
International Paper Co. ................. 1,460 63,116
----------
Total Materials & Processing 315,053
----------
Other 6.4%
Multi-Sector 6.4%
General Electric Co. .................... 8,350 277,637
Honeywell International Inc. ............ 3,760 141,414
ITT Industries Inc. ..................... 1,180 94,341
----------
Total Other 513,392
----------
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------
Value
Shares (Note 1)
- -------------------------------------------------------------------
Other Energy 3.3%
Miscellaneous Energy 0.9%
Consol Energy Inc. ...................... 1,120 $ 40,141
Peabody Energy Corp. .................... 600 33,708
----------
73,849
----------
Oil & Gas Producers 1.8%
EOG Resources Inc. ...................... 2,225 141,399
----------
Oil Well Equipment & Services 0.6%
Halliburton Co. ......................... 1,420 45,085
----------
Total Other Energy 260,333
----------
Producer Durables 4.0%
Industrial Products 0.5%
American Power Conversion Corp. ......... 2,870 43,337
----------
Machinery 1.5%
AGCO Corp.* ............................. 2,180 45,606
Illinois Tool Works Inc. ................ 800 72,416
----------
118,022
----------
Production Technology Equipment 2.0%
Applied Materials Inc.* ................. 5,170 87,735
Lam Research Corp.* ..................... 3,045 72,623
----------
160,358
----------
Total Producer Durables 321,717
----------
Technology 12.6%
Communications Technology 2.6%
Cisco Systems Inc.* ..................... 6,890 143,725
Qualcomm Inc.* .......................... 850 58,718
----------
202,443
----------
Computer Software 4.4%
Microsoft Corp. ......................... 8,460 240,771
Oracle Corp.* ........................... 5,330 56,018
Symantec Corp.* ......................... 1,210 56,580
----------
353,369
----------
Computer Technology 3.1%
Dell Inc.* .............................. 1,780 63,137
EMC Corp.* .............................. 4,555 49,968
Hewlett-Packard Co. ..................... 2,590 52,189
IBM Corp. ............................... 960 83,587
----------
248,881
----------
</Table>
The accompanying notes are an integral part of the financial statements.
18
<Page>
State Street Research Institutional
Large Cap Analyst Fund
- --------------------------------------------------------------------------------
Investment Portfolio (cont'd) July 31, 2004 (Unaudited)
<Table>
<Caption>
- -------------------------------------------------------------------
Value
Shares (Note 1)
- -------------------------------------------------------------------
Electronics: Semiconductors/Components 2.5%
Linear Technology Corp. ................. 1,785 $ 69,794
Maxim Integrated Products Inc.* ......... 1,330 63,973
Taiwan Semiconductor Manufacturing
Co. Ltd. * ............................. 9,500 67,640
----------
201,407
----------
Total Technology 1,006,100
----------
Utilities 7.4%
Cable Television & Radio 2.4%
Comcast Corp. ........................... 4,150 113,710
Cox Communications Inc. Cl. A* .......... 2,850 78,603
----------
192,313
----------
Electrical 0.9%
Exelon Corp. ............................ 2,040 71,196
----------
</Table>
<Table>
<Caption>
- -------------------------------------------------------------------
Value
Shares (Note 1)
- -------------------------------------------------------------------
Telecommunications 4.1%
Nextel Communications Inc. Cl. A* ....... 2,250 $ 51,210
SBC Communications Inc. ................. 4,390 111,242
Sprint Corp. ............................ 3,850 71,918
Verizon Communications Inc. ............. 2,440 94,038
-----------
328,408
-----------
Total Utilities 591,917
-----------
Total Common Stocks and Investments
(Cost $7,656,754) - 99.7% 7,978,377
Cash and Other Assets, Less Liabilities - 0.3% 27,476
----------
Net Assets - 100.0% $8,005,853
===========
Federal Income Tax Information:
At July 31, 2004, the net unrealized appreciation
of investments based on cost for Federal income tax
purposes of $7,693,716 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost $ 559,261
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value (274,600)
-----------
$ 284,661
===========
</Table>
- --------------------------------------------------------------------------------
*Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
The accompanying notes are an integral part of the financial statements.
19
<Page>
State Street Research
Institutional Funds
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities July 31, 2004 (Unaudited)
<Table>
<Caption>
State Street Research State Street Research
Institutional Institutional
Core Fixed Core Plus Fixed
Income Fund Income Fund
---------------------- -----------------------
Assets
Investments, at value (Note 1) ............................. $ 98,273,681 $85,748,349
Cash ....................................................... 11,042 -
Receivable for securities sold ............................. 1,557,612 2,189,983
Interest and dividends receivable .......................... 539,278 515,320
Receivable for variation margin ............................ - 6,556
Other assets ............................................... 1,336 -
------------ -----------
100,382,949 88,460,208
Liabilities
Payable for collateral received on securities loaned ....... 12,194,374 6,710,825
Payable to custodian (Note 1) .............................. - 74,872
Payable for securities purchased ........................... 16,718,113 16,090,127
Options written, at value (premium $108,475
and $94,089) .............................................. 101,250 87,750
Accrued management fee (Note 2) ............................ 15,064 16,670
Payable for variation margin ............................... 3,024 -
Payable for open forward contracts ......................... - 148
------------ -----------
29,031,825 22,980,392
------------ -----------
Net Assets $ 71,351,124 $65,479,816
============ ===========
Net assets consist of:
Undistributed net investment income ....................... $ 440,617 $ 482,472
Unrealized appreciation of investments .................... 341,904 410,360
Unrealized appreciation of futures contracts and
options .................................................. 23,071 26,114
Unrealized depreciation of foreign currency ............... - (148)
Accumulated net realized loss ............................. (840,442) (781,264)
Paid-in capital ........................................... 71,385,974 65,342,282
------------ -----------
$ 71,351,124 $65,479,816
============ ===========
Shares ..................................................... 6,867,295 6,401,351
============ ===========
Net Asset Value and redemption price per share of .......... $ 10.39 $ 10.23
============ ===========
Cost of Investments ........................................ $ 97,931,777 $85,337,989
============ ===========
<Caption>
State Street Research State Street Research
Institutional Institutional
Large Cap Large Cap
Growth Fund Analyst Fund
----------------------- -----------------------
Assets
Investments, at value (Note 1) ............................. $ 4,066,284 $7,978,377
Cash ....................................................... 17,247 135,889
Receivable for securities sold ............................. 71,394 8,014
Interest and dividends receivable .......................... 2,280 7,009
Receivable for variation margin ............................ - -
Other assets ............................................... 62 709
------------ ----------
4,157,267 8,129,998
Liabilities
Payable for collateral received on securities loaned ....... 161,495 -
Payable to custodian (Note 1) .............................. - -
Payable for securities purchased ........................... 84,087 121,144
Options written, at value (premium $108,475
and $94,089) .............................................. - -
Accrued management fee (Note 2) ............................ 1,473 3,001
Payable for variation margin ............................... - -
Payable for open forward contracts ......................... - -
------------ ----------
247,055 124,145
------------ ----------
Net Assets $ 3,910,212 $8,005,853
============ ==========
Net assets consist of:
Undistributed net investment income ....................... $ 4,870 $ 33,629
Unrealized appreciation of investments .................... 347,794 321,623
Unrealized appreciation of futures contracts and
options .................................................. - -
Unrealized depreciation of foreign currency ............... - -
Accumulated net realized loss ............................. (2,714,212) (305,899)
Paid-in capital ........................................... 6,271,760 7,956,500
------------ ----------
$ 3,910,212 $8,005,853
============ ==========
Shares ..................................................... 655,342 817,516
============ ==========
Net Asset Value and redemption price per share of .......... $ 5.97 $ 9.79
============ ==========
Cost of Investments ........................................ $ 3,718,490 $7,656,754
============ ==========
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
State Street Research
Institutional Funds
- --------------------------------------------------------------------------------
Statements of Operations
For the six months ended July 31, 2004 (Unaudited)
<Table>
<Caption>
State Street Research State Street Research
Institutional Institutional
Core Fixed Core Plus Fixed
Income Fund Income Fund
---------------------- -----------------------
Investment Income
Interest (Note 1) .......................................... $1,100,903 $ 1,117,404
Dividends* ................................................. - -
---------- ------------
1,100,903 1,117,404
Expenses
Management fee (Note 2) .................................... 88,455 100,745
---------- ------------
Net investment income ...................................... 1,012,448 1,016,659
---------- ------------
Realized and Unrealized Gain (Loss)
on Investments, Foreign Currency,
Futures Contracts and Options
Net realized gain (loss) on investments
(Notes 1 and 4) ........................................... (43,718) 182,152
Net realized loss on futures contracts and options
(Note 1) .................................................. (86,227) (146,035)
Net realized loss on foreign currency and
forward contracts ......................................... - (4,414)
---------- ------------
Total net realized gain (loss) ............................ (129,945) 31,703
---------- ------------
Change in unrealized depreciation of investments ........... (820,512) (1,064,749)
Change in unrealized appreciation of futures contracts
and options ............................................... 17,085 41,834
Change in unrealized depreciation of foreign currency
and forward contracts ..................................... - (1,024)
---------- ------------
Total change in unrealized depreciation ................... (803,427) (1,023,939)
---------- ------------
Net loss on investments, foreign currency and forward
contracts ................................................. (933,372) (992,236)
---------- ------------
Net increase (decrease) in net assets resulting
from operations ........................................... $ 79,076 $ 24,423
========== ============
<Caption>
State Street Research State Street Research
Institutional Institutional
Large Cap Large Cap
Growth Fund Analyst Fund
----------------------- -----------------------
Investment Income
Interest (Note 1) .......................................... $ 610 $ 171
Dividends* ................................................. 15,496 51,032
---------- ----------
16,106 51,203
Expenses
Management fee (Note 2) .................................... 8,892 17,329
---------- ----------
Net investment income ...................................... 7,214 33,874
---------- ----------
Realized and Unrealized Gain (Loss)
on Investments, Foreign Currency,
Futures Contracts and Options
Net realized gain (loss) on investments
(Notes 1 and 4) ........................................... 217,986 532,780
Net realized loss on futures contracts and options
(Note 1) .................................................. - -
Net realized loss on foreign currency and
forward contracts ......................................... - -
---------- ----------
Total net realized gain (loss) ............................ 217,986 532,780
---------- ----------
Change in unrealized depreciation of investments ........... (339,167) (608,040)
Change in unrealized appreciation of futures contracts
and options ............................................... - -
Change in unrealized depreciation of foreign currency
and forward contracts ..................................... - -
---------- ----------
Total change in unrealized depreciation ................... (339,167) (608,040)
---------- ----------
Net loss on investments, foreign currency and forward
contracts ................................................. (121,181) (75,260)
---------- ----------
Net increase (decrease) in net assets resulting
from operations ........................................... $ (113,967) $ (41,386)
========== ==========
</Table>
* Dividend income is net of foreign withholding taxes of $0, $0, $351 and $769,
respectively.
The accompanying notes are an integral part of the financial statements.
21
<Page>
State Street Research
Institutional Funds
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
<Table>
<Caption>
State Street Research Institutional State Street Research Institutional
Core Fixed Income Fund Core Plus Fixed Income Fund
------------------------------------- -----------------------------------
Six Months Ended Six Months Ended
July 31, 2004 Year Ended July 31, 2004 Year Ended
(Unaudited) January 31, 2004 (Unaudited) January 31, 2004
------------------ ------------------ ----------------- -----------------
Increase (Decrease) in Net Assets
Operations:
Net investment income ............................ $ 1,012,448 $ 1,927,381 $ 1,016,659 $ 2,269,887
Net realized gain (loss) on investments, foreign
currency, futures contracts and options ......... (129,945) 1,736,594 31,703 2,403,035
Change in unrealized depreciation of investments,
foreign currency, forward contracts and futures
contracts ....................................... (803,427) (651,994) (1,023,939) (336,584)
------------ ------------ ------------ ------------
Net increase resulting from operations ........... 79,076 3,011,981 24,423 4,336,338
------------ ------------ ------------ ------------
Dividends from net investment income ............. (1,347,740) (2,381,270) (1,412,732) (2,627,353)
------------ ------------ ------------ ------------
Distributions from capital gains ................. (695,928) (1,670,277) (1,016,789) (1,756,586)
------------ ------------ ------------ ------------
Share Transactions:
Proceeds from sale of shares ..................... - 12,233,336 - 19,564,569
Net asset value of shares issued in payment of:
Dividends from net investment income ............ 1,347,240 2,380,192 1,412,182 2,626,226
Distributions from capital gains ................ 695,666 1,669,534 1,016,396 1,755,859
Cost of shares repurchased ....................... (31,857) (1,302,634) (5,600,000) (8,250,038)
------------ ------------ ------------ ------------
Net increase (decrease) from fund share
transactions (Note 5) ........................... 2,011,049 14,980,428 (3,171,422) 15,696,616
------------ ------------ ------------ ------------
Total increase (decrease) in net assets .......... 46,457 13,940,862 (5,576,520) 15,649,015
Net Assets
Beginning of period .............................. 71,304,667 57,363,805 71,056,336 55,407,321
------------ ------------ ------------ ------------
End of period* ................................... $ 71,351,124 $ 71,304,667 $ 65,479,816 $ 71,056,336
============ ============ ============ ============
Number of shares:
Sold ............................................ - 1,136,330 - 1,857,628
Issued upon reinvestment of:
Dividends from net investment income ............ 128,618 220,692 136,741 246,205
Distribution from capital gains ................. 65,198 156,865 96,524 166,281
Repurchased ..................................... (3,030) (118,735) (536,894) (773,076)
------------ ------------ ------------ ------------
Net increase in fund shares ...................... 190,786 1,395,152 (303,629) 1,497,038
============ ============ ============ ============
</Table>
* Including undistributed net investment income of $440,617, $123,200, $482,472
and $286,205, respectively.
The accompanying notes are an integral part of the financial statements.
22
<Page>
State Street Research
Institutional Funds
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (cont'd)
<Table>
<Caption>
State Street Research Institutional State Street Research Institutional
Large Cap Growth Fund Large Cap Analyst Fund
------------------------------------- -----------------------------------
Six Months Ended Six Months Ended
July 31, 2004 Year Ended July 31, 2004 Year Ended
(Unaudited) January 31, 2004 (Unaudited) January 31, 2004
------------------ ------------------ ----------------- -----------------
Increase (Decrease) in Net Assets
Operations:
Net investment income ............................ $ 7,214 $ 49,984 $ 33,874 $ 60,814
Net realized gain on investments ................. 217,986 2,637,564 532,780 335,646
Change in unrealized appreciation (depreciation)
of investments .................................. (339,167) 1,426,185 (608,040) 1,571,624
---------- -------------- ---------- ---------
Net increase (decrease) resulting from operations (113,967) 4,113,733 (41,386) 1,968,084
---------- -------------- ---------- ---------
Dividends from net investment income ............. - (59,197) (3,892) (60,695)
---------- -------------- ---------- ---------
Share Transactions:
Proceeds from sale of shares ..................... - - 538,447 400,000
Net asset value of shares issued in payment of:
Dividends from net investment income ............ - 10,702 1,392 20,695
Cost of shares repurchased ....................... - (16,697,708) - (31)
---------- -------------- ---------- ---------
Net increase (decrease) from fund share
transactions (Note 5) ........................... - (16,687,006) 539,839 420,664
---------- -------------- ---------- ---------
Total increase (decrease) in net assets .......... (113,967) (12,632,470) 494,561 2,328,053
Net Assets
Beginning of period .............................. 4,024,179 16,656,649 7,511,292 5,183,239
---------- -------------- ---------- ---------
End of period* ................................... $3,910,212 $ 4,024,179 $8,005,853 $7,511,292
========== ============== ========== ==========
Number of shares:
Sold ............................................ - - 53,897 43,478
Issued upon reinvestment of:
Dividends from net investment income ............ - 2,263 139 2,209
Repurchased ..................................... - (2,924,904) - (3)
---------- -------------- ---------- ---------
Net increase (decrease) in fund shares ........... - (2,922,641) 54,036 45,684
========== ============== ========== =========
</Table>
* (Including undistributed net investment income (loss) of $4,870 and $(2,344),
and $33,629 and $3,647, respectively).
The accompanying notes are an integral part of the financial statements.
23
<Page>
State Street Research
Institutional Funds
- --------------------------------------------------------------------------------
Notes to Unaudited Financial Statements July 31, 2004
Note 1
State Street Research Institutional Funds (the "Trust") is organized as a
Massachusetts business trust, and registered under the Investment Company Act
of 1940, as amended, as an open-end management investment company. The Trust
consists presently of four separate funds: State Street Research Institutional
Core Fixed Income Fund (the "Institutional Core Fixed Fund"), State Street
Research Institutional Core Plus Fixed Income Fund (the "Institutional Core
Plus Fund"), State Street Research Institutional Large Cap Growth Fund (the
"Institutional Large Cap Growth Fund") and State Street Research Institutional
Large Cap Analyst Fund (the "Institutional Large Cap Analyst Fund")
(collectively, the "Funds"). State Street Research & Management Company (the
"Adviser"), an investment management subsidiary of MetLife, Inc. ("MetLife"),
serves as the funds' investment manager.
The investment objectives of the Funds are as follows: The Institutional Core
Fixed Fund and the Institutional Core Plus Fund seek competitive total returns
primarily from investing in fixed income securities. The Institutional Large
Cap Growth Fund and the Institutional Large Cap Analyst Fund seek to provide
long-term growth of capital.
Each fund offers one class of shares. The minimum investment in each fund is
$1,000,000, unless the Funds' investment manager allows a lower amount at its
discretion.
The following significant accounting policies are consistently followed by the
Funds in preparing their financial statements, and such policies are in
conformity with accounting principles generally accepted in the United States
of America.
A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("NASDAQ") system are valued at closing prices
supplied through such system. If not quoted on the NASDAQ system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Investments in State Street Navigator Securities Lending
Prime Portfolio are valued at its closing net asset value per share on the day
of valuation. Fixed Income securities are valued by a pricing service, which
utilizes market transactions, quotations from dealers, and various
relationships among securities in determining value. Short-term securities
maturing within sixty days are valued at amortized cost. Other securities, if
any, are valued at their fair value as determined in good faith under
consistently applied procedures established by and under the supervision of the
Trustees. If trading or events occurring in other markets after the close of
the principal market in which foreign securities are traded and before the
close of business of the fund are expected to materially affect the value of
those securities, then they are valued at their fair value taking this trading
or these events into account.
B. Forward Contracts and Foreign Currencies
A Fund enters into forward foreign exchange contracts in order to hedge its
exposure to changes in foreign currency exchange rates on its foreign portfolio
holdings and to hedge certain purchase and sale commitments denominated in
foreign currencies. A forward foreign currency exchange contract is an
obligation by a fund to purchase or sell a specific currency at a future date,
which may be any fixed number of days from the origination date of the
contract. Forward foreign currency exchange contracts establish an exchange
rate at a future date. These contracts are transferable in the interbank market
conducted directly between currency traders (usually large commercial banks)
and their customers. Risk may arise from the potential liability of a
counterparty to meet the terms of a contract and from unanticipated movements
in the value of foreign currencies relative to the U.S. dollar. The aggregate
principal amount of forward currency exchange contracts is recorded in a fund's
accounts. All commitments are marked-to-market at the applicable transaction
rates resulting in unrealized gains or losses. The fund records realized gains
or losses at the time the forward contracts are extinguished by entry into a
closing contract or by delivery of the currency. Neither spot transactions nor
forward currency exchange contracts eliminate fluctuations in the prices of a
fund's portfolio securities or in foreign exchange rates, or prevent loss if
the price of these securities should decline.
Securities quoted in foreign currencies are translated into U.S. dollars at the
current exchange rate. Gains and losses that arise from changes in exchange
rates are not segregated from gains and losses that arise from changes in
market prices of investments.
C. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
As part of the custodian contract between the custodian bank and the fund, the
custodian bank has a lien on the securities of the fund to the extent permitted
by the fund's investment restriction to cover any advances made by the
custodian bank for the settlement of securities purchased by the fund. At July
31, 2004, the payable to the custodian bank of $74,872 represents the amount
due for cash advance for the settlement of a security purchased in the
Institutional Core Plus Fixed Fund.
D. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of the
Funds. Interest income is accrued daily as earned. Dividend income is accrued
on the ex-dividend date. All discounts/premiums are accreted/amortized. Certain
fixed income
24
<Page>
State Street Research
Institutional Funds
- --------------------------------------------------------------------------------
Notes (cont'd) July 31, 2004
securities held by the fund pay interest or dividends in the form of additional
securities (payment-in-kind securities). Interest income on payment-in-kind
fixed income securities is recorded using the effective-interest method.
E. Dividends
Dividends from net investment income are declared and paid or reinvested
quarterly for the Institutional Core Fixed Fund and the Institutional Core Plus
Fund and annually, if any, for the Institutional Large Cap Growth Fund and
Institutional Large Cap Analyst Fund. Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for
compliance with applicable tax regulations.
Income dividends and capital gain distributions are determined in accordance
with federal income tax regulations, which may differ from generally accepted
accounting principles. The difference is primarily due to differing treatments
for foreign currency transactions, paydown gain and losses, wash sale deferrals
and premium amortization on fixed income securities.
F. Federal Income Tax
No provision for Federal income taxes is necessary because the Funds have
elected to qualify under Subchapter M of the Internal Revenue Code and their
policy is to distribute all of their taxable income, including realized capital
gains, within the prescribed time periods. At January 31, 2004, the
Institutional Large Cap Growth Fund and the Institutional Large Cap Analyst
Fund had capital loss carryforwards of $2,929,470 and $777,878 available,
respectively, to the extent provided in regulations, to offset future capital
gains which expire on January 31, 2011.
In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the Funds are required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the Funds are
permitted to defer into their next fiscal year any net capital losses incurred
between each November 1 and the end of their fiscal years. From November 1,
2003 through January 31, 2004, the Institutional Large Cap Growth Fund and the
Institutional Large Cap Analyst Fund incurred net capital losses of
approximately $1,566,950 and $80,459, respectively, and intend to defer and
treat such losses as arising in the fiscal year ended January 31, 2005.
G. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results could differ from those estimates.
H. Futures
The Funds may enter into futures contracts as a hedge against unfavorable
market conditions and to enhance income. The Funds will not purchase any
futures contract if, after such purchase, more than one-third of net assets
would be represented by long futures contracts. The Funds will limit their
risks by entering into a futures position only if it appears to be a liquid
investment.
Upon entering into a futures contract, the Funds deposit with the selling
broker sufficient cash or U.S. government securities to meet the minimum
"initial margin" requirements. Thereafter, the Funds receive from or pay to the
broker cash or U.S. Government securities equal to the daily fluctuation in
value of the contract ("variation margin"), which is recorded as unrealized
gain or loss. When the contract is closed, the Funds record a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
The potential risk to each Fund is that the change in value of futures
contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise in changes from the value of the underlying
instruments, if there is an illiquid secondary market for the contracts, or if
the counterparty to the contract is unable to perform.
I. Securities Lending
The Funds may seek additional income by lending portfolio securities to
qualified institutions. The Funds will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the Funds could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the Funds will bear the
loss. The entire amount of the collateral (consisting entirely of cash
collateral) is invested in State Street Navigator Securities Lending Prime
Portfolio. At July 31, 2004, the value of the securities loaned and the value
of the collateral were as follows:
<Table>
<Caption>
Market Value Collateral
-------------- --------------
Institutional Core Fixed Fund $12,028,163 $12,194,374
Institutional Core Plus Fund $ 6,620,511 $ 6,710,825
Institutional Large Cap Growth Fund $ 159,703 $ 161,495
</Table>
During the six months ended July 31, 2004, income from securities lending for
the Institutional Core Fixed Fund, the Institutional Core Plus Fund and the
Institutional Large Cap Growth Fund amounted to $7,591, $4,233, $513,
respectively, and is included in interest income on the Statement of
Operations. There were no loaned securities for the Institutional Large Cap
Analyst Fund.
J. Options
Certain Funds may use options to hedge against changes in values of securities
the Fund owns or expects to purchase. Writing puts or buying calls tends to
increase the Fund's exposure to the underlying
25
<Page>
State Street Research
Institutional Funds
- --------------------------------------------------------------------------------
Notes (cont'd) July 31, 2004
instrument and writing calls or buying puts tends to decrease the Fund's
exposure to the underlying instrument, or hedge other Fund investments.
For options purchased to hedge the Fund's investments, the potential risk to
the Fund is that the change in value of options contracts may correspond to the
change in value of the hedged instruments. In addition, losses may arise from
changes in the value of the underlying instruments, if there is an illiquid
secondary market, or if the counter party is unable to perform. The maximum
loss for purchased options is limited to the premium initially paid for the
option. For options written by the Fund, the maximum loss is not limited to the
premium initially received for the option.
Note 2
The Trust and the Adviser entered into an agreement under which the Adviser
earned monthly fees at an annual rate of 0.25%, 0.30%, 0.45% and 0.45% of the
average daily net assets for the Institutional Core Fixed Fund, the
Institutional Core Plus Fund, the Institutional Large Cap Growth Fund and the
Institutional Large Cap Analyst Fund, respectively. In consideration of these
fees, the Adviser furnishes the Funds with management, investment advisory,
statistical and research facilities and services. The Adviser also pays all
salaries, rent and certain other expenses of management including accounting
and legal services, custodial services and all other routine expenses incurred
in connection with managing the business and affairs of the Funds. During the
six months ended July 31, 2004, the fees pursuant to such agreement amounted to
$88,455, $100,745, $8,892 and $17,329 for the Institutional Core Fixed Fund,
the Institutional Core Plus Fund, the Institutional Large Cap Growth Fund and
the Institutional Large Cap Analyst Fund, respectively.
Note 3
The Adviser has contractually agreed to waive a portion of the management fees
and bear or reimburse certain other expenses until termination of such
agreement. Pursuant to an Amended and Restated Fee Waiver and Expense
Agreement, the Adviser agrees, with respect to the expense limitation
applicable to each Fund, to waive a portion of its fee under the Advisory
Agreement, reimburse the Fund or directly pay expenses, such that the annual
expense limitation for a Fund will not be exceeded. The annual expense
limitations are 0.25% for the Institutional Core Fixed Fund, 0.30% for the
Institutional Core Plus Fund, 0.45% for the Institutional Large Cap Growth Fund
and the Institutional Large Cap Analyst Fund, and do not include brokerage
commissions and other investment-related costs, extraordinary, non-recurring
and certain other unusual expenses (including taxes, litigation expenses and
other extraordinary legal expenses), securities lending fees and expenses and
interest expense. The Amended and Restated Fee Waiver and Expense Agreement
will continue in effect until at least June 1, 2005. During the six months
ended July 31, 2004, the Adviser waived or reimbursed no expenses for the
Institutional Core Fixed Fund, the Institutional Core Plus Fixed Fund, the
Institutional Large Cap Growth Fund, and the Institutional Large Cap Analyst
Fund.
Note 4
For the six months ended July 31, 2004, purchases and sales of securities,
exclusive of short-term obligations and forward foreign currency exchange
contracts, were as follows:
<Table>
<Caption>
Purchases Sales
-------------- --------------
Institutional Core Fixed Fund $144,827,974 $142,415,837
Institutional Core Plus Fund $146,507,552 $149,502,517
Institutional Large Cap
Growth Fund $ 1,853,694 $ 1,931,023
Institutional Large Cap
Analyst Fund $ 5,341,465 $ 4,737,779
</Table>
Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, no par value per share. At July 31, 2004, the Adviser
owned 2,500 shares of each of the Institutional Core Fixed Fund and the
Institutional Core Plus Fund and one share of the Institutional Large Cap
Analyst Fund, and MetLife owned 655,333 shares of the Institutional Large Cap
Growth Fund, and 500,000 shares of the Institutional Large Cap Analyst Fund.
Note 6
MetLife announced that it has entered into an agreement to sell the Adviser as
part of a larger transaction to sell MetLife's asset management business to
BlackRock, Inc. ("BlackRock"). The acquisition by BlackRock of MetLife's asset
management business is expected to occur in the first quarter of 2005.
26
<Page>
State Street Research
Institutional Core Fixed Income Fund
and Institutional Core Plus Fixed Income Fund
- --------------------------------------------------------------------------------
Financial Highlights
For a share outstanding throughout each period.(1)
<Table>
<Caption>
State Street Research Institutional Core Fixed Income Fund
-------------------------------------------------------------
August 2, 1999
Six Months Ended Years ended January 31 (Commencement of
July 31, 2004 ------------------------------------------ Operations) to
(Unaudited) 2004 2003 2002(5,7) 2001(6) January 31, 2000(6)
--------------------------------------------------------------------------------
Net asset value, beginning of period ($) ......... 10.68 10.86 10.56 10.40 9.86 10.00
------ ------ ------ ------ ------ ------
Net investment income ($)*....................... 0.15 0.35 0.50 0.55 0.67 0.30
Net realized and unrealized gain (loss) on
investments .................................... (0.14) 0.20 0.39 0.23 0.56 (0.17)
------ ------ ------ ------ ------ ------
Total from investment operations ($) ............. 0.01 0.55 0.89 0.78 1.23 0.13
------ ------ ------ ------ ------ ------
Dividends from net investment income ($) (0.20) (0.43) (0.55) (0.52) (0.69) (0.24)
Distributions from capital gains ................ (0.10) (0.30) (0.04) (0.10) -- (0.03)
------ ------ ------ ------ ------ ------
Total distributions ($) .......................... (0.30) (0.73) (0.59) (0.62) (0.69) (0.27)
------ ------ ------ ------ ------ ------
Net asset value, end of period ($) ............... 10.39 10.68 10.86 10.56 10.40 9.86
====== ====== ====== ====== ====== ======
Total return (%)(2)............................... 0.11(3) 5.17 8.64 7.71 12.87 1.28(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands)......... 71,351 71,305 57,364 69,106 8,892 8,435
Expense ratio (%)* ............................... 0.25(4) 0.25 0.25 0.25 0.25 0.25(4)
Ratio of net investment income to average
net assets (%)* ................................. 2.86(4) 3.23 4.61 4.47 6.65 5.93(4)
Portfolio turnover rate (%) ...................... 204.27 396.34 301.92 314.06 327.36 213.41
*Reflects voluntary reduction of expenses per
share of these amounts ($) ....................... -- -- 0.02 0.14 0.20 0.754
</Table>
<Table>
<Caption>
State Street Research Institutional Core Plus Fixed Income Fund
---------------------------------------------------------------
August 2, 1999
Six Months Ended Years ended January 31 (Commencement of
July 31, 2004 ------------------------------------------ Operations) to
(Unaudited) 2004 2003 2002(5,7) 2001(6) January 31, 2000(6)
---------------------------------------------------------------------------------
Net asset value, beginning of period ($) .......... 10.60 10.64 10.37 10.35 9.86 10.00
------ ------ ------ ------ ------ ------
Net investment income ($)* ....................... 0.16 0.39 0.53 0.59 0.69 0.31
Net realized and unrealized gain (loss) on
investments ..................................... (0.15) 0.31 0.30 0.15 0.54 (0.14)
------ ------ ------ ------ ------ ------
Total from investment operations ($) .............. 0.01 0.70 0.83 0.74 1.23 0.17
------ ------ ------ ------ ------ ------
Dividends from net investment income ($) (0.22) (0.45) (0.55) (0.59) (0.74) (0.26)
Distributions from capital gains ................. (0.16) (0.29) (0.01) (0.13) -- (0.05)
------ ------ ------ ------ ------ ------
Total distributions ($) ........................... (0.38) (0.74) (0.56) (0.72) (0.74) (0.31)
------ ------ ------ ------ ------ ------
Net asset value, end of period ($) ................ 10.23 10.60 10.64 10.37 10.35 9.86
====== ====== ====== ====== ====== ======
Total return (%)(2) ............................... 0.03(3) 6.73 8.28 7.45 12.93 1.72(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) ......... 65,480 71,056 55,407 64,477 11,987 11,426
Expense ratio (%)* ................................ 0.30(4) 0.28 0.25 0.25 0.25 0.25(4)
Ratio of net investment income to average
net assets (%)* .................................. 3.03(4) 3.69 4.84 5.55 6.84 6.134
Portfolio turnover rate (%) ....................... 221.00 404.83 365.81 353.92 323.47 234.12
*Reflects voluntary reduction of expenses per
share of these amounts ($) ........................ -- -- 0.07 0.18 0.20 0.81(4)
</Table>
- --------------------------------------------------------------------------------
(1) Per-share figures have been calculated using the average shares method.
(2) Does not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the distributor and its affiliates had not reduced
a portion of the fund's expenses.
(3) Not annualized.
(4) Annualized.
(5) Effective February 1, 2001, the Fund adopted provisions of the AICPA Audit
and Accounting Guide for Investment Companies and began amortizing premium
on fixed income securities. The effect of this change for the year ended
January 31, 2002 was to decrease net investment income per share by $.02 and
$.02, increase net realized per share by $.02 and $.02, and decrease the
ratio of net investment income to average net assets by 0.21% and 0.20% for
the Institutional Core Fixed Fund and the Institutional Core Plus Fund,
respectively. The financial highlights for periods prior to February 1, 2001
have not been restated for this change in policy.
(6) Represents per-share figures for Class IV.
(7) Represents per-share figures for all classes through December 16, 2001, and
then one class effective December 17, 2001.
27
<Page>
State Street Research
Institutional Large Cap Growth Fund
and Institutional Large Cap Analyst Fund
- --------------------------------------------------------------------------------
Financial Highlights (cont'd)
<Table>
<Caption>
State Street Research Institutional Large Cap Growth Fund
-------------------------------------------------------------
Years ended January 31
------------------------------------------ August 2, 1999
Six Months Ended (Commencement of
July 31, 2004 Operations) to
(Unaudited) 2004 2003 2002(6) 2001 January 31, 2000(5)
---------------------------------------------------------------------------------
Net asset value, beginning of period ($) ......... 6.14 4.66 6.92 10.16 12.33 10.00
----- ------ ------ ------ ----- -----
Net investment income (loss) ($)* ............... 0.01 0.02 0.03 0.02 (0.00) 0.01
Net realized and unrealized gain (loss) on
investments .................................... (0.18) 1.53 (2.28) (3.26) (1.14) 2.32
----- ------ ------ ------ ----- -----
Total from investment operations ($) ............. (0.17) 1.55 (2.25) (3.24) (1.14) 2.33
----- ------ ------ ------ ----- -----
Dividends from net investment income ($) -- (0.07) (0.01) -- (0.38) --
Distribution from capital gains ($) ............. -- -- -- -- (0.65) --
----- ------ ------ ------ ----- -----
Total distributions ($) .......................... -- (0.07) (0.01) -- (1.03) --
----- ------ ------ ------ ----- -----
Net asset value, end of period ($) ............... 5.97 6.14 4.66 6.92 10.16 12.33
===== ====== ====== ====== ===== =====
Total return (%)(2) .............................. (2.77)(3) 33.42 (32.48) (31.89) (9.91) 23.30(3)
Ratios/supplemental data:
Net asset value at end of period ($ thousands) 3,910 4,024 16,657 6,240 269 308
Expense ratio (%)* ............................... 0.45(4) 0.45 0.45 0.45 0.45 0.45(4)
Ratio of net investment income (loss) to
average net assets (%)* ......................... 0.37(4) 0.37 0.48 0.29 (0.01) 0.09(4)
Portfolio turnover rate (%) ...................... 46.82 106.60 178.44 140.04 82.83 41.57
*Reflects voluntary reduction of expenses of
these amounts (%) ................................ -- -- 0.01 0.15 0.20 7.25(4)
</Table>
<Table>
<Caption>
State Street Research Institutional Large Cap Analyst Fund
--------------------------------------------------------------
December 17, 2001
Six Months Ended Years ended January 31 (Commencement of
July 31, 2004 ----------------------- Operations) to
(Unaudited) 2004 2003 January 31, 2002
--------------------------------------------------------------
Net asset value, beginning of period ($) .......... 9.84 7.22 9.72 10.00
----- ----- ------- -----
Net investment income ($) ........................ 0.04 0.08 0.08 0.01
Net realized and unrealized gain (loss) on
investments ..................................... (0.08) 2.62 (2.50) (0.29)
----- ----- ------- -----
Total from investment operations ($) .............. (0.04) 2.70 (2.42) (0.28)
----- ----- ------- -----
Dividends from net investment income ($) (0.01) (0.08) (0.08) --
----- ----- ------- -----
Total distributions ($) ........................... (0.01) (0.08) (0.08) --
----- ----- ------- -----
Net asset value, end of period ($) ................ 9.79 9.84 7.22 9.72
===== ===== ======= =====
Total return (%) .................................. (0.46)(3) 37.46 (24.98) (2.80)(3)
Ratios/supplemental data:
Net asset value at end of period ($ thousands) 8,006 7,511 5,183 4,862
Expense ratio (%) ................................. 0.45(4) 0.45 0.45 0.45(4)
Ratio of net investment income to average
net assets (%) ................................... 0.88(4) 0.98 0.91 1.06(4)
Portfolio turnover rate (%) ....................... 61.18 90.17 93.89 14.57
</Table>
- --------------------------------------------------------------------------------
(1) Per-share figures have been calculated using the average shares method.
(2) Does not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the Distributor and its affiliates had not reduced
a portion of the Fund's expenses.
(3) Not annualized.
(4) Annualized.
(5) Represents per-share figures for Class III.
(6) Represents per-share figures for all classes through December 16, 2001, and
then one class effective December 17, 2001.
28
<Page>
<Table>
<Caption>
Number of Funds in Other
Term of Office Fund Complex Directorships
Name, Address Position(s) Held and Length of Principal Occupations During Overseen by Held by
and Age (a) with Fund Time Served (b) Past 5 Years Trustee/Officer (c) Trustee/Officer
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT
TRUSTEES
- ------------------------------------------------------------------------------------------------------------------------------------
Bruce R. Trustee Since 2002 Retired; formerly Chairman of the 19 Avaya Inc.
Bond (58) Board, Chief Executive Officer and
President, PictureTel Corporation
(video conferencing systems)
- ------------------------------------------------------------------------------------------------------------------------------------
Peter S. Trustee Since 2004 Retired; formerly Partner, 19 First Marblehead
Drotch (62) PricewaterhouseCoopers LLP Corp.
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Trustee Since 2002 Retired; formerly Senior Vice 53 Metropolitan
Garban (66) President for Finance and Operations Series Fund, Inc.;
and Treasurer, The Pennsylvania State and
University Metropolitan
Series Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Susan M. Trustee Since 2002 Dean, School of Business and Public 19 The Kroger Co.
Phillips (59) Management, George Washington
University; formerly a member of the
Board of Governors of the Federal
Reserve System; and Chairman and
Commissioner of the Commodity
Futures Trading Commission
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Trustee Since 2002 President, Founders Investments Ltd. 53 A. P. Pharma,
Rosenblatt (66) (investments); President, Pacific Four Inc.; and
Investments (investments); formerly Metropolitan
President, The Glen Ellen Company Series Fund, Inc.;
(private investment firm) and Metropolitan
Series Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Scott Trustee Since 2002 Jay W. Forrester Professor of 53 Metropolitan
Morton (67) Management, Sloan School of Series Fund, Inc.;
Management, Massachusetts Institute and
of Technology Metropolitan
Series Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED
TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
Richard S. Trustee Since 2000 Chairman of the Board, President 19 None
Davis(+) and Chief Executive Officer of State
(58) Street Research & Management
Company; formerly Senior Vice
President, Fixed Income Investments,
Metropolitan Life Insurance
Company
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- ------------------------------------------------------------------------------------------------------------------------------------
Donald G. Vice Since 2001 Senior Vice President of State Street 4 None
DeVeuve President Research & Management Company;
(47) formerly Vice President, State Street
Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Edward Vice Since 2003 Vice President of State Street 7 None
Dowd (37) President Research & Management Company;
formerly Vice President,
Independence Investment LLC and
equity research associate, Donaldson,
Lufkin and Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Vice Since 2002 Managing Director and Chief 18 Akamai
Goodwin (45) President Investment Officer - Equities of State Technologies, Inc.
Street Research & Management
Company; formerly Chief Investment
Officer - U.S. Growth Equities,
American Century
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
29
<Page>
<Table>
<Caption>
Number of Funds in Other
Term of Office Fund Complex Directorships
Name, Address Position(s) Held and Length of Principal Occupations During Overseen by Held by
and Age (a) with Fund Time Served (b) Past 5 Years Trustee/Officer (c) Trustee/Officer
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- ------------------------------------------------------------------------------------------------------------------------------------
Knut Langholm Vice President Since 2000 Senior Vice President of State Street 4 None
(44) Research & Management Company;
formerly Vice President, State Street
Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey R. Vice President Since 2003 Managing Director of State Street 7 None
Lindsey (42) Research & Management Company;
formerly Managing Director and
Senior Vice President, Putnam
Investments
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Vice President Since 2001 Managing Director, Chief Financial 19 None
(49) Officer and Director of State Street
Research & Management Company;
formerly Executive Vice President,
State Street Research & Management
Company; and Senior Vice President,
Product and Financial Management,
MetLife Auto & Home
- ------------------------------------------------------------------------------------------------------------------------------------
Mark Marinella Vice President Since 2003 Managing Director and Chief 9 None
(46) Investment Officer - Fixed Income of
State Street Research & Management
Company; formerly Executive Vice
President and Senior Vice President,
State Street Research & Management
Company; and Chief Investment
Officer and Head of Fixed Income,
Columbia Management Group
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey A. Vice President Since 1999 Managing Director of State Street 4 None
Rawlins (42) Research & Management Company;
formerly Senior Vice President, State
Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Elizabeth M. Vice President Since 1999 Managing Director of State Street 8 None
Westvold Research & Management Company;
(44) formerly Senior Vice President, State
Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since 2001 Senior Vice President and Treasurer 19 None
(47) of State Street Research &
Management Company; formerly
Vice President and Assistant
Treasurer, State Street Research &
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
</Table>
The Funds' Statement of Additional Information includes further information
about the Funds' trustees, and is available without charge, by contacting State
Street Research, One Financial Center, Boston, Massachusetts 02111-2690, or by
calling toll-free 1-800-531-0131.
(a) The address of each person is c/o State Street Research & Management
Company, One Financial Center, Boston, MA 02111-2690.
(b) A Trustee serves until he or she retires, resigns or is removed as provided
in the master trust agreement of the respective Trust. Each Trust has
adopted a mandatory retirement age of 72. Each officer holds office until
he or she resigns, is removed or a successor is elected.
(c) Includes all series of 9 investment companies for which State Street
Research & Management Company has served as sole investment adviser and all
series of Metropolitan Series Fund, Inc. and Metropolitan Series Fund II.
The primary adviser to Metropolitan Series Fund, Inc. and Metropolitan
Series Fund II is MetLife Advisers, LLC, which has retained State Street
Research & Management Company as sub-adviser to certain series of
Metropolitan Series Fund, Inc.
(+) Mr. Davis is an "interested person" of the Trust under the Investment
Company Act of 1940 by reason of his affiliation with the Trust's
Investment Manager, State Street Research & Management Company, as noted.
30
<Page>
This report must be preceded or accompanied by a current State Street Research
Institutional Fund's prospectus. Investors should carefully consider the fund's
investment objective, risks, charges and expenses before investing, The fund's
prospectus contains more complete information on these and other matters. A
prospectus for any of the funds is available through your financial
professional or by calling 1-800-531-0131 or by visiting our website at
www.ssrinstitutional.com. Please read the prospectus carefully before
investing.
Member NASD, SIPC
(C)2004 State Street Research Investment Services, Inc., One
Financial Center, Boston, MA 02111-2690
31
<Page>
FORM N-CSR(2 OF 3)
ITEM 2: CODE OF ETHICS
Not applicable for the reporting period.
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable for the reporting period.
ITEM 4: (PRINCIPAL ACCOUNTANT FEES AND SERVICES)
Not applicable for the reporting period.
ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6: SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7: DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES:
Not applicable.
ITEM 8: PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Governance Committee will consider nominees recommended by
shareholders. Shareholders may submit recommendations to the attention
of the Secretary of the Trust, State Street Research & Management
Company, One Financial Center, 30th Floor, Boston, MA 02111.
ITEM 10: CONTROLS AND PROCEDURES
(a) The Registrant's principal executive and principal financial officers
have concluded, based on their evaluation of the Registrant's disclosure
controls and procedures as of a date within 90 days of the filing date
of this report, that the Registrant's disclosure controls and procedures
are reasonably designed to ensure that information required to be
disclosed by the Registrant on Form N-CSR is recorded, processed,
summarized and reported within the required time periods and that
information required to be disclosed by the Registrant in the reports
that it files or submits on Form N-CSR is accumulated and communicated
to the Registrant's management, including its principal executive and
principal financial officers, as appropriate to allow timely decisions
regarding required disclosure.
(b) There were no changes in the Registrant's internal control over financial
reporting during the Registrant's second fiscal half-year that have
materially affected, or are reasonably likely to materially affect, the
internal control over financial reporting.
ITEM 11: EXHIBITS
(a)(1) Code of Ethics required to be disclosed under Item 2 of Form
N-CSR attached hereto as Exhibit 99.CODE ETH
(a)(2) Certification for each principal executive and principal
financial officer of the Registrant required by Rule 30a-2(a)
under the Investment Company Act of 1940, as amended
(17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.302CERT
(b) Certification required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) attached
hereto as Exhibit 99.906CERT
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
State Street Research Institutional Funds
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date September 30, 2004
------------------------------------------------------
<Page>
FORM N-CSR(3 OF 3)
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities, and on the
dates indicated.
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date September 30, 2004
------------------------
By: /s/ Douglas A. Romich
------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer
Date September 30, 2004
------------------------