<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-8322
----------------------------------------------
State Street Research Securities Trust
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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 & Management Company
One Financial Center, Boston, MA 02111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
------------------
Date of fiscal year end: 10/31/04
-----------------
Date of reporting period: 11/1/03 - 10/31/04
----------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
ITEM 1 (REPORT TO SHAREHOLDERS): The Annual Report is attached.
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[LOGO] STATE STREET RESEARCH
[PHOTO]
Legacy Fund
October 31, 2004
Annual Report to Shareholders
Table of Contents
3 Performance Discussion
6 About Your Fund Expenses
7 Portfolio Holdings
9 Financial Statements
13 Financial Highlights
15 Report of Independent
Registered Public
Accounting Firm
17 Trustees and Officers
FROM THE CHAIRMAN
State Street Research
The pace of U.S. economic growth was robust over the twelve-month period ended
October 31, 2004, as the economy advanced on all fronts. Gross domestic product
(GDP) growth, a common measure of economic growth, averaged just short of 4.0%
for the period, solidly above the economy's long-term trend rate of 3.0%. We
expect the economy to grow between 3.5% and 4.0% for the remainder of 2004 and
into 2005.
Consumers continued to play a key role in the economy. Spending on retail goods,
autos and housing remained generally strong throughout the period. Retail sales
slowed during the summer months of 2004 as a result of higher energy prices and
weather-related events, but the pace of consumer spending picked back up in the
fall.
The number of new jobs continued to fall short of expectations. In the spring,
more than one million new jobs were added to the economy. But job growth was
disappointing again during the summer months. The economy has yet to replace all
the jobs lost in the downturn of 2000-2001.
Although business spending fell short of expectations, given the economy's
relatively strong growth cycle, a pick-up in business spending was one bright
spot in the economy. Industrial production moved steadily higher, as did
manufacturing capacity utilization. Outlays for new equipment and construction
enjoyed double-digit growth in the second half of the period. Strong spending by
businesses helped offset some of the slowdown in consumer-spending growth.
Stocks Stumble, Bonds Edge Higher
The U.S. stock market began the period on a strong note. However, the gains it
achieved early in the period were whittled away over the twelve months covered
by this report. By contrast, the bond market has held up in the face of three
increases in the federal funds rate (a key short-term interest rate) that
occurred late in the period. The yield on the 10-year benchmark U.S. Treasury
ended the period just about where it began, and bond prices moved higher across
all sectors.
Investing Despite Uncertainty
By all accounts, news on the economy and the markets has been overshadowed over
the past year by external events. As a result, many investors have remained on
the sidelines. With so much uncertainty, it may feel safer to wait out the
storm. Yet, it can be even more risky to try to time your entrances and exits as
the markets move through their natural cycles. If you're feeling uncertain about
your financial strategy, talk to your financial professional. With their advice
and guidance, you can keep your financial goals on track.
Sincerely,
/s/ Richard S. Davis
Richard S. Davis
Chairman
October 31, 2004
2
- -------------
PERFORMANCE
- -------------
Discussion as of October 31, 2004
How State Street Research Legacy Fund Performed
State Street Research Legacy Fund (Class A shares, without sales charge)
returned 4.70% for the twelve-month period ended October 31, 2004. That was
better than the return of the Russell 1000[RegTM] Growth Index, which returned
3.38% over the same period. The fund also outperformed the Lipper Large-Cap
Growth Funds Average, which was 2.67% for the twelve-month period.
- --------------------------------------------------------------------------------
Performance: Class A
- --------------------------------------------------------------------------------
Fund average annual total return as of 10/31/04
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------
Return Before Taxes 4.70% -3.14% 3.29%
- --------------------------------------------------------------
Return After Taxes
on Distributions 4.70% -3.14% 3.29%
- --------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 3.06% -2.64% 2.83%
- --------------------------------------------------------------
Fund average annual total return as of 9/30/04
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------
Return Before Taxes 4.36% -3.68% 2.19%
- --------------------------------------------------------------
Return After Taxes
on Distributions 4.36% -3.68% 2.19%
- --------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 2.84% -3.09% 1.88%
- --------------------------------------------------------------
See pages 4,5 and 16 for additional performance data for Class A shares and for
performance data on other share classes.
Keep in mind that the performance data quoted represents past performance and
is no guarantee of future results. Current performance may be lower or higher
than the performance data quoted herein. For the most recent month-end
performance results, visit our website at www.ssrfunds.com. The fund's share
price, yield and return will fluctuate, and you may have a gain or loss when
you sell your shares. All returns assume reinvestment of capital gains
distributions and income dividends at net asset value.
Average annual total return without sales charge does not reflect the maximum
applicable sales charges. If the applicable sales charges were deducted,
performance results would be lower.
Average annual total return at maximum applicable sales charge reflects a
maximum 5.75% Class A share front-end sales charge.
After-tax returns are calculated using the highest historical federal marginal
income tax rates and do not reflect the impact of state and local taxes. Actual
after-tax returns depend on an investor's tax situation and may differ from
those shown, and after-tax returns shown are not relevant to investors who hold
their fund shares through tax-deferred arrangements, such as 401(k) plans or
individual retirement accounts (IRAs). Return After Taxes on Distributions and
Sale of Fund Shares for a period may be greater than or equal to Return After
Taxes on Distributions for the same period because of losses realized on the
sale of fund shares.
The Russell 1000 Growth Index contains those stocks within the complete Russell
1000[RegTM] Index (a large-company index) that show above-average growth. The
index is unmanaged and does not take transaction charges into consideration. It
is not possible to invest directly in an index.
The Lipper Large-Cap Growth Funds Average shows the performance of a category
of mutual funds with similar goals. The Lipper average shows you how well the
fund has done compared to competing funds.
- --------------------------------------------------------------------------------
Reasons for the Fund's Performance
In a choppy market, the fund's balanced positioning helped it outperform its
benchmark and peer-group average. An emphasis on energy stocks, coupled with
strong stock selection in the consumer discretionary and health care sectors,
drove returns during the period. Disappointments from technology and producer
durable holdings were not enough to offset gains from these other sectors.
As oil prices rose above $50/barrel during the period, energy stocks soared to
the top of the performance list. The fund benefited from a decision to
overweight energy stocks and to focus on coal- and crude-producing companies,
which were among the sector's best performers. While it is unlikely that the
price of oil will remain as high as it was near the end of the period, we
continue to believe that oil will trade at prices above its historical norm. If
prices remain relatively high, we believe that energy stocks continue to have
additional return potential.
The fund also benefited from good stock selection in the consumer discretionary
and health care sectors. Among consumer names, Yahoo! and Target delivered
solid results, helping fund returns. Yahoo!, the leading Internet search
engine, has benefited by its willingness to spend freely on advertising. Within
health care, the fund's pharmaceutical holdings tended to outperform their
benchmark counterparts. Our exposure to Merck was significantly lower than its
weight in the index, which helped performance when the drugmaker hit an
eight-year low after announcing the withdrawal of its arthritis drug and
painkiller, Vioxx.
Stock selection within the producer durables and technology sectors modestly
detracted from the fund's relative performance. Semiconductor holdings, such as
PMC-Sierra and Cypress Semiconductor, generated disappointing results,
reflecting investors' concerns that the semiconductor cycle may have peaked.
Amid producer durables names, power supply device maker American Power
Conversion and aerospace giant Boeing also disappointed.
Looking Ahead
We remain committed to our bottom-up strategy and believe the fund is well
positioned to outperform its benchmark regardless of market direction. We
believe the balanced makeup of the fund has been critical to its relative
gains. As a result of our bottom-up portfolio construction process, the fund
continues to place an increased emphasis on companies exhibiting stable growth
rates.
A Word about Risk
The major risks of stock investing include sudden and unpredictable drops in
value and period of lackluster performance. The fund's emphasis on keeping
portfolio turnover low means that the fund may continue to hold various stocks
through adverse markets, which may cause it to incur deeper losses than other
funds. To the extent the fund does sell securities during times of volatility,
portfolio turnover and capital gains are likely to increase. The fund's
buy-and-hold approach is designed to allow it to capture long-term gains, but
the prices of some stocks may not return to their previous highs. By continuing
to hold these stocks, the fund may miss opportunities to realize gains and
long-term performance may be reduced.
Because financial markets and mutual fund strategies are constantly evolving,
it is possible that the fund's holdings, market stance, outlook for various
industries or securities and other matters discussed in this report have
changed since this information was prepared. Portfolio changes should not be
considered recommendations for action by individual investors.
State Street Research Legacy Fund 3
- ---------------
PERFORMANCE
- ---------------
Discussion as of October 31, 2004
These two pages focus on the fund's long-term track record. While a mutual
fund's past performance is not a guarantee of future results, long-term returns
can serve as an important context for evaluating recent performance. There are
three ways of measuring long-term performance: cumulative total returns,
average annual total returns and the change in dollar value over time of a
given investment. Information about these measures follows, while the share
class boxes contain the results of these measures for each share class.
Cumulative Total Return
Represents the total percentage you would have earned or lost if you had
invested a lump sum in the fund and left it there until the end of the period
indicated.
Average Annual Total Return
Represents the rate you would have had to earn during each year of a given time
period in order to end up with the fund's actual cumulative return for those
years. In reality, of course, fund performance varies from year to year.
Because of this, a fund's actual performance for a given year may be higher or
lower than an average annual performance figure.
$10,000 Over Life of Fund
Similar to cumulative total return, but uses dollars rather than percentages,
and assumes that the lump sum you invested was $10,000 (less the applicable
maximum sales charge, if any) and compares fund performance to the performance
of a market index.
- --------------------------------------------------------------------------------
Class A
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) 4.70% -14.76% 24.76%
- --------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -1.32% -19.67% 17.59%
- --------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -1.32% -4.28% 2.40%
- --------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
[The following table was depicted as a line chart in the printed material.]
Class A Russell 1000 Growth Index
------- -------------------------
97 9425 10112
98 10829 11955
99 13796 16050
00 15455 17547
01 10910 10539
02 9392 8471
03 11231 10319
04 11759 10668
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class B(1)
Life of Fund
1 Year 5 Years (12/31/97)
- ---------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) 3.94% -17.81% 18.66%
- ---------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -1.06% -19.45% 18.66%
- ---------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -1.06% -4.23% 2.53%
- ---------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
[The following table was depicted as a line chart in the printed material.]
Class B(1) Russell 1000 Growth Index
---------- -------------------------
97 10000 10000
98 11420 11955
99 14437 16050
00 16048 17547
01 11246 10539
02 9615 8471
03 11416 10319
04 11866 10668
- --------------------------------------------------------------------------------
Keep in mind that the performance data quoted represents past performance and
is no guarantee of future results. Current performance may be lower or higher
than the performance data quoted herein. For the most recent month-end
performance results, visit our website at www.ssrfunds.com. The fund's share
price, yield and return will fluctuate, and you may have a gain or a loss when
you sell your shares. All returns assume reinvestment of capital gains
distributions and income dividends at net asset value. The returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions, or the redemption of fund shares.
Cumulative Total Return without sales charge does not reflect the maximum
applicable sales charges. If the applicable sales charges were deducted,
performance results would be lower.
4
- --------------------------------------------------------------------------------
Class B (only available through exchanges from another Class B account)
Life of Fund
1 Year 5 Years (12/31/97)
- ---------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) 4.98% -15.25% 22.36%
- ---------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -0.02% -16.94% 22.36%
- ---------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -0.02% -3.64% 3.00%
- ---------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
[The following table was depicted as a line chart in the printed material.]
Class B Russell 1000 Growth Index
------- -------------------------
97 10000 10112
98 11420 11955
99 14437 16050
00 16118 17547
01 11326 10539
02 9725 8471
03 11656 10319
04 12236 10668
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class C
Life of Fund
1 Year 5 Years (12/31/97)
- ---------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) 3.94% -17.81% 18.66%
- ---------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) 2.94% -17.81% 18.66%
- ---------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) 2.94% -3.85% 2.53%
- ---------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
[The following table was depicted as a line chart in the printed material.]
Class C Russell 1000 Growth Index
------- -------------------------
97 10000 10112
98 11420 11955
99 14437 16050
00 16058 17547
01 11246 10539
02 9615 8471
03 11416 10319
04 11866 10668
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class R
Life of Fund
1 Year 5 Years (12/31/97)
- ---------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) 4.37% -15.11% 24.26%
- ---------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) 4.37% -15.11% 24.26%
- ---------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) 4.37% -3.22% 3.23%
- ---------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
[The following table was depicted as a line chart in the printed material.]
Class R Russell 1000 Growth Index
------- -------------------------
97 10000 10000
98 11490 11955
99 14637 16050
00 16398 17547
01 11576 10539
02 9965 8471
03 11906 10319
04 12426 10668
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Class S
Life of Fund
1 Year 5 Years (12/31/97)
- ---------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) 5.01% -13.06% 27.87%
- ---------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) 5.01% -13.06% 27.87%
- ---------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) 5.01% -2.76% 3.66%
- ---------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
[The following table was depicted as a line chart in the printed material.]
Class S Russell 1000 Growth Index
------- -------------------------
97 10000 10000
98 11520 11955
99 14707 16050
00 16618 17547
01 11756 10539
02 10145 8471
03 12176 10319
04 12787 10668
- --------------------------------------------------------------------------------
Cumulative and Average Annual Total Returns at maximum applicable sales charge
reflect a maximum 5.75% Class A share front-end sales charge or 5% Class B(1)
or Class B share or 1% Class C share contingent deferred sales charge, where
applicable. Performance for Class B(1) shares reflects Class B share
performance through December 31, 1998, and Class B(1) performance thereafter.
Performance for Class R shares reflects Class A share performance through April
2, 2003, and Class R share performance thereafter. If the returns for Class
B(1) and Class R shares had reflected their current service/distribution (Rule
12b-1) fees for the entire period, these returns would have been lower. Class R
and Class S shares, offered without sales charge, are available through certain
retirement plans and special programs.
The Russell 1000 Growth Index contains those stocks within the complete Russell
1000 Index (a large-company index) that show above-average growth. The index is
unmanaged and does not take transaction charges into consideration. It is not
possible to invest directly in an index.
State Street Research Legacy Fund 5
- --------------------------------------------------------------------------------
Summary Portfolio Schedule
- --------------------------------------------------------------------------------
Industries % of Fund Net Assets
Consumer Discretionary 24.1%
- --------------------------------------------------------------------------------
Technology 20.7%
- --------------------------------------------------------------------------------
Health Care 20.1%
- --------------------------------------------------------------------------------
Financial Services 13.1%
- --------------------------------------------------------------------------------
Other 6.4%
- --------------------------------------------------------------------------------
Consumer Staples 5.4%
- --------------------------------------------------------------------------------
Other Energy 4.7%
- --------------------------------------------------------------------------------
Utilities 2.5%
- --------------------------------------------------------------------------------
Materials and Processing 1.5%
- --------------------------------------------------------------------------------
Automobiles and Transportation 0.7%
- --------------------------------------------------------------------------------
Net Cash 0.8%
- --------------------------------------------------------------------------------
Total 100.0%
Because of active management, there is no guarantee that the fund currently
invests, or will continue to invest, in the industries referenced.
- --------------------------------------------------------------------------------
About Your Fund Expenses
As a fund shareholder, you incur two types of costs: (1) Transaction costs,
which include sales charges, and (2) ongoing expenses, which include management
fees, service/distribution fees (12b-1) and "other" expenses. The examples
below illustrate the ongoing cost in dollars of investing in the fund and allow
you to compare 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 from April 30, 2004, to October 31, 2004.
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 $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), 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.
Beginning Ending Expenses
Account Account Paid Annualized
Six months ended Value Value during Expense
10/31/04 4/30/04 10/31/04 Period* Ratio
- --------------------------------------------------------------------------------
Actual Fund Return
- --------------------------------------------------------------------------------
Class A $1,000 $ 1,017.35 $ 7.36 1.45%
- --------------------------------------------------------------------------------
Class B(1) $1,000 $ 1,010.73 $ 10.86 2.15%
- --------------------------------------------------------------------------------
Class B $1,000 $ 1,020.01 $ 6.06 1.19%
- --------------------------------------------------------------------------------
Class C $1,000 $ 1,009.85 $ 10.85 2.15%
- --------------------------------------------------------------------------------
Class R $1,000 $ 1,014.76 $ 8.36 1.65%
- --------------------------------------------------------------------------------
Class S $1,000 $ 1,020.71 $ 5.86 1.15%
- --------------------------------------------------------------------------------
Hypothetical 5% Return
- --------------------------------------------------------------------------------
Class A $1,000 $ 1,017.70 $ 7.36 1.45%
- --------------------------------------------------------------------------------
Class B(1) $1,000 $ 1,014.20 $ 10.88 2.15%
- --------------------------------------------------------------------------------
Class B $1,000 $ 1,019.00 $ 6.06 1.19%
- --------------------------------------------------------------------------------
Class C $1,000 $ 1,014.20 $ 10.88 2.15%
- --------------------------------------------------------------------------------
Class R $1,000 $ 1,016.70 $ 8.37 1.65%
- --------------------------------------------------------------------------------
Class S $1,000 $ 1,019.20 $ 5.86 1.15%
* 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 divided by the number of days in the year.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect transactional expenses
such as sales charges, which would result in higher total expenses. It should
also be noted that, for certain funds, expenses have been subsidized or reduced
through expense offset arrangements, which reduces costs for shareholders.
Generally, the fund expects that the expense subsidy or expense offset
arrangement will continue although there is no guarantee that it will. Please
see the fund's prospectus for more information.
6
PORTFOLIO
Holdings
October 31, 2004
Issuer Shares Value
- -----------------------------------------------------------------------------------------------
Common Stocks 99.2%
Automobiles & Transportation 0.7%
Air Transport 0.7%
Expeditors International of
Washington Inc. ........................................ 39,000 $ 2,226,900
------------
Total Automobiles & Transportation ............................................ 2,226,900
------------
Consumer Discretionary 24.1%
Casinos/Gambling, Hotel/Motel 3.3%
International Game Technology Inc. ...................... 45,400 1,500,016
Marriott International Inc. Cl. A ....................... 97,400 5,307,326
Starwood Hotels & Resorts Inc. .......................... 72,300 3,450,879
------------
10,258,221
------------
Commercial Services 3.6%
eBay Inc.* .............................................. 73,000 7,125,530
Manpower Inc. ........................................... 85,500 3,868,875
------------
10,994,405
------------
Communications, Media & Entertainment 0.6%
Walt Disney Co. ......................................... 69,800 1,760,356
------------
Consumer Electronics 3.7%
Harman International Inc. ............................... 29,100 3,497,238
Yahoo! Inc.* ............................................ 218,800 7,918,372
------------
11,415,610
------------
Printing & Publishing 2.1%
News Corp. Ltd. ADR^ .................................... 206,200 6,652,012
------------
Restaurants 1.1%
Starbucks Corp.* ........................................ 62,500 3,305,000
------------
Retail 6.8%
Kohl's Corp.* ........................................... 79,200 4,020,192
Lowes Companies Inc. .................................... 62,900 3,540,012
PETsMART Inc. ........................................... 51,900 1,659,762
Staples Inc. ............................................ 118,100 3,512,294
Target Corp. ............................................ 162,500 8,128,250
------------
20,860,510
------------
Shoes 1.2%
Nike Inc. Cl. B ......................................... 47,400 3,854,094
------------
Textile Apparel Manufacturers 1.7%
Coach Inc.* ............................................. 39,900 1,860,537
Polo Ralph Lauren Corp.* ................................ 94,500 3,489,885
------------
5,350,422
------------
Total Consumer Discretionary .................................................. 74,450,630
------------
Consumer Staples 5.4%
Beverages 1.5%
Anheuser-Busch Cos. Inc. ................................ 91,100 4,550,445
------------
Issuer Shares Value
- -----------------------------------------------------------------------------------------------
Household Products 3.9%
Clorox Co. .............................................. 80,200 $ 4,378,920
Procter & Gamble Co. .................................... 153,600 7,861,248
------------
12,240,168
------------
Total Consumer Staples ........................................................ 16,790,613
------------
Financial Services 13.1%
Banks & Savings & Loan 2.0%
Goldman Sachs Group Inc. ................................ 31,600 3,108,808
J.P. Morgan Chase & Co. ................................. 79,000 3,049,400
------------
6,158,208
------------
Financial Data Processing Services & Systems 2.6%
Alliance Data Systems Corp.* ............................ 77,100 3,259,788
First Data Corp. ........................................ 113,100 4,668,768
------------
7,928,556
------------
Insurance 0.9%
American International Group Inc. ....................... 47,800 2,901,938
------------
Miscellaneous Financial 7.6%
American Express Co. .................................... 121,450 6,445,352
Citigroup Inc. .......................................... 105,106 4,663,553
MBNA Corp. .............................................. 183,600 4,705,668
Providian Financial Corp.* .............................. 194,100 3,018,255
SLM Corp. ............................................... 102,100 4,621,046
------------
23,453,874
------------
Total Financial Services ..................................................... 40,442,576
------------
Health Care 20.1%
Drugs & Biotechnology 13.9%
Allergan Inc. ........................................... 51,000 3,649,560
Amgen Inc.* ............................................. 29,450 1,672,760
Biogen Idec Inc.* ....................................... 72,500 4,216,600
Charles River Laboratories
International Inc.*^ ................................... 75,300 3,523,287
Elan Corp. ADR*^ ........................................ 27,000 696,600
Genentech Inc.* ......................................... 48,200 2,194,546
Invitrogen Corp.* ....................................... 28,400 1,644,360
IVAX Corp.* ............................................. 87,250 1,579,225
Johnson & Johnson Inc. .................................. 133,820 7,812,412
Novartis AG ADR ......................................... 199,300 9,568,393
Pfizer Inc. ............................................. 216,454 6,266,343
------------
42,824,086
------------
Health Care Services 4.0%
Caremark Rx Inc.* ....................................... 174,700 5,235,759
Unitedhealth Group Inc. ................................. 96,200 6,964,880
------------
12,200,639
------------
Hospital Supply 2.2%
Boston Scientific Corp.* ................................ 40,600 1,433,180
Guidant Corp. ........................................... 44,100 2,937,942
Zimmer Holdings Inc.* ................................... 32,600 2,529,434
------------
6,900,556
------------
Total Health Care ............................................................ 61,925,281
------------
Materials & Processing 1.5%
Agriculture 1.5%
Monsanto Co. ............................................ 105,400 4,505,850
------------
Total Materials & Processing ................................................. 4,505,850
------------
The notes are an integral part of the financial statements.
State Street Research Legacy Fund 7
Issuer Shares Value
- -----------------------------------------------------------------------------------------------
Other 6.4%
Multi-Sector 6.4%
General Electric Co. .................................... 340,930 $ 11,632,531
Tyco International Ltd. ................................. 257,600 8,024,240
------------
Total Other ................................................................... 19,656,771
------------
Other Energy 4.7%
Miscellaneous Energy 1.3%
Consol Energy Inc.^ ..................................... 116,700 4,131,180
------------
Oil & Gas Producers 2.7%
EOG Resources Inc. ...................................... 81,500 5,424,640
Newfield Exploration Co.* ............................... 47,500 2,764,500
------------
8,189,140
------------
Oil Well Equipment & Services 0.7%
Schlumberger Ltd. ....................................... 36,100 2,272,134
------------
Total Other Energy ............................................................ 14,592,454
------------
Technology 20.7%
Communications Technology 4.3%
Cisco Systems Inc.* ..................................... 340,280 6,536,779
Juniper Networks Inc.*^ ................................. 100,900 2,684,949
QUALCOMM Inc. ........................................... 96,900 4,051,389
------------
13,273,117
------------
Computer Software 7.9%
Microsoft Corp. ......................................... 485,540 13,590,264
Oracle Systems Corp.* ................................... 545,900 6,911,094
Red Hat Inc.* ........................................... 83,500 1,072,140
Symantec Corp. .......................................... 51,700 2,943,798
------------
24,517,296
------------
Computer Technology 3.1%
Dell Inc.* .............................................. 213,400 7,481,804
Zebra Technologies Corp. Cl. A* ......................... 37,600 1,992,424
------------
9,474,228
------------
Electronics 1.5%
General Dynamics Corp. .................................. 44,400 4,534,128
------------
Electronics: Semiconductors/Components 3.9%
Intel Corp. ............................................. 342,360 7,620,934
Linear Technology Corp. ................................. 80,800 3,060,704
PMC-Sierra Inc.* ........................................ 132,000 1,354,320
------------
12,035,958
------------
Total Technology .............................................................. 63,834,727
------------
Utilities 2.5%
Cable Television & Radio 0.8%
Comcast Corp.* .......................................... 80,990 2,351,950
------------
Telecommunications 1.7%
Sprint Corp. ............................................ 254,500 5,331,775
------------
Total Utilities ............................................................... 7,683,725
------------
Total Common Stocks (Cost $273,387,777) ....................................... 306,109,527
------------
Issuer Shares Value
- -----------------------------------------------------------------------------------------------
Short-Term Investments 4.9%
State Street Navigator Securities Lending
Prime Portfolio ....................................... 15,168,558 $ 15,168,558
------------
Total Short-Term Investments (Cost $15,168,558)............................... 15,168,558
------------
Maturity Amount of
Coupon Rate Date Principal
- -----------------------------------------------------------------------------------------------
Commercial Paper 1.6%
UBS Finance Inc., 1.84% 11/01/2004 $ 790,000 790,000
UBS Finance Inc., 1.77% 11/02/2004 4,100,000 4,099,799
---------
Total Commercial Paper (Cost $4,889,799) 4,889,799
---------
% of
Net Assets
- -----------------------------------------------------------------------------------------------
Summary of Portfolio Assets
Investments (Cost $293,446,134).................. 105.7% $326,167,884
Cash and Other Assets, Less Liabilities ......... ( 5.7%) (17,536,570)
----- ------------
Net Assets ...................................... 100.0% $308,631,314
===== ============
KEY TO SYMBOLS
* Denotes a security which has not paid a dividend during the last year.
^ All or a portion of this security was being held on loan. As of October 31,
2004, the value of securities loaned was $14,705,714.
ADR Stands for American Depositary Receipt.
Federal Income Tax Information
At October 31, 2004, the net unrealized appreciation
of investments based on cost for federal income tax
purposes of $293,831,296 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $39,264,958
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (6,928,370)
-----------
$32,336,588
===========
8 The notes are an integral part of the financial statements.
FINANCIAL
Statements
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
October 31, 2004
Assets
Investments, at value (Cost $293,446,134) (Note 1) .............. $326,167,884
Cash ............................................................ 1,858
Receivable for fund shares sold ................................. 222,669
Dividends receivable ............................................ 180,091
Other assets .................................................... 118,672
------------
326,691,174
------------
Liabilities
Payable for collateral received on securities loaned ............ 15,168,558
Payable for securities purchased ................................ 1,146,404
Payable for fund shares redeemed ................................ 969,072
Accrued transfer agent and shareholder services ................. 334,396
Accrued management fee .......................................... 164,541
Accrued distribution and service fees ........................... 139,394
Accrued administration fee ...................................... 13,553
Accrued trustees' fees .......................................... 12,192
Other accrued expenses .......................................... 111,750
------------
18,059,860
------------
Net Assets ...................................................... $308,631,314
============
Net Assets consist of:
Unrealized appreciation of investments ........................ $ 32,721,750
Accumulated net realized loss ................................. (127,339,175)
Paid-in capital ............................................... 403,248,739
------------
$308,631,314
============
Net Asset Value (NAV) of Each Share Class
Except where noted, the NAV is the offering and the redemption price for each
class.
Class Net Assets [divided by] Number of Shares = NAV
A $99,435,427 7,977,160 $ 12.47*
B(1) $97,938,293 8,259,224 $ 11.86**
B $34,647,864 2,833,749 $ 12.23**
C $23,854,121 2,011,135 $ 11.86**
R $ 356,690 28,712 $ 12.42
S $52,398,919 4,101,521 $ 12.78
* Maximum offering price per share = $13.23 ($12.47 [divided by] 0.9425)
** When you sell Class B(1), Class B or Class C shares, you receive the net
asset value minus deferred sales charge, if any.
Statement of Operations
- --------------------------------------------------------------------------------
For the year ended October 31, 2004
Investment Income
Dividends, net of foreign taxes of $32,242 (Note 1) ............. $ 2,628,698
Securities lending income (Note 1) .............................. 71,531
Interest (Note 1) ............................................... 58,904
-----------
2,759,133
-----------
Expenses
Management fee (Note 2) ......................................... 2,172,192
Transfer agent and shareholder services (Note 2) ................ 1,089,375
Distribution and services fees - Class A (Note 4) ............... 312,444
Distribution and service fees - Class B(1) (Note 4) ............. 1,047,293
Distribution and service fees - Class B (Note 4) ................ 7,295
Distribution and service fees - Class C (Note 4) ................ 271,737
Distribution and service fees - Class R (Note 4) ................ 1,187
Custodian fee ................................................... 153,507
Administration fee (Note 2) ..................................... 107,908
Reports to shareholders ......................................... 103,808
Registration fees ............................................... 61,750
Audit fee ....................................................... 46,000
Trustees' fees (Note 2) ......................................... 28,442
Legal fees ...................................................... 17,000
Miscellaneous ................................................... 38,210
-----------
5,458,148
Fees paid indirectly (Note 2) ................................... (9,261)
-----------
5,448,887
-----------
Net investment loss ............................................. (2,689,754)
-----------
Realized and Unrealized Gain (Loss)
on Investments
Net increase from payment by affiliate (Note 2) ................. 15,707
Net realized gain on investments (Notes 1 and 3) ................ 49,361,911
Change in unrealized depreciation of investments ................ (32,508,263)
-----------
Net gain on investments ......................................... 16,869,355
-----------
Net increase in net assets resulting from operations ............ $14,179,601
===========
The notes are an integral part of the financial statements.
State Street Research Legacy Fund 9
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Years ended October 31
---------------------------------------
2004 2003
---------------------------------------
Increase (Decrease) In Net Assets
Operations:
Net investment loss ......... $ (2,689,754) $ (1,952,085)
Net increase from payment
by affiliate .............. 15,707 --
Net realized gain (loss) on
investments ............... 49,361,911 (16,699,994)
Change in unrealized
appreciation (depreciation)
of investments ............ (32,508,263) 80,572,206
--------------------------------------
Net increase resulting from
operations ................ 14,179,601 61,920,127
--------------------------------------
Net increase (decrease) from
fund share transactions
(Note 7) .................. (55,470,941) 46,837,642
--------------------------------------
Total increase (decrease)
in net assets ............. (41,291,340) 108,757,769
Net Assets
Beginning of year ........... 349,922,654 241,164,885
--------------------------------------
End of year ................. $ 308,631,314 $ 349,922,654
======================================
Notes to Financial Statements
- --------------------------------------------------------------------------------
October 31, 2004
Note 1
State Street Research Legacy Fund is a series of State Street Research
Securities Trust (the "Trust"), which is organized as a Massachusetts business
trust and is registered under the Investment Company Act of 1940, as amended,
as an open-end management investment company. The Trust presently consists of
two separate funds: State Street Research Legacy Fund and State Street Research
Large-Cap Analyst Fund.
The fund seeks to provide long-term growth of capital. In seeking to achieve
its investment objective, the fund invests at least 65% of its total assets in
stocks and convertible securities of mid- and large-size companies. The fund
employs a tax-managed strategy, generally seeking to identify stocks with
long-term growth potential and holding them for extended periods.
The fund offers six classes of shares. Class A shares are subject to an initial
sales charge of up to 5.75% and pay annual service and distribution fees equal
to 0.30% of average daily net assets. Class B(1) shares pay annual service and
distribution fees equal to 1.00% of average daily net assets and automatically
convert into Class A shares (which pay lower ongoing expenses) at the end of
eight years. Class B(1) shares are subject to a contingent deferred sales
charge on certain redemptions made within six years of purchase. Class B shares
are offered only to current shareholders through reinvestment of dividends and
distributions or through exchanges from existing Class B accounts of State
Street Research funds. For the period November 1, 2003 through September 30,
2004, the annual service and distribution fees paid by Class B shares had been
voluntarily reduced to 0.00%. For the period from October 1, 2004, through
October 31, 2004, the annual service and distribution fees paid by Class B
shares are 0.25%. Class B shares automatically convert into Class A shares at
the end of eight years. Class B shares are subject to a contingent deferred
sales charge on certain redemptions made within five years of purchase. Class C
shares are subject to a contingent deferred sales charge of 1.00% on any shares
redeemed within one year of purchase. Class C shares also pay annual service
and distribution fees equal to 1.00% of average daily net assets. Class R
shares are offered to retirement plans participating in certain platforms
sponsored by broker-dealers which may involve multiple fund families. Class R
shares pay a service and distribution fee of 0.50%. No sales charge is imposed
at the time of purchase or redemption of Class R shares. Class S shares are
only offered through certain retirement accounts, advisory accounts of State
Street Research & Management Company (the "Adviser"), an investment management
subsidiary of MetLife, Inc. ("MetLife"), and special programs. No sales charge
is imposed at the time of purchase or redemption of Class S shares. Class S
shares do not pay any service or distribution fees. The fund's expenses are
borne prorata by each class, except that each class bears expenses, and has
exclusive voting rights with respect to provisions of the plans of
distribution, related specifically to that class. Income, expenses (other than
service and distribution fees), and realized and unrealized gains or losses on
investments are allocated to each class of shares based on its relative net
assets. The Trustees declare separate dividends on each class of shares.
The following significant accounting policies are consistently followed by the
fund in preparing its financial statements, and such policies are in conformity
with accounting principles generally accepted in the United States of America.
A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Short-term securities maturing within sixty days are valued
at amortized cost. Other securities, if any, are valued at their fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Trustees. In the event that the market
quotations for a portfolio instrument are not deemed to be readily available,
the Adviser's Valuation Committee determines the fair value for such portfolio
instrument. The fair value of any such portfolio instruments are determined
based upon a consideration of all available facts and information. The fair
valuation of a restricted portfolio instrument reflects the inherent worth of
the portfolio instrument, without regard to the restrictive feature, adjusted
for any diminution in value resulting from the restrictive feature. The Adviser
and the custodian also monitor domestic and foreign markets
10 The notes are an integral part of the financial statements.
Notes (continued)
- --------------------------------------------------------------------------------
and news information for any developing events that may have an impact on the
valuation of portfolio instruments. Such monitoring includes general market
news and financial market information sources currently utilized in making
investment decisions, trading and investment personnel located abroad, foreign
regional brokers, and/or foreign custodians. The value assigned to these
securities is based upon available information at the time, and does not
necessarily represent the amount which might ultimately be realized upon sale.
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
C. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of the
fund. Interest income is accrued daily as earned. Dividend income is accrued on
the ex-dividend date. The fund is charged for expenses directly attributable to
it, while indirect expenses are allocated among all funds in the Trust.
D. Dividends
Dividends from net investment income are declared and paid or reinvested
annually. Net realized capital gains, if any, are distributed annually, unless
additional distributions are required for compliance with applicable tax
regulations.
Income dividends and capital gains distributions are determined in accordance
with federal income tax regulations which may differ from accounting principles
generally accepted in the United States of America. The difference is primarily
due to differing treatments for wash sale deferrals.
E. Federal Income Taxes
No provision for federal income taxes is necessary because the fund has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods.
At October 31, 2004, the fund had a capital loss carryforward of $126,954,013
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $32,276,168, $76,300,059 and $18,377,786 expire on
October 31, 2009, 2010 and 2011, respectively. A portion of the losses expiring
in 2009, 2010 and 2011, which amounted to $32,276,168, $30,166,954 and
$2,078,939, respectively, were acquired in connection with the merger of the
State Street Research Large-Cap Growth Fund. Future utilization of these losses
may be limited under current tax laws.
To the extent book/tax differences are permanent in nature, such amounts are
reclassified within the capital accounts based on federal tax basis treatment.
The fund reclassified for book purposes amounts arising from permanent book/tax
differences primarily relating to net operating losses. At October 31, 2004,
the components of distributable earnings on a tax basis differ from the amounts
reflected in the Statement of Assets and Liabilities by temporary book/tax
differences largely arising from wash sales and capital loss carryforwards. At
October 31, 2004, the tax basis distributable earnings were $0 in undistributed
ordinary income, $0 in undistributed short-term capital gains and $0 in
undistributed long-term gains.
F. Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from these
estimates.
G. Securities Lending
The fund may seek additional income by lending portfolio securities to
qualified institutions. The fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the fund will bear the
loss. At October 31, 2004, the value of the securities loaned and the value of
collateral were $14,705,714 and $15,168,558 (consisting entirely of cash
collateral invested in State Street Navigator Securities Lending Prime
Portfolio), respectively. The collateral was marked to market the next business
day and made equal to at least 100% of the current market value of the loaned
securities and accrued interest. During the year ended October 31, 2004, income
from securities lending amounted to $71,531.
Note 2
The Trust and the Adviser have entered into an agreement under which the
Adviser earns monthly fees at an annual rate of 0.65% of the fund's average net
assets. In consideration of these fees, the Adviser furnishes the fund with
management, investment advisory, statistical and research facilities and
services. The Adviser also pays all salaries, rent and certain other expenses
of management. During the year ended October 31, 2004, the fees pursuant to
such agreement amounted to $2,172,192.
State Street Research Service Center, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), provides certain shareholder services to the fund such as
responding to inquiries and instructions from investors with respect to the
purchase and redemption of shares of the fund. In addition, MetLife receives a
fee for maintenance of the accounts of certain shareholders who are
participants in sponsored arrangements, such as employee benefit plans, through
or under which shares of the fund may be purchased. Total shareholder service
costs are allocated to each fund in the same ratios as the transfer agent
costs. During the year ended October 31, 2004, the amount of such expenses
allocated to the fund was $276,028.
The fund has entered into an arrangement with its custodian whereby credits
realized as a result of directed brokerage commissions were used to reduce a
portion of the fund's expenses. During the year ended October 31, 2004, the
fund's custodian fees were reduced by $9,261 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$28,442 during the year ended October 31, 2004.
The fund has agreed to pay the Adviser for certain administrative costs
incurred in providing other assistance and services to the fund. The fee was
based on a fixed amount that has been allocated equally among the State Street
Research funds. During the year ended October 31, 2004, the amount of such
expenses was $107,908.
On February 19, 2004, the Distributor entered into an agreement with the NASD
resolving all outstanding issues relating to an investigation by the NASD of
the Distributor's email retention practices and supervision of trading activity
in shares of the State Street Research funds. The Distributor, without
admitting or denying the allegations or the findings set forth in the
agreement, and solely for the purposes of the settlement, agreed to the entry
of certain findings by the NASD relating to the Distributor's compliance with
document retention requirements and the Distributor's supervision of
enforcement of shareholder exchange limitations set forth in the funds'
prospectuses. The agreement contains no allegations or findings of fraudulent
conduct by the Distributor. As part of this agreement the Distributor made a
payment to the fund to compensate the fund for losses relating to the exchange
of fund shares beyond the annual limit set forth in the fund's prospectus. The
payment was allocated among the fund's share classes as follows: $4,676 to
Class A; $4,979 to Class B(1); $1,991 to Class B; $1,298 to Class C and $2,763
to Class S. These amounts are shown in the total amount of $15,707 as "Net
increase from payment by affiliate" in the Statement of Operations.
Note 3
For the year ended October 31, 2004, purchases and sales of securities,
exclusive of short-term obligations, aggregated $302,317,661, and $358,435,292,
respectively.
Note 4
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940. Under the plans, the fund pays annual service
fees to the Distributor at a rate of 0.25% of average daily net assets for
Class A, Class B(1), Class B, Class C and Class R shares. In addition, the fund
pays annual distribution fees of 0.05% of average daily net assets for Class A
shares. The fund pays annual distribution fees of 0.75% of average daily net
assets for Class B(1), Class B and Class C shares and 0.25% of average net
assets for Class R shares. For the period November 1, 2003 through September
30, 2004, the annual service and distribution fees paid by Class B shares had
been voluntarily reduced to 0.00%. For the period from October 1, 2004, through
October 31, 2004, the annual service and distribution fees paid by Class B
shares are 0.25%. The Distributor uses such payments for personal services
and/or the maintenance of shareholder accounts, to reimburse securities dealers
for distribution and marketing services, to furnish ongoing assistance to
investors and to defray a portion of its distribution and marketing expenses.
For the year ended October 31, 2004, fees pursuant to such plans amounted to
$312,444, $1,047,293, $7,295, $271,737 and $1,187 for Class A, Class B(1),
Class B, Class C and Class R shares, respectively. For Class A, Class B and
Class C shares, the payments are intended to reimburse the distributor for
expenditures incurred under the plan, and any unused payments are returnable to
the fund. As of October 31, 2004, there were $2,332,948, $241,187, and
$2,895,855 for Class A, B and Class C shares, respectively, of unreimbursed
distribution and shareholder servicing related expenses
State Street Research Legacy Fund 11
to be carried forward to future plan years. For Class B(1) and Class R shares,
the payments compensate the distributor for services and expenditures incurred
under the plan, and none of the payments are returnable to the fund.
The fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of MetLife, earned initial sales charges aggregating
$119,052 and $513,697, respectively, on sales of Class A shares of the fund
during the year ended October 31, 2004, and that MetLife Securities, Inc.
earned commissions aggregating $734,473 and $3,391 on sales of Class B(1) and
Class C shares, and the Distributor collected contingent deferred sales charges
aggregating $239,861, $1,127 and $1,817 on redemptions of Class B(1), Class B
and Class C shares, respectively, during the same period.
Note 5
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. At the
time of the closing, the advisory agreement between the fund and the Adviser
and the distribution agreement between the fund and the Distributor will be
terminated. BlackRock Advisors, Inc. and BlackRock Distributors, Inc., wholly
owned subsidiaries of BlackRock, will serve as investment adviser and
distributor, respectively.
A Special Meeting of Shareholders of the fund has been tentatively scheduled
for December 27, 2004. At this meeting, shareholders of the fund will be asked
to consider and approve a plan of reorganization between the fund and the
BlackRock Legacy Portfolio, a newly created series of the BlackRock Funds. If
the proposed reorganization is approved by shareholders of the fund, the
BlackRock Legacy Portfolio would acquire substantially all of the assets and
liabilities of the fund. In exchange, shareholders of the fund would receive
shares of the BlackRock Legacy Portfolio with an aggregate value equivalent to
the aggregate net asset value of their fund shares at the time of the
transaction. If the proposed reorganization is not approved by shareholders of
the fund, the Board of Trustees will need to consider other alternatives
relating to the management and operations of the fund, including without
limitations, seeking an alternative investment adviser for the fund or seeking
shareholder approval to liquidate the fund.*
* The foregoing is not an offer to sell, nor a solicitation of an offer to buy,
shares of any fund, nor is it a solicitation of any proxy.
Note 6
The Adviser recently conducted an internal review regarding the use of fund
brokerage commissions in consideration of the distribution of fund shares. In
connection with this review, the Adviser determined to reimburse to the fund
the entire amount of any such identified brokerage commissions, and reviewed
this matter with the Board of Trustees of the fund. On November 30, 2004, a
reimbursement in the amount of $294,363 ($0.01 per share) to the fund was made
by the Adviser.
Note 7
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest at $0.001 par value per share. At October 31, 2004, the
Adviser held 10,215 Class R shares. These transactions break down by share
class as follows:
Years ended October 31
----------------------------------------------------------------
2004 2003
----------------------------------------------------------------
Class A Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
Shares sold 3,279,404 $ 40,701,227 2,808,906 $ 29,638,800
Issued in connection with acquisition of Large-Cap Growth Fund -- -- 1,381,114 12,873,626
Shares redeemed (3,971,029) (48,434,139) (3,231,893) (32,827,334)
------------ ------------ ------------ ------------
Net increase (decrease) (691,625) $ (7,732,912) 958,127 $ 9,685,092
============ ============ ============ ============
Class B(1) Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
Shares sold 475,624 $ 5,595,734 915,478 $ 9,067,543
Issued in connection with acquisition of Large-Cap Growth Fund -- -- 1,052,996 9,449,657
Shares redeemed (1,692,058) (19,854,531) (1,917,706) (18,595,910)
------------ ------------ ------------ ------------
Net increase (decrease) (1,216,434) $(14,258,797) 50,768 $ (78,710)
============ ============ ============ ============
Class B Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
Shares sold 34,539 $ 418,256 147,808 $ 1,489,996
Issued in connection with acquisition of Large-Cap Growth Fund -- -- 1,177,017 10,711,357
Shares redeemed (1,237,599) (14,929,874) (1,237,332) (12,313,930)
------------ ------------ ------------ ------------
Net increase (decrease) (1,203,060) $(14,511,618) 87,493 $ (112,577)
============ ============ ============ ============
Class C Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
Shares sold 277,077 $ 3,269,502 539,004 $ 5,333,886
Issued in connection with acquisition of Large-Cap Growth Fund -- -- 189,286 1,699,127
Shares redeemed (939,768) (11,076,996) (1,308,159) (12,850,337)
------------ ------------ ------------ ------------
Net decrease (662,691) $ (7,807,494) (579,869) $ (5,817,324)
============ ============ ============ ============
Class R Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
Shares sold 28,210 $ 349,828 10,222 $ 100,075
Shares redeemed (9,720) (121,213) -- --
------------ ------------ ------------ ------------
Net increase 18,490 $ 228,615 10,222 $ 100,075
Class R Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
Shares sold 28,583 $ 361,227 15,143 $ 150,862
Issued in connection with acquisition of Large-Cap Growth Fund -- -- 5,164,031 49,094,754
Shares redeemed (928,675) (11,749,962) (587,753) (6,184,530)
------------ ------------ ------------ ------------
Net increase (decrease) (900,092) $(11,388,735) 4,591,421 $ 43,061,086
============ ============ ============ ============
12
- -----------
FINANCIAL
- -----------
Highlights
For a share outstanding throughout each year:
Class A
--------------------------------------------------------
Years ended October 31
--------------------------------------------------------
2004(a)(e) 2003(a) 2002(a)(g ) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 11.91 9.96 11.56 16.39
---------- ---------- ---------- ----------
Net investment loss ($) (0.08) (0.05) (0.03) (0.05)
Net realized and unrealized gain (loss) on investments ($) 0.64 2.00 (1.57) (4.78)
---------- ---------- ---------- ----------
Total from investment operations ($) 0.56 1.95 (1.60) (4.83)
---------- ---------- ---------- ----------
Net asset value, end of year ($) 12.47 11.91 9.96 11.56
========== ========== ========== ==========
Total return (%)(b) 4.70 19.58 (13.84) (29.47)
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 99,435 103,247 76,798 103,774
Expense ratio (%) 1.44 1.38 1.39 1.35
Expense ratio after expense reductions (%) 1.44 1.38 1.38 1.33
Ratio of net investment loss to average net assets (%) (0.62) (0.47) (0.28) (0.39)
Portfolio turnover rate (%) 90.86 112.57 30.87 21.61
Class A
-----------------------------------------------------
Six months ended Year ended
October 31, 2000(a)(f)(g) April 30, 2000(a)(g)
- ----------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 15.99 14.42
---------- ----------
Net investment loss ($) (0.04) (0.05)
Net realized and unrealized gain (loss) on investments ($) 0.44 1.62
---------- ----------
Total from investment operations ($) 0.40 1.57
---------- ----------
Net asset value, end of year ($) 16.39 15.99
========== ==========
Total return (%)(b) 2.50 (c) 10.89
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 151,920 143,037
Expense ratio (%) 1.34 (d) 1.22
Expense ratio after expense reductions (%) 1.34 (d) 1.21
Ratio of net investment loss to average net assets (%) (0.54)(d) (0.34)
Portfolio turnover rate (%) 11.07 33.23
Class B(1)
--------------------------------------------------------
Years ended October 31
--------------------------------------------------------
2004(a)(e) 2003(a) 2002(a)(g) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 11.41 9.61 11.23 16.04
---------- ---------- ---------- ----------
Net investment loss ($) (0.15) (0.12) (0.11) (0.15)
Net realized and unrealized gain (loss) on investments ($) 0.60 1.92 (1.51) (4.66)
---------- ---------- ---------- ----------
Total from investment operations ($) 0.45 1.80 (1.62) (4.81)
---------- ---------- ---------- ----------
Net asset value, end of year ($) 11.86 11.41 9.61 11.23
========== ========== ========== ==========
Total return (%)(b) 3.94 18.73 (14.43) (29.99)
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 97,938 108,125 90,564 129,464
Expense ratio (%) 2.14 2.08 2.09 2.05
Expense ratio after expense reductions (%) 2.14 2.08 2.08 2.03
Ratio of net investment loss to average net assets (%) (1.31) (1.17) (0.98) (1.09)
Portfolio turnover rate (%) 90.86 112.57 30.87 21.61
Class B(1)
-----------------------------------------------------
Six months ended Year ended
October 31, 2000(a)(f)(g) April 30, 2000(a)(g)
-----------------------------------------------------
Net asset value, beginning of year ($) 15.71 14.28
---------- ----------
Net investment loss ($) (0.10) (0.17)
Net realized and unrealized gain (loss) on investments ($) 0.43 1.60
---------- ----------
Total from investment operations ($) 0.33 1.43
---------- ----------
Net asset value, end of year ($) 16.04 15.71
========== ==========
Total return (%)(b) 2.10 (c) 10.01
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 184,818 153,359
Expense ratio (%) 2.04 (d) 1.97
Expense ratio after expense reductions (%) 2.04 (d) 1.96
Ratio of net investment loss to average net assets (%) (1.25)(d) (1.13)
Portfolio turnover rate (%) 11.07 33.23
Class B
--------------------------------------------------------
Years ended October 31
--------------------------------------------------------
2004(a)(e) 2003(a) 2002(a)(g) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 11.65 9.72 11.31 16.11
--------- --------- --------- ---------
Net investment loss ($) (0.04) (0.01) (0.07) (0.11)
Net realized and unrealized gain (loss) on investments ($) 0.62 1.94 (1.52) (4.69)
--------- --------- --------- ---------
Total from investment operations ($) 0.58 1.93 (1.59) (4.80)
--------- --------- --------- ---------
Net asset value, end of year ($) 12.23 11.65 9.72 11.31
========= ========= ========= =========
Total return (%)(b) 4.98 19.86 (14.06) (29.80)
Ratios/Supplemental Data:
- ------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 34,648 47,034 38,368 62,244
Expense ratio (%) 1.16 1.08 1.74 1.76
Expense ratio after expense reductions (%) 1.16 1.08 1.73 1.74
Ratio of net investment loss to average net assets (%) (0.33) (0.13) (0.66) (0.80)
Portfolio turnover rate (%) 90.86 112.57 30.87 21.61
Class B
-----------------------------------------------------
Six months ended Year ended
October 31, 2000(a)(f)(g) April 30, 2000(a)(g)
- ----------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 15.74 14.28
---------- ----------
Net investment loss ($) (0.07) (0.12)
Net realized and unrealized gain (loss) on investments ($) 0.44 1.58
---------- ----------
Total from investment operations ($) 0.37 1.46
---------- ----------
Net asset value, end of year ($) 16.11 15.74
========== ==========
Total return (%)(b) 2.35 (c) 10.22
Ratios/Supplemental Data:
- ----------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 106,027 109,135
Expense ratio (%) 1.69 (d) 1.77
Expense ratio after expense reductions (%) 1.69 (d) 1.76
Ratio of net investment loss to average net assets (%) (0.89)(d) (0.87)
Portfolio turnover rate (%) 11.07 33.23
State Street Research Legacy Fund 13
Class C
--------------------------------------------------------
Years ended October 31
--------------------------------------------------------
2004(a)(e) 2003(a) 2002(a)(g) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 11.41 9.61 11.23 16.05
--------- --------- --------- ---------
Net investment loss ($) (0.15) (0.11) (0.11) (0.15)
Net realized and unrealized gain (loss) on investments ($) 0.60 1.91 (1.51) (4.67)
--------- --------- --------- ---------
Total from investment operations ($) 0.45 1.80 (1.62) (4.82)
--------- --------- --------- ---------
Net asset value, end of year ($) 11.86 11.41 9.61 11.23
========= ========= ========= =========
Total return (%)(b) 3.94 18.73 (14.43) (30.03)
Ratios/Supplemental Data:
- ----------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 23,854 30,516 31,274 46,809
Expense ratio (%) 2.14 2.08 2.09 2.05
Expense ratio after expense reductions (%) 2.14 2.08 2.08 2.03
Ratio of net investment loss to average net assets (%) (1.30) (1.15) (0.99) (1.08)
Portfolio turnover rate (%) 90.86 112.57 30.87 21.61
Class C
-----------------------------------------------------
Six months ended Year ended
October 31, 2000(a)(f)(g) April 30, 2000(a)(g)
- ----------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 15.71 14.28
---------- ----------
Net investment loss ($) (0.10) (0.16)
Net realized and unrealized gain (loss) on investments ($) 0.44 1.59
---------- ----------
Total from investment operations ($) 0.34 1.43
---------- ----------
Net asset value, end of year ($) 16.05 15.71
========== ==========
Total return (%)(b) 2.16 (c) 10.01
Ratios/Supplemental Data:
- ----------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 76,137 69,061
Expense ratio (%) 2.04 (d) 1.97
Expense ratio after expense reductions (%) 2.04 (d) 1.96
Ratio of net investment loss to average net assets (%) (1.24)(d) (1.10)
Portfolio turnover rate (%) 11.07 33.23
Class R
-----------------------------------------------------
Year ended
October 31, 2004(a)(e) 2003(a)(h)
- ----------------------------------------------------------------------------------------------------------------
11.90 9.79
Net asset value, beginning of year ($) -- --
Net investment loss ($) (0.10) (0.05)
Net realized and unrealized gain on investments ($) 0.62 2.16
---------- ----------
Total from investment operations ($) 0.52 2.11
---------- ----------
Net asset value, end of year ($) 12.42 11.90
========== ==========
Total return (%)(b) 4.37 21.55 (c)
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 357 122
Expense ratio (%) 1.64 1.58 (d)
Expense ratio after expense reductions (%) 1.64 1.58 (d)
Ratio of net investment loss to average net assets (%) (0.82) (0.79)(d)
Portfolio turnover rate (%) 90.86 112.57
Class S
------------------------------------------------------
Years ended October 31
------------------------------------------------------
2004(a)(e) 2003(a) 2002(a)(g) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 12.17 10.14 11.74 16.61
--------- --------- --------- ---------
Net investment income (loss) ($) (0.04) (0.02) 0.00 (0.01)
Net realized and unrealized gain (loss) on investments ($) 0.65 2.05 (1.60) (4.86)
--------- --------- --------- ---------
Total from investment operations ($) 0.61 2.03 (1.60) (4.87)
--------- --------- --------- ---------
Net asset value, end of year ($) 12.78 12.17 10.14 11.74
========= ========= ========= =========
Total return (%)(b) 5.01 20.02 (13.63) (29.32)
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 52,399 60,878 4,161 5,077
Expense ratio (%) 1.14 1.08 1.09 1.05
Expense ratio after expense reductions (%) 1.14 1.08 1.08 1.03
Ratio of net investment income (loss) to average net assets (%) (0.31) (0.19) 0.03 (0.09)
Portfolio turnover rate (%) 90.86 112.57 30.87 21.61
Class S
-----------------------------------------------------
Six months ended Year ended
October 31, 2000(a)(f)(g) April 30, 2000(a)(g)
-----------------------------------------------------
Net asset value, beginning of year ($) 16.09 14.48
---------- ----------
Net investment income (loss) ($) (0.02) (0.00)
Net realized and unrealized gain (loss) on investments ($) 0.54 1.61
---------- ----------
Total from investment operations ($) 0.52 1.61
---------- ----------
Net asset value, end of year ($) 16.61 16.09
========== ==========
Total return (%)(b) 3.23 (c) 11.12
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 7,126 8,097
Expense ratio (%) 1.04 (d) 0.97
Expense ratio after expense reductions (%) 1.04 (d) 0.96
Ratio of net investment income (loss) to average net assets (%) (0.24)(d) (0.06)
Portfolio turnover rate (%) 11.07 33.23
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) Not annualized
(d) Annualized
(e) During the year ended October 31, 2004, the Distributor made restitution
payments to the fund as part of a settlement with NASD. These payments had
no effect on net realized and unrealized gain on investments per share.
(f) Effective August 2, 2000, the fiscal year end of the fund changed from
April 30 to October 31.
(g) Audited by other auditors
(h) April 3, 2003 (commencement of share class) to October 31, 2003
14
- -----------
REPORT OF
- -----------
Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
of State Street Research Legacy Fund:
We have audited the accompanying statement of assets and liabilities, including
the portfolio holdings, of State Street Research Legacy Fund (the "Fund"), a
series of State Street Research Securities Trust, as of October 31, 2004, and
the related statement of operations for the year then ended, and the statement
of changes in net assets and the financial highlights for each of the two years
in the period then ended. These financial statements and financial highlights
are the responsibility of the Fund's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits. The financial highlights for each of the years in the two-year
period ended October 31, 2002, the six months ended October 31, 2000, and the
year ended April 30, 2000, were audited by other auditors whose report dated
December 13, 2002, expressed an unqualified opinion on such financial
highlights.
We conducted our audits in accordance with standards of the Public Company
Accounting Oversight Board (United States).Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2004, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Fund as of October 31, 2004, the results of its operations for the year then
ended and the changes in its net assets and the financial highlights for each
of the two years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 17, 2004
State Street Research Legacy Fund 15
- -------------
PERFORMANCE
- --------------
Discussion as of October 31, 2004
(continued from page 3)
Performance: Class B(1)
- --------------------------------------------------------------------------------
Fund average annual total return as of 10/31/04
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 3.94% -3.85% 2.53%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 3.94% -3.84% 2.53%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 2.56% -3.23% 2.17%
- --------------------------------------------------------------------------------
Fund average annual total return as of 9/30/04
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 4.97% -3.61% 2.35%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 4.97% -3.61% 2.34%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 3.23% -3.03% 2.01%
- --------------------------------------------------------------------------------
Performance: Class C
- --------------------------------------------------------------------------------
Fund average annual total return as of 10/31/04
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 3.94% -3.85% 2.53%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 3.94% -3.84% 2.53%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 2.56% -3.23% 2.17%
- --------------------------------------------------------------------------------
Fund average annual total return as of 9/30/04
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 8.97% -3.22% 2.35%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 8.97% -3.22% 2.34%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 5.83% -2.71% 2.01%
- --------------------------------------------------------------------------------
Performance: Class S
- --------------------------------------------------------------------------------
Fund average annual total return as of 10/31/04
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 5.01% -2.76% 3.66%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 5.01% -2.76% 3.66%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 3.26% -2.32% 3.16%
- --------------------------------------------------------------------------------
Fund average annual total return as of 9/30/04
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 11.03% -2.14% 3.46%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 11.03% -2.14% 3.46%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 7.17% -1.81% 2.98%
- --------------------------------------------------------------------------------
Performance: Class B
- --------------------------------------------------------------------------------
Fund average annual total return as of 10/31/04
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 4.98% -3.25% 2.99%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 4.98% -3.25% 2.99%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 3.24% -2.73% 2.58%
- --------------------------------------------------------------------------------
Fund average annual total return as of 9/30/04
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 6.07% -3.06% 2.79%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 6.07% -3.05% 2.79%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 3.95% -2.57% 2.40%
- --------------------------------------------------------------------------------
Performance: Class R
- --------------------------------------------------------------------------------
Fund average annual total return as of 10/31/04
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 4.37% -3.22% 3.23%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 4.37% -3.22% 3.22%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 2.84% -2.71% 2.78%
- --------------------------------------------------------------------------------
Fund average annual total return as of 9/30/04
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes 10.57% -2.60% 3.04%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions 10.57% -2.59% 3.04%
- --------------------------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 6.87% -2.19% 2.62%
- --------------------------------------------------------------------------------
Keep in mind that the performance data quoted represents past performance and
is no guarantee of future results. Current performance may be lower or higher
than the performance data quoted herein. For the most recent month-end
performance results, visit our website at www.ssrfunds.com. The fund's share
price, yield and return will fluctuate, and you may have a gain or loss when
you sell your shares. All returns assume reinvestment of capital gains
distributions and income dividends at net asset value. Performance for Class
B(1) shares reflects Class B share performance through December 31, 1998, and
Class B(1) performance thereafter. Performance for Class R shares reflects
Class A share performance through April 2, 2003, and Class R share performance
thereafter. If the returns for Class B(1) and Class R shares had reflected
their current service/distribution (Rule 12b-1) fees for the entire period,
these returns would have been lower.
Average annual total return without sales charge does not reflect the maximum
applicable sales charges. If the applicable sales charges were deducted,
performance would be lower.
Average annual total return at maximum applicable sales charge reflects a
maximum 5.75% Class A front-end sales charge, or 5% Class B or Class B(1) share
or 1% Class C share contingent deferred sales charge, where applicable.
Ater-tax returns are calculated using the highest historical federal marginal
income tax rates and do not reflect the impact of state and local taxes. Actual
after-tax returns depend on an investor's tax situation and may differ from
those shown, and after-tax returns shown are not relevant to investors who hold
their fund shares through tax-deferred arrangements, such as 401(k) plans or
individual retirement accounts (IRAs). Return After Taxes on Distributions and
Sales of Fund Shares for a period may be greater than or equal to Return After
Taxes on Distributions for the same period because of losses realized on the
sale of fund shares.
Class R and Class S shares, offered without sales charge, are only available
through retirement plans and through special programs.
16
- ------------------------
TRUSTEES AND OFFICERS
- ------------------------
State Street Research Securities Trust
Number
of Funds
in Fund
Complex
Name, Position(s) Term of Office Overseen Other
Address Held with and Length of Principal Occupations by Trustee/ Directorships Held
and Age(a) Fund Time Served(b) During Past 5 Years Officer(c) by Trustee/Officer
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Trustees
Bruce R. Bond Trustee Since Retired; formerly Chairman of the Board, 18 Avaya Inc.
(58) 1999 Chief Executive Officer and President,
PictureTel Corporation (video conferencing
systems)
- ------------------------------------------------------------------------------------------------------------------------------------
Peter S. Drotch Trustee Since Retired, formerly Partner, 18 First Marblehead Corp.
(62) 2004 PricewaterhouseCoopers LLP
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Garban Trustee Since Retired; formerly Senior Vice President 52 Metropolitan Series
(67) 1997 for Finance and Operations and Treasurer, Fund, Inc. and
The Pennsylvania State University Metropolitan Series
Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Susan M. Phillips Trustee Since Dean, School of Business and Public 18 The Kroger Co.
(60) 1999 Management, George Washington University;
formerly a member of the Board of
Governors of the Federal Reserve System;
and Chairman and Commissioner of the
Commodity Futures Trading Commission
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Rosenblatt Trustee Since President, Founders Investments Ltd. 52 A.P. Pharma, Inc.;
(66) 1994 (investments); President, Pacific Four Metropolitan Series
Investments (investments); formerly Fund, Inc.; and
President, The Glen Ellen Company (private Metropolitan Series
investment firm) Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Scott Trustee Since Jay W. Forrester Professor of Management 52 Metropolitan Series
Morton (67) 1994 (Emeritus), Sloan School of Management, Fund, Inc. and
Massachusetts Institute of Technology Metropolitan Series
Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Interested Trustees
Richard S. Davis(+) Trustee Since Chairman of the Board, President and Chief 18 None
(59) 2000 Executive Officer of State Street Research
& Management Company; formerly Senior Vice
President, Fixed Income Investments,
Metropolitan Life Insurance Company
- ------------------------------------------------------------------------------------------------------------------------------------
Officers
Edward Dowd Vice Since Vice President of State Street Research & 6 None
(37) President 2003 Management Company, formerly Vice
President, Independence Investment LLC and
equity research associate, Donaldson,
Lufkin and Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Goodwin Vice Since Managing Director and Chief Investment 17 Akamai Technologies
(45) President 2002 Officer - Equities of State Street Inc.
Research & Management Company; formerly
Chief Investment Officer - U.S. Growth
Equities, American Century
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey Lindsey Vice Since Managing Director of State Street Research 6 None
(42) President 2003 & Management Company, 6 (42) formerly
Managing Director and Senior Vice
President, Putnam Investments
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Vice Since Managing Director, Chief Financial Officer 18 None
(50) President 2001 and Director of State Street Research &
Management Company; formerly Executive
Vice President, State Street Research &
Management Company; and Senior Vice
President, Product and Financial
Management, MetLife Auto & Home
- ------------------------------------------------------------------------------------------------------------------------------------
Denis J. Walsh III Vice Since Managing Director of State Street Research 2 None
(44) President 2003 & Management Company; formerly Senior
Research Analyst, Fleet Investment
Advisors
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since Senior Vice President and Treasurer of 18 None
(47) 2001 State Street Research & Management
Company; formerly Vice President and
Assistant Treasurer, State Street Research
& Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
The fund's Statement of Additional Information includes additional information
about the fund's trustees, and is available without charge by contacting State
Street Research, One Financial Center, Boston, Massachusetts 02111-2690, or by
calling toll-free 1-87-SSR-FUNDS (1-877-773-8637).
(a) The address of each person is c/o State Street Research & Management
Company, One Financial Center, Boston, MA 02111-2690.
(b) A Trustee serves until he or she retires, resigns or is removed as provided
in the master trust agreement of the respective Trust. Each Trust has
adopted a mandatory retirement age of 72. Each officer holds office until he
or she resigns, is removed or a successor is elected.
(c) Includes all series of 9 investment companies for which State Street
Research & Management Company serves as sole investment adviser and all
series of Metropolitan Series Fund, Inc. and Metropolitan Series Fund II.
The primary adviser to Metropolitan Series Fund, Inc. and Metropolitan
Series Fund II is MetLife Advisers, LLC, which has retained State Street
Research & Management Company as sub-adviser to certain series of
Metropolitan Series Fund, Inc.
(+) Mr. Davis is an "interested person" of the Trust under the Investment
Company Act of 1940 by reason of his affiliation with the Trust's Investment
Manager, State Street Research & Management Company, as noted.
State Street Research Legacy Fund 17
[LOGO] STATE STREET RESEARCH --------------
One Financial Center PRSRT STD
Boston, MA 02111-2690 U.S. POSTAGE
PAID
PERMIT #6
HUDSON, MA
--------------
- --------------------------------------------------------------------------------
New accounts, mutual fund purchases, exchanges and account information
Internet www.ssrfunds.com
E-mail info@ssrfunds.com
Phone 1-87-SSR-FUNDS (1-877-773-8637),
toll-free, 7 days a week, 24 hours a day
Hearing-impaired: 1-800-676-7876
Fax 1-617-737-9722 (request confirmation number
first from the Service Center by calling 1-877-773-8637)
Mail State Street Research Service Center
P.O. Box 8408, Boston, MA 02266-8408
Did You Know?
State Street Research offers electronic delivery of quarterly statements,
shareholder reports and fund prospectuses. If you elect this option, we will
send these materials to you via e-mail. To learn more, visit us on the Web at
www.ssrfunds.com and click on "Go to Your Account" or call us at 1-87-SSR-FUNDS
(1-877-773-8637).
Did you know that you can give a State Street Research mutual fund as a gift?
Call a service center representative at 1-87-SSR-FUNDS (1-877-773-8637), Monday
through Friday, 8am-6pm eastern time, to learn more.
- --------------------------------------------------------------------------------
Investors should carefully consider the fund's investment objective, risks,
charges and expenses before investing. The fund's prospectus contains more
complete information on these and other matters. A prospectus for any State
Street Research fund is available through your financial professional, by
calling toll-free 1-87-SSR-FUNDS (1-877-773-8637) or by visiting our website at
www.ssrfunds.com. Please read the prospectus carefully before investing.
OverView
For more information on the products and services we offer, refer to OverView,
our quarterly shareholder newsletter.
Webcasts
For a professional perspective on the markets, the economy and timely investment
topics, tune in to a State Street Research webcast by visiting our website at
www.ssrfunds.com.
Complete Fund Listing
For a list of our funds, visit our website at www.ssrfunds.com under Research
Our Funds.
[GRAPHIC]
for Excellence in
Shareholder Communications
[GRAPHIC]
for Excellence in Service
This report must be accompanied or preceded by a current prospectus. When used
as sales material after December 31, 2004, this report must be accompanied by a
current Quarterly Performance Update.
"State Street Research Proxy Voting policies and proceures" -- which describes
how we vote proxies relating to portfolio securities -- is available upon
request free of charge by calling the State Street Research Center toll free at
1-87-SSR-FUNDS (1-877-773-8637) or by accessing the U.S. Security Exchange
Commission website at www.sec.gov.
The DALBAR awards recognize quality shareholder service and quality shareholder
communications, and should not be considered a rating of fund performance. The
survey included mutual fund complexes that volunteered or were otherwise
selected to participate and was not industrywide.
Member NASD, SIPC
(C)2004 State Street Research Investment Services, Inc.
One Financial Center
Boston, MA 02111-2690
www.ssrfunds.com
CONTROL NUMBER:(exp1205)SSR-LD LF-2851-1204
<Page>
FORM N-CSR(2 OF 3)
ITEM 2: CODE OF ETHICS
(a) The Registrant has, as of the end of the period covered by this
report, adopted a code of ethics pursuant to Section 406 of the
Sarbanes-Oxley Act and as defined in the instructions to Form N-CSR
that applies to the Registrant's principal executive officer,
principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of
whether these individuals are employed by the Registrant or a third
party.
(b) Omitted
(c) During the period covered by this report, there were not any amendments
to the provisions of the code of ethics adopted in 2(a) above.
(d) During the period covered by this report, there were not any waivers or
implicit waivers to a provision of the code of ethics adopted in 2(a)
above.
(e) Not applicable.
(f) Not applicable.
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT
The Registrant's Board of Trustees has determined that Steve A. Garban,
a member of the Registrant's Board of Trustees and Audit Committee,
qualifies as an "audit committee financial expert" as such term is
defined in the instructions to Form N-CSR. Mr. Garban is "independent",
as defined in the instructions to Form N-CSR.
ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES
<Table>
<Caption>
(a) Audit Fee
Fiscal year ended October 31, 2003 $23,000
Fiscal year ended October 31, 2004 $25,000
(b) Audit-Related Fees - Represents fees for assurance and related services
related to the audit of the registrant's financial statements.
Fiscal year ended October 31, 2003 $0
Fiscal year ended October 31, 2004 $0
(c) Tax Fees - Represents fees for professional services rendered by the
principal accountant for tax compliance, tax provision review, and the
tax return preparation.
Fiscal year ended October 31, 2003 $3,500
Fiscal year ended October 31, 2004 $4,000
(d) All other fees - Represents fees paid to Deloitte & Touche LLP to provide a
special review of late trading, market timing and related issues concerning
the Registrant.
Fiscal year ended October 31, 2003 $0
Fiscal year ended October 31, 2004 $14,000
</Table>
The Registrant's independent accountants, Deloitte & Touche LLP, did not
bill fees for audit-related, tax, or other non-audit services that required
pre-approval by the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X during the Registrant's last two fiscal years.
(e)(1) The Audit Committee has determined that all work performed for the
Registrant by Deloitte & Touche LLP will be pre-approved by the full Audit
Committee and, therefore, has not adopted pre-approval procedures.
(2) None.
(f) Not applicable.
(g) Non-Audit Fees - Represents fees for audit-related, tax and other
non-audit services rendered by the principal accountant to the Registrant,
the Registrant's investment adviser and any entity controlling, controlled
by, or under common control with the investment adviser that provides ongoing
services to the Registrant.
Fiscal Year Ended October 31, 2003 $ 3,500
Fiscal Year Ended October 31, 2004 $64,000
(h) The Audit Committee of the Registrant has considered whether the
non-audit services that were rendered by the Registrant's principal
accountant to the Registrant's investment adviser (not including any
subadviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser) and any
entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the Registrant and
that were not pre-approved by the Audit Committee are compatible with
maintaining the principal accountant's independence.
ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6: SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7: DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8: PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITIY HOLDERS
The Governance Committee will consider nominees recommended by
shareholders. Shareholders may submit recommendations to the
attention of the Secretary of the Trust, State Street Research
& Management Company, One Financial Center, 30th Floor, Boston
MA 02111.
ITEM 10: CONTROLS AND PROCEDURES
(a) The Registrant's principal executive and principal financial officers
have concluded, based on their evaluation of the Registrant's disclosure
controls and procedures as of a date within 90 days of the filing date
of this report, that the Registrant's disclosure controls and procedures
are reasonably designed to ensure that information required to be
disclosed by the Registrant on Form N-CSR is recorded, processed,
summarized and reported within the required time periods and that
information required to be disclosed by the Registrant in the reports
that it files or submits on Form N-CSR is accumulated and communicated
to the Registrant's management, including its principal executive and
principal financial officers, as appropriate to allow timely decisions
regarding required disclosure.
(b) There were no changes in the Registrant's internal control over financial
reporting during the Registrant's second fiscal half-year that have
materially affected, or are reasonably likely to materially affect, the
internal control over financial reporting.
ITEM 11: EXHIBITS
(a)(1) Code of Ethics required to be disclosed under Item 2 of Form
N-CSR attached hereto as Exhibit 99.CODE ETH
(a)(2) Certification for each principal executive and principal
financial officer of the Registrant required by Rule 30a-2(a)
under the Investment Company Act of 1940, as amended
(17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.302CERT
(b) Certification required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) attached
hereto as Exhibit 99.906CERT
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
State Street Research Securities Trust
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date January 6, 2005
------------------------------------------------------
<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 January 6, 2005
------------------------
By: /s/ Douglas A. Romich
------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer
Date January 6, 2005
------------------------