UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-8322
----------------------------------------------
State Street Research Securities Trust
------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
One Financial Center, Boston, MA 02111
------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Francis J. McNamara, III, Secretary
State Street Research
One Financial Center, Boston, MA 02110
------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
------------------
Date of fiscal year end: 10/31/03
-----------------
Date of reporting period: 11/01/02 - 04/30/03
----------------------------
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 Semiannual Report is attached.
FORM N-CSR(2 OF 3)
ITEM 2 (CODE OF ETHICS): Not applicable to this filing.
ITEM 3 (AUDIT COMMITTEE FINANCIAL EXPERT): Not applicable to this filing.
ITEM 4 (PRINCIPAL ACCOUNTANT FEES AND SERVICES): Not applicable to this filing.
ITEM 5 (RESERVED)
ITEM 6 (RESERVED)
ITEM 7 (DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES): Not applicable to this filing.
ITEM 8 (RESERVED)
ITEM 9 (CONTROLS AND PROCEDURES):
SUB-ITEM 9a - The Principal Executive Officer and the Principal Financial
Officer have concluded that the State Street Research Securities Trust
disclosure controls and procedures (as defined in Rule 30-a2(c) under the
Investment Company Act) provide reasonable assurances that material
information relating to the State Street Research Securities Trust is
made known to them by the appropriate persons, based on their evaluation
of these controls and procedures as of a date within 90 days of the
filing date of this report.
SUB-ITEM 9b - There were no significant changes in the registrant's
internal controls or in other factors that could significantly affect
these controls subsequent to the date of their evaluation referenced in
(a)(i) above.
ITEM 10 (EXHIBITS):
SUB-ITEM 10a - Not applicable to this filing.
SUB-ITEM 10b - Certification Exhibits are attached.
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
Date June 25, 2003
---------------------------------------------------------
FORM N-CSR(3 OF 3)
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities, and on the
dates indicated.
By: /s/ Richard S. Davis
---------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date June 25, 2003
------------------------
By: /s/ Douglas A. Romich
---------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer
Date June 25, 2003
------------------------
[LOGO] STATE STREET RESEARCH
Legacy Fund
[GRAPHIC]
- --------------------------------------------------------------------------------
Semiannual Report to Shareholders
April 30, 2003
In This Report Investment Update
[PHOTO]
plus
A Review of Fund Performance
Key Facts and Financial Statements
Contents
2 6-Month Review
A look at the fund and its market environment over the past 6 months
4 The Fund in Detail
Portfolio holdings, financials and notes
From the Chairman
Better Times for the U.S. financial markets has raised hopes that the darkest
period for American investors in more than 30 years is coming to an end. Almost
every major U.S. stock and bond market index reported a gain for the six-month
period ended April 30, 2003, despite uncertainty about the U.S. economy and the
outbreak of war with Iraq. In the final month of the period, the economy also
gave signs of stabilizing as pockets of improvement emerged in the manufacturing
sector.
[Photo of Richard S. Davis]
Richard S. Davis
In the report that follows, your portfolio managers talk in greater detail about
the fund's performance and management during the period. We hope that you will
discuss any questions you have about the fund with your financial advisor. As
always, thank you for investing with State Street Research.
Sincerely,
/s/ Richard S. Davis
Richard S. Davis
Chairman
April 30, 2003
[GRAPHIC]
6-Month Review
How State Street Research
Legacy Fund Performed
In a generally volatile period for stocks, State Street Research Legacy Fund
returned 1.61% for the six months ended April 30, 2003.(1) That was less than
the Russell 1000(R) Growth Index, which gained 4.28% for the period.(2)
Reasons for the Fund's Performance
Poor stock selection in some of the fund's most heavily weighted sectors was the
primary reason the fund underperformed its benchmark. In the Consumer
Discretionary sector, Home Depot was a disappointment. In Utilities, SBC
Communications lagged. Our underweight in the strong-performing Technology
sector also detracted from results.
Performance was helped by our stock selection in the Health Care sector as a
number of our biotechnology and pharmaceutical holdings outperformed. Amgen was
the best-performing stock in the index, as the company's first earnings quarter
exceeded its earlier estimates. Our investment in Varian Medical Systems, the
market leader in radiation therapy, was also a strong performer.
Looking Ahead
We continue to emphasize the Energy sector. Demand continues to outstretch
supply in both natural gas and oil, which has strengthened the business
prospects of many energy-related companies. Conversely, we have reduced our
exposure to the Consumer Discretionary sector, where many companies continue to
struggle to increase revenues while managing inventories and expenses.We have
also backed away from the Financial Services sector because of downward earnings
revisions.
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.
Class A Shares(1)
1.61% [UP ARROW]
"We continue to favor energy stocks for their long-term growth potential."
[Photos of Jeff Lindsey & Ed Dowd]
Jeff Lindsey & Ed Dowd
Co-Portfolio Managers, State Street Research Legacy Fund
Russell 1000
Growth Index(2)
4.28% [UP ARROW]
2 State Street Research Legacy Fund
The Fund at a Glance as of 4/30/03
State Street Research Legacy Fund has a tax-managed approach to investing in
stocks for long-term growth.
Hits & Misses
[GRAPHIC]
Comcast
Cable television operator Comcast exceeded our expectations, boosted by its
merger with AT&T Broadband and profits from its cable modem technology.
[GRAPHIC]
Pfizer
Although Pfizer's cholesterol drug Lipitor was the top-selling pharmaceutical
worldwide, investors expressed concern over generally weak sales in the
industry. We continue to hold Pfizer as it is the market leader in sales.
Total Net Assets: $306 million
- --------------------------------------------------------------------------------
Top 10 Holdings
Issuer/Security % of fund net assets
1 Microsoft 5.3%
2 General Electric 5.2%
3 Pfizer 4.9%
4 IBM 3.5%
5 Intel 3.3%
6 Procter & Gamble 3.2%
7 Wyeth 2.9%
8 Citigroup 2.8%
9 Amgen 2.7%
10 Johnson & Johnson 2.6%
Total 36.4%
See page 7 for more detail.
Performance: Class A
Fund average annual total return as of 4/30/03 (3),(5),(6)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes -14.81% -2.78% 0.23%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -14.81% -2.79% 0.23%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions and
Sale of Fund Shares -9.24% -2.20% 0.19%
- --------------------------------------------------------------------------------
Fund average annual total return as of 3/31/03 (3),(4),(5),(6)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
- --------------------------------------------------------------------------------
Return Before Taxes -29.46% -4.89% -2.15%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -29.46% -4.89% -2.15%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions and
Sale of Fund Shares -18.38% -3.83% -1.71%
- --------------------------------------------------------------------------------
See pages 17 and 18 for remaining share classes.
Top 5 Industries
- --------------------------------------------------------------------------------
by % of fund net assets
[THE FOLLOWING DATA WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL]
April 30, 2003
Drugs &
Biotechnology 18.9%
- ------------------------------------------------------
Computer Software 8.4%
- ------------------------------------------------------
Miscellaneous
Financial 8.2%
- ------------------------------------------------------
Retail 5.6%
- ------------------------------------------------------
Electronics:
Semiconductors/
Components 5.4%
- ------------------------------------------------------
[THE FOLLOWING DATA WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL]
October 31, 2002
Drugs &
Biotechnology 13.8%
- ------------------------------------------------------
Miscellaneous
Financial 13.5%
- ------------------------------------------------------
Retail 11.4%
- ------------------------------------------------------
Oil: Integrated
International 5.7%
- ------------------------------------------------------
Computer Software 4.8%
- ------------------------------------------------------
Ticker Symbols
- --------------------------------------------------------------------------------
State Street Research Legacy Fund
Class A: SRLAX Class B(1): SRLPX Class B: SRLBX Class C: SRLCX
Class R: SRLRX Class S: SRLSX
1 Does not reflect sales charge.
2 The Russell 1000 Growth Index contains only those stocks within the
complete Russell 1000(R) 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 the
index.
3 Keep in mind that past performance is no guarantee of future results. The
fund's share price, yield and return will fluctuate, and you may have a
gain or loss when you sell your shares. All returns assume reinvestment of
capital gains distributions and income dividends at net asset value. The
returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
4 Performance reflects a maximum 5.75% Class A front-end sales charge.
5 After-tax returns are calculated using the highest historical individual
federal marginal income tax rates and do not reflect the impact of state
and local taxes. Actual after-tax returns depend on an investor's tax
situation and may differ from those shown, and after-tax returns shown are
not relevant to investors who hold their fund shares through tax-deferred
arrangements, such as 401(k) plans or individual retirement accounts.
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.
6 Performance results for the fund are increased by the voluntary reduction
of fund fees and expenses; without subsidization, performance would have
been lower.
3
[GRAPHIC]
The Fund in Detail
- --------------------------------------------------------------------------------
CHANGE IN INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP resigned as the Fund's independent accountants as of
April 25, 2003. The Trustees voted to appoint Deloitte & Touche LLP as the
Fund's independent accountants for the fund's fiscal year ended April 30, 2003.
During the two previous years, PricewaterhouseCoopers LLP's audited reports
contained no adverse opinion or disclaimer of opinion; nor were its reports
qualified or modified as to uncertainty, audit scope, or accounting principle.
Further, in connection with its audits for the two previous fiscal years and
through April 25, 2003, there were no disagreements between the Fund and
PricewaterhouseCoopers LLP on any matter of accounting principles or practices,
financial statement disclosure or auditing scope or procedure, which if not
resolved to the satisfaction of PricewaterhouseCoopers LLP would have caused it
to make reference to the disagreements in its report on the financial statements
to such years.
- --------------------------------------------------------------------------------
[GRAPHIC]
The following pages describe the fund in detail as of the date of this report.
They provide a "snapshot" of the fund's holdings at one moment in time (the
report date), describe the financial dimensions of its operations for the six
months leading up to the report date and give a summary of operations on a
per-share basis. There's also an overview of the fund and its business
structure, as well as information on the accounting policies the fund uses in
arriving at the figures it presents here.
Together, the words and numbers in this section offer a comprehensive picture of
the fund and its recent activities. In fact, the text and notes on pages 5 to 16
are an integral part of the financial statements, which wouldn't be complete
without them.
For more information about the fund's strategies, risks, and expenses, refer to
the fund's prospectus; you'll need to read it before making any investments. The
prospectus also has more details on the fund's share classes and its policies
for shareholder accounts. To obtain a copy of any State Street Research
prospectus, see the back cover of this report.
Keep in mind that in annual reports, the portfolio holdings and financial
statements are audited, while in semiannual reports they are unaudited.
4 State Street Research Legacy Fund
About the Fund
- --------------------------------------------------------------------------------
Business Structure
State Street Research Legacy Fund is a mutual fund that allows shareholders to
pool their assets for investment in a portfolio of securities. This fund is a
series of State Street Research Securities Trust, a Massachusetts business
trust, and is an open-end management investment company.
Four entities administer the fund's main business functions:
o The board of trustees oversees the fund with its shareholders'
interests in mind and has ultimate responsibility for the fund's
activities.
o The investment manager, State Street Research & Management Company,
is responsible for the fund's investment and business activities,
and receives the management fee as compensation.
o The distributor, State Street Research Investment Services, Inc.,
sells shares of the fund, handles investor inquiries and transaction
orders, and provides other shareholder services.
o The custodian, State Street Bank and Trust Company, holds fund
securities, provides data on their market value, and handles related
services.
The investment manager and the distributor are subsidiaries of MetLife, Inc.
("MetLife"). State Street Bank and Trust Company is not affiliated with MetLife
(the similarity between its name and the names of the investment manager and
distributor is coincidental). A majority of the trustees consists of people who
are not affiliated with MetLife or any of its subsidiaries. The distributor pays
a portion of its fees to MetLife for services it provides, including maintaining
the accounts of some investors who hold shares through their firms' employee
benefit plans and other sponsored arrangements.
Goal and Strategy
The fund seeks to provide long-term growth of capital. In seeking to achieve its
investment objective, the fund invests at least 65% of total assets in stocks
and convertible securities of mid- and large-size companies. The fund employs a
tax-managed strategy, generally seeking to identify stocks with long-term growth
potential and holding them for extended periods.
Share Classes
The fund generally offers five share classes, each with its own sales charge and
expense structure. The fund also offers an additional class of shares (Class B)
but only to current Class B shareholders through reinvestment of dividends and
distributions or through exchanges from existing Class B accounts of other State
Street Research funds.
Class A shares are subject to an initial sales charge of up to 5.75% and pay
annual service and distribution fees equal to 0.30% of average daily net assets.
Class B(1) shares pay annual service and distribution fees of 1.00%. The annual
service and distribution fees paid by Class B shares are currently voluntarily
reduced to 0.00%. Class B(1) and Class B shares automatically convert into Class
A shares (which pay lower ongoing expenses) at the end of eight years. Class
B(1) and Class B shares are subject to a contingent deferred sales charge on
certain redemptions made within six years and five years of purchase,
respectively. Class C shares are subject to a contingent deferred sales charge
of 1.00% on any shares redeemed within one year of their purchase and shares
also pay annual service and distribution fees of 1.00%. Class S shares are only
offered through certain retirement accounts, advisory accounts of the investment
manager, 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. 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 annual service and
distribution fees of 0.50%.
The text and notes are an integral part of the financial statements.
5
The Fund's Accounting Policies
- --------------------------------------------------------------------------------
In keeping with accounting principles generally accepted in the United States,
the fund has used the following policies in preparing the portfolio holdings and
financial statements in this report:
The fund values all portfolio securities as of the date of this report (or, if
that day wasn't a business day, then the most recent business day). The fund
uses the following methods for determining the values of various types of
securities:
o Listed securities - The fund uses the price of the last sale on a
national securities exchange that was quoted before the close of the
New York Stock Exchange.
o Over-the-counter securities - The fund uses the closing prices
quoted on the Nasdaq system. If a security hasn't traded that day,
or if it is not quoted on the Nasdaq system, the value is set at
halfway between the closing bid and asked quotations.
o Securities maturing within sixty days - The fund adjusts the value
of these securities daily, moving them closer to the amount due on
maturity as the maturity date approaches.
The fund accounts for each purchase and sale of portfolio securities on the
trade date. In calculating realized gains or losses, the fund takes as its cost
basis the identified cost of securities sold.
The fund records investment income from portfolio securities as follows:
o Interest - The fund accrues interest daily as it earns it.
o Cash dividends - The fund accrues these on the ex-dividend date.
Investment income and realized and unrealized gains and losses are allocated pro
rata on the basis of relative net assets by the holders of all classes of
shares. Net investment income is determined daily and consists of interest and
dividends earned, less the estimated daily expenses of the fund.
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 or losses. If the
borrower fails to return the securities and the collateral has declined in
value, the fund could lose money. The fund accounts for income from the lending
of its securities by including it in interest income. Investments in the State
Street Navigator Securities Lending Prime Portfolio are valued at its closing
net asset value per share on the day of valuation.
The fund distributes its net earnings to its shareholders.The fund calculates
these distributions using federal income tax regulations. As a result, they may
be different than if the fund used accounting principles generally accepted in
the United States of America.The difference is primarily due to differing
treatments for wash sale deferrals.The fund distributes its earnings on the
following schedule:
o Dividends from net investment income - The fund ordinarily declares
and pays these annually, if any.
o Net realized capital gains - The fund distributes these annually, if
any.
If the fund has no earnings to distribute, it won't make a distribution.
The fund has elected to be taxed under Subchapter M of the Internal Revenue
Code. As such, the fund does not intend to pay federal income taxes, in part
because it makes distributions as described above.
The fund pays expenses as follows:
o Expenses attributed to the fund The fund pays these directly.
Examples of these expenses include the management fee, transfer
agent fee, custodian fee and distribution and service fees.
o Expenses attributed to the trust of which the fund is a series -
These expenses are divided up among all funds in the trust. Each
fund pays a proportional share. Examples of these expenses include
the legal fees and trustees' fees.
The fund has used certain estimates and assumptions in preparing this report.
Although they are necessary in order to follow accounting principles generally
accepted in the United States of America, these estimates and assumptions affect
several key areas, including the reported amounts of assets and liabilities, and
income and expenses. Actual results could differ from these estimates.
On February 21, 2003, the Fund acquired the assets and liabilities of State
Street Research Large-Cap Growth Fund ("Large-Cap Growth Fund") in exchange for
shares of each class of the Fund. The acquisition was accounted for as a
tax-free exchange of 1,381,114 Class A shares, 1,052,996 Class B(1) shares,
1,177,017 Class B shares, 189,286 Class C shares and 5,164,031 Class S shares of
the Fund for the net assets of Large-Cap Growth Fund which amounted to
$12,873,626, $9,449,657, $10,711,357, $1,699,127 and $49,094,754 for Class A,
Class B(1), Class B, Class C and Class S shares, respectively. The net assets of
Large-Cap Growth Fund included $2,667,330 of unrealized appreciation at the
close of business on February 21, 2003. The net assets of the Fund immediately
after the acquisition were $289,204,119.
The text and notes are an integral part of the financial statements.
6 State Street Research Legacy Fund
Portfolio Holdings
- --------------------------------------------------------------------------------
April 30, 2003 (unaudited)
The listings that begin on this page detail the fund's investment holdings as of
the report date.We have grouped the holdings by asset class and by smaller
subgroups as well. For example, we have grouped this fund's stocks by sector of
the economy, and then by specific industry within each sector.
The solid black circles (1) show the fund's ten largest holdings, with the
number in the circle showing where the holding ranks in the top ten.
- --------------------------------------------------------------------------------
Notes about specific elements of the financials are called out in boxes such as
this.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
KEY TO SYMBOLS
* Denotes a security which has not paid a dividend during the last year.
@ Denotes an American Depositary Receipt, a form of ownership of foreign
securities that is traded in the United States and denominated in U.S.
dollars.
- --------------------------------------------------------------------------------
Issuer Shares Value
- --------------------------------------------------------------------------------
Common Stocks 98.9% of net assets
Automobiles & Transportation 0.8% of net assets
================================================================================
Air Transport 0.8%
Expeditors International of
Washington Inc. 64,400 $2,341,520
-----------
Total Automobiles & Transportation 2,341,520
-----------
Consumer Discretionary 16.2% of net assets
================================================================================
Casinos/Gambling, Hotel/Motel 0.7%
International Game Technology Inc.* 24,900 2,148,870
-----------
Commercial Services 2.5%
Expedia Inc. Cl. A* 99,700 5,761,663
Manpower Inc. 60,800 1,999,104
-----------
7,760,767
-----------
Communications, Media & Entertainment 1.2%
Univision Communications Inc. Cl. A* 116,100 3,515,508
-----------
Consumer Electronics 1.3%
Yahoo!, Inc.* 156,800 3,885,504
-----------
Consumer Products 1.9%
Avon Products Inc. 100,100 5,822,817
-----------
Consumer Services 0.2%
Career Education Corp.* 8,800 529,144
-----------
Printing & Publishing 1.8%
News Corp. Ltd.@ 197,200 5,576,816
-----------
Restaurants 0.6%
Starbucks Corp.* 82,500 1,937,925
-----------
Retail 5.6%
Best Buy Company Inc.* 54,800 1,894,984
CDW Computer Centers Inc.* 31,780 1,355,099
GAP Inc. 63,200 1,051,016
Kohl's Corp.* 40,550 2,303,240
Lowes Companies Inc. 53,000 2,326,170
USA Interactive* 32,280 966,786
Wal-Mart Stores Inc. 130,400 7,344,128
-----------
17,241,423
-----------
Textile Apparel Manufacturers 0.4%
Coach Inc.* 28,200 1,226,982
-----------
Total Consumer Discretionary 49,645,756
-----------
The text and notes are an integral part of the financial statements.
7
Portfolio Holdings (continued)
- --------------------------------------------------------------------------------
April 30, 2003
Issuer Shares Value
----------------------------------------------------------------------------
Consumer Staples 8.0% of net assets
============================================================================
Beverages 3.1%
Coca-Cola Co. 149,000 $6,019,600
PepsiCo Inc. 76,900 3,328,232
-----------
9,347,832
-----------
Drug & Grocery Store Chains 0.8%
Whole Foods Market Inc.* 43,400 2,576,224
-----------
Household Products 4.1%
Clorox Co. 64,400 2,912,168
(6)Procter & Gamble Co. 107,800 9,685,830
-----------
12,597,998
-----------
Total Consumer Staples 24,522,054
-----------
Financial Services 11.0% of net assets
============================================================================
Banks & Savings & Loan 0.3%
Wells Fargo & Co. 19,000 916,940
-----------
Insurance 2.5%
American International Group Inc. 65,200 3,778,340
XL Capital Ltd. 47,600 3,917,480
-----------
7,695,820
-----------
Miscellaneous Financial 8.2%
American Express Co. 171,850 6,506,241
(8)Citigroup Inc. 219,506 8,615,610
Federal National Mortgage Association 68,450 4,955,096
MBNA Corp. 97,530 1,843,317
SLM Corp. 26,800 3,001,600
-----------
24,921,864
-----------
Total Financial Services 33,534,624
-----------
Health Care 26.4% of net assets
============================================================================
Drugs & Biotechnology 18.9%
Allergan Inc. 32,000 2,248,000
Altana AG*@ 35,500 1,746,245
(9)Amgen Inc.* 134,050 8,218,606
AstraZeneca PLC@ 107,290 4,277,652
Forest Laboratories Inc.* 28,800 1,489,536
Gilead Sciences, Inc.* 28,400 1,310,376
(10)Johnson & Johnson Ltd. 141,520 7,976,067
Novartis AG@ 122,700 4,844,196
(3)Pfizer Inc. 490,354 15,078,385
Teva Pharmaceutical Industries Ltd.@ 38,300 1,788,610
(7)Wyeth Inc. 205,400 8,941,062
-----------
57,918,735
-----------
Health Care Services 3.2%
Anthem Inc.* 69,890 4,797,250
Caremark Rx Inc.* 58,500 1,164,735
Wellpoint Health Networks Inc. Cl. A* 50,400 3,827,376
-----------
9,789,361
-----------
Hospital Supply 4.3%
Guidant Corp. 44,400 1,731,156
Medtronic Inc. 135,790 6,482,614
Varian Medical Systems Inc.* 49,030 2,640,756
Zimmer Holdings Inc.* 46,000 2,157,400
-----------
13,011,926
-----------
Total Health Care 80,720,022
-----------
Integrated Oils 0.9% of net assets
============================================================================
Integrated International 0.9%
Total Fina SA@ 43,770 2,875,689
-----------
Total Integrated Oils 2,875,689
-----------
Materials & Processing 1.0% of net assets
============================================================================
Chemicals 1.0%
Air Products & Chemicals Inc. 70,560 3,039,019
-----------
Total Materials & Processing 3,039,019
-----------
Other 5.2% of net assets
============================================================================
Multi-Sector 5.2%
(2)General Electric Co. 541,730 15,953,949
-----------
Total Other 15,953,949
-----------
Other Energy 3.4% of net assets
============================================================================
Oil & Gas Producers 1.6%
Burlington Resources Inc. 44,100 2,042,271
Devon Energy Corp. 56,362 2,663,103
-----------
4,705,374
-----------
Oil Well Equipment & Services 1.8%
BJ Services Co.* 53,800 1,964,238
Halliburton Co. 94,000 2,012,540
Nabors Industries Ltd* 40,600 1,591,520
-----------
5,568,298
-----------
Total Other Energy 10,273,672
-----------
Producer Durables 2.2% of net assets
============================================================================
Miscellaneous Equipment 1.4%
Danaher Corp. 62,300 4,297,454
-----------
The text and notes are an integral part of the financial statements.
8 State Street Research Legacy Fund
Issuer Shares Value
-----------------------------------------------------------------------------
Production Technology Equipment 0.8%
Novellus Systems Inc.* 81,100 $2,274,044
-----------
Total Producer Durables 6,571,498
-----------
Technology 21.5% of net assets
=============================================================================
Communications Technology 2.3%
Ciena Corp.* 258,900 1,260,843
Cisco Systems Inc.* 324,480 4,880,179
JDS Uniphase Corp.* 236,100 762,603
-----------
6,903,625
-----------
Computer Software 8.4%
BMC Software Inc.* 193,880 2,892,689
(1)Microsoft Corp. 628,640 16,074,325
Oracle Systems Corp.* 232,200 2,758,536
SAP AG@ 160,170 4,085,937
-----------
25,811,487
-----------
Computer Technology 5.4%
Dell Computer Corp.* 92,500 2,674,175
EMC Corp.* 339,300 3,084,237
(4)IBM Corp. 126,820 10,767,018
-----------
16,525,430
-----------
Electronics: Semiconductors/Components 5.4%
(5)Intel Corp. 547,560 10,075,104
Linear Technology Corp. 136,500 4,705,155
National Semiconductor Corp.* 97,900 1,833,667
-----------
16,613,926
-----------
Total Technology 65,854,468
-----------
Utilities 2.3% of net assets
=============================================================================
Cable Television & Radio 2.3%
Comcast Corp.* 238,090 7,156,985
-----------
Total Utilities 7,156,985
-----------
Total Common Stocks 302,489,256(a)
-----------
- -----------------------------------------------------------------
(a) The fund paid a total of $277,324,102 for these securities.
- -----------------------------------------------------------------
Short-Term Investments
7.1% of net assets
State Street Navigator Securities
Lending Prime Portfolio 21,735,126 21,735,126
-----------
Total Short-Term Investments 21,735,126(b)
-----------
- -------------------------------------------------------------
(b) The fund paid a total of $21,735,126 for this security.
- -------------------------------------------------------------
Amount of
Issuer Principal Value
-----------------------------------------------------------------------------
Commercial Paper 1.1% of net assets
Citigroup Inc.
1.30%, 5/01/2003 $3,266,000 $3,266,000
-----------
Total Commercial Paper 3,266,000(c)
-----------
- -------------------------------------------------------------
(c) The fund paid a total of $3,266,000 for this security.
- -------------------------------------------------------------
% of
net Assets
- --------------------------------------------------------------------------------
Summary of Portfolio Assets
Investments 107.1% $327,490,382(d)
Other Assets, Less Liabilities (7.1%) (21,689,660)
----- -------------
Net Assets 100.0% $305,800,722
===== =============
- -----------------------------------------------------------------
(d) The fund paid a total of $302,325,228 for these securities.
- -----------------------------------------------------------------
Federal Income Tax Information
At April 30, 2003, the net unrealized appreciation of investments based on cost
for federal income tax purposes of $ 302,325,228 was as follows:
Aggregate gross unrealized appreciation
for all investments in which there is an
excess of value over tax cost $31,203,517
Aggregate gross unrealized depreciation
for all investments in which there is an
excess of tax cost over value (6,038,363)
------------
$25,165,154
============
At October 31, 2002, the fund had a capital loss carryforward of $93,445,714
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $353,559, $2,301,316, $15,859,209, $28,798,525 and
$46,133,105 expire on October 31, 2006, 2007, 2008, 2009 and 2010, respectively.
The text and notes are an integral part of the financial statements.
9
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
April 30, 2003 (unaudited)
This is the fund's balance sheet as of the report date. It shows the fund's
total assets, its liabilities and, by subtraction, its net assets. It also shows
the share price for each share class as of the report date.
Assets
Investments, at value* $327,490,382(a)
Receivable for securities sold 6,092,081
Receivable for fund shares sold 214,635
Dividends receivable 133,465
Other assets 126,916
-------------
334,057,479
Liabilities
Payable for collateral received on securities loaned 21,735,126
Payable for securities purchased 5,285,624
Payable for fund shares redeemed 480,813
Accrued transfer agent and shareholder services 203,026
Accrued management fee 166,408
Accrued distribution and service fees 131,108
Payable to custodian 41,518(b)
Accrued trustees' fees 17,121
Accrued administration fee 6,176
Other accrued expenses 189,837
-------------
28,256,757
-------------
Net Assets $305,800,722
=============
Net Assets consist of:
Unrealized appreciation of investments $25,165,154
Accumulated net realized loss (123,530,294)
Paid-in capital 404,165,862
-------------
$305,800,722(c)
=============
* Includes securities on loan valued at $21,027,967
- --------------------------------------------------------------------------------
(a) The fund paid a total of $302,325,228 for these securities.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(b) As part of the custodian contract between the custodian bank and the fund,
the custodian bank has a lien on the securities of the fund to the extent
permitted by the fund's investment restrictions to cover any advances made
by the custodian bank for the settlement of securities purchased by the
fund. At April 30, 2003, the payable to the custodian bank represents the
amount due for cash advanced for the settlement of a security purchased.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(c) 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 / Number of Shares = NAV
A $84,415,935 8,337,400 $10.12*
B(1) $94,209,618 9,677,044 $9.74**
B $44,344,580 4,483,555 $9.89**
C $28,305,507 2,906,872 $9.74**
R $ 103,486 10,222 $10.12
S $54,421,596 5,267,928 $10.33
* Maximum offering price per share = $10.74 ($10.12 / 0.9425)
** Redemption price per share for Class B(1), Class B and Class C is equal to
net asset value less any applicable contingent deferred sales charge.
- --------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
10 State Street Research Legacy Fund
Statement of Operations
- --------------------------------------------------------------------------------
For the six months ended April 30, 2003 (unaudited)
This shows what the fund earned and lost over the report period, and what its
expenses were.
Investment Income
Dividends, net of foreign taxes $ 1,142,776(a)
Interest 32,341(b)
------------
1,175,117
Expenses
Management fee 804,351(c)
Transfer agent and shareholder services 365,381(d)
Distribution and service fees - Class A 111,018(e)
Distribution and service fees - Class B(1) 431,835(e)
Distribution and service fees - Class C 137,652(e)
Distribution and service fees - Class R 40(e)
Custodian fee 56,544
Reports to shareholders 49,228
Administration fee 42,284(f)
Registration fees 30,628
Audit fee 14,384
Trustees' fees 9,052(g)
Legal fees 8,432
Amortization of organizational costs 2,857(h)
------------
2,063,686
Fees paid indirectly (3,595)(i)
------------
2,060,091
------------
Net investment loss (884,974)
------------
Realized and Unrealized Gain (Loss)
on Investments
Net realized loss on investments (30,084,580)(j)
Change in unrealized appreciation
of investments 40,507,348
------------
Net gain on investments 10,422,768
------------
Net increase in net assets resulting
from operations $ 9,537,794
============
- --------------------------------------------------------------------------------
(a) The fund paid foreign taxes of $27,932.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(b) Includes $9,165 in income from the lending of portfolio securities. As of
the report date, the fund had a total of $21,027,967 of securities out on
loan and was holding a total of $21,735,126 in collateral (consisting
entirely of cash collateral invested in State Street Navigator Securities
Lending Prime Portfolio) related to these loans.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(c) The management fee is 0.65% of fund net assets, annually.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(d) Includes a total of $176,701 paid to the distributor and to MetLife for
services provided, including maintaining the accounts of some investors who
hold shares through the firm's employee benefit plans and other sponsored
arrangements. Total shareholder service costs are allocated to each fund in
the same ratio as the transfer agent costs.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(e) Payments made to the distributor under the fund's 12b-1 plans. The fees
cover personal services and the maintenance of shareholder accounts.The fees
also cover distribution and marketing expenditures for the sale of fund
shares. For Class A, Class B and Class C shares, the payments are intended
to reimburse the distributor for expenditures incurred under the plan, and
any unused payments are returnable to the fund. As of April 30, 2003, there
were $1,742,780, $366,811 and $2,870,067 for Class A, Class B and Class C,
respectively, of unreimbursed distribution and shareholder servicing related
expenses to be carried forward to future plan years. For Class B(1) shares,
the payments compensate the distributor for services and expenditures
incurred under the plan, and none of the payments are returnable to the
fund.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(f) Payments made to the investment manager for certain administrative costs
incurred in providing other assistance and services to the fund. The fee is
based on a fixed amount that has been allocated equally among State Street
Research funds.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(g) Paid only to trustees who aren't currently affiliated with the adviser (the
fund doesn't pay trustees' fees to affiliated trustees).
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(h) Organization costs were capitalized and are being amortized straight-line
over five years.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(i) Represents transfer agent credits earned from uninvested cash balances.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(j) The fund sold $188,103,268 worth of securities. During this same period, the
fund also bought $245,785,458 worth of securities. These figures don't
include short-term obligations or U.S. government securities.
- --------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
11
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
This shows how the fund's size changed over the report period, including changes
that resulted from investment performance as well as those that resulted from
shareholders buying and selling fund shares.
Six months
ended
April 30,
2003 Year ended
(unaudited) October 31, 2002
- --------------------------------------------------------------------------------
Increase (Decrease) In Net Assets
Operations:
Net investment loss ($884,974) ($2,162,679)
Net realized loss on investments (30,084,580) (45,795,611)
Change in unrealized
appreciation of investments 40,507,348 4,761,780
---------------------------------
Net increase (decrease)
resulting from operations 9,537,794 (43,196,510)
---------------------------------
Net increase (decrease) from
fund share transactions 55,098,043(a) (63,007,052)
---------------------------------
Total increase (decrease)
in net assets
64,635,837 (106,203,562)
Net Assets
Beginning of period 241,164,885 347,368,447
---------------------------------
End of period $305,800,722 $241,164,885
=================================
The text and notes are an integral part of the financial statements.
12 State Street Research Legacy Fund
- --------------------------------------------------------------------------------
(a) These transactions break down by share class as follows:
Six months ended
April 30, 2003 Year ended
(unaudited) October 31, 2002
--------------------------------------------------------------
Class A Shares Amount Shares Amount
===================================================================================================================================
Shares sold 1,227,938 $12,572,498* 2,347,522 $26,463,991
Issued in connection with acquisition of Large-Cap Growth Fund 1,381,114 12,873,626 -- --
Shares redeemed (1,982,310) (19,854,024) (3,614,279) (40,038,598)
--------------------------------------------------------------
Net increase (decrease) 626,742 $5,592,100 (1,266,757) ($13,574,607)
==============================================================
Class B(1) Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold 510,086 $5,591,568** 854,046 $9,647,585
Issued in connection with acquisition of Large-Cap Growth Fund 1,052,996 9,449,657 -- --
Shares redeemed (1,310,928) (13,005,358) (2,957,847) (31,775,421)
--------------------------------------------------------------
Net increase (decrease) 252,154 $2,035,867*** (2,103,801) ($22,127,836)
==============================================================
Class B Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold 86,906 $1,179,112 102,866 $1,131,310
Issued in connection with acquisition of Large-Cap Growth Fund 1,177,017 10,711,357 -- --
Shares redeemed (729,684) (7,209,106)*** (1,656,107) (17,930,234)
--------------------------------------------------------------
Net increase (decrease) 534,239 $4,681,363 (1,553,241) ($16,798,924)
==============================================================
Class C Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold 345,165 $3,562,209** 708,473 $7,622,873
Issued in connection with acquisition of Large-Cap Growth Fund 189,286 1,699,127 -- --
Shares redeemed (881,274) (8,632,074)**** (1,622,024) (17,909,743)
--------------------------------------------------------------
Net decrease (346,823) ($3,370,738) (913,551) (10,286,870)
==============================================================
Class R+ Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold 10,222 $103,486 -- --
--------------------------------------------------------------
Net increase 10,222 $103,486 -- --
==============================================================
Class S Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
Shares sold 13,168 $166,499 26,420 $311,840
Issued in connection with acquisition of Large-Cap Growth Fund 5,164,031 49,094,754 -- --
Shares redeemed (319,463) (3,205,288) (48,561) (530,655)
--------------------------------------------------------------
Net increase (decrease) 4,857,736 $46,055,965 (22,141) ($218,815)
==============================================================
The trustees have the authority to issue an unlimited number of shares of
beneficial interest, with a $0.001 par value per share. At April 30, 2003,
the Advisor owned 10,215 Class R shares of the fund.
* At April 30, 2003, sales charges collected by the distributor and MetLife
were $21,018 and $38,095, respectively.
** Like all broker/dealers, MetLife received commissions that were calculated
as a percentage of these sales but the commissions of $75,377 and $256 for
Class B(1) and Class C, respectively, were paid by the distributor, not
the fund.
*** Includes $170,158 and $33,640 in deferred sales charges collected by the
distributor for Class B(1) and Class B, respectively.
**** Includes $743 in deferred sales charges collected by the distributor.
+ April 3, 2003 (commencement of share class) to April 30, 2003
- --------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
13
Financial Highlights
- --------------------------------------------------------------------------------
These provide a summary of each share class's financial performance.
Class A
========================================================================
Years ended Six months
Six months ended October 31 ended Years ended April 30
April 30, 2003 ------------------ October 31, --------------------
Per-Share Data (unaudited)(a) 2002(a) 2001(a) 2000(a)(f) 2000(a) 1999(a)
====================================================================================================================================
Net asset value, beginning of period ($) 9.96 11.56 16.39 15.99 14.42 11.66
------ ------ ------- ------- ------- ------
Net investment loss ($)* (0.03) (0.03) (0.05) (0.04) (0.05) (0.02)
Net realized and unrealized gain (loss) on investments ($) 0.19 (1.57) (4.78) 0.44 1.62 2.79
------ ------ ------- ------- ------- ------
Total from investment operations ($) 0.16 (1.60) (4.83) 0.40 1.57 2.77
------ ------ ------- ------- ------- ------
Distribution from capital gains ($) -- -- -- -- -- (0.01)
------ ------ ------- ------- ------- ------
Total distributions ($) -- -- -- -- -- (0.01)
------ ------ ------- ------- ------- ------
Net asset value, end of period ($) 10.12 9.96 11.56 16.39 15.99 14.42
====== ====== ======= ======= ======= ======
Total return (%) (b) 1.61(d) (13.84) (29.47) 2.50 (d) 10.89 23.73
Ratios/Supplemental Data
====================================================================================================================================
Net assets at end of period ($ thousands) 84,416 76,798 103,774 151,920 143,037 58,642
Expense ratio (%)* 1.42(e) 1.39 1.35 1.34(e) 1.22 1.20
Expense ratio after expense reductions (%)* 1.42(e) 1.38 1.33 1.34(e) 1.21 1.19
Ratio of net investment loss to average net assets (%)* (0.55)(e) (0.28) (0.39) (0.54)(e) (0.34) (0.14)
Portfolio turnover rate (%) 74.53 30.87 21.61 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- -- 0.03
Class B(1)
========================================================================
Years ended Six months
Six months ended October 31 ended Years ended April 30
April 30, 2003 ------------------ October 31, --------------------
Per-Share Data (unaudited)(a) 2002(a) 2001(a) 2000(a)(f) 2000(a) 1999(a)(c)
====================================================================================================================================
Net asset value, beginning of period ($) 9.61 11.23 16.04 15.71 14.28 13.08
------ ------ ------- ------- ------- ------
Net investment loss ($)* (0.06) (0.11) (0.15) (0.10) (0.17) (0.04)
Net realized and unrealized gain (loss) on investments ($) 0.19 (1.51) (4.66) 0.43 1.60 1.24
------ ------ ------- ------- ------- ------
Total from investment operations ($) 0.13 (1.62) (4.81) 0.33 1.43 1.20
------ ------ ------- ------- ------- ------
Net asset value, end of period ($) 9.74 9.61 11.23 16.04 15.71 14.28
====== ====== ======= ======= ======= ======
Total return (%) (b) 1.35(d) (14.43) (29.99) 2.10(d) 10.01(d) 9.17(d)
Ratios/Supplemental Data
===================================================================================================================================
Net assets at end of period ($ thousands) 94,210 90,564 129,464 184,818 153,359 24,454
Expense ratio (%)* 2.12(e) 2.09 2.05 2.04(e) 1.97 1.88(e)
Expense ratio after expense reductions (%)* 2.12(e) 2.08 2.03 2.04(e) 1.96 1.87(e)
Ratio of net investment loss to average net assets (%)* (1.29)(e) (0.98) (1.09) (1.25)(e) (1.13) (1.00)(e)
Portfolio turnover rate (%) 74.53 30.87 21.61 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- -- 0.03(e)
The text and notes are an integral part of the financial statements.
14 State Street Research Legacy Fund
Class B
========================================================================
Years ended Six months
Six months ended October 31 ended Years ended April 30
April 30, 2003 ------------------ October 31, --------------------
Per-Share Data (unaudited)(a) 2002(a) 2001(a) 2000(a)(f) 2000(a) 1999(a)
====================================================================================================================================
Net asset value, beginning of period ($) 9.72 11.31 16.11 15.74 14.28 11.64
------ ------ ------ ------- ------- ------
Net investment loss ($)* (0.01) (0.07) (0.11) (0.07) (0.12) (0.11)
Net realized and unrealized gain (loss) on investments ($) 0.18 (1.52) (4.69) 0.44 1.58 2.76
------ ------ ------ ------- ------- ------
Total from investment operations ($) 0.17 (1.59) (4.80) 0.37 1.46 2.65
------ ------ ------ ------- ------- ------
Distribution from capital gains ($) -- -- -- -- -- (0.01)
------ ------ ------ ------- ------- ------
Total distributions ($) -- -- -- -- -- (0.01)
------ ------ ------ ------- ------- ------
Net asset value, end of period ($) 9.89 9.72 11.31 16.11 15.74 14.28
====== ====== ====== ======= ======= ======
Total return (%) (b) 1.75(d) (14.06) (29.80) 2.35(d) 10.22 22.74
Ratios/Supplemental Data
====================================================================================================================================
Net assets at end of period ($ thousands) 44,345 38,368 62,244 106,027 109,135 88,383
Expense ratio (%)* 1.12(e) 1.74 1.76 1.69(e) 1.77 1.95
Expense ratio after expense reductions (%)* 1.12(e) 1.73 1.74 1.69(e) 1.76 1.94
Ratio of net investment loss to average net assets (%)* (0.22)(e) (0.66) (0.80) (0.89)(e) (0.87) (0.89)
Portfolio turnover rate (%) 74.53 30.87 21.61 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- -- 0.03
Class C
========================================================================
Years ended Six months
Six months ended October 31 ended Years ended April 30
April 30, 2003 ------------------ October 31, --------------------
Per-Share Data (unaudited)(a) 2002(a) 2001(a) 2000(a)(f) 2000(a) 1999(a)
====================================================================================================================================
Net asset value, beginning of period ($) 9.61 11.23 16.05 15.71 14.28 11.63
------ ------ ------ ------ ------ ------
Net investment loss ($)* (0.06) (0.11) (0.15) (0.10) (0.16) (0.11)
Net realized and unrealized gain (loss) on investments ($) 0.19 (1.51) (4.67) 0.44 1.59 2.77
------ ------ ------ ------ ------ ------
Total from investment operations ($) 0.13 (1.62) (4.82) 0.34 1.43 2.66
------ ------ ------ ------ ------ ------
Distribution from capital gains ($) -- -- -- -- -- (0.01)
------ ------ ------ ------ ------ ------
Total distributions ($) -- -- -- -- -- (0.01)
------ ------ ------ ------ ------ ------
Net asset value, end of period ($) 9.74 9.61 11.23 16.05 15.71 14.28
====== ====== ====== ====== ====== ======
Total return (%) (b) 1.35(d) (14.43) (30.03) 2.16(d) 10.01 22.85
Ratios/Supplemental Data
====================================================================================================================================
Net assets at end of period ($ thousands) 28,306 31,274 46,809 76,137 69,061 26,399
Expense ratio (%)* 2.12(e) 2.09 2.05 2.04(e) 1.97 1.95
Expense ratio after expense reductions (%)* 2.12(e) 2.08 2.03 2.04(e) 1.96 1.94
Ratio of net investment loss to average net assets (%)* (1.36)(e) (0.99) (1.08) (1.24)(e) (1.10) (0.90)
Portfolio turnover rate (%) 74.53 30.87 21.61 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- -- 0.03
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the distributor and its affiliates had not
voluntarily assumed a portion of the Fund's expenses.
(c) January 1, 1999 (commencement of share class), to April 30, 1999.
(d) Not Annualized
(e) Annualized
(f) Effective August 2, 2000, the fiscal year-end of the fund changed from
April 30 to October 31
The text and notes are an integral part of the financial statements.
15
Financial Highlights (continued)
- --------------------------------------------------------------------------------
Class R
=============================
April 3, 2003
(commencement of share class)
to April 30, 2003
Per-Share Data (unaudited)(a)
================================================================================
Net asset value, beginning of period ($) 9.79
------
Net investment income ($)* 0.04
Net realized and unrealized gain on investments ($) 0.29
------
Total from investment operations ($) 0.33
------
Net asset value, end of period ($) 10.12
======
Total return (%) (b) 1.61(d)
Ratios/Supplemental Data
================================================================================
Net assets at end of period ($ thousands) 103
Expense ratio (%)* 1.62(e)
Expense ratio after expense reductions (%)* 1.62(e)
Ratio of net investment income to average net assets (%)* 0.85(e)
Portfolio turnover rate (%) 74.53
Class S
========================================================================
Years ended Six months
Six months ended October 31 ended Years ended April 30
April 30, 2003 ------------------ October 31, --------------------
Per-Share Data (unaudited)(a) 2002(a) 2001(a) 2000(a)(f) 2000(a) 1999(a)
====================================================================================================================================
Net asset value, beginning of period ($) 10.14 11.74 16.61 16.09 14.48 11.68
------ ----- ----- ----- ----- -----
Net investment income (loss) ($)* 0.04 0.00 (0.01) (0.02) (0.00) 0.02
Net realized and unrealized gain (loss) on investments ($) 0.15 (1.60) (4.86) 0.54 1.61 2.79
------ ----- ----- ----- ----- -----
Total from investment operations ($) 0.19 (1.60) (4.87) 0.52 1.61 2.81
------ ----- ----- ----- ----- -----
Distribution from capital gains ($) -- -- -- -- -- (0.01)
------ ----- ----- ----- ----- -----
Total distributions ($) -- -- -- -- -- (0.01)
------ ----- ----- ----- ----- -----
Net asset value, end of period ($) 10.33 10.14 11.74 16.61 16.09 14.48
====== ===== ===== ===== ===== =====
Total return (%)(b) 1.87(d) (13.63) (29.32) 3.23(d) 11.12 24.04
Ratios/Supplemental Data
====================================================================================================================================
Net assets at end of period ($ thousands) 54,422 4,161 5,077 7,126 8,097 6,367
Expense ratio (%)* 1.12(e) 1.09 1.05 1.04(e) 0.97 0.95
Expense ratio after expense reductions (%)* 1.12(e) 1.08 1.03 1.04(e) 0.96 0.94
Ratio of net investment income (loss) to
average net assets (%)* 0.98(e) 0.03 (0.09) (0.24)(e) (0.06) 0.16
Portfolio turnover rate (%) 74.53 30.87 21.61 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of -- -- -- -- -- 0.03
these amounts (%)
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the distributor and its affiliates had not
voluntarily assumed a portion of the Fund's expenses.
(c) January 1, 1999 (commencement of share class), to April 30, 1999.
(d) Not Annualized
(e) Annualized
(f) Effective August 2, 2000, the fiscal year-end of the fund changed from
April 30 to October 31
The text and notes are an integral part of the financial statements.
16 State Street Research Legacy Fund
The Fund at a Glance (continued from page 3)
Performance Class B(1)
Fund average annual total return as of 4/30/03 (1),(3),(5)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -15.30% -3.49% -0.48%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -15.30% -3.49% -0.49%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -9.55% -2.75% -0.39%
- --------------------------------------------------------------------------------
Fund average annual total return as of 3/31/03 (1),(2),(3),(5)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -29.43% -4.85% -1.96%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -29.43% -4.85% -1.96%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -18.36% -3.80% -1.56%
- --------------------------------------------------------------------------------
Performance Class C
Fund average annual total return as of 4/30/03 (1),(3),(5)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -15.30% -3.47% -0.48%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -15.30% -3.48% -0.49%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -9.55% -2.74% -0.39%
- --------------------------------------------------------------------------------
Fund average annual total return as of 3/31/03 (1),(2),(3),(5)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -26.46% -4.46% -1.77%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -26.46% -4.47% -1.77%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -16.51% -3.50% -1.41%
- --------------------------------------------------------------------------------
Performance Class B
Fund average annual total return as of 4/30/03 (1),(3),(5)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -14.74% -3.20% -0.20%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -14.74% -3.20% -0.20%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -9.20% -2.52% -0.16%
- --------------------------------------------------------------------------------
Fund average annual total return as of 3/31/03 (1),(2),(3),(5)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -28.92% -4.56% -1.48%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -28.92% -4.56% -1.49%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -18.05% -3.58% -1.18%
- --------------------------------------------------------------------------------
Performance Class R
Fund average annual total return as of 4/30/03 (1),(3),(4),(5)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -14.81% -2.78% 0.23%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -14.81% -2.79% 0.23%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -9.24% -2.20% 0.19%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1 Keep in mind that past performance is no guarantee of future results. 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.
Returns for Class B(1) reflect Class B performance through December 31,
1998. Class B(1) was introduced on January 1, 1999. Returns for Class R
reflect Class A performance through April 2, 2003. Class R was introduced
on April 3, 2003.
2 Performance reflects a maximum 5.75% Class A front-end sales charge or 5%
Class B or Class B(1) share or 1% Class C share contingent deferred sales
charge where applicable.
3 After-tax returns are calculated using the highest historical individual
federal marginal income tax rates and do not reflect the impact of state
and local taxes. Actual after-tax returns depend on an investor's tax
situation and may differ from those shown, and after-tax returns shown are
not relevant to investors who hold their fund shares through tax-deferred
arrangements, such as 401(k) plans or individual retirement accounts.
Return After Distributions and Sale of Fund Shares for a period may be
greater than or equal to Returns After Taxes on Distributions for the same
period because of losses realized on the sale of fund shares.
4 Class R shares offered without sales charge are only available through
retirement plans participating in certain platforms sponsored by
broker-dealers.
5 Performance results for the fund are increased by the voluntary reduction
of fund fees and expenses; without subsidization, performance would have
been lower.
17
The Fund at a Glance (continued from page 3)
Performance Class S
Fund average annual total return as of 4/30/03 (1),(2),(3),(4)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -14.56% -2.42% 0.62%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -14.56% -2.42% 0.62%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -9.08% -1.91% 0.50%
- --------------------------------------------------------------------------------
Fund average annual total return as of 3/31/03 (1),(2),(3),(4)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (12/31/97)
================================================================================
Return Before Taxes -24.96% -3.39% -0.67%
- --------------------------------------------------------------------------------
Return After Taxes
on Distributions -24.96% -3.39% -0.67%
- --------------------------------------------------------------------------------
Return After Taxes on Distributions
and Sale of Fund Shares -15.58% -2.67% -0.53%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1 Keep in mind that past performance is no guarantee of future results. 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.
2 After-tax returns are calculated using the highest historical individual
federal marginal income tax rates and do not reflect the impact of state
and local taxes. Actual after-tax returns depend on an investor's tax
situation and may differ from those shown, and after-tax returns shown are
not relevant to investors who hold their fund shares through tax-deferred
arrangements, such as 401(k) plans or individual retirement accounts.
Return After Distributions and Sale of Fund Shares for a period may be
greater than or equal to Returns After Taxes on Distributions for the same
period because of losses realized on the sale of fund shares.
3 Class S shares offered without sales charge are only available to certain
employee benefit plans and through special programs.
4 Performance results for the fund are increased by the voluntary reduction
of fund fees and expenses; without subsidization, performance would have
been lower.
18 State Street Research Legacy Fund
State Street Research Securities Trust
Number of Funds
Name, Position(s) Term of Office in Fund Complex Other
Address Held with and Length of Principal Occupations Overseen by Directorships Held
and Age (a) Fund Time Served (b) During Past 5 Years Trustee/Officer (c) by Trustee/Officer
====================================================================================================================================
Independent Trustees
- ------------------------------------------------------------------------------------------------------------------------------------
Bruce R. Bond Trustee Since 1999 Retired; formerly Chairman of the 19 Ceridian Corporation
(57) Board, Chief Executive Officer and
President, PictureTel Corporation
(video conferencing systems)
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Trustee Since 1997 Retired; formerly Senior Vice 55 Metropolitan Series Fund,
Garban (65) President for Finance and Inc.(d)
Operations and Treasurer, The
Pennsylvania State University
- ------------------------------------------------------------------------------------------------------------------------------------
Dean O. Trustee Since 1994 Retired; formerly Executive Vice 55 The Clorox Company; KLA-Tencor
Morton President, Chief Operating Officer Corporation; BEA Systems, Inc.;
(71) and Director, Hewlett-Packard Cepheid; Pharsight Corporation;
Company (computer manufacturer) and Metropolitan Series Fund,
Inc.(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Susan M. Trustee Since 1999 Dean, School of Business and 19 None
Phillips Public Management, George
(58) Washington University; formerly a
member of the Board of Governors
of the Federal Reserve System; and
Chairman and Commissioner of the
Commodity Futures Trading
Commission
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Trustee Since 1994 President, Founders Investments 55 A. P. Pharma, Inc.; and
Rosenblatt Ltd. (investments); formerly Metropolitan Series Fund, Inc.
(64) President, The Glen Ellen Company (d)
(private investment firm)
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Trustee Since 1994 Jay W. Forrester Professor of 55 Metropolitan Series Fund, Inc.
Scott Morton Management, Sloan School of (d)
(65) Management, Massachusetts
Institute of Technology
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Trustee Since 2002 Attorney; formerly Partner, 19 SEI Investments Funds
Storey Dechert (law firm) (consisting of 104 portfolios);
(72) and The Massachusetts Health &
Education Tax-Exempt Trust
====================================================================================================================================
Interested Trustee
- ------------------------------------------------------------------------------------------------------------------------------------
Richard S. Trustee Since 2000 Chairman of the Board, President 19 None
Davis++ and Chief Executive Officer of
(57) State Street Research & Management
Company; formerly Senior Vice
President, Fixed Income
Investments, Metropolitan Life
Insurance Company
====================================================================================================================================
Officers
- ------------------------------------------------------------------------------------------------------------------------------------
Maureen G. Vice Since 2000 Managing Director of State Street 6 None
Depp President Research & Management Company;
(49) formerly Senior Vice President and
Vice President, State Street
Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Donald G. Vice Since 2001 Senior Vice President of State 9 None
DeVeuve President Street Research & Management
(46) Company; formerly Vice President,
State Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Edward Dowd Vice Since 2003 Vice President of State Street 3 None
(36) President Research & Management Company;
formerly Vice President,
Independence Investment LLC and
equity research associate,
Donaldson, Lufkin and Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
Rosalina Vice Since 2001 Senior Vice President of State 8 None
Feliciano President Street Research & Management
(39) Company; formerly Vice President,
State Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Vice Since 2002 Managing Director and Chief 18 None
Goodwin President Investment Officer-Equities of
(44) State Street Research & Management
Company; formerly Chief Investment
Officer-U.S. Growth Equities,
American Century; and Senior Vice
President and portfolio manager,
Putnam Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey Vice Since 2003 Managing Director of State Street 3 None
Lindsey President Research & Management Company;
(40) formerly Managing Direct and
Senior Vice President, Putnam
Investments
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Vice Since 2001 Managing Director, Chief Financial 19 None
Lombardo President Officer and Director of State
(48) Street Research & Management
Company; formerly Executive Vice
President, State Street Research &
Management Company; and Senior
Vice President, Product and
Financial Management, MetLife Auto
& Home
- ------------------------------------------------------------------------------------------------------------------------------------
Dan R. Vice Since 2002 Managing Director of State Street 12 None
Strelow (44) President Research & Management Company;
formerly Executive Vice President
and Senior Vice President, State
Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Elizabeth Vice Since 1996 Managing Director of State Street 6 None
McCombs President Research & Management Company;
Westvold (43) formerly Senior Vice President,
State Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Peter Zuger Vice Since 2001 Managing Director of State Street 5 None
(54) President Research & Management Company;
formerly Senior Vice President,
State Street Research & Management
Company; and portfolio manager and
Vice President, American Century
Investment Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas A. Treasurer Since 2001 Senior Vice President and 19 None
Romich Treasurer of State Street Research
(46) & Management Company; formerly
Vice President and Assistant
Treasurer, State Street Research &
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Francis J. Secretary Since 1995 Managing Director, General Counsel 19 None
McNamara, III and Secretary of State Street
(47) Research & Management Company;
formerly Executive Vice President,
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 has served as sole investment adviser and
all series of Metropolitan Series Fund, Inc. The primary adviser to
Metropolitan Series Fund, Inc. is MetLife Advisers, LLC, which has
retained State Street Research & Management Company as sub-adviser to
certain series of Metropolitan Series Fund, Inc.
(d) Serves as Director of Metropolitan Series Fund, Inc., an investment
company comprising 36 separate portfolios.
++ 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.
19
-------------
[LOGO] STATE STREET RESEARCH PRSRT STD
One Financial Center o Boston, MA 02111-2690 U.S. POSTAGE
PAID
PERMIT #6
HUDSON, MA
-------------
Contact Information for
INVESTOR SERVICES
- -----------------------------------------------------------------------------
New accounts, mutual fund purchases, exchanges and account information
[INTERNET] Internet
www.ssrfunds.com
[EMAIL] E-mail
info@ssrfunds.com
[PHONE] Phone
1-87-SSR-FUNDS (1-877-773-8637), toll-free, 7 days a week, 24 hours
a day
Hearing-impaired: 1-800-676-7876
Chinese- and Spanish-speaking: 1-888-638-3193
[FAX] Fax
1-617-737-9722 (request confirmation number first from the Service
Center by calling 1-877-773-8637)
[MAILBOX] Mail
State Street Research Service Center
P.O. Box 8408, Boston, MA 02266-8408
For 24-Hour
Automated Access
to Your Account
[PHONE] 1-87-SSR-FUNDS
---------------
(1-877-773-8637)
www.ssrfunds.com
OverView
- --------------------------------------------------------------------------------
For more information on the products and services mentioned in OverView, our
shareholder newsletter, visit our web site at www.ssrfunds.com.
Webcasts
- --------------------------------------------------------------------------------
[GRAPHIC] For a professional perspective on the markets, the economy and timely
investment topics, tune in to a State Street Research webcast.
Complete Fund Listing
- --------------------------------------------------------------------------------
[GRAPHIC] For a list of our funds, visit our web site at www.ssrfunds.com under
Research Our Funds.
State Street Research
FYI
- --------------------------------------------------------------------------------
[COMPUTER] 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 toll-free 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? To learn more, call a service center representative at
1-87-SSR-FUNDS (1-877-773-8637), Monday through Friday, 8am-6pm
eastern time.
[GRAPHIC] 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.
[GRAPHIC]
- --------------------------------------------------------------------------------
This report must be accompanied or preceded by a current State
Street Research Large-Cap Analyst Fund prospectus. When used as
sales material after June 30, 2003, in Shareholder Communications
this report must be accompanied by a current Quarterly Performance
Update.
To obtain a prospectus for any State Street Research fund, call
1-87-SSR-FUNDS (1-877-773-8637). The prospectus contains more
complete information, including sales charges and expenses. Please
read the prospectus carefully before investing or sending money.
(C)2003 State Street Research Investment Services, Inc., One Financial Center,
Boston, MA 02111-2690
Member NASD, SIPC
CONTROL NUMBER:(exp0604)SSR-LD LF-1882-0603