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
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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)
Francis J. McNamara, III, Secretary
State Street Research
One Financial Center, Boston, MA 02110
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(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
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Date of fiscal year end: 4/30/03
-----------------
Date of reporting period: 05/01/02 - 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 Annual 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
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Richard S. Davis, President, Chairman and
Chief Executive Officer
Date June 25, 2003
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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
[GRAPHIC]
Large-Cap Analyst Fund
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Annual Report to Shareholders
April 30, 2003
In This Report
Review of
Fund Performance
[GRAPHIC]
plus
A Message from the Chairman
Comments from the Fund's Manager
Key Facts and Financial Statements
Contents
2 12-Month Review
A look at the fund and its market environment over the past 12 months
4 Performance in Perspective
The most recent performance in the context of the fund's track record
6 The Fund in Detail
Portfolio holdings, financials and notes
From the Chairman
Better Times Ahead?
The disappointing returns of the past 12 months reflect the general uncertainty
and volatility of the period leading up to the war with Iraq.
[Photo of Richard S. Davis]
Richard S. Davis
However, in the last two months of the period, the stock market came back strong
and raised our hopes that the darkest period in 30 years for American investors
could be over. Of course, no one can predict the performance of the economy or
the financial markets. That makes it all the more important to have a long-term
plan for your investments and to stay with it.
In the report that follows, your portfolio manager talks 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]
12-Month Review Management's Discussion of Fund Performance Part 1
How State Street Research
Large-Cap Analyst Fund Performed
State Street Research Large-Cap Analyst Fund returned -13.73% for the 12-month
period ended April 30, 2003.(1) The fund performed in line with the Russell(R)
1000 Index, which returned -13.46% over the same period.(2) The fund
outperformed the Lipper Large-Cap Core Funds Average, which returned -15.19% for
the period.(3)
Reasons for the Fund's Performance
Stock selection in the Consumer Discretionary sector helped the fund outperform
its peer group and had a positive impact on returns. Our investments in
International Game Technology and USA Interactive posted strong gains and we
continue to own both stocks because we believe they have additional growth
potential. Deere & Co. and United Technologies in the Producer Durables sector
and Cox Communications and Comcast in the Utilities sector helped relative
returns.
Our investments in the Financial Services and Health Care sectors were a drag on
performance. Although both sectors were strong performers within the Russell
1000 Index, our security selection in Financial Services hurt performance, and
results in Health Care were mixed. In biotechnology, for example, our investment
in Amgen was rewarded--but not enough to offset the significant loss from our
investment in Andrx.
Outlook
Volatility and uncertainty made for a difficult environment for investors over
the past year. However, we believe our experienced analysts will be rewarded for
their ability to identify good companies with solid business prospects as the
market gets back to basics.
More Management's Discussion of Fund Performance on pages 4 and 5.
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)
-13.73% [DOWN ARROW]
"We believe our experienced analysts will be rewarded for their ability to
identify good companies as the market gets back to basics."
[Photo of Maureen Depp]
Maureen Depp
Portfolio Manager,
State Street Research
Large-Cap Analyst Fund
Russell 1000 Index(2)
-13.46% [DOWN ARROW]
2 State Street Research Large-Cap Analyst Fund
The Fund at a Glance as of 4/30/03
State Street Research Large-Cap Analyst Fund is a research fund emphasizing
stock selection within a defined sector mix.
Hits & Misses
[GRAPHIC]
USA Interactive
During the year, USA Interactive used its free cash flow to expand its presence
in the leisure and entertainment marketplace. The company added online travel
site Expedia to its stable of successful television and Internet-related
businesses and posted strong earnings gains. We continue to own the stock.
[GRAPHIC]
Andrx
This biotechnology stock was one of the fund's biggest disappointments during
the year. The company's earnings fell well below consensus estimates as it was
forced to absorb a significant charge resulting from an accounting irregularity.
We sold the stock.
Total Net Assets: $36 million
- --------------------------------------------------------------------------------
Top 10 Holdings
Issuer/Security % of fund net assets
1 General Electric 3.3%
2 Microsoft 3.1%
3 Citigroup 3.0%
4 IBM 2.5%
5 Intel 2.2%
6 Comcast 2.0%
7 Procter & Gamble 1.9%
8 USA Interactive 1.9%
9 Wal-Mart Stores 1.8%
10 Burlington Resources 1.6%
Total 23.3%
See page 9 for more detail.
Performance: Class A
Fund average annual total return as of 4/30/03(4),(6)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
-13.73% -1.31% -0.55%
Russell 1000 Index as of 4/30/03(2)
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
-13.46% -2.31% -6.89%
Fund average annual total return as of 3/31/03(4),(5),(6)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
-30.38% -3.94% -3.32%
Russell 1000 Index as of 3/31/03(2)
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
-24.51% -3.62% -14.31%
See pages 4 and 5 for data on other share classes.
Top 5 Industries
- --------------------------------------------------------------------------------
% of fund net assets
April 30, 2003
[The following was represented as a bar chart in the printed material.]
Drugs & Biotechnology 10.2%
- ---------------------------------------------
Miscellaneous Financial 9.1%
- ---------------------------------------------
Banks & Savings & Loan 7.4%
- ---------------------------------------------
Retail 6.4%
- ---------------------------------------------
Multi-Sector 4.9%
- ---------------------------------------------
April 30, 2002
[The following was represented as a bar chart in the printed material.]
Drugs & Biotechnology 13.0%
- ---------------------------------------------
Insurance 8.2%
- ---------------------------------------------
Miscellaneous Financial 7.7%
- ---------------------------------------------
Retail 6.7%
- ---------------------------------------------
Computer Software 4.7%
- ---------------------------------------------
Ticker Symbols
- --------------------------------------------------------------------------------
State Street Research Large-Cap Analyst Fund
Class A: SGASX Class B(1): SGLPX Class B: SGBLX Class C: SANCX Class S: SSANX
- --------------------------------------------------------------------------------
1 Does not reflect sales charge.
2 The Russell 1000 Index measures the performance of the 1,000 largest
securities in the Russell 3000(R) Index (an unmanaged index of the 3,000
largest publicly traded U.S. companies). The index is unmanaged and does
not take transaction charges into consideration. It is not possible to
invest directly in the index.
3 The Lipper Large-Cap Core 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.
4 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.
5 Performance reflects a maximum 5.75% Class A share front-end sales charge.
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]
Performance in Perspective Management's Discussion of Fund Performance Part 2
Performance Figures as of April 30, 2003
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.Three ways of
measuring long-term performance are cumulative returns, average annual 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
This 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
Average annual total return percentage is the rate you would have had to earn
during each year of a given time period--say, five years--in order to end up
with the fund's actual cumulative return for those five 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
This example is 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). It also compares fund performance to
the performance of a market index.
- --------------------------------------------------------------------------------
Class A Front Load
o Initial sales charge of 5.75% or less, with lower sales charges for larger
investments (see the fund prospectus for details)
o Lower annual expenses than Class B(1) or Class C shares because of lower
service (12b-1) fee of 0.30%
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) -13.73% -6.40% -2.78%
- --------------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -18.69% -11.78% -8.37%
- --------------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -18.69% -2.48% -1.68%
[The following was represented as a line chart in the printed material.]
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class A Russell 1000 Index
03/11/98 9425 10000
04/30/98 9790 10464
04/30/99 11580 12590
04/30/00 13730 14157
04/30/01 12405 12223
04/30/02 10622 10759
04/30/03 9163 9311
- --------------------------------------------------------------------------------
Class B(1) Back Load
o No initial sales charge
o Deferred sales charge of 5% or less on shares you sell within six years
o Annual distribution/service (12b-1) fee of 1.00%
o Automatic conversion to Class A shares after eight years, reducing future
annual expenses
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) -14.50% -9.81% -6.50%
- --------------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -18.77% -11.45% -7.36%
- --------------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -18.77% -2.40% -1.47%
[The following was represented as a line chart in the printed material.]
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class B(1) Russell 1000 Index
03/11/98 10000 10000
04/30/98 10366 10464
04/30/99 12182 12590
04/30/00 14317 14157
04/30/01 12853 12223
04/30/02 10735 10759
04/30/03 9264 9311
4 State Street Research Large-Cap Analyst Fund
- --------------------------------------------------------------------------------
Class B Back Load (only available through exchanges from
another Class B account)
o No initial sales charge
o Deferred sales charge of 5% or less on shares you sell within five years
o Annual distribution/service (12b-1) fee of 1.00% (this fee was voluntarily
reduced to 0.00% effective September 1, 2002.)
o Automatic conversion to Class A shares after eight years, reducing future
annual expenses
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) -13.97% -9.27% -5.95%
- --------------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -18.27% -10.93% -5.95%
- --------------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -18.27% -2.29% -1.19%
[The following was represented as a line chart in the printed material.]
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class B Russell 1000 Index
03/11/98 10000 10000
04/30/98 10366 10464
04/30/99 12180 12590
04/30/00 14325 14157
04/30/01 12850 12223
04/30/02 10733 10759
04/30/03 9405 9311
- --------------------------------------------------------------------------------
Class C Level Load
o No initial sales charge
o Deferred sales charge of 1%, paid if you sell shares within one year of
purchase
o Lower deferred sales charge than Class B(1) shares
o Annual distribution/service (12b-1) fee of 1.00%
o No conversion to Class A shares after eight years, so annual expenses do
not decrease
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) -14.48% -9.82% -6.42%
- --------------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -15.34% -9.82% -6.42%
- --------------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -15.34% -2.05% -1.28%
[The following was represented as a line chart in the printed material.]
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class C Russell 1000 Index
03/11/98 10000 10000
04/30/98 10377 10464
04/30/99 12179 12590
04/30/00 14334 14157
04/30/01 12860 12223
04/30/02 10942 10759
04/30/03 9358 9311
- --------------------------------------------------------------------------------
Class S Special Programs
o Available through certain retirement accounts, advisory accounts of the
investment manager and other programs that usually involve special
conditions and separate fees (see the prospectus for details)
o No sales charges of any kind
o No distribution/service (12b-1) fees; annual expenses are lower than for
other share classes
Life of Fund
1 Year 5 Years (3/11/98)
- --------------------------------------------------------------------------------
Cumulative Total Return
(does not reflect sales charge) -13.77% -5.35% -1.68%
- --------------------------------------------------------------------------------
Cumulative Total Return
(at maximum applicable sales charge) -13.77% -5.35% -1.68%
- --------------------------------------------------------------------------------
Average Annual Total Return
(at maximum applicable sales charge) -13.77% -1.09% -0.33%
[The following was represented as a line chart in the printed material.]
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class S Russell 1000 Index
03/11/98 10000 10000
04/30/98 10387 10464
04/30/99 12318 12590
04/30/00 14643 14157
04/30/01 13270 12223
04/30/02 11402 10759
04/30/03 9832 9311
A Closer Look [GRAPHIC]
12b-1 fees
12b-1 fees are named after the SEC rule that permits them.
The fund pays 12b-1 fees to cover service and distribution costs. The fees cover
personal services and the maintenance of shareholder accounts. The fees also
cover selling and marketing expenditures for the sale of fund shares.
The fund pays 12b-1 fees out of its assets, so shareholders see them as an
indirect charge rather than a direct charge.
All of the performance figures on these pages assume reinvestment of dividends
and distributions at net asset value.
The average annual total returns for the fund also include the effects of any
fees and sales charges that would apply for each share class.
The Russell 1000 Index measures the performance of the 1,000 largest securities
in the Russell 3000 Index (an unmanaged index of the 3,000 largest publicly
traded U.S. companies). The index is unmanaged and does not take transaction
charges into consideration. It is not possible to invest directly in the index.
Keep in mind that past performance is no guarantee of future results. The fund's
share price and return will fluctuate and you may have a gain or loss when you
sell your shares. Performance results for the fund are increased by voluntary
reduction of fund fees and expenses; without subsidization, performance would
have been lower. The returns shown above do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares. The fund's performance is not necessarily an indication of how the fund
will perform in the future.
Returns for Class B(1) reflect Class B performance through December 31, 1998.
Class B(1) was introduced January 1, 1999.
5
[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 past
fiscal year and give a summary of operations on a per-share basis for the past
five fiscal years. 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 7 to 18
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.
6 State Street Research Large-Cap Analyst Fund
About the Fund
- --------------------------------------------------------------------------------
Business Structure
State Street Research Large-Cap Analyst 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 80% of net assets in large-cap
stocks and convertible securities of U.S. and foreign companies. The fund
considers large-cap companies to be those with market capitalization within the
range of the Russell 1000 Index (an index of the 1,000 largest publicly traded
U.S. companies) and of other U.S. and foreign companies of comparable size.
Share Classes
The fund generally offers four 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% and
automatically convert into Class A shares (which pay lower ongoing expenses) at
the end of eight years. From May 1, 2002 to August 31, 2002, Class B shares paid
annual service and distribution fees of 1.00%. Effective September 1, 2002, the
annual service and distribution fees paid by Class B shares were voluntarily
reduced to 0.00%. Class B shares automatically convert into Class A shares 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.
The text and notes are an integral part of the financial statements.
7
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 sales 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, and may make an additional
distribution if tax regulations make it necessary.
o Net realized capital gains - The fund distributes these annually, if
any, and may make an additional distribution if tax regulations make
it necessary.
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.
The text and notes are an integral part of the financial statements.
8 State Street Research Large-Cap Analyst Fund
Portfolio Holdings
- --------------------------------------------------------------------------------
April 30, 2003
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 colored 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 97.1% of net assets
Automobiles & Transportation 1.3% of net assets
=============================================================================
Automotive Parts 0.5%
Navistar International Corp.* 6,800 $189,720
----------
Transportation 0.8%
United Parcel Service Inc. Cl. B 4,300 267,116
----------
Total Automobiles & Transportation 456,836
----------
Consumer Discretionary 13.2% of net assets
=============================================================================
Casinos/Gambling, Hotel/Motel 1.0%
International Game Technology Inc.* 4,100 353,830
----------
Commercial Services 0.7%
Cendant Corp.* 17,000 242,760
----------
Communications, Media & Entertainment 2.1%
Clear Channel Communications Inc.* 4,800 187,728
Univision Communications Inc. Cl. A* 10,500 317,940
Walt Disney Co. 13,800 257,508
----------
763,176
----------
Consumer Products 0.6%
Avon Products Inc. 3,500 203,595
----------
Leisure Time 0.6%
Carnival Corp. 7,800 215,202
----------
Printing & Publishing 0.5%
News Corp. Ltd. 6,800 192,304
----------
Restaurants 0.7%
Starbucks Corp.* 11,300 265,437
----------
Retail 6.4%
Home Depot Inc. 8,400 236,292
Kohl's Corp.* 6,700 380,560
Lowes Companies Inc. 3,900 171,171
Talbots Inc. 6,100 174,765
(8)USA Interactive* 23,000 688,850
(9)Wal-Mart Stores Inc. 11,800 664,576
----------
2,316,214
----------
Shoes 0.6%
Nike Inc. Cl. B 3,700 198,061
----------
Total Consumer Discretionary 4,750,579
----------
Consumer Staples 6.8% of net assets
=============================================================================
Beverages 2.7%
Anheuser-Busch Inc. 3,600 179,568
Coca-Cola Co. 10,800 436,320
PepsiCo Inc. 8,600 372,208
----------
988,096
----------
Drug & Grocery Store Chains 1.5%
CVS Corp. 6,700 162,207
Whole Foods Market Inc.* 6,300 373,968
----------
536,175
----------
The text and notes are an integral part of the financial statements.
9
Portfolio Holdings (continued)
- --------------------------------------------------------------------------------
April 30, 2003
Issuer Shares Value
- --------------------------------------------------------------------------------
Household Products 2.6%
Clorox Co. 5,400 $244,188
(7)Procter & Gamble Co. 7,700 691,845
----------
936,033
----------
Total Consumer Staples 2,460,304
----------
Financial Services 22.9% of net assets
============================================================================
Banks & Savings & Loan 7.4%
Bank of America Corp. 6,600 488,730
Bank of New York Co., Inc. 8,200 216,890
Bank One Corp. 5,600 201,880
Fifth Third Bancorp 5,800 285,882
J.P. Morgan Chase & Co. 9,170 269,139
State Street Corp. 5,400 189,162
US Bancorp 8,500 188,275
Wachovia Corp. 7,500 286,575
Wells Fargo & Co. 10,800 521,208
----------
2,647,741
----------
Financial Data Processing Services & Systems 1.2%
First Data Corp. 10,800 423,684
----------
Insurance 4.0%
American International Group Inc. 8,400 486,780
Hartford Financial Services Group Inc. 9,700 395,372
Travelers Property Casualty Corp. Cl. B* 13,560 220,350
XL Capital Ltd. 4,253 350,022
----------
1,452,524
----------
Miscellaneous Financial 9.1%
American Express Co. 12,500 473,250
(3)Citigroup Inc. 27,700 1,087,225
Federal Home Loan Mortgage Corp. 5,700 330,030
Federal National Mortgage Association 5,000 361,950
MBNA Corp. 18,800 355,320
Morgan Stanley Dean Witter & Co. 10,800 483,300
Willis Group Holdings Ltd. 6,000 187,140
----------
3,278,215
----------
Securities Brokerage & Services 1.2%
Lehman Brothers Holdings Inc. 6,900 434,493
----------
Total Financial Services 8,236,657
----------
Health Care 15.0% of net assets
============================================================================
Drugs & Biotechnology 10.2%
Altana AG* 5,000 245,950
Amgen Inc.* 7,000 429,170
AstraZeneca PLC@ 13,100 522,297
Biogen Inc.* 5,800 220,342
Forest Laboratories Inc.* 4,100 212,052
Johnson & Johnson Ltd. 4,700 264,892
Novartis AG@ 11,600 457,968
Pfizer Inc. 16,085 494,614
Teva Pharmaceutical Industries Ltd.@ 5,400 252,180
Wyeth Inc. 13,400 583,302
----------
3,682,767
----------
Health Care Facilities 0.6%
HCA Inc. 5,700 182,970
----------
Health Care Services 2.3%
Anthem Inc.* 5,900 404,976
Caremark Rx Inc.* 10,400 207,064
Wellpoint Health Networks Inc. Cl. A* 3,000 227,820
----------
839,860
----------
Hospital Supply 1.9%
Medtronic Inc. 6,800 324,632
St. Jude Medical Inc.* 3,600 188,856
Zimmer Holdings Inc.* 3,500 164,150
----------
677,638
----------
Total Health Care 5,383,235
----------
Integrated Oils 3.0% of net assets
============================================================================
Integrated International 3.0%
BP PLC@ 5,300 204,262
Exxon Mobil Corp. 14,700 517,440
Total Fina SA@ 5,500 361,350
----------
Total Integrated Oils 1,083,052
----------
Materials & Processing 2.3% of net assets
============================================================================
Chemicals 1.1%
Air Products & Chemicals Inc. 4,000 172,280
Dow Chemical Co. 6,700 218,688
----------
390,968
----------
Paper & Forest Products 1.2%
International Paper Co. 12,000 429,000
----------
Total Materials & Processing 819,968
----------
Other 4.9% of net assets
============================================================================
Multi-Sector 4.9%
(1)General Electric Co. 40,900 1,204,505
ITT Industries Inc. 3,000 174,900
SPX Corp.* 11,000 371,800
----------
Total Other 1,751,205
----------
Other Energy 2.8% of net assets
============================================================================
Oil & Gas Producers 1.6%
(10)Burlington Resources Inc. 12,800 592,768
----------
Oil Well Equipment & Services 1.2%
BJ Services Co.* 5,500 200,805
Patterson UTI Energy Inc.* 6,200 205,158
----------
405,963
----------
Total Other Energy 998,731
----------
Producer Durables 4.2% of net assets
============================================================================
Aerospace 1.1%
United Technologies Corp. 6,700 414,127
----------
Electrical Equipment & Components 1.0%
Emerson Electric Co. 7,200 365,040
----------
Machinery 1.1%
Deere & Co. 8,900 391,867
----------
The text and notes are an integral part of the financial statements.
10 State Street Research Large-Cap Analyst Fund
Issuer Shares Value
----------------------------------------------------------------------------
Miscellaneous Equipment 1.0%
Pentair Inc. 9,400 $362,276
-----------
Total Producer Durables 1,533,310
-----------
Technology 13.4% of net assets
=============================================================================
Communications Technology 1.3%
Cisco Systems Inc.* 31,200 469,248
-----------
Computer Software 4.6%
BMC Software Inc.* 11,100 165,612
(2)Microsoft Corp. 43,000 1,099,510
Oracle Systems Corp.* 18,600 220,968
SAP AG@ 6,900 176,019
-----------
1,662,109
-----------
Computer Technology 3.6%
Dell Computer Corp.* 13,500 390,285
(4)IBM Corp. 10,500 891,450
-----------
1,281,735
-----------
Electronics: Semiconductors/Components 3.9%
Altera Corp.* 12,000 189,720
(5)Intel Corp. 42,300 778,320
Jabil Circuit Inc.* 10,300 192,610
National Semiconductor Corp.* 14,100 264,093
-----------
1,424,743
-----------
Total Technology 4,837,835
-----------
Utilities 7.3% of net assets
=============================================================================
Cable Television & Radio 3.6%
(6)Comcast Corp.* 23,900 718,434
Cox Communications Inc. Cl. A* 17,800 589,180
-----------
1,307,614
-----------
Electrical 0.8%
Exelon Corp. 5,400 286,416
-----------
Telecommunications 2.9%
Alltel Corp. 6,600 309,276
Bellsouth Corp. 15,300 389,997
SBC Communications Inc. 15,000 350,400
-----------
1,049,673
-----------
Total Utilities 2,643,703
-----------
Total Common Stocks 34,955,415(a)
-----------
- ---------------------------------------------------------------
(a) The fund paid a total of $32,968,924 for these securities.
- ---------------------------------------------------------------
Amount of
Principal
-----------------------------------------------------------------------------
Commercial Paper 2.9% of net assets
Target Corp.
1.25% 5/01/2003 $1,029,000 1,029,000
-----------
Total Commercial Paper 1,029,000(b)
-----------
- -----------------------------------------------------------
(b) The fund paid a total of $1,029,000 for this security.
- -----------------------------------------------------------
Issuer Shares
- --------------------------------------------------------------------------------
Short-Term Investments
4.8% of net assets
State Street Navigator Securities
Lending Prime Portfolio 1,713,651 1,713,651
-----------
Total Short-Term Investments 1,713,651(c)
-----------
- -----------------------------------------------------------
(c) The fund paid a total of $1,713,651 for this security.
- -----------------------------------------------------------
% of
Net Assets
-----------------------------------------------------------------------------
Summary of Portfolio Assets
Investments 104.8% $37,698,066(d)
Cash and Other Assets, Less Liabilities (4.8%) (1,719,459)
----- ----------
Net Assets 100.0% $35,978,607
===== ==========
- ---------------------------------------------------------------
(d) The fund paid a total of $35,711,575 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 $36,649,879
was as follows:
Aggregate gross unrealized appreciation
for all investments in which there is an
excess of value over tax cost $3,209,135
Aggregate gross unrealized depreciation
for all investments in which there is an
excess of tax cost over value (2,160,948)
-----------
$1,048,187
===========
At April 30, 2003, the fund had a capital loss carryforward of $11,288,185
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $2,713,876 and $8,574,309 expires on April 30, 2010 and
2011, respectively.
In order to meet certain excise tax distribution requirements under Section 4982
of the Internal Revenue Code, the fund is required to measure and distribute
annually, if necessary, net capital gains realized during a 12-month period
ending October 31. In this connection, the fund is permitted to defer into its
next fiscal year any net capital losses incurred between each November 1 and the
end of its fiscal year. From November 1, 2001, through April 30, 2002, the fund
incurred net capital losses of $2,175,804 and has deferred and treated such
losses as arising in the fiscal year ended April 30, 2003. From November 1,
2002, through April 30, 2003, the fund incurred net capital losses of
approximately $2,628,000 and intends to defer and treat such losses as arising
in the fiscal year ended April 30, 2004.
The text and notes are an integral part of the financial statements.
11
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
April 30, 2003
This is the fund's balance sheet as of the report date. It shows the fund's
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* $37,698,066(a)
Cash 65,487
Receivable for securities sold 377,142
Receivable from distributor 45,585
Receivable for fund shares sold 44,203
Dividends receivable 25,448
Other assets 29,495
------------
38,285,426
Liabilities
Payable for collateral received on securities loaned 1,713,651
Payable for securities purchased 355,110
Accrued transfer agent and shareholder services 60,273
Payable for fund shares redeemed 45,915
Accrued management fee 17,720
Accrued distribution and service fees 9,708
Accrued trustees' fees 8,988
Accrued administration fee 7,571
Other accrued expenses 87,883
------------
2,306,819
------------
Net Assets $35,978,607
============
Net Assets consist of:
Undistributed net investment income $50,679(b)
Unrealized appreciation of investments 1,986,491
Accumulated net realized loss (14,854,011)
Paid-in capital 48,795,448
------------
$35,978,607(c)
============
*Includes securities on loan valued at $1,660,197
- --------------------------------------------------------------
(a) The fund paid a total of $35,711,575 for these securities.
- --------------------------------------------------------------
- --------------------------------------------------------------------------------
(b) The fund reclassified for book purposes amounts arising from permanent
book/tax differences relating to organization costs. To the extent there are
differences between amounts calculated using generally accepted accounting
principles and amounts calculated using federal income tax regulations and
the differences are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax basis treatment. At
April 30, 2003, 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,
post-October losses and capital loss carryforwards. At April 30, 2003, the
tax basis distributable earnings were: $50,679 in undistributed ordinary
income, $0 in undistributed short-term capital gains and $0 in undistributed
long-term capital gains.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(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 $20,710,649 2,443,287 $8.48*
B(1) $5,125,977 630,039 $8.14**
B $8,089,412 987,360 $8.19**
C $858,051 105,238 $8.15**
S $1,194,518 139,221 $8.58
* Maximum offering price per share = $9.00 ($8.48 / 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.
12 State Street Research Large-Cap Analyst Fund
Statement of Operations
- --------------------------------------------------------------------------------
For the year ended April 30, 2003
This shows what the fund earned and lost over the report period, and what its
expenses were.
Investment Income
Dividends, net of foreign taxes $651,293(a)
Interest 18,623(b)
-----------
669,916
Expenses
Management fee 294,185(c)
Transfer agent and shareholder services 262,312(d)
Custodian fee 94,669
Administration fee 94,276(e)
Distribution and service fees-- Class A 71,625(f)
Distribution and service fees-- Class B(1) 59,103(f)
Distribution and service fees-- Class B 36,867(f)
Distribution and service fees-- Class C 14,170(f)
Registration fees 56,700
Audit fee 36,697
Trustees' fees 17,793(g)
Amortization of organization costs 16,284(h)
Reports to shareholders 15,361
Legal fees 6,242
Miscellaneous 18,520
-----------
1,094,804
Expenses borne by the distributor (460,390)(i)
Fees paid indirectly (2,685)(j)
-----------
631,729
-----------
Net investment income 38,187
-----------
Realized and Unrealized Loss
on Investments
Net realized loss on investments (9,130,490)(k)
Change in unrealized depreciation
of investments (462,346)
-----------
Net loss on investments (9,592,836)
-----------
Net decrease in net assets resulting
from operations ($9,554,649)
===========
- --------------------------------------------------------------------------------
(a) The fund paid foreign taxes of $5,143.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(b) Includes $1,904 in income from the lending of portfolio securities. As of
the report date, the fund had a total of $1,660,197 of securities out on
loan and was holding a total of $1,713,651 in collateral (consisting
entirely of cash collateral invested in State Street Navigator Securities
Lending Prime Portfolio) related to those loans.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(c) The management fee is 0.65% of fund net assets, annually.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(d) Includes a total of $98,606 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 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(f) 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 $665,517 and $555,543 for Class A 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(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 amortized straight-line over five
years.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(i) Represents the share of expenses that the fund's distributor and its
affiliates paid voluntarily.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(j) Represents transfer agent credits earned from uninvested cash balances.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(k) The fund sold $58,761,700 worth of securities. During this same period, the
fund also bought $45,034,562 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.
13
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.
Years ended April 30
---------------------------------
2003 2002
- --------------------------------------------------------------------------------
Increase (Decrease) In Net Assets
Operations:
Net investment income (loss) $38,187 ($211,956)
Net realized loss
on investments (9,130,490) (3,579,665)
Change in unrealized depreciation
on investments (462,346) (5,179,894)
--------------------------------
Net decrease resulting
from operations (9,554,649) (8,971,515)
--------------------------------
Net increase (decrease)
from fund share transactions (13,457,435)(a) 8,787,442
--------------------------------
Total decrease in net assets (23,012,084) (184,073)
Net Assets
Beginning of year 58,990,691 59,174,764
--------------------------------
End of year $35,978,607(b) $58,990,691
================================
- --------------------------------------------------------------------------------
(b)Includes undistributed net investment income of $50,679 and $0, respectively.
- --------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
14 State Street Research Large-Cap Analyst Fund
- --------------------------------------------------------------------------------
(a) These transactions break down by share class as follows:
Years ended April 30
------------------------------------------------------------------
2003 2002
------------------------------------------------------------------
Class A Shares Amount Shares Amount
=================================================================================================
Shares sold 942,130 $7,966,395* 1,693,198 $17,297,839
Shares redeemed (1,591,554) (13,018,192) (730,337) (7,465,260)
------------------------------------------------------------------
Net increase (decrease) (649,424) ($5,051,797) 962,861 $9,832,579
==================================================================
Class B(1) Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------
Shares sold 194,805 $1,557,170** 173,745 $1,800,265
Shares redeemed (349,924) (2,709,281)*** (113,768) (1,155,553)
------------------------------------------------------------------
Net increase (decrease) (155,119) ($1,152,111) 59,977 $644,712
==================================================================
Class B Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------
Shares sold 65,423 $518,080 50,596 $525,865
Shares redeemed (399,002) (3,127,283)*** (253,001) (2,574,367)
------------------------------------------------------------------
Net decrease (333,579) ($2,609,203) (202,405) ($2,048,502)
==================================================================
Class C Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------
Shares sold 61,660 $485,458** 49,411 $499,937
Shares redeemed (173,362) (1,317,372)**** (62,462) (660,164)
------------------------------------------------------------------
Net decrease (111,702) ($831,914) (13,051) ($160,227)
==================================================================
Class S Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------
Shares sold 134,514 $1,117,726 65,593 $704,547
Shares redeemed (646,384) (4,930,136) (17,250) (185,667)
------------------------------------------------------------------
Net increase (decrease) (511,870) ($3,812,410) 48,343 $518,880
==================================================================
The trustees have the authority to issue an unlimited number of fund
shares, with a $0.001 par value per share.
* Sales charges collected by the distributor and MetLife were $4,654 and
$18,291, respectively.
** Like all broker/dealers, MetLife received commissions that were calculated
as a percentage of these sales but the commissions of $16,557 and $59 for
Class B(1) and Class C, respectively, were paid by the distributor, not
the fund.
*** Includes $26,219 and $19,878 in deferred sales charges collected by the
distributor for Class B(1) and Class B, respectively.
**** Includes $12 in deferred sales charges collected by the distributor.
- --------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
15
Financial Highlights
- --------------------------------------------------------------------------------
These provide a summary of each share class's financial performance.
Class A
---------------------------------------------------------
Years ended April 30
---------------------------------------------------------
Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 9.83 11.48 13.70 11.73 9.92
------ ------ ------ ------ ------
Net investment income (loss) ($)* 0.02 (0.01) (0.04) (0.04) (0.01)
Net realized and unrealized gain (loss) on investments ($) (1.37) (1.64) (1.22) 2.20 1.82
Total from investment operations ($) (1.35) (1.65) (1.26) 2.16 1.81
------ ------ ------ ------ ------
Dividend from net investment income ($) -- -- -- -- (0.00)
Distributions from capital gains ($) -- -- (0.96) (0.19) --
------ ------ ------ ------ ------
Total distributions ($) -- -- (0.96) (0.19) (0.00)
------ ------ ------ ------ ------
Net asset value, end of year ($) 8.48 9.83 11.48 13.70 11.73
====== ====== ===== ===== =====
Total return (%) (b) (13.73) (14.37) (9.65) 18.57 18.28
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 20,711 30,401 24,452 26,704 16,220
Expense ratio (%)* 1.30 1.32 1.34 1.27 1.27
Expense ratio after expense reductions (%)* 1.30 1.30 1.30 1.25 1.25
Ratio of net investment income (loss) to average net assets (%)* 0.18 (0.11) (0.29) (0.29) (0.09)
Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 1.02 0.84 0.67 0.61 0.75
Class B(1)
----------------------------------------------------------
Years ended April 30
----------------------------------------------------------
Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a)(c)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 9.52 11.19 13.46 11.63 10.63
------ ------ ------ ------ ------
Net investment loss ($)* (0.04) (0.08) (0.12) (0.13) (0.03)
Net realized and unrealized gain (loss) on investments ($) (1.34) (1.59) (1.19) 2.15 1.03
------ ------ ------ ------ ------
Total from investment operations ($) (1.38) (1.67) (1.31) 2.02 1.00
------ ------ ------ ------ ------
Dividend from net investment income ($) -- -- -- -- (0.00)
Distributions from capital gains ($) -- -- (0.96) (0.19) --
------ ------ ------ ------ ------
Total distributions ($) -- -- (0.96) (0.19) (0.00)
------ ------ ------ ------ ------
Net asset value, end of year ($) 8.14 9.52 11.19 13.46 11.63
====== ====== ====== ===== ====
Total return (%) (b) (14.50) (14.92) (10.23) 17.52 9.44(d)
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 5,126 7,471 8,113 6,847 1,776
Expense ratio (%)* 2.00 2.02 2.04 2.02 2.02(e)
Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00 2.00(e)
Ratio of net investment loss to average net assets (%)* (0.52) (0.80) (0.99) (1.05) (1.01)(e)
Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 1.03 0.87 0.67 0.61 0.75(e)
The text and notes are an integral part of the financial statements.
16 State Street Research Large-Cap Analyst Fund
Class B
-------------------------------------------------------
Years ended April 30
-------------------------------------------------------
Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 9.52 11.19 13.47 11.63 9.90
------ ------ ------ ------ ------
Net investment income (loss) ($)* 0.01 (0.08) (0.12) (0.13) (0.09)
Net realized and unrealized gain (loss) on investments ($) (1.34) (1.59) (1.20) 2.16 1.82
------ ------ ------ ------ ------
Total from investment operations ($) (1.33) (1.67) (1.32) 2.03 1.73
------ ------ ------ ------ ------
Dividend from net investment income ($) -- -- -- -- (0.00)
Distributions from capital gains ($) -- -- (0.96) (0.19) --
------ ------ ------ ------ ------
Total distributions ($) -- -- (0.96) (0.19) (0.00)
------ ------ ------ ------ ------
Net asset value, end of year ($) 8.19 9.52 11.19 13.47 11.63
====== ====== ====== ===== =====
Total return (%) (b) (13.97) (14.92) (10.30) 17.61 17.50
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 8,089 12,576 17,054 21,267 19,300
Expense ratio (%)* 1.33 2.02 2.04 2.02 2.02
Expense ratio after expense reductions (%)* 1.33 2.00 2.00 2.00 2.00
Ratio of net investment income (loss) to average net assets (%)* 0.08 (0.79) (1.00) (1.04) (0.84)
Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 1.02 0.89 0.67 0.61 0.75
Class C
-------------------------------------------------------
Years ended April 30
-------------------------------------------------------
Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a)
- -------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 9.53 11.20 13.48 11.63 9.91
------ ------ ------ ------ ------
Net investment loss ($)* (0.04) (0.08) (0.12) (0.13) (0.09)
Net realized and unrealized gain (loss) on investments ($) (1.34) (1.59) (1.20) 2.17 1.81
------ ------ ------ ------ ------
Total from investment operations ($) (1.38) (1.67) (1.32) 2.04 1.72
------ ------ ------ ------ ------
Dividend from net investment income ($) -- -- -- -- (0.00)
Distributions from capital gains ($) -- -- (0.96) (0.19) --
------ ------ ------ ------ ------
Total distributions ($) -- -- (0.96) (0.19) (0.00)
------ ------ ------ ------ ------
Net asset value, end of year ($) 8.15 9.53 11.20 13.48 11.63
====== ====== ====== ===== =====
Total return (%) (b) (14.48) (14.91) (10.28) 17.70 17.36
Ratios/Supplemental Data
- -------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 858 2,068 2,576 5,393 3,667
Expense ratio (%)* 2.00 2.02 2.04 2.02 2.02
Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00 2.00
Ratio of net investment loss to average net assets (%)* (0.51) (0.79) (1.00) (1.08) (0.85)
Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 1.00 0.88 0.67 0.61 0.75
(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 reduced a portion of the fund's expenses.
(c) January 1, 1999 (commencement of share class), to April 30, 1999
(d) Not annualized
(e) Annualized
The text and notes are an integral part of the financial statements.
17
Financial Highlights (continued)
- --------------------------------------------------------------------------------
Class S
---------------------------------------------------------
Years ended April 30
---------------------------------------------------------
Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a)
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 9.95 11.58 13.77 11.76 9.92
------ ------ ------ ------ ------
Net investment income (loss) ($)* 0.04 0.02 0.00 (0.00) 0.02
Net realized and unrealized gain (loss) on investments ($) (1.41) (1.65) (1.23) 2.20 1.82
------ ------ ------ ------ ------
Total from investment operations ($) (1.37) (1.63) (1.23) 2.20 1.84
------ ------ ------ ------ ------
Dividend from net investment income ($) -- -- -- -- (0.00)
Distributions from capital gains ($) -- -- (0.96) (0.19) --
------ ------ ------ ------ ------
Total distributions ($) -- -- (0.96) (0.19) (0.00)
------ ------ ------ ------ ------
Net asset value, end of year ($) 8.58 9.95 11.58 13.77 11.76
====== ====== ===== ===== =====
Total return (%) (b) (13.77) (14.08) (9.38) 18.87 18.59
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 1,195 6,476 6,980 6,895 5,806
Expense ratio (%)* 1.00 1.02 1.04 1.02 1.02
Expense ratio after expense reductions (%)* 1.00 1.00 1.00 1.00 1.00
Ratio of net investment income (loss) to average net assets (%)* 0.52 0.20 0.01 (0.04) 0.18
Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 0.99 0.87 0.67 0.61 0.75
(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 reduced a portion of the fund's expenses.
(c) January 1, 1999 (commencement of share class), to April 30, 1999
The text and notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
Independent Auditors' Report
To the Board of Trustees and Shareholders
of State Street Research Large-Cap Analyst Fund
We have audited the accompanying statement of assets and liabilities, including
the portfolio holdings, of the State Street Research Large-Cap Analyst Fund (the
"Fund"), a series of State Street Research Securities Trust, as of April 30,
2003, and the related statements of operations, the statement of changes in net
assets, and the financial highlights for the year ended April 30, 2003.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 audit. The statement
of changes in net assets for the year ended April 30, 2002, and the financial
highlights for each of the years in the four-year period ended April 30, 2002,
were audited by other auditors whose report dated June 14, 2002, expressed an
unqualified opinion on such statement and financial highlights.
We conducted our audit in accordance with auditing standards generally accepted
in the United States of America.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 April 30, 2003, by correspondence with the custodian and brokers. 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 April 30, 2003, and the results of its operations, the changes in its
net assets, and the financial highlights for the year then ended, in conformity
with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 16, 2003
- --------------------------------------------------------------------------------
18 State Street Research Large-Cap Analyst 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
Cover Image: (C) Photodisc/Getty Images
CONTROL NUMBER:(exp0604)SSR-LD LCA-1891-0603