-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, AW91vPY/p7tKyNOUxqSYz9bnbQvHQCSWT8R0RR2Bwcos0/Y8akLIwrlcsBP6a5cE 9d/0qLOIBAsckofgizUNQQ== 0001047469-04-022327.txt : 20040701 0001047469-04-022327.hdr.sgml : 20040701 20040701152626 ACCESSION NUMBER: 0001047469-04-022327 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20040430 FILED AS OF DATE: 20040701 EFFECTIVENESS DATE: 20040701 FILER: COMPANY DATA: COMPANY CONFORMED NAME: STATE STREET RESEARCH SECURITIES TRUST CENTRAL INDEX KEY: 0000918572 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-08322 FILM NUMBER: 04895081 BUSINESS ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02111 BUSINESS PHONE: 6173571340 MAIL ADDRESS: STREET 1: ONE FINANCIAL CENTER CITY: BOSTON STATE: MA ZIP: 02111 N-CSRS 1 a2138665zn-csrs.txt N-CSRS 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) Terrence J. Cullen, Senior Vice President and Counsel State Street Research One Financial Center, Boston, MA 02111 ------------------------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: 617-357-1200 ------------------ Date of fiscal year end: 10/31/04 ----------------- Date of reporting period: 11/1/03 - 4/30/04 ---------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. ITEM 1: REPORT TO SHAREHOLDERS The Semi-annual Report is attached. [LOGO] STATE STREET RESEARCH Legacy Fund April 30, 2004 Semiannual Report to Shareholders [LOGO] STATE STREET RESEARCH Legacy Fund April 30, 2004 Semiannual Report to Shareholders Table of Contents 3 Performance Discussion 4 Portfolio Holdings 6 Financial Statements 10 Financial Highlights 13 Trustees and Officers FROM THE CHAIRMAN State Street Research After putting on a spectacular show of strength in the second quarter of 2003, the U.S. economy settled down to a slower, but nevertheless solid, pace of growth during the six-month period from November 1, 2003, to April 30, 2004. Gross Domestic Product (GDP), a common measure of economic growth, rose 4.1% in the fourth quarter of 2003 and 4.2% for the first quarter of 2004. Consumer confidence was generally strong throughout the period as a combination of accelerated tax cuts and tax rebates fueled higher disposable income for most working Americans. The housing market was strong, and consumer spending continued to rise. Better yet, business spending began to recover after a long period of stagnation. Corporate profits staged a solid rebound, making it easier for companies to increase outlays, especially on information technology and electronic equipment. The economic news was slightly less upbeat as the first quarter of 2004 began. Durable goods orders declined and the number of new jobs added to the labor market in January and February fell short of expectations. Consumer confidence slipped in March. However, strong job growth in March and April suggested that the economic recovery was on solid ground. The period ended with the expectation that the Federal Reserve Board would likely raise short-term interest rates sooner rather than later in the year. Stock and Bond Markets Moved Higher The stock market moved sharply higher through early February as economic growth firmed up and corporate profits rose 20% or more for the reporting period, as reported by Thomson First Call. However, a host of worries stopped the major indexes in their tracks in the final six weeks of the period. Investors grew more cautious about interest rates, the threat of terrorist attacks and corporate profit comparisons going forward. High-yield bonds continued to rally, delivering returns that exceeded those of the broad stock market. However, they also stalled along with the stock market late in the period. Most other segments of the bond market reported low single-digit returns. Mortgage bonds bounced back as prepayment activity slowed. Investment-grade and municipal bonds earned solid but modest returns. Government bonds were the period's weakest performers; they were hurt the most when interest rates rose late in the period. Looking Ahead The recent bear and bull cycles serve as a reminder that markets can be unpredictable, which underscores the importance of having an asset allocation plan in place. If you have a plan in place, stay with it, invest regularly and talk to your investment professional before you make a significant move outside your plan. As always, we look forward to helping you achieve your long-term financial goals with State Street Research Funds. Sincerely, /s/ Richard S. Davis Richard S. Davis Chairman April 30, 2004 2 PERFORMANCE Discussion as of April 30, 2004 How State Street Research Legacy Fund Performed State Street Research Legacy Fund returned 2.18% for the six-month period ended April 30, 2004.(1) That was less than the Russell 1000[RegTM] Growth Index, which returned 4.14% over the same period.(2) The fund also slightly underperformed the Lipper Large-Cap Growth Funds Average, which returned 2.45% for the six-month period.(2) Reasons for the Fund's Performance Poor stock selection in the technology, producer durables and automobiles & transportation sectors was the primary reason for the fund's weak performance relative to both its benchmark and peer group. In technology, semiconductor holdings Linear Technology and PMC-Sierra detracted from returns as investors expressed doubt about the strength and duration of growth in the semiconductor industry. These same concerns also hurt semiconductor-processing equipment manufacturers Lam Research and Applied Materials in the producer durables sector. Ryanair, a European airline operator, also disappointed. The fund's health care and consumer discretionary holdings made positive contributions to performance. In health care, our emphasis on biotechnology companies with strong product pipelines--such as Genentech and Biogen Idec--produced positive results. Within consumer discretionary, International Game Technology was buoyed by legislation that allows further gaming expansion in several states. Career Education, which offers private, postsecondary education to students worldwide, benefited from increased enrollment and market share. Yahoo! and Walt Disney also delivered solid returns. Looking Ahead Going forward, we will continue to focus on companies that exhibit stable or accelerating growth. With that goal in mind, we recently increased our exposure to consumer discretionary companies, adding to our existing position in Career Education and initiating positions in casino operator Caesar's Entertainment and retailers Target and Nordstrom's. We also initiated a position in Tyco and increased our exposure to General Electric. Both conglomerates stand to benefit from increased industrial spending. In the health care sector, we continue to favor companies with new product potential. As a result, we are overweight in biotechnology and underweight in pharmaceuticals. The fund is also overweight in financial services as a result of the additions of Federal National Mortgage Association and Providian to the portfolio, as well as an increase in our investment in AIG, one of the world's largest insurance groups. In addition, we remain optimistic about the prospects for the energy sector. However, we reshuffled our positions during the period to take advantage of the opportunities for coal in a supply-constrained environment. A Word about Risk The major risks of stock investing include sudden and unpredictable drops in value and periods of lackluster performance. The fund's emphasis on keeping portfolio turnover low means that the fund may continue to hold various stocks through adverse markets, which may cause it to experience deeper losses than other funds. To the extent the fund does sell securities during times of volatility, portfolio turnover and capital gains are likely to increase. The fund's buy-and-hold approach is designed to allow it to capture long-term gains; prices of some stocks may not return to their previous highs. By continuing to hold these stocks, the fund may miss opportunities to realize gains, and long-term performance may be reduced. Top 10 Holdings - -------------------------------------------------------------------------------- Issuer/Security % of Fund Net Assets 1 Pfizer 5.3% ------------------------------------------ 2 Cisco Systems 3.3% ------------------------------------------ 3 Microsoft 3.2% ------------------------------------------ 4 General Electric 3.0% ------------------------------------------ 5 News Corp. 2.7% ------------------------------------------ 6 Procter & Gamble 2.6% ------------------------------------------ 7 Novartis 2.5% ------------------------------------------ 8 InterActiveCorp 2.4% ------------------------------------------ 9 Intel 2.4% ------------------------------------------ 10 Coca-Cola 2.4% ------------------------------------------ Total 29.8%
Performance: Class A - --------------------------------------------------------------- Fund average annual total return as of 4/30/04(3,4) (does not reflect sales charge) Life of Fund 1 Year 5 Years (12/31/97) - --------------------------------------------------------------- Return Before Taxes 20.26% -3.34% 3.16% - --------------------------------------------------------------- Return After Taxes on Distributions 20.26% -3.33% 3.15% - --------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 13.17% -2.80% 2.71% - ---------------------------------------------------------------
Fund average annual total return as of 3/31/04(3,4,5) (at maximum applicable sales charge)
Life of Fund 1 Year 5 Years (12/31/97) - --------------------------------------------------------------- Return Before Taxes 24.44% -3.21% 2.65% - --------------------------------------------------------------- Return After Taxes on Distributions 24.44% -3.21% 2.65% - --------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 15.88% -2.70% 2.27% - ---------------------------------------------------------------
See page 12 for remaining share classes. 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. 1 Class A shares; does not reflect sales charge. 2 The Russell 1000 Growth Index contains those stocks within the complete Russell 1000[RegTM] Index (a large-company index) that show above-average growth. The index is unmanaged and does not take transaction charges into consideration. It is not possible to invest directly in an index. The Lipper Large-Cap Growth Funds Average shows the performance of a category of mutual funds with similar goals. The Lipper average shows you how well the fund has done compared with competing funds. 3 Keep in mind that the performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted herein. For the most recent month-end performance results, visit our website at www.ssrfunds.com. The fund's share price, yield and return will fluctuate, and you may have a gain or loss when you sell your shares. All returns assume reinvestment of capital gains distributions and income dividends at net asset value. 4 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 (IRAs). Return After Taxes on Distributions and Sale of Fund Shares for a period may be greater than or equal to Return After Taxes on Distributions for the same period because of losses realized on the sale of fund shares. 5 Performance reflects a maximum 5.75% Class A share front-end sales charge. State Street Research Legacy Fund 3 PORTFOLIO Holdings April 30, 2004 (unaudited)
Issuer Shares Value - ------------------------------------------------------------------------ ------------------- ----------- Common Stocks 99.7% Automobiles & Transportation 0.5% Air Transport 0.5% Expeditors International of Washington Inc. ....................................................... 42,400 $1,704,056 ---------- Total Automobiles & Transportation ........................................................... 1,704,056 ---------- Consumer Discretionary 26.8% Casinos/Gambling, Hotel/Motel 2.9% Caesar's Entertainment Inc.* ........................................... 305,000 4,041,250 International Game Technology Inc. ..................................... 156,300 5,898,762 ---------- 9,940,012 ---------- Commercial Services 3.7% InterActiveCorp* ....................................................... 263,003 8,381,906 Manpower Inc. .......................................................... 93,100 4,366,390 ---------- 12,748,296 ---------- Communications, Media & Entertainment 2.9% Univision Communications Inc. Cl. A* ................................... 129,000 4,366,650 Walt Disney Co. ........................................................ 248,200 5,716,046 ---------- 10,082,696 ---------- Consumer Electronics 2.8% Harman International Inc. .............................................. 38,900 2,950,565 Yahoo!, Inc.* .......................................................... 131,500 6,635,490 ---------- 9,586,055 ---------- Consumer Services 1.6% Career Education Corp.* ................................................ 84,200 5,388,800 ---------- Printing & Publishing 2.7% News Corp. Ltd. ADR .................................................... 249,800 9,132,688 ---------- Restaurants 0.8% Starbucks Corp.* ....................................................... 69,200 2,689,112 ---------- Retail 6.7% Bed Bath & Beyond Inc.* ................................................ 93,100 3,455,872 Dollar General Corp. ................................................... 124,800 2,341,248 Lowes Companies Inc. ................................................... 82,100 4,274,126 Nordstrom's Inc. ....................................................... 92,100 3,281,523 Staples Inc.* .......................................................... 128,100 3,299,856 Target Corp. ........................................................... 143,300 6,214,921 ---------- 22,867,546 ---------- Shoes 1.1% Nike Inc. Cl. B ........................................................ 51,600 3,712,620 ---------- Textile Apparel Manufacturers 1.6% Coach Inc.* ............................................................ 70,800 3,016,080 Polo Ralph Lauren Corp.* ............................................... 76,000 2,629,600 ---------- 5,645,680 ---------- Total Consumer Discretionary ................................................................. 91,793,505 ----------
Issuer Shares Value - ------------------------------------------------------------------------ ------------------- ----------- Consumer Staples 6.3% Beverages 2.4% Coca-Cola Co. .......................................................... 162,500 $8,217,625 ---------- Household Products 3.9% Clorox Co. ............................................................. 87,400 4,525,572 Procter & Gamble Co. ................................................... 83,600 8,840,700 ---------- 13,366,272 ---------- Total Consumer Staples ....................................................................... 21,583,897 ---------- Financial Services 11.4% Banks & Savings & Loan 1.0% Goldman Sachs Group Inc. ............................................... 34,500 3,329,250 ---------- Insurance 2.2% American International Group Inc. ...................................... 105,200 7,537,580 ---------- Miscellaneous Financial 7.6% American Express Co. ................................................... 116,050 5,680,647 Citigroup Inc. ......................................................... 146,106 7,026,238 Federal National Mortgage Association ........................................................... 35,100 2,412,072 MBNA Corp. ............................................................. 166,500 4,059,270 Providian Financial Corp.* ............................................. 212,700 2,580,051 SLM Corp. .............................................................. 111,400 4,267,734 ---------- 26,026,012 ---------- Securities Brokerage & Services 0.6% Ameritrade Holding Corp. ............................................... 180,500 2,209,320 ---------- Total Financial Services ..................................................................... 39,102,162 ---------- Health Care 21.5% Drugs & Biotechnology 17.5% Allergan Inc. .......................................................... 29,500 2,597,475 Amgen Inc.* ............................................................ 80,650 4,538,175 Biogen Idec Inc.* ...................................................... 71,200 4,200,800 Charles River Laboratories International Inc.* .................................................. 82,600 3,799,600 Chiron Corp. ........................................................... 64,100 2,974,240 Elan Corp. ADR* ........................................................ 89,400 1,931,040 Genentech, Inc.* ....................................................... 33,200 4,076,960 Gilead Sciences, Inc.* ................................................. 26,100 1,587,663 Johnson & Johnson Ltd. ................................................. 75,020 4,053,331 Millennium Pharmaceuticals Inc.* ....................................... 104,400 1,564,956 Millipore Corp.* ....................................................... 35,300 1,850,779 Novartis AG ADR ........................................................ 190,800 8,547,840 Pfizer Inc. ............................................................ 504,454 18,039,275 ---------- 59,762,134 ---------- Hospital Supply 4.0% Alcon Inc. ............................................................. 48,800 3,623,400 Guidant Corp. .......................................................... 80,400 5,066,004 Medtronic Inc. ......................................................... 98,590 4,974,852 ---------- 13,664,256 ---------- Total Health Care ............................................................................ 73,426,390 ---------- Other 5.0% Multi-Sector 5.0% General Electric Co. ................................................... 343,930 10,300,703 Tyco International Ltd. ................................................ 250,700 6,881,715 ---------- Total Other .................................................................................. 17,182,418 ----------
4 The notes are an integral part of the financial statements.
Issuer Shares Value - ------------------------------------------------------------------------ ------------------- ------------ Other Energy 4.7% Gas Pipelines 1.6% EOG Resources Inc. ....................................................... 108,300 $ 5,333,775 ------------ Miscellaneous Energy 0.9% Consol Energy Inc. ....................................................... 112,800 3,229,464 ------------ Oil & Gas Producers 1.5% Burlington Resources Inc. ................................................ 28,000 1,883,560 Newfield Exploration Co.* ................................................ 61,700 3,250,356 ------------ 5,133,916 ------------ Oil Well Equipment & Services 0.7% Nabors Industries Ltd* ................................................... 56,800 2,519,648 ------------ Total Other Energy ............................................................................. 16,216,803 ------------ Producer Durables 0.8% Industrial Products 0.8% American Power Conversion Corp. .......................................... 152,800 2,851,248 ------------ Total Producer Durables ........................................................................ 2,851,248 ------------ Technology 21.9% Communications Technology 6.2% Cisco Systems Inc.* ...................................................... 543,580 11,344,515 Juniper Networks Inc.* ................................................... 146,200 3,198,856 QUALCOMM Inc. ............................................................ 109,000 6,808,140 ------------ 21,351,511 ------------ Computer Software 7.4% Microsoft Corp. .......................................................... 417,440 10,840,917 Oracle Systems Corp.* .................................................... 453,300 5,086,026 Red Hat Inc.* ............................................................ 90,800 2,062,068 SAP AG ADR ............................................................... 196,970 7,343,041 ------------ 25,332,052 ------------ Computer Technology 0.8% Dell Inc.* ............................................................... 73,500 2,551,185 ------------ Electronics: 1.9% Flextronics International Ltd.* .......................................... 189,300 3,047,730 General Dynamics Corp. ................................................... 38,300 3,585,646 ------------ 6,633,376 ------------ Electronics: Semiconductors/Components 5.6% Fairchild Semiconductor International Inc.* .................................................... 160,700 3,128,829 Intel Corp. .............................................................. 321,460 8,271,166 Linear Technology Corp. .................................................. 164,200 5,850,446 PMC-Sierra Inc.* ......................................................... 144,300 1,753,245 ------------ 19,003,686 ------------ Total Technology ............................................................................... 74,871,810 ------------ Utilities 0.8% Cable Television & Radio 0.8% Comcast Corp.* ........................................................... 89,090 2,582,719 ------------ Total Utilities ................................................................................ 2,582,719 ------------ Total Common Stocks (Cost $306,320,780) ........................................................ 341,315,008 ------------
Issuer Shares Value - -------------------------------------------------------------------------- ------------------- -------------- Short-Term Investments 8.1% State Street Navigator Securities Lending Prime Portfolio ........................................................ 27,724,442 $ 27,724,442 ------------ Total Short-Term Investments (Cost $27,724,442) .............................................. 27,724,442 ------------
Maturity Amount of Issuer Date Principal Value - ------------------------------ ----------- --------------------------- Commercial Paper 1.3% Citigroup Inc. 1.01% ......... 5/03/2004 $1,995,000 1,994,888 Goldman Sachs Group Inc. 1.01% ................. 5/03/2004 2,510,000 2,509,859 ----------- Total Commercial Paper (Cost $4,504,747) ............. 4,504,747 -----------
% of Net Assets ------------ Summary of Portfolio Assets Investments (Cost $338,549,969) .......... 109.1% 373,544,197 Cash and Other Assets, Less Liabilities .. (9.1%) (31,080,433) ------------ ------------ Net Assets ............................... 100.0% $342,463,764 ============ ============
KEY TO SYMBOLS * Denotes a security which has not paid a dividend during the last year. ADR Stands for American Depositary Receipt. Federal Income Tax Information At April 30, 2004, the net unrealized appreciation of investments based on cost for federal income tax purposes of $338,612,829 was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 44,569,500 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (9,638,132) ------------ $ 34,931,368 ============
The notes are an integral part of the financial statements. State Street Research Legacy Fund 5 FINANCIAL Statements Statement of Assets and Liabilities - -------------------------------------------------------------------------------- April 30, 2004 (unaudited)
Assets Investments, at value (Cost $338,549,969) (Note 1) ........... $373,544,197 Cash ......................................................... 59,896 Receivable for securities sold ............................... 1,308,735 Receivable for fund shares sold .............................. 375,787 Dividends receivable ......................................... 236,308 Other assets ................................................. 148,489 ------------ 375,673,412 ------------ Liabilities Payable for collateral received on securities loaned ......... 27,724,442 Payable for securities purchased ............................. 4,598,237 Accrued transfer agent and shareholder services .............. 241,684 Payable for fund shares redeemed ............................. 231,424 Accrued management fee ....................................... 188,552 Accrued distribution and service fees ........................ 148,493 Accrued administration fee ................................... 19,339 Accrued trustees' fees ....................................... 4,680 Other accrued expenses ....................................... 52,797 ------------ 33,209,648 ------------ Net Assets $342,463,764 ============ Net Assets consist of: Unrealized appreciation of investments ..................... $ 34,994,228 Accumulated net realized loss .............................. (138,063,385) Paid-in capital ............................................ 445,532,921 ------------ $342,463,764 ============
Net Asset Value (NAV) of Each Share Class Except where noted, the NAV is the offering and the redemption price for each class.
Class Net Assets [divided by] Number of Shares = NAV A $113,583,650 9,336,056 $ 12.17* B(1) $104,545,282 9,000,989 $ 11.61** B $ 41,001,254 3,440,162 $ 11.92** C $ 26,570,137 2,287,074 $ 11.62** R $ 257,153 21,186 $ 12.14 S $ 56,506,288 4,538,241 $ 12.45
* Maximum offering price per share = $12.91 ($12.17 [divided by] 0.9425) ** When you sell Class B(1), Class B or Class C shares, you receive the net asset value minus deferred sales charge, if any. Statement of Operations - -------------------------------------------------------------------------------- For the six months ended April 30, 2004 (unaudited)
Investment Income Dividends, net of foreign taxes of $23,854 (Note 1) .......... $ 1,307,851 Interest (Note 1) ............................................ 67,193 ----------- 1,375,044 ----------- Expenses Management fee (Note 2) ...................................... 1,120,090 Transfer agent and shareholder services (Note 2) ............. 596,997 Distribution and service fees - Class A (Note 4) ............. 153,468 Distribution and service fees - Class B(1) (Note 4) .......... 542,241 Distribution and service fees - Class C (Note 4) ............. 145,824 Distribution and service fees - Class R (Note 4) ............. 442 Administration fee (Note 2) .................................. 58,012 Custodian fee ................................................ 56,544 Audit fee .................................................... 31,384 Registration fees ............................................ 30,628 Reports to shareholders ...................................... 29,512 Trustees' fees (Note 2) ...................................... 9,052 Legal fees ................................................... 8,432 Miscellaneous ................................................ 12,400 ----------- 2,795,026 Fees paid indirectly (Note 2) ................................ (7,189) ----------- 2,787,837 ----------- Net investment loss .......................................... (1,412,793) ----------- Realized and Unrealized Gain (Loss) on Investments Net increase from payment by affiliate (Note 2) .............. 15,707 ----------- Net realized gain on investments (Notes 1 and 3) ............. 38,621,994 Change in unrealized depreciation of investments ............. (30,235,785) ----------- Net gain on investments ...................................... 8,401,916 ----------- Net increase in net assets resulting from operations ......... $ 6,989,123 ===========
6 The notes are an integral part of the financial statements. Statement of Changes in Net Assets - --------------------------------------------------------------------------------
Six months ended April 30, 2004 Year ended (unaudited) October 31, 2003 ----------------- ----------------- Increase (Decrease) In Net Assets Operations: Net investment loss ......... $ (1,412,793) $ (1,952,085) Net increase from payment by affiliate .............. 15,707 -- Net realized gain (loss) on investments ............... 38,621,994 (16,699,994) Change in unrealized appreciation (depreciation) of investments ............ (30,235,785) 80,572,206 ------------- ------------- Net increase resulting from operations ................ 6,989,123 61,920,127 ------------- ------------- Net increase (decrease) from fund share transactions (Note 5) .................. (14,448,013) 46,837,642 ------------- ------------- Total increase (decrease) in net assets ............. (7,458,890) 108,757,769 Net Assets Beginning of period ......... 349,922,654 241,164,885 ------------- ------------- End of period ............... $ 342,463,764 $ 349,922,654 ============= =============
Notes to Unaudited Financial Statements - -------------------------------------------------------------------------------- April 30, 2004 Note 1 State Street Research Legacy Fund is a series of State Street Research Securities Trust (the "Trust"), which is organized as a Massachusetts business trust, and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The 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. The fund offers six classes of shares. Class A shares are subject to an initial sales charge of up to 5.75% and pay annual service and distribution fees equal to 0.30% of average daily net assets. Class B(1) shares pay annual service and distribution fees equal to 1.00% of average daily net assets and automatically convert into Class A shares (which pay lower ongoing expenses) at the end of eight years. Class B(1) shares are subject to a contingent deferred sales charge on certain redemptions made within six years of purchase. Class B shares are offered only to current shareholders through reinvestment of dividends and distributions or through exchanges from existing Class B accounts of State Street Research funds. Currently, the annual service and distribution fees paid by Class B shares have been voluntarily reduced to 0.00%. Class B shares automatically convert into Class A shares at the end of eight years. Class B shares are subject to a contingent deferred sales charge on certain redemptions made within five years of purchase. Class C shares are subject to a contingent deferred sales charge of 1.00% on any shares redeemed within one year of purchase. Class C shares also pay annual service and distribution fees equal to 1.00% of average daily net assets. Class R shares are offered to retirement plans participating in certain platforms sponsored by broker-dealers which may involve multiple fund families. Class R shares pay a service and distribution fee of 0.50%. No sales charge is imposed at the time of purchase or redemption of Class R shares. Class S shares are only offered through certain retirement accounts, advisory accounts of State Street Research & Management Company (the "Adviser"), an investment management subsidiary of MetLife, Inc. ("MetLife"), and special programs. No sales charge is imposed at the time of purchase or redemption of Class S shares. Class S shares do not pay any service or distribution fees. The fund's expenses are borne prorata by each class, except that each class bears expenses, and has exclusive voting rights with respect to provisions of the plans of distribution, related specifically to that class. The Trustees declare separate dividends on each class of shares. The following significant accounting policies are consistently followed by the fund in preparing its financial statements, and such policies are in conformity with accounting principles generally accepted in the United States of America. A. Investment Valuation Values for listed equity securities reflect final sales on national securities exchanges quoted prior to the close of the New York Stock Exchange. Over-the-counter securities quoted on the National Association of Securities Dealers Automated Quotation ("Nasdaq") system are valued at closing prices supplied through such system. If not quoted on the Nasdaq system, such securities are valued at prices obtained from independent brokers. In the absence of recorded sales, valuations are at the mean of the closing bid and asked quotations. Short-term securities maturing within sixty days are valued at amortized cost. Other securities, if any, are valued at their fair value as determined in good faith under consistently applied procedures established by and under the supervision of the Trustees. If trading or events occurring in other markets after the close of the principal market in which foreign securities are traded, and before the close of business of the fund, are expected to materially affect the value of these securities, then they are valued at their fair value taking this trading or these events into account. B. Security Transactions Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains or losses are reported on the basis of identified cost of securities delivered. The notes are an integral part of the financial statements. State Street Research Legacy Fund 7 Notes (continued) - -------------------------------------------------------------------------------- C. Net Investment Income Net investment income is determined daily and consists of interest and dividends accrued and discount earned, less the estimated daily expenses of the fund. Interest income is accrued daily as earned. Dividend income is accrued on the ex-dividend date. The fund is charged for expenses directly attributable to it, while indirect expenses are allocated among all funds in the Trust. D. Dividends Dividends from net investment income are declared and paid or reinvested annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. Income dividends and capital gains distributions are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. The difference is primarily due to differing treatments for wash sale deferrals. E. Federal Income Taxes No provision for federal income taxes is necessary because the fund has elected to qualify under Subchapter M of the Internal Revenue Code and its policy is to distribute all of its taxable income, including net realized capital gains, within the prescribed time periods. At October 31, 2003, the fund had a capital loss carryforward of $176,299,939 available, to the extent provided in regulations, to offset future capital gains, if any, of which $353,559, $2,301,316, $15,859,209, $63,108,010, $76,300,059 and $18,377,786 expire on October 31, 2006, 2007, 2008, 2009, 2010 and 2011, respectively. A portion of the losses expiring in 2009, 2010 and 2011, which amounted to $34,309,485, $30,166,954 and $2,078,939, respectively, were acquired in connection with the merger of the State Street Research Large-Cap Growth Fund. Future utilization of these losses may be limited under current tax laws. F. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates. G. Securities Lending The fund may seek additional income by lending portfolio securities to qualified institutions. The fund will receive cash or securities as collateral in an amount equal to at least 100% of the current market value of any loaned securities plus accrued interest. By reinvesting any cash collateral it receives in these transactions, the fund could realize additional gains and losses. If the borrower fails to return the securities and the value of the collateral has declined during the term of the loan, the fund will bear the loss. At April 30, 2004, the value of the securities loaned and the value of collateral were $26,808,137 and $27,724,442 (consisting entirely of cash collateral invested in State Street Navigator Securities Lending Prime Portfolio), respectively. During the six months ended April 30, 2004, income from securities lending amounted to $47,254 and is included in interest income. Note 2 The Trust and the Adviser have entered into an agreement under which the Adviser earns monthly fees at an annual rate of 0.65% of the fund's average net assets. In consideration of these fees, the Adviser furnishes the fund with management, investment advisory, statistical and research facilities and services. The Adviser also pays all salaries, rent and certain other expenses of management. During the six months ended April 30, 2004, the fees pursuant to such agreement amounted to $1,120,090. State Street Research Service Center, a division of State Street Research Investment Services, Inc., the Trust's principal underwriter (the "Distributor"), provides certain shareholder services to the fund such as responding to inquiries and instructions from investors with respect to the purchase and redemption of shares of the fund. In addition, MetLife receives a fee for maintenance of the accounts of certain shareholders who are participants in sponsored arrangements, such as employee benefit plans, through or under which shares of the fund may be purchased. Total shareholder service costs are allocated to each fund in the same ratios as the transfer agent costs. During the six months ended April 30, 2004, the amount of such expenses allocated to the fund was $141,306. The fund has entered into an arrangement with its transfer agent whereby credits realized as a result of uninvested cash balances were used to reduce a portion of the fund's expense. During the six months ended April 30, 2004, the fund's transfer agent fees were reduced by $7,189 under this arrangement. The fees of the Trustees not currently affiliated with the Adviser amounted to $9,052 during the six months ended April 30, 2004. The fund has agreed to pay the Adviser for certain administrative costs incurred in providing other assistance and services to the fund. The fee was based on a fixed amount that has been allocated equally among the State Street Research funds. During the six months ended April 30, 2004, the amount of such expenses was $58,012. On February 19, 2004, the Distributor entered into an agreement with the NASD resolving all outstanding issues relating to an investigation by the NASD of the Distributor's email retention practices and supervision of trading activity in shares of the State Street Research funds. The Distributor, without admitting or denying the allegations or the findings set forth in the agreement, and solely for the purposes of the settlement, agreed to the entry of certain findings by the NASD relating to the Distributor's compliance with document retention requirements and the Distributor's supervision of enforcement of shareholder exchange limitations set forth in the funds' prospectuses. The agreement contains no allegations or findings of fraudulent conduct by the Distributor. As part of this agreement the Distributor made a payment to the fund to compensate the fund for losses relating to the exchange of fund shares beyond the annual limit set forth in the fund's prospectus. The payment was allocated among the fund's share classes as follows: $4,676 to Class A; $4,979 to Class B(1); $1,991 to Class B; $1,298 to Class C and $2,763 to Class S. These amounts are shown in the total amount of $15,707 as "Net increase from payment by affiliate" in the Statement of Operations. Note 3 For the six months ended April 30, 2004, purchases and sales of securities, exclusive of short-term obligations, aggregated $178,401,002, and $191,016,660, respectively. Note 4 The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the plans, the fund pays annual service fees to the Distributor at a rate of 0.25% of average daily net assets for Class A, Class B(1), Class B, Class C and Class R shares. In addition, the fund pays annual distribution fees of 0.05% of average daily net assets for Class A shares. The fund pays annual distribution fees of 0.75% of average daily net assets for Class B(1), Class B and Class C shares and 0.25% of average net assets for Class R shares. Currently, the annual service and distribution fees paid by Class B shares have been voluntarily waived to 0.00%. The fund expects this waiver to continue, although there is no guarantee that it will. The Distributor uses such payments for personal services and/or the maintenance of shareholder accounts, to reimburse securities dealers for distribution and marketing services, to furnish ongoing assistance to investors and to defray a portion of its distribution and marketing expenses. For the six months ended April 30, 2004, fees pursuant to such plans amounted to $153,468, $542,241, $145,824, and $442 for Class A, Class B(1), Class C and Class R shares, respectively. For Class A, Class B and Class C shares, the payments are intended to reimburse the distributor for expenditures incurred under the plan, and any unused payments are returnable to the fund. As of April 30, 2004, there were $2,177,779, $298,074, and $2,880,905 for Class A, B and Class C shares, respectively, of unreimbursed distribution and shareholder servicing related expenses to be carried forward to future plan years. For Class B(1) and Class R shares, the payments compensate the distributor for services and expenditures incurred under the plan, and none of the payments are returnable to the fund. The fund has been informed that the Distributor and MetLife Securities, Inc., a wholly owned subsidiary of MetLife, earned initial sales charges aggregating $83,950 and $356,591, respectively, on sales of Class A shares of the fund during the six months ended April 30, 2004, and that MetLife Securities, Inc. earned commissions aggregating $540,833 and $2,508 on sales of Class B(1) and Class C shares, and the Distributor collected contingent deferred sales charges aggregating $132,426, $14 and $1,618 on redemptions of Class B(1), Class B and Class C shares, respectively, during the same period. 8 Note 5 The Trustees have the authority to issue an unlimited number of shares of beneficial interest at $0.001 par value per share. At April 30, 2004, the Adviser held 10,215 Class R shares. These transactions break down by share class as follows:
Six months ended April 30, 2004 (unaudited) ------------------------------------ Class A Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 2,366,934 $29,512,091 Issued in connection with acquisition of Large-Cap Growth Fund -- -- Shares redeemed (1,699,663) (20,784,870) ---------- ----------- Net increase 667,271 $ 8,727,221 ========== ===========
Year ended October 31, 2003 ------------------------------------ Class A Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 2,808,906 $29,638,800 Issued in connection with acquisition of Large-Cap Growth Fund 1,381,114 12,873,626 Shares redeemed (3,231,893) (32,827,334) ---------- ----------- Net increase 958,127 $ 9,685,092 ========== ===========
Six months ended April 30, 2004 (unaudited) ------------------------------------ Class B(1) Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 331,853 $ 3,922,831 Issued in connection with acquisition of Large-Cap Growth Fund -- -- Shares redeemed (806,522) (9,548,146) ---------- ------------ Net increase (decrease) (474,669) $ (5,625,315) ========== ============
Year ended October 31, 2003 ------------------------------------ Class B(1) Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 915,478 $ 9,067,543 Issued in connection with acquisition of Large-Cap Growth Fund 1,052,996 9,449,657 Shares redeemed (1,917,706) (18,595,910) ---------- ----------- Net increase (decrease) 50,768 $ (78,710) ========== ===========
Six months ended April 30, 2004 (unaudited) ------------------------------------ Class B Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 29,230 $ 355,582 Issued in connection with acquisition of Large-Cap Growth Fund -- -- Shares redeemed (625,877) (7,610,430) ---------- ------------ Net increase (decrease) (596,647) $ (7,254,848) ========== ============
Year ended October 31, 2003 ------------------------------------ Class B Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 147,808 $ 1,489,996 Issued in connection with acquisition of Large-Cap Growth Fund 1,177,017 10,711,357 Shares redeemed (1,237,332) (12,313,930) ---------- ----------- Net increase (decrease) 87,493 $ (112,577) ========== ===========
Six months ended April 30, 2004 (unaudited) ------------------------------------ Class C Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 190,413 $ 2,261,912 Issued in connection with acquisition of Large-Cap Growth Fund -- -- Shares redeemed (577,165) (6,851,492) ---------- ------------ Net decrease (386,752) $ (4,589,580) ========== ============
Year ended October 31, 2003 ------------------------------------ Class C Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 539,004 $ 5,333,886 Issued in connection with acquisition of Large-Cap Growth Fund 189,286 1,699,127 Shares redeemed (1,308,159) (12,850,337) ---------- ----------- Net decrease (579,869) $(5,817,324) ========== ===========
Six ,onths ended April 30, 2004 Year ended (unaudited) October 31, 2003 Class R Shares Amount Shares Amount - ---------------------------------------------------------------------------- Shares sold 12,836 $ 163,438 10,222 $ 100,075 Shares redeemed (1,872) (23,959) -- -- ---------- ------------ ---------- ------------ Net increase 10,964 $ 139,479 10,222 $ 100,075 ========== ============ ========== ============
Six months ended April 30, 2004 (unaudited) ------------------------------------ Class S Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 15,172 $ 194,579 Issued in connection with acquisition of Large-Cap Growth Fund -- -- Shares redeemed (478,544) (6,039,549) ---------- ------------ Net increase (decrease) (463,372) $ (5,844,970) ========== ============
Year ended October 31, 2003 ------------------------------------ Class S Shares Amount - ----------------------------------------------------------------------------------------------------- Shares sold 15,143 $ 150,862 Issued in connection with acquisition of Large-Cap Growth Fund 5,164,031 49,094,754 Shares redeemed (587,753) (6,184,530) ---------- ------------ Net increase (decrease) 4,591,421 $ 43,061,086 ========== ============
State Street Research Legacy Fund 9 FINANCIAL Highlights For a share outstanding throughout each period:
Class A ------------------------------------------------------------- Six months ended Years ended October 31 April 30, 2004 ----------------------------------------- (unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g) - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ($) 11.91 9.96 11.56 16.39 ------ ------- ------- ------- Net investment loss ($)* (0.04) (0.05) (0.03) (0.05) Net realized and unrealized gain (loss) on investments ($) 0.30 2.00 (1.57) (4.78) ------ ------- ------- ------- Total from investment operations ($) 0.26 1.95 (1.60) (4.83) ------ ------- ------- ------- Distribution from capital gains ($) -- -- -- -- ------ ------- ------- ------- Total distribution ($) -- -- -- -- ------ ------- ------- ------- Net asset value, end of period ($) 12.17 11.91 9.96 11.56 ====== ======= ======= ======= Total return (%)(b) 2.18(d) 19.58 (13.84) (29.47) Ratios/Supplemental Data - ------------------------------------------------------------------------------------------------------------------------------ Net assets at end of period ($ thousands) 113,582 103,247 76,798 103,774 Expense ratio (%)* 1.43(e) 1.38 1.39 1.35 Expense ratio after expense reductions (%)* 1.43(e) 1.38 1.38 1.33 Ratio of net investment loss to average net assets (%)* (0.63)(e) (0.47) (0.28) (0.39) Portfolio turnover rate (%) 51.60 112.57 30.87 21.61 *Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- Class A ------------------------------------------------------------- Years ended April 30 Six months ended -------------------------------- October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g) - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ($) 15.99 14.42 11.66 ------ ------ ------ Net investment loss ($)* (0.04) (0.05) (0.02) Net realized and unrealized gain (loss) on investments ($) 0.44 1.62 2.79 ------ ------ ------ Total from investment operations ($) 0.40 1.57 2.77 ------ ------ ------ Distribution from capital gains ($) -- -- (0.01) ------ ------ ------ Total distribution ($) -- -- (0.01) ------ ------ ------ Net asset value, end of period ($) 16.39 15.99 14.42 ====== ====== ====== Total return (%)(b) 2.50(d) 10.89 23.73 Ratios/Supplemental Data - ------------------------------------------------------------------------------------------------------------------------------ Net assets at end of period ($ thousands) 151,920 143,037 58,642 Expense ratio (%)* 1.34(e) 1.22 1.20 Expense ratio after expense reductions (%)* 1.34(e) 1.21 1.19 Ratio of net investment loss to average net assets (%)* (0.54)(e) (0.34) (0.14) Portfolio turnover rate (%) 11.07 33.23 42.09 *Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03
Class B(1) ------------------------------------------------------------- Six months ended Years ended October 31 April 30, 2004 ----------------------------------------- (unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g) - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ($) 11.41 9.61 11.23 16.04 ------ ------- ------- ------- Net investment loss ($)* (0.08) (0.12) (0.11) (0.15) Net realized and unrealized gain (loss) on investments ($) 0.28 1.92 (1.51) (4.66) ------ ------- ------- ------- Total from investment operations ($) 0.20 1.80 (1.62) (4.81) ------ ------- ------- ------- Net asset value, end of period ($) 11.61 11.41 9.61 11.23 ====== ======= ======= ======= Total return (%)(b) 1.75(d) 18.73 (14.43) (29.99) Ratios/Supplemental Data - ------------------------------------------------------------------------------------------------------------------------------ Net assets at end of period ($ thousands) 104,547 108,125 90,564 129,464 Expense ratio (%)* 2.13(e) 2.08 2.09 2.05 Expense ratio after expense reductions (%)* 2.13(e) 2.08 2.08 2.03 Ratio of net investment loss to average net assets (%)* (1.33)(e) (1.17) (0.98) (1.09) Portfolio turnover rate (%) 51.60 112.57 30.87 21.61 *Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- Class B(1) ------------------------------------------------------------- Years ended April 30 Six months ended -------------------------------- October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(c)(g) - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ($) 15.71 14.28 13.08 ------ ------ -------- Net investment loss ($)* (0.10) (0.17) (0.04) Net realized and unrealized gain (loss) on investments ($) 0.43 1.60 (1.24) ------ ------ -------- Total from investment operations ($) 0.33 1.43 1.20 ------ ------ -------- Net asset value, end of period ($) 16.04 15.71 14.28 ====== ====== ======== Total return (%)(b) 2.10(d) 10.01 9.17(d) Ratios/Supplemental Data: - ------------------------------------------------------------------------------------------------------------------------------ Net assets at end of period ($ thousands) 184,818 153,359 24,454 Expense ratio (%)* 2.04(e) 1.97 1.88(e) Expense ratio after expense reductions (%)* 2.04(e) 1.96 1.87(e) Ratio of net investment loss to average net assets (%)* (1.25)(e) (1.13) (1.00)(e) Portfolio turnover rate (%) 11.07 33.23 42.09 *Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03(e)
Class B ------------------------------------------------------------- Six months ended Years ended October 31 April 30, 2004 ----------------------------------------- (unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g) - ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period ($) 11.65 9.72 11.31 16.11 ------ -------- ------- ------- Net investment loss ($)* (0.02) (0.01) (0.07) (0.11) Net realized and unrealized gain (loss) on investments ($) 0.29 1.94 (1.52) (4.69) ------ -------- ------- ------- Total from investment operations ($) 0.27 1.93 (1.59) (4.80) ------ -------- ------- ------- Distribution from capital gains ($) -- -- -- -- ------ -------- ------- ------- Total distribution ($) -- -- -- -- ------ -------- ------- ------- Net asset value, end of period ($) 11.92 11.65 9.72 11.31 ====== ======== ======= ======= Total return (%)(b) 2.32(d) 19.86 (14.06) (29.80) Ratios/Supplemental Data: - ------------------------------------------------------------------------------------------------------------------------------ Net assets at end of period ($ thousands) 41,001 47,034 38,368 62,244 Expense ratio (%)* 1.13(e) 1.08 1.74 1.76 Expense ratio after expense reductions (%)* 1.13(e) 1.08 1.73 1.74 Ratio of net investment loss to average net assets (%)* (0.33)(e) (0.13) (0.66) ( 0.80) Portfolio turnover rate (%) 51.60 112.57 30.87 21.61 *Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- Class B ---------------------------------------------------------- Years ended April 30 Six months ended ----------------------------- October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g) - --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ($) 15.74 14.28 11.64 ------ ------ ------ Net investment loss ($)* (0.07) (0.12) (0.11) Net realized and unrealized gain (loss) on investments ($) 0.44 1.58 2.76 ------ ------ ------ Total from investment operations ($) 0.37 1.46 2.65 ------ ------ ------ Distribution from capital gains ($) -- -- (0.01) ------ ------ ------ Total distribution ($) -- -- (0.01) ------ ------ ------ Net asset value, end of period ($) 16.11 15.74 14.28 ====== ====== ====== Total return (%)(b) 2.35(d) 10.22 22.74 Ratios/Supplemental Data: - --------------------------------------------------------------------------------------------------------------------------- Net assets at end of period ($ thousands) 106,027 109,135 88,383 Expense ratio (%)* 1.69(e) 1.77 1.95 Expense ratio after expense reductions (%)* 1.69(e) 1.76 1.94 Ratio of net investment loss to average net assets (%)* (0.89)(e) (0.87) (0.89) Portfolio turnover rate (%) 11.07 33.23 42.09 *Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03
10
Class C -------------------------------------------------------------- Six months ended Years ended October 31 April 30, 2004 ------------------------------------------ (unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g) - ------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ($) 11.41 9.61 11.23 16.05 ------ -------- ------- ------- Net investment loss ($)* (0.08) (0.11) (0.11) (0.15) Net realized and unrealized gain (loss) on investments ($) 0.29 1.91 (1.51) (4.67) ------ -------- ------- ------- Total from investment operations ($) 0.21 1.80 (1.62) (4.82) ------ -------- ------- ------- Distribution from capital gains ($) -- -- -- -- ------ -------- ------- ------- Total distribution ($) -- -- -- -- ------ -------- ------- ------- Net asset value, end of period ($) 11.62 11.41 9.61 11.23 ====== ======== ======= ======= Total return (%)(b) 1.84(d) 18.73 (14.43) (30.03) Ratios/Supplemental Data: - ------------------------------------------------------------------------------------------------------------------------------- Net assets at end of period ($ thousands) 26,570 30,516 31,274 46,809 Expense ratio (%)* 2.13(e) 2.08 2.09 2.05 Expense ratio after expense reductions (%)* 2.13(e) 2.08 2.08 2.03 Ratio of net investment loss to average net assets (%)* (1.31)(e) (1.15) (0.99) (1.08) Portfolio turnover rate (%) 51.60 112.57 30.87 21.61 *Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- Class C ---------------------------------------------------------- Years ended April 30 Six months ended ----------------------------- October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g) - --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period ($) 15.71 14.28 11.63 ------ ------ ------ Net investment loss ($)* (0.10) (0.16) (0.11) Net realized and unrealized gain (loss) on investments ($) 0.44 1.59 2.77 ------ ------ ------ Total from investment operations ($) 0.34 1.43 2.66 ------ ------ ------ Distribution from capital gains ($) -- -- (0.01) ------ ------ ------ Total distribution ($) -- -- (0.01) ------ ------ ------ Net asset value, end of period ($) 16.05 15.71 14.28 ====== ====== ====== Total return (%)(b) 2.16(d) 10.01 22.85 Ratios/Supplemental Data: - --------------------------------------------------------------------------------------------------------------------------- Net assets at end of period ($ thousands) 76,137 69,061 26,399 Expense ratio (%)* 2.04(e) 1.97 1.95 Expense ratio after expense reductions (%)* 2.04(e) 1.96 1.94 Ratio of net investment loss to average net assets (%)* (1.24)(e) (1.10) (0.90) Portfolio turnover rate (%) 11.07 33.23 42.09 *Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03
Class R ------------------------------------ Six months ended April 30, 2004 (unaudited)(a)(i) 2003(a)(h) - ---------------------------------------------------------------------------------------------- Net asset value, beginning of period ($) 11.90 9.79 ------ ------ Net investment loss ($)* (0.05) (0.05) Net realized and unrealized gain on investments ($) 0.29 2.16 ------ ------ Total from investment operations ($) 0.24 2.11 ------ ------ Net asset value, end of period ($) 12.14 11.90 ====== ====== Total return (%)(b) 2.02(d) 21.55(d) Ratios/Supplemental Data - ---------------------------------------------------------------------------------------------- Net assets at end of period ($ thousands) 257 122 Expense ratio (%)* 1.63(e) 1.58(e) Expense ratio after expense reductions (%)* 1.63(e) 1.58(e) Ratio of net investment loss to average net assets (%)* (0.84)(e) (0.79)(e) Portfolio turnover rate (%) 51.60 112.57
Class S ------------------------------------------------------------ Six months ended Years ended October 31 April 30, 2004 ---------------------------------------- (unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g) ------------------- ---------- -------------- -------------- Net asset value, beginning of period ($) 12.17 10.14 11.74 16.61 ------ -------- ------- ------- Net investment income (loss) ($)* (0.02) (0.02) 0.00 (0.01) Net realized and unrealized gain (loss) on investments ($) 0.30 2.05 (1.60) (4.86) ------ -------- ------- ------- Total from investment operations ($) 0.28 2.03 (1.60) (4.87) ------ -------- ------- ------- Distribution from capital gains ($) -- -- -- -- ------ -------- ------- ------- Total distribution ($) -- -- -- -- ------ -------- ------- ------- Net asset value, end of period ($) 12.45 12.17 10.14 11.74 ====== ======== ======= ======= Total return (%)(b) 2.30(d) 20.02 (13.63) (29.32) Ratios/Supplemental Data - ------------------------------------------------------------------------------------------------------------------------------- Net assets at end of period ($ thousands) 56,506 60,878 4,161 5,077 Expense ratio (%)* 1.13(e) 1.08 1.09 1.05 Expense ratio after expense reductions (%)* 1.13(e) 1.08 1.08 1.03 Ratio of net investment income (loss) to average net assets (%)* (0.33)(e) (0.19) 0.03 (0.09) Portfolio turnover rate (%) 51.60 112.57 30.87 21.61 *Reflects voluntary reduction of expenses of these amounts (%) -- -- -- -- Class S -------------------------------------------------------- Years ended April 30 Six months ended ---------------------------- October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g) --------------------------- -------------- ------------- Net asset value, beginning of period ($) 16.09 14.48 11.68 ------ ------ ----- Net investment income (loss) ($)* (0.02) (0.00) 0.02 Net realized and unrealized gain (loss) on investments ($) 0.54 1.61 2.79 ------ ------ ----- Total from investment operations ($) 0.52 1.61 2.81 ------ ------ ----- Distribution from capital gains ($) -- -- (0.01) ------ ------ ------ Total distribution ($) -- -- (0.01) ------ ------ ------ Net asset value, end of period ($) 16.61 16.09 14.48 ====== ====== ====== Total return (%)(b) 3.23(d) 11.12 24.04 Ratios/Supplemental Data - ----------------------------------------------------------------------------------------------------------------------------- -- Net assets at end of period ($ thousands) 7,126 8,097 6,367 Expense ratio (%)* 1.04(e) 0.97 0.95 Expense ratio after expense reductions (%)* 1.04(e) 0.96 0.94 Ratio of net investment income (loss) to average net assets (%)* (0.24)(e) (0.06) 0.16 Portfolio turnover rate (%) 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. (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. (g) Audited by other auditors (h) April 3, 2003 (commencement of share class) to October 31, 2003 (i) During the six months ended April 30, 2004, the Distributor made restitution payments to the fund as part of a settlement with NASD. These payments had no effect on net realized gain on investments per share. State Street Research Legacy Fund 11 PERFORMANCE Discussion as of April 30, 2004 (continued from page 3) Performance: Class B(1) - -------------------------------------------------------------------------------- Fund average annual total return as of 4/30/04(1,3) (does not reflect sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 19.20% -4.06% 2.39% - ---------------------------------------------------------------- Return After Taxes on Distributions 19.20% -4.05% 2.39% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 12.48% -3.40% 2.05% - ----------------------------------------------------------------
Fund average annual total return as of 3/31/04(1,2,3) (at maximum applicable sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 26.10% -3.16% 2.87% - ---------------------------------------------------------------- Return After Taxes on Distributions 26.10% -3.16% 2.87% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 16.96% -2.66% 2.46% - ----------------------------------------------------------------
Performance: Class C - -------------------------------------------------------------------------------- Fund average annual total return as of 4/30/04(1,3) (does not reflect sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 19.30% -4.04% 2.41% - ---------------------------------------------------------------- Return After Taxes on Distributions 19.30% -4.03% 2.40% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 12.55% -3.39% 2.06% - ----------------------------------------------------------------
Fund average annual total return as of 3/31/04(1,2,3) (at maximum applicable sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 30.10% -2.77% 2.87% - ---------------------------------------------------------------- Return After Taxes on Distributions 30.10% -2.77% 2.87% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 19.56% -2.33% 2.46% - ----------------------------------------------------------------
Performance: Class S - -------------------------------------------------------------------------------- Fund average annual total return as of 4/30/04(1,3,4) (does not reflect sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 20.52% -2.98% 3.53% - ---------------------------------------------------------------- Return After Taxes on Distributions 20.52% -2.97% 3.53% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 13.34% -2.50% 3.04% - ----------------------------------------------------------------
Fund average annual total return as of 3/31/04(1,2,3,4) (at maximum applicable sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 32.44% -1.67% 4.01% - ---------------------------------------------------------------- Return After Taxes on Distributions 32.44% -1.66% 4.01% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 21.08% -1.41% 3.46% - ----------------------------------------------------------------
Performance: Class B - -------------------------------------------------------------------------------- Fund average annual total return as of 4/30/04(1,3) (does not reflect sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 20.53% -3.55% 2.82% - ---------------------------------------------------------------- Return After Taxes on Distributions 20.53% -3.54% 2.82% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 13.34% -2.98% 2.42% - ----------------------------------------------------------------
Fund average annual total return as of 3/31/04(1,2,3) (at maximum applicable sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 27.36% -2.68% 3.28% - ---------------------------------------------------------------- Return After Taxes on Distributions 27.36% -2.68% 3.28% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 17.78% -2.26% 2.82% - ----------------------------------------------------------------
Performance: Class R - -------------------------------------------------------------------------------- Fund average annual total return as of 4/30/04(1,3,4) (does not reflect sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 19.96% -3.38% 3.12% - ---------------------------------------------------------------- Return After Taxes on Distributions 19.96% -3.38% 3.11% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 12.97% -2.84% 2.68% - ----------------------------------------------------------------
Fund average annual total return as of 3/31/04(1,2,3,4) (at maximum applicable sales charge) Life of Fund 1 Year 5 Years (12/31/97) - ---------------------------------------------------------------- Return Before Taxes 31.71% -2.11% 3.59% - ---------------------------------------------------------------- Return After Taxes on Distributions 31.71% -2.10% 3.59% - ---------------------------------------------------------------- Return After Taxes on Distributions and Sale of Fund Shares 20.61% -1.78% 3.09% - ----------------------------------------------------------------
1 Keep in mind that the performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted herein. For the most recent month-end performance results, visit our website at www.ssrfunds.com. The fund's share price, yield and return will fluctuate, and you may have a gain or loss when you sell your shares. All returns assume reinvestment of capital gains distributions and income dividends at net asset value. Performance for Class B(1) shares reflects Class B share performance through December 31, 1998, and Class B(1) performance thereafter. Performance for Class R shares reflects Class A share performance through April 2, 2003, and Class R share performance thereafter. If the returns for Class B(1) and Class R shares had reflected their current service/distribution (Rule 12b-1) fees for the entire period, these returns would have been lower. 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 Ater-tax returns are calculated using the highest historical federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor's tax situation and may differ from those shown, and after-tax returns shown are not relevant to investors who hold their fund shares through tax-deferred arrangement, such as 401(k) plans or individual retirement accounts (IRAs). Return After Distributions and Sales 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 and Class S shares, offered without sales charge, are only available through retirement plans and through special programs. 12 TRUSTEES AND OFFICERS State Street Research Securities Trust Name, Position(s) Term of Office Address Held with and Length of and Age(a) Fund Time Served(b) - -------------------------------------------------------------------------------- Independent Trustees Bruce R. Bond Trustee Since (58) 1999 - -------------------------------------------------------------------------------- Peter S. Drotch Trustee Since (62) 2004 - -------------------------------------------------------------------------------- Steve A. Garban Trustee Since (66) 1997 - -------------------------------------------------------------------------------- Susan M. Phillips Trustee Since (59) 1999 - -------------------------------------------------------------------------------- Toby Rosenblatt Trustee Since (65) 1994 - -------------------------------------------------------------------------------- Michael S. Trustee Since Scott Morton (66) 1994 - -------------------------------------------------------------------------------- Interested Trustees Richard S. Davis(+) Trustee Since (58) 2000 - -------------------------------------------------------------------------------- Officers Edward Dowd Vice Since (37) President 2003 - -------------------------------------------------------------------------------- C. Kim Goodwin Vice Since (45) President 2002 - -------------------------------------------------------------------------------- Jeffrey Lindsey Vice Since (41) President 2003 - -------------------------------------------------------------------------------- John S. Lombardo Vice Since (49) President 2001 - -------------------------------------------------------------------------------- Ajay Mehra Vice Since (39) President 2003 - -------------------------------------------------------------------------------- Denis J. Walsh III Vice Since (43) President 2003 - -------------------------------------------------------------------------------- Douglas A. Romich Treasurer Since (47) 2001
Number of Funds Name, in Fund Complex Address Principal Occupations Overseen by and Age(a) .............. During Past 5 Years Trustee/Officer(c) - ------------------------------------------------------------------------------------------------------------------------- Independent Trustees Bruce R. Bond Retired; formerly Chairman of the Board, Chief Executive Officer and 19 (58) President, PictureTel Corporation (video conferencing systems) - ------------------------------------------------------------------------------------------------------------------------- Peter S. Drotch Retired; formerly Partner, PricewaterhouseCoopers LLP 19 (62) - ------------------------------------------------------------------------------------------------------------------------- Steve A. Garban Retired; formerly Senior Vice President for Finance and Operations and 53 (66) Treasurer, The Pennsylvania State University - ------------------------------------------------------------------------------------------------------------------------- Susan M. Phillips Dean, School of Business and Public Management, George Washington 19 (59) University; formerly a member of the Board of Governors of the Federal Reserve System; and Chairman and Commissioner of the Commodity Futures Trading Commission - ------------------------------------------------------------------------------------------------------------------------- Toby Rosenblatt President, Founders Investments Ltd. (investments); President, Pacific Four 53 (65) Investments (investments); formerly President, The Glen Ellen Company (private investment firm) - ------------------------------------------------------------------------------------------------------------------------- Michael S. Jay W. Forrester Professor of Management, Sloan School of Management, 53 Scott Morton (66) Massachusetts Institute of Technology - ------------------------------------------------------------------------------------------------------------------------- Interested Trustees Richard S. Davis(+) Chairman of the Board, President and Chief Executive Officer of State Street 19 (58) Research & Management Company; formerly Senior Vice President, Fixed Income Investments, Metropolitan Life Insurance Company - ------------------------------------------------------------------------------------------------------------------------- Officers Edward Dowd Vice President of State Street Research & Management Company, formerly 7 (37) Vice President, Independence Investment LLC and equity research associate, Donaldson, Lufkin and Jenrette - ------------------------------------------------------------------------------------------------------------------------- C. Kim Goodwin Managing Director and Chief Investment Officer - Equities of State Street 18 (45) Research & Management Company; formerly Chief Investment Officer - U.S. Growth Equities, American Century - ------------------------------------------------------------------------------------------------------------------------- Jeffrey Lindsey Managing Director of State Street Research & Management Company, 7 (41) formerly Managing Director and Senior Vice President, Putnam Investments - ------------------------------------------------------------------------------------------------------------------------- John S. Lombardo Managing Director, Chief Financial Officer and Director of State Street 19 (49) Research & Management Company; formerly Executive Vice President, State Street Research & Management Company; and Senior Vice President, Product and Financial Management, MetLife Auto & Home - ------------------------------------------------------------------------------------------------------------------------- Ajay Mehra Managing Director of State Street Research & Management Company; 4 (39) formerly Senior Vice President and Portfolio Manager, Columbia Management Group - ------------------------------------------------------------------------------------------------------------------------- Denis J. Walsh III Managing Director of State Street Research & Management Company; 2 (43) formerly Senior Research Analyst, Fleet Investment Advisors - ------------------------------------------------------------------------------------------------------------------------- Douglas A. Romich Senior Vice President and Treasurer of State Street Research & Management 19 (47) Company; formerly Vice President and Assistant Treasurer, State Street Research & Management Company Name, Other Address Directorships Held and Age(a) by Trustee/Officer - -------------------------------------------------------------------------------- Independent Trustees Bruce R. Bond Avaya Corp. (58) - -------------------------------------------------------------------------------- Peter S. Drotch The First Marblehead Corp. (62) - -------------------------------------------------------------------------------- Steve A. Garban Metropolitan Series Fund, Inc. and (66) Metropolitan Series Fund II - -------------------------------------------------------------------------------- Susan M. Phillips The Kroger Co. (59) - -------------------------------------------------------------------------------- Toby Rosenblatt A.P. Pharma, Inc.; Metropolitan Series (65) Fund, Inc. and Metropolitan Series Fund II - -------------------------------------------------------------------------------- Michael S. Metropolitan Series Fund, Inc.; and Scott Morton (66) Metropolitan Series Fund II - -------------------------------------------------------------------------------- Interested Trustees Richard S. Davis(+) None (58) - -------------------------------------------------------------------------------- Officers Edward Dowd None (37) - -------------------------------------------------------------------------------- C. Kim Goodwin None (45) - -------------------------------------------------------------------------------- Jeffrey Lindsey None (41) - -------------------------------------------------------------------------------- John S. Lombardo None (49) - -------------------------------------------------------------------------------- Ajay Mehra None (39) - -------------------------------------------------------------------------------- Denis J. Walsh III None (43) - -------------------------------------------------------------------------------- Douglas A. Romich None (47)
The fund's Statement of Additional Information includes additional information about the fund's trustees, and is available without charge by contacting State Street Research, One Financial Center, Boston, Massachusetts 02111-2690, or by calling toll-free 1-87-SSR-FUNDS (1-877-773-8637). (a) The address of each person is c/o State Street Research & Management Company, One Financial Center, Boston, MA 02111-2690. (b) A Trustee serves until he or she retires, resigns or is removed as provided in the master trust agreement of the respective Trust. Each Trust has adopted a mandatory retirement age of 72. Each officer holds office until he or she resigns, is removed or a successor is elected. (c) Includes all series of 9 investment companies for which State Street Research & Management Company serves as sole investment adviser and all series of Metropolitan Series Fund, Inc. and Metropolitan Series Fund II. The primary adviser to Metropolitan Series Fund, Inc. and Metropolitan Series Fund II is MetLife Advisers, LLC, which has retained State Street Research & Management Company as sub-adviser to certain series of Metropolitan Series Fund, Inc. (+) Mr. Davis is an "interested person" of the Trust under the Investment Company Act of 1940 by reason of his affiliation with the Trust's Investment Manager, State Street Research & Management Company, as noted. State Street Research Legacy Fund 13 [LOGO] STATE STREET RESEARCH ------------ PRSRT STD One Financial Center U.S. POSTAGE Boston, MA 02111-2690 PAID PERMIT #6 HUDSON, MA ------------ New accounts, mutual fund purchases, exchanges and account information Internet www.ssrfunds.com E-mail info@ssrfunds.com Phone 1-87-SSR-FUNDS (1-877-773-8637), toll-free, 7 days a week, 24 hours a day Hearing-impaired: 1-800-676-7876 Chinese- and Spanish-speaking: 1-888-638-3193 Fax 1-617-737-9722 (request confirmation number first from the Service Center by calling 1-877-773-8637) Mail State Street Research Service Center P.O. Box 8408, Boston, MA 02266-8408 - -------------------------------------------------------------------------------- Did You Know? State Street Research offers electronic delivery of quarterly statements, shareholder reports and fund prospectuses. If you elect this option, we will send these materials to you via e-mail. To learn more, visit us on the Web at www.ssrfunds.com and click on "Go to Your Account" or call us at 1-87-SSR-FUNDS (1-877-773-8637). Did you know that you can give a State Street Research mutual fund as a gift? Call a service center representative at 1-87-SSR-FUNDS (1-877-773-8637), Monday through Friday, 8am-6pm eastern time, to learn more. - -------------------------------------------------------------------------------- Investors should carefully consider the fund's investment objective, risks, charges and expenses before investing. The fund's prospectus contains more complete information on these and other matters. A prospectus for any State Street Research fund is available through your financial professional, by calling toll-free 1-87-SSR-FUNDS (1-877-773-8637) or by visiting our website at www.ssrfunds.com. Please read the prospectus carefully before investing. Webcasts For a professional perspective on the markets, the economy and timely investment topics, tune in to a State Street Research webcast by visiting our website at www.ssrfunds.com. Complete Fund Listing For a list of our funds, visit our website at www.ssrfunds.com under Research Our Funds [GRAPHIC] for Excellence in Shareholder Communications [GRAPHIC] for Excellence in Service This report must be accompanied or preceded by a current prospectus. When used as sales material after June 30, 2004, this report must be accompanied by a current Quarterly Performance Update. "State Street Research Proxy Voting Policies and Procedures"-which describes how we vote proxies relating to portfolio securities-is available upon request, free of charge, by calling the State Street Research Service Center toll-free at 1-87-SSR-FUNDS (1-877-773-8637) or by accessing the U.S. Securities and Exchange Commission website at www.sec.gov. The DALBAR awards recognize quality shareholder service and quality shareholder communications, and should not be considered a rating of fund performance. The survey included mutual fund complexes that volunteered or were otherwise selected to participate and was not industrywide. Member NASD, SIPC (C)2004 State Street Research Investment Services, Inc. One Financial Center Boston, MA 02111-2690 www.ssrfunds.com CONTROL NUMBER:(exp0605)SSR-LD LF-1882-0604 FORM N-CSR(2 OF 3) ITEM 2: CODE OF ETHICS Not applicable for the reporting period. ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT Not applicable for the reporting period. ITEM 4: (PRINCIPAL ACCOUNTANT FEES AND SERVICES) Not applicable for the reporting period. ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6: SCHEDULE OF INVESTMENTS Not applicable. ITEM 7: DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES: Not applicable. ITEM 8: PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS Not applicable. ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Governance Committee will consider nominees recommended by shareholders. Shareholders may submit recommendations to the attention of the Secretary of the Trust, State Street Research & Management Company, One Financial Center, 30th Floor, Boston, MA 02111. ITEM 10: CONTROLS AND PROCEDURES (a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. (b) There were no changes in the Registrant's internal control over financial reporting during the Registrant's second fiscal half-year that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting. ITEM 11: EXHIBITS (a)(1) Code of Ethics required to be disclosed under Item 2 of Form N-CSR attached hereto as Exhibit 99.CODE ETH (a)(2) Certification for each principal executive and principal financial officer of the Registrant required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.302CERT (b) Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. State Street Research Securities Trust By: /s/ Richard S. Davis ------------------------------------------------------ Richard S. Davis, President, Chairman and Chief Executive Officer Principal Executive Officer Date June 30, 2004 ------------------------------------------------------ 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 30, 2004 ------------------------ By: /s/ Douglas A. Romich ------------------------------------------------------ Douglas A. Romich, Treasurer Principal Financial Officer Date June 30, 2004 ------------------------ EX-99.CODEETH 2 a2138665zex-99_codeeth.txt EXHIBIT 99.CODEETH Exhibit 99.CODE ETH STATE STREET RESEARCH FUNDS FINANCIAL OFFICER CODE OF PROFESSIONAL CONDUCT INTRODUCTION The reputation and integrity of the State Street Research Funds (the "Funds") are valuable assets that are vital to the Funds' success. Each Fund's senior financial officers ("SFOs") are responsible for conducting the Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. A Fund's SFOs include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. The Sarbanes-Oxley Act of 2002 (the "Act") effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Funds) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to foster corporate environments that encourage employees to question unethical and potentially illegal business practices. Each Fund has chosen to adopt a financial officer code of ethics to encourage its SFOs to act ethically and to question potentially unethical or illegal practices, and to strive to ensure that the Fund's financial disclosures are complete, accurate, and understandable. This Code of Ethics should be read in conjunction with the Fund's other policy statements, including the Code of Ethics adopted pursuant to Rule 17j-1 under the Investment Company Act of 1940. PURPOSES OF THE CODE The purposes of this Code are: - To promote honest and ethical conduct among the Fund's SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; - To assist SFOs to recognize and avoid conflicts of interest, including disclosure to an appropriate person of any material transaction or relationship that reasonably could be expected to give rise to such a conflict; - To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Fund files with, or submits to, the SEC and in other public communications the Fund makes; - To promote compliance with applicable laws, rules and regulations; - To encourage the prompt internal reporting to an appropriate person of violations of the Code; and - To establish accountability for adherence to the Code. QUESTIONS ABOUT THIS CODE The Board of Trustees of each Fund has designated the Secretary of the Fund to be the Compliance Officer for the implementation and administration of the Code. You should direct your questions about this Code to the Compliance Officer. CONDUCT GUIDELINES Each Fund has adopted the following guidelines under which its SFOs must perform their duties and conduct the business affairs of the Funds. Persons subject to this requirement include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. However, the Fund expects that ALL persons who participate in the preparation of any part of the Fund's financial statements follow these guidelines: - ETHICAL AND HONEST CONDUCT IS OF PARAMOUNT IMPORTANCE. The Fund's SFOs must act with honesty and integrity and avoid violations of this Code, including actual or apparent conflicts of interest with the Fund in personal and professional relationships. - SFOS MUST DISCLOSE MATERIAL TRANSACTIONS OR RELATIONSHIPS. The Fund's SFOs must disclose to the Fund's Compliance Officer any material transaction or relationship that reasonably could be expected to give rise to any violations of the Code, including actual or apparent conflicts of interest with the Fund. You should disclose these transactions or relationships whether you are involved or have only observed the transaction or relationship. If it is not possible to disclose the matter to the Compliance Officer, it should be disclosed to the Fund's Chief Financial Officer or Chief Executive Officer. - STANDARDS FOR QUALITY OF INFORMATION SHARED WITH FUND SERVICE PROVIDERS. The Fund's SFOs must at all times seek to provide information to the Fund's other employees and service providers (adviser, administrator, outside auditor, outside counsel, custodian, ETC.) that is accurate, complete, objective, relevant, timely, and understandable. - STANDARDS FOR QUALITY OF INFORMATION INCLUDED IN PERIODIC REPORTS. The Fund's SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Fund's periodic reports. 2 - COMPLIANCE WITH LAWS. The Fund's SFOs must comply with the federal securities laws and other applicable laws and rules, such as the Internal Revenue Code. - STANDARD OF CARE. The Fund's SFOs must at all times act in good faith, responsibly, and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. - CONFIDENTIALITY OF INFORMATION. The Fund's SFOs must at all times respect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Fund to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. - SHARING OF INFORMATION AND ETHICAL STANDARDS. The Fund's SFOs should share information with relevant parties to keep them informed of the business affairs of the Fund, as appropriate, and maintain skills important and relevant to the Fund's needs. - PROMOTE ETHICAL CONDUCT. The Fund's SFOs should at all times proactively promote ethical behavior among peers in the work environment. - STANDARDS FOR RECORDKEEPING. The Fund's SFOs must at all times endeavor to ensure that the Fund's books and records are thoroughly and accurately maintained to the best of their knowledge in a manner consistent with applicable laws and this Code. WAIVERS OF THIS CODE You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares the Fund's financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of the Fund or the Audit Committee will decide whether to grant a waiver. All waivers of this Code must be disclosed to the Fund's shareholders to the extent required by SEC rules. ANNUAL CERTIFICATION To the extent necessary, the Fund's Compliance Officer will provide guidance on the conduct required by this Code and the manner in which violations must be reported and waivers must be requested. Each SFO will be asked to certify on an annual basis that he/she is in full compliance with this Code. 3 REPORTING SUSPECTED VIOLATIONS SFOs who observe, learn of, or, in good faith, suspect a violation of the Code MUST immediately report the violation to the Compliance Officer, another member of the Fund's senior management, or to the Audit Committee of the Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning. Because service providers such as the adviser, outside accounting firm, and custodian provide much of the work relating to the Fund's financial statements, the Fund's SFOs should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. A SFO should report these actions to the Compliance Officer even if you know, or think, that the service provider has its own code of ethics for its SFOs or employees. SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible. VIOLATIONS OF THE CODE Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code refers to that particular conduct. A violation of this Code may result in disciplinary action, up to and including termination of employment. A variety of laws apply to the Fund and its operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Fund directors/trustees and officers, and criminal laws. The federal securities laws generally prohibit the Fund from making material misstatements in its prospectus and other documents filed with the SEC, or from omitting to state a material fact. These material misstatements and omissions include financial statements that are misleading or omit material facts. The Fund must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report, as appropriate, non-criminal violations. ADOPTED MAY 7, 2003 4 EX-99.302CERT 3 a2138665zex-99_302cert.txt EXHIBIT 99.302CERT Exhibit 99.302 CERT State Street Research Securities Trust Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Douglas A. Romich, certify that: 1. I have reviewed this report on Form N-CSR of State State Street Research Securities Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, and changes in net assets of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-2 (c) under the Investment Company Act) for the registrant and have: a) designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of the date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent function): a) all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: June 30, 2004 /s/ Douglas A. Romich Douglas A. Romich Treasurer State Street Research Securities Trust Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Richard S. Davis, certify that: 1. I have reviewed this report on Form N-CSR of State Street Research Securities Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, and changes in net assets of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in rule 30a-2 (c) under the Investment Company Act) for the registrant and have: a) designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of the date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent function): a) all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: June 30, 2004 /s/ Richard S. Davis Richard S. Davis President, Chairman and Chief Executive Officer EX-99.906CERT 4 a2138665zex-99_906cert.txt EXHIBIT 99.906CERT Exhibit 99.906 CERT State Street Research Securities Trust Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (Subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code) Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, the undersigned officer of the State Street Research Securities Trust, a Massachusetts business trust, (the "Trust"), does hereby certify that the Trust's report on Form N-CSRS for the six months ended April 30, 2004 (the "N-CSRS") fully complies with the requirements of Section 13 (a) or 15 (d), as applicable, of the Securities Exchange Act of 1934, as amended, and information contained in the N-CSRS fairly presents, in all material respects, the financial condition and the results of operations of the Trust. This certification is provided solely pursuant to 18 U.S.C. 1350 and shall not be deemed a part of the N-CSRS, the financial statements filed with the N-CSRS or otherwise "filed" for any purpose. Date: June 30, 2004 /s/ Douglas A. Romich Douglas A. Romich Treasurer State Street Research Securities Trust Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (Subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code) Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, the undersigned officer of the State Street Research Securities Trust, a Massachusetts business trust, (the "Trust"), does hereby certify that the Trust's report on Form N-CSRS for the six months ended April 30, 2004 (the "N-CSRS") fully complies with the requirements of Section 13 (a) or 15 (d), as applicable, of the Securities Exchange Act of 1934, as amended, and information contained in the N-CSRS fairly presents, in all material respects, the financial condition and the results of operations of the Trust. This certification is provided solely pursuant to 18 U.S.C. 1350 and shall not be deemed a part of the N-CSRS, the financial statements filed with the N-CSRS or otherwise "filed" for any purpose. Date: June 30, 2004 /s/ Richard S. Davis Richard S. Davis President, Chairman and Chief Executive Officer -----END PRIVACY-ENHANCED MESSAGE-----