N-CSR 1 d12864.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-8322 ---------------------------------------------- State Street Research Securities Trust ------------------------------------------------------------------------ (Exact name of registrant as specified in charter) One Financial Center, Boston, MA 02111 ------------------------------------------------------------------------ (Address of principal executive offices) (Zip code) Francis J. McNamara, III, Secretary State Street Research One Financial Center, Boston, MA 02110 ------------------------------------------------------------------------ (Name and address of agent for service) Registrant's telephone number, including area code: 617-357-1200 ------------------ Date of fiscal year end: 4/30/03 ----------------- Date of reporting period: 05/01/02 - 04/30/03 ---------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. ITEM 1 (REPORT TO SHAREHOLDERS): The Annual Report is attached. FORM N-CSR(2 OF 3) ITEM 2 (CODE OF ETHICS): Not applicable to this filing. ITEM 3 (AUDIT COMMITTEE FINANCIAL EXPERT): Not applicable to this filing. ITEM 4 (PRINCIPAL ACCOUNTANT FEES AND SERVICES): Not applicable to this filing. ITEM 5 (RESERVED) ITEM 6 (RESERVED) ITEM 7 (DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES): Not applicable to this filing. ITEM 8 (RESERVED) ITEM 9 (CONTROLS AND PROCEDURES): SUB-ITEM 9a - The Principal Executive Officer and the Principal Financial Officer have concluded that the State Street Research Securities Trust disclosure controls and procedures (as defined in Rule 30-a2(c) under the Investment Company Act) provide reasonable assurances that material information relating to the State Street Research Securities Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report. SUB-ITEM 9b - There were no significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation referenced in (a)(i) above. ITEM 10 (EXHIBITS): SUB-ITEM 10a - Not applicable to this filing. SUB-ITEM 10b - Certification Exhibits are attached. Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. State Street Research Securities Trust By: /s/ Richard S. Davis --------------------------------------------------------- Richard S. Davis, President, Chairman and Chief Executive Officer Date June 25, 2003 --------------------------------------------------------- FORM N-CSR(3 OF 3) Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities, and on the dates indicated. By: /s/ Richard S. Davis --------------------------------------------------------- Richard S. Davis, President, Chairman and Chief Executive Officer Principal Executive Officer Date June 25, 2003 ------------------------ By: /s/ Douglas A. Romich --------------------------------------------------------- Douglas A. Romich, Treasurer Principal Financial Officer Date June 25, 2003 ------------------------ [LOGO] STATE STREET RESEARCH [GRAPHIC] Large-Cap Analyst Fund -------------------------------------------------------------------------------- Annual Report to Shareholders April 30, 2003 In This Report Review of Fund Performance [GRAPHIC] plus A Message from the Chairman Comments from the Fund's Manager Key Facts and Financial Statements Contents 2 12-Month Review A look at the fund and its market environment over the past 12 months 4 Performance in Perspective The most recent performance in the context of the fund's track record 6 The Fund in Detail Portfolio holdings, financials and notes From the Chairman Better Times Ahead? The disappointing returns of the past 12 months reflect the general uncertainty and volatility of the period leading up to the war with Iraq. [Photo of Richard S. Davis] Richard S. Davis However, in the last two months of the period, the stock market came back strong and raised our hopes that the darkest period in 30 years for American investors could be over. Of course, no one can predict the performance of the economy or the financial markets. That makes it all the more important to have a long-term plan for your investments and to stay with it. In the report that follows, your portfolio manager talks in greater detail about the fund's performance and management during the period. We hope that you will discuss any questions you have about the fund with your financial advisor. As always, thank you for investing with State Street Research. Sincerely, /s/ Richard S. Davis Richard S. Davis Chairman April 30, 2003 [GRAPHIC] 12-Month Review Management's Discussion of Fund Performance Part 1 How State Street Research Large-Cap Analyst Fund Performed State Street Research Large-Cap Analyst Fund returned -13.73% for the 12-month period ended April 30, 2003.(1) The fund performed in line with the Russell(R) 1000 Index, which returned -13.46% over the same period.(2) The fund outperformed the Lipper Large-Cap Core Funds Average, which returned -15.19% for the period.(3) Reasons for the Fund's Performance Stock selection in the Consumer Discretionary sector helped the fund outperform its peer group and had a positive impact on returns. Our investments in International Game Technology and USA Interactive posted strong gains and we continue to own both stocks because we believe they have additional growth potential. Deere & Co. and United Technologies in the Producer Durables sector and Cox Communications and Comcast in the Utilities sector helped relative returns. Our investments in the Financial Services and Health Care sectors were a drag on performance. Although both sectors were strong performers within the Russell 1000 Index, our security selection in Financial Services hurt performance, and results in Health Care were mixed. In biotechnology, for example, our investment in Amgen was rewarded--but not enough to offset the significant loss from our investment in Andrx. Outlook Volatility and uncertainty made for a difficult environment for investors over the past year. However, we believe our experienced analysts will be rewarded for their ability to identify good companies with solid business prospects as the market gets back to basics. More Management's Discussion of Fund Performance on pages 4 and 5. Because financial markets and mutual fund strategies are constantly evolving, it is possible that the fund's holdings, market stance, outlook for various industries or securities and other matters discussed in this report have changed since this information was prepared. Portfolio changes should not be considered recommendations for action by individual investors. Class A Shares(1) -13.73% [DOWN ARROW] "We believe our experienced analysts will be rewarded for their ability to identify good companies as the market gets back to basics." [Photo of Maureen Depp] Maureen Depp Portfolio Manager, State Street Research Large-Cap Analyst Fund Russell 1000 Index(2) -13.46% [DOWN ARROW] 2 State Street Research Large-Cap Analyst Fund The Fund at a Glance as of 4/30/03 State Street Research Large-Cap Analyst Fund is a research fund emphasizing stock selection within a defined sector mix. Hits & Misses [GRAPHIC] USA Interactive During the year, USA Interactive used its free cash flow to expand its presence in the leisure and entertainment marketplace. The company added online travel site Expedia to its stable of successful television and Internet-related businesses and posted strong earnings gains. We continue to own the stock. [GRAPHIC] Andrx This biotechnology stock was one of the fund's biggest disappointments during the year. The company's earnings fell well below consensus estimates as it was forced to absorb a significant charge resulting from an accounting irregularity. We sold the stock. Total Net Assets: $36 million -------------------------------------------------------------------------------- Top 10 Holdings Issuer/Security % of fund net assets 1 General Electric 3.3% 2 Microsoft 3.1% 3 Citigroup 3.0% 4 IBM 2.5% 5 Intel 2.2% 6 Comcast 2.0% 7 Procter & Gamble 1.9% 8 USA Interactive 1.9% 9 Wal-Mart Stores 1.8% 10 Burlington Resources 1.6% Total 23.3% See page 9 for more detail. Performance: Class A Fund average annual total return as of 4/30/03(4),(6) (does not reflect sales charge) Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- -13.73% -1.31% -0.55% Russell 1000 Index as of 4/30/03(2) Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- -13.46% -2.31% -6.89% Fund average annual total return as of 3/31/03(4),(5),(6) (at maximum applicable sales charge) Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- -30.38% -3.94% -3.32% Russell 1000 Index as of 3/31/03(2) Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- -24.51% -3.62% -14.31% See pages 4 and 5 for data on other share classes. Top 5 Industries -------------------------------------------------------------------------------- % of fund net assets April 30, 2003 [The following was represented as a bar chart in the printed material.] Drugs & Biotechnology 10.2% --------------------------------------------- Miscellaneous Financial 9.1% --------------------------------------------- Banks & Savings & Loan 7.4% --------------------------------------------- Retail 6.4% --------------------------------------------- Multi-Sector 4.9% --------------------------------------------- April 30, 2002 [The following was represented as a bar chart in the printed material.] Drugs & Biotechnology 13.0% --------------------------------------------- Insurance 8.2% --------------------------------------------- Miscellaneous Financial 7.7% --------------------------------------------- Retail 6.7% --------------------------------------------- Computer Software 4.7% --------------------------------------------- Ticker Symbols -------------------------------------------------------------------------------- State Street Research Large-Cap Analyst Fund Class A: SGASX Class B(1): SGLPX Class B: SGBLX Class C: SANCX Class S: SSANX -------------------------------------------------------------------------------- 1 Does not reflect sales charge. 2 The Russell 1000 Index measures the performance of the 1,000 largest securities in the Russell 3000(R) Index (an unmanaged index of the 3,000 largest publicly traded U.S. companies). The index is unmanaged and does not take transaction charges into consideration. It is not possible to invest directly in the index. 3 The Lipper Large-Cap Core Funds Average shows the performance of a category of mutual funds with similar goals. The Lipper average shows you how well the fund has done compared to competing funds. 4 Keep in mind that past performance is no guarantee of future results. The fund's share price, yield and return will fluctuate, and you may have a gain or loss when you sell your shares. All returns assume reinvestment of capital gains distributions and income dividends at net asset value. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 5 Performance reflects a maximum 5.75% Class A share front-end sales charge. 6 Performance results for the fund are increased by the voluntary reduction of fund fees and expenses; without subsidization, performance would have been lower. 3 [GRAPHIC] Performance in Perspective Management's Discussion of Fund Performance Part 2 Performance Figures as of April 30, 2003 These two pages focus on the fund's long-term track record.While a mutual fund's past performance is not a guarantee of future results, long-term returns can serve as an important context for evaluating recent performance.Three ways of measuring long-term performance are cumulative returns, average annual returns and the change in dollar value over time of a given investment. Information about these measures follows, while the share class boxes contain the results of these measures for each share class. Cumulative Total Return This represents the total percentage you would have earned or lost if you had invested a lump sum in the fund and left it there until the end of the period indicated. Average Annual Total Return Average annual total return percentage is the rate you would have had to earn during each year of a given time period--say, five years--in order to end up with the fund's actual cumulative return for those five years.In reality, of course, fund performance varies from year to year. Because of this, a fund's actual performance for a given year may be higher or lower than an average annual performance figure. $10,000 Over Life of Fund This example is similar to cumulative total return, but uses dollars rather than percentages, and assumes that the lump sum you invested was $10,000 (less the applicable maximum sales charge, if any). It also compares fund performance to the performance of a market index. -------------------------------------------------------------------------------- Class A Front Load o Initial sales charge of 5.75% or less, with lower sales charges for larger investments (see the fund prospectus for details) o Lower annual expenses than Class B(1) or Class C shares because of lower service (12b-1) fee of 0.30% Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- Cumulative Total Return (does not reflect sales charge) -13.73% -6.40% -2.78% -------------------------------------------------------------------------------- Cumulative Total Return (at maximum applicable sales charge) -18.69% -11.78% -8.37% -------------------------------------------------------------------------------- Average Annual Total Return (at maximum applicable sales charge) -18.69% -2.48% -1.68% [The following was represented as a line chart in the printed material.] $10,000 Over Life of Fund (reflects maximum applicable sales charge) Class A Russell 1000 Index 03/11/98 9425 10000 04/30/98 9790 10464 04/30/99 11580 12590 04/30/00 13730 14157 04/30/01 12405 12223 04/30/02 10622 10759 04/30/03 9163 9311 -------------------------------------------------------------------------------- Class B(1) Back Load o No initial sales charge o Deferred sales charge of 5% or less on shares you sell within six years o Annual distribution/service (12b-1) fee of 1.00% o Automatic conversion to Class A shares after eight years, reducing future annual expenses Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- Cumulative Total Return (does not reflect sales charge) -14.50% -9.81% -6.50% -------------------------------------------------------------------------------- Cumulative Total Return (at maximum applicable sales charge) -18.77% -11.45% -7.36% -------------------------------------------------------------------------------- Average Annual Total Return (at maximum applicable sales charge) -18.77% -2.40% -1.47% [The following was represented as a line chart in the printed material.] $10,000 Over Life of Fund (reflects maximum applicable sales charge) Class B(1) Russell 1000 Index 03/11/98 10000 10000 04/30/98 10366 10464 04/30/99 12182 12590 04/30/00 14317 14157 04/30/01 12853 12223 04/30/02 10735 10759 04/30/03 9264 9311 4 State Street Research Large-Cap Analyst Fund -------------------------------------------------------------------------------- Class B Back Load (only available through exchanges from another Class B account) o No initial sales charge o Deferred sales charge of 5% or less on shares you sell within five years o Annual distribution/service (12b-1) fee of 1.00% (this fee was voluntarily reduced to 0.00% effective September 1, 2002.) o Automatic conversion to Class A shares after eight years, reducing future annual expenses Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- Cumulative Total Return (does not reflect sales charge) -13.97% -9.27% -5.95% -------------------------------------------------------------------------------- Cumulative Total Return (at maximum applicable sales charge) -18.27% -10.93% -5.95% -------------------------------------------------------------------------------- Average Annual Total Return (at maximum applicable sales charge) -18.27% -2.29% -1.19% [The following was represented as a line chart in the printed material.] $10,000 Over Life of Fund (reflects maximum applicable sales charge) Class B Russell 1000 Index 03/11/98 10000 10000 04/30/98 10366 10464 04/30/99 12180 12590 04/30/00 14325 14157 04/30/01 12850 12223 04/30/02 10733 10759 04/30/03 9405 9311 -------------------------------------------------------------------------------- Class C Level Load o No initial sales charge o Deferred sales charge of 1%, paid if you sell shares within one year of purchase o Lower deferred sales charge than Class B(1) shares o Annual distribution/service (12b-1) fee of 1.00% o No conversion to Class A shares after eight years, so annual expenses do not decrease Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- Cumulative Total Return (does not reflect sales charge) -14.48% -9.82% -6.42% -------------------------------------------------------------------------------- Cumulative Total Return (at maximum applicable sales charge) -15.34% -9.82% -6.42% -------------------------------------------------------------------------------- Average Annual Total Return (at maximum applicable sales charge) -15.34% -2.05% -1.28% [The following was represented as a line chart in the printed material.] $10,000 Over Life of Fund (reflects maximum applicable sales charge) Class C Russell 1000 Index 03/11/98 10000 10000 04/30/98 10377 10464 04/30/99 12179 12590 04/30/00 14334 14157 04/30/01 12860 12223 04/30/02 10942 10759 04/30/03 9358 9311 -------------------------------------------------------------------------------- Class S Special Programs o Available through certain retirement accounts, advisory accounts of the investment manager and other programs that usually involve special conditions and separate fees (see the prospectus for details) o No sales charges of any kind o No distribution/service (12b-1) fees; annual expenses are lower than for other share classes Life of Fund 1 Year 5 Years (3/11/98) -------------------------------------------------------------------------------- Cumulative Total Return (does not reflect sales charge) -13.77% -5.35% -1.68% -------------------------------------------------------------------------------- Cumulative Total Return (at maximum applicable sales charge) -13.77% -5.35% -1.68% -------------------------------------------------------------------------------- Average Annual Total Return (at maximum applicable sales charge) -13.77% -1.09% -0.33% [The following was represented as a line chart in the printed material.] $10,000 Over Life of Fund (reflects maximum applicable sales charge) Class S Russell 1000 Index 03/11/98 10000 10000 04/30/98 10387 10464 04/30/99 12318 12590 04/30/00 14643 14157 04/30/01 13270 12223 04/30/02 11402 10759 04/30/03 9832 9311 A Closer Look [GRAPHIC] 12b-1 fees 12b-1 fees are named after the SEC rule that permits them. The fund pays 12b-1 fees to cover service and distribution costs. The fees cover personal services and the maintenance of shareholder accounts. The fees also cover selling and marketing expenditures for the sale of fund shares. The fund pays 12b-1 fees out of its assets, so shareholders see them as an indirect charge rather than a direct charge. All of the performance figures on these pages assume reinvestment of dividends and distributions at net asset value. The average annual total returns for the fund also include the effects of any fees and sales charges that would apply for each share class. The Russell 1000 Index measures the performance of the 1,000 largest securities in the Russell 3000 Index (an unmanaged index of the 3,000 largest publicly traded U.S. companies). The index is unmanaged and does not take transaction charges into consideration. It is not possible to invest directly in the index. Keep in mind that past performance is no guarantee of future results. The fund's share price and return will fluctuate and you may have a gain or loss when you sell your shares. Performance results for the fund are increased by voluntary reduction of fund fees and expenses; without subsidization, performance would have been lower. The returns shown above do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The fund's performance is not necessarily an indication of how the fund will perform in the future. Returns for Class B(1) reflect Class B performance through December 31, 1998. Class B(1) was introduced January 1, 1999. 5 [GRAPHIC] The Fund in Detail -------------------------------------------------------------------------------- CHANGE IN INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP resigned as the Fund's independent accountants as of April 25, 2003. The Trustees voted to appoint Deloitte & Touche LLP as the Fund's independent accountants for the fund's fiscal year ended April 30, 2003. During the two previous years, PricewaterhouseCoopers LLP's audited reports contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principle. Further, in connection with its audits for the two previous fiscal years and through April 25, 2003, there were no disagreements between the Fund and PricewaterhouseCoopers LLP on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which if not resolved to the satisfaction of PricewaterhouseCoopers LLP would have caused it to make reference to the disagreements in its report on the financial statements to such years. -------------------------------------------------------------------------------- [GRAPHIC] The following pages describe the fund in detail as of the date of this report. They provide a "snapshot" of the fund's holdings at one moment in time (the report date), describe the financial dimensions of its operations for the past fiscal year and give a summary of operations on a per-share basis for the past five fiscal years. There's also an overview of the fund and its business structure, as well as information on the accounting policies the fund uses in arriving at the figures it presents here. Together, the words and numbers in this section offer a comprehensive picture of the fund and its recent activities. In fact, the text and notes on pages 7 to 18 are an integral part of the financial statements, which wouldn't be complete without them. For more information about the fund's strategies, risks and expenses, refer to the fund's prospectus; you'll need to read it before making any investments. The prospectus also has more details on the fund's share classes and its policies for shareholder accounts. To obtain a copy of any State Street Research prospectus, see the back cover of this report. Keep in mind that in annual reports, the portfolio holdings and financial statements are audited, while in semiannual reports they are unaudited. 6 State Street Research Large-Cap Analyst Fund About the Fund -------------------------------------------------------------------------------- Business Structure State Street Research Large-Cap Analyst Fund is a mutual fund that allows shareholders to pool their assets for investment in a portfolio of securities. This fund is a series of State Street Research Securities Trust, a Massachusetts business trust, and is an open-end management investment company. Four entities administer the fund's main business functions: o The board of trustees oversees the fund with its shareholders' interests in mind and has ultimate responsibility for the fund's activities. o The investment manager, State Street Research & Management Company, is responsible for the fund's investment and business activities and receives the management fee as compensation. o The distributor, State Street Research Investment Services, Inc., sells shares of the fund, handles investor inquiries and transaction orders and provides other shareholder services. o The custodian, State Street Bank and Trust Company, holds fund securities, provides data on their market value and handles related services. The investment manager and the distributor are subsidiaries of MetLife, Inc. ("MetLife"). State Street Bank and Trust Company is not affiliated with MetLife (the similarity between its name and the names of the investment manager and distributor is coincidental). A majority of the trustees consists of people who are not affiliated with MetLife or any of its subsidiaries. The distributor pays a portion of its fees to MetLife for services it provides, including maintaining the accounts of some investors who hold shares through their firms' employee benefit plans and other sponsored arrangements. Goal and Strategy The fund seeks to provide long-term growth of capital. In seeking to achieve its investment objective, the fund invests at least 80% of net assets in large-cap stocks and convertible securities of U.S. and foreign companies. The fund considers large-cap companies to be those with market capitalization within the range of the Russell 1000 Index (an index of the 1,000 largest publicly traded U.S. companies) and of other U.S. and foreign companies of comparable size. Share Classes The fund generally offers four share classes, each with its own sales charge and expense structure. The fund also offers an additional class of shares (Class B) but only to current Class B shareholders through reinvestment of dividends and distributions or through exchanges from existing Class B accounts of other State Street Research funds. Class A shares are subject to an initial sales charge of up to 5.75% and pay annual service and distribution fees equal to 0.30% of average daily net assets. Class B(1) shares pay annual service and distribution fees of 1.00% and automatically convert into Class A shares (which pay lower ongoing expenses) at the end of eight years. From May 1, 2002 to August 31, 2002, Class B shares paid annual service and distribution fees of 1.00%. Effective September 1, 2002, the annual service and distribution fees paid by Class B shares were voluntarily reduced to 0.00%. Class B shares automatically convert into Class A shares at the end of eight years. Class B(1) and Class B shares are subject to a contingent deferred sales charge on certain redemptions made within six years and five years of purchase, respectively. Class C shares are subject to a contingent deferred sales charge of 1.00% on any shares redeemed within one year of their purchase and shares also pay annual service and distribution fees of 1.00%. Class S shares are only offered through certain retirement accounts, advisory accounts of the investment manager, and special programs. No sales charge is imposed at the time of purchase or redemption of Class S shares. Class S shares do not pay any service or distribution fees. The text and notes are an integral part of the financial statements. 7 The Fund's Accounting Policies -------------------------------------------------------------------------------- In keeping with accounting principles generally accepted in the United States, the fund has used the following policies in preparing the portfolio holdings and financial statements in this report: The fund values all portfolio securities as of the date of this report (or, if that day wasn't a business day, then the most recent business day). The fund uses the following methods for determining the values of various types of securities: o Listed securities - The fund uses the price of the last sale on a national securities exchange that was quoted before the close of the New York Stock Exchange. o Over-the-counter securities - The fund uses the closing prices quoted on the Nasdaq system. If a security hasn't traded that day, or if it is not quoted on the Nasdaq system, the value is set at halfway between the closing bid and asked quotations. o Securities maturing within sixty days - The fund adjusts the value of these securities daily, moving them closer to the amount due on maturity as the maturity date approaches. The fund accounts for each purchase and sale of portfolio securities on the trade date. In calculating realized gains or losses, the fund takes as its cost basis the identified cost of securities sold. The fund records investment income from portfolio securities as follows: o Interest - The fund accrues interest daily as it earns it. o Cash dividends - The fund accrues these on the ex-dividend date. Investment income and realized and unrealized gains and losses are allocated pro rata on the basis of relative net assets by the holders of all classes of shares. Net investment income is determined daily and consists of interest and dividends earned, less the estimated daily expenses of the fund. The fund may seek additional income by lending portfolio securities to qualified institutions.The fund will receive cash or securities as collateral in an amount equal to at least 100% of the current market value of any loaned securities plus accrued interest. By reinvesting any cash collateral it receives in these transactions, the fund could realize additional gains or losses. If the borrower fails to return the securities and the collateral has declined in value, the fund could lose money.The fund accounts for income from the lending of its securities by including it in interest income. Investments in the State Street Navigator Securities Lending Prime Portfolio are valued at its closing net asset value per share on the day of valuation. The fund distributes its net earnings to its shareholders.The fund calculates these distributions using federal income tax regulations. As a result, they may be different than if the fund used accounting principles generally accepted in the United States of America.The difference is primarily due to differing treatments for wash sales deferrals.The fund distributes its earnings on the following schedule: o Dividends from net investment income - The fund ordinarily declares and pays these annually, if any, and may make an additional distribution if tax regulations make it necessary. o Net realized capital gains - The fund distributes these annually, if any, and may make an additional distribution if tax regulations make it necessary. If the fund has no earnings to distribute, it won't make a distribution. The fund has elected to be taxed under Subchapter M of the Internal Revenue Code. As such, the fund does not intend to pay federal income taxes, in part because it makes distributions as described above. The fund pays expenses as follows: o Expenses attributed to the fund - The fund pays these directly. Examples of these expenses include the management fee, transfer agent fee, custodian fee and distribution and service fees. o Expenses attributed to the trust of which the fund is a series - These expenses are divided up among all funds in the trust. Each fund pays a proportional share. Examples of these expenses include the legal fees and trustees fees. The fund has used certain estimates and assumptions in preparing this report. Although they are necessary in order to follow accounting principles generally accepted in the United States of America, these estimates and assumptions affect several key areas, including the reported amounts of assets and liabilities and income and expenses. Actual results could differ from these estimates. The text and notes are an integral part of the financial statements. 8 State Street Research Large-Cap Analyst Fund Portfolio Holdings -------------------------------------------------------------------------------- April 30, 2003 The listings that begin on this page detail the fund's investment holdings as of the report date.We have grouped the holdings by asset class and by smaller subgroups as well. For example, we have grouped this fund's stocks by sector of the economy, and then by specific industry within each sector. The solid colored circles (1) show the fund's ten largest holdings, with the number in the circle showing where the holding ranks in the top ten. -------------------------------------------------------------------------------- Notes about specific elements of the financials are called out in boxes such as this. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- KEY TO SYMBOLS * Denotes a security which has not paid a dividend during the last year. @ Denotes an American Depositary Receipt, a form of ownership of foreign securities that is traded in the United States and denominated in U.S. dollars. -------------------------------------------------------------------------------- Issuer Shares Value ----------------------------------------------------------------------------- Common Stocks 97.1% of net assets Automobiles & Transportation 1.3% of net assets ============================================================================= Automotive Parts 0.5% Navistar International Corp.* 6,800 $189,720 ---------- Transportation 0.8% United Parcel Service Inc. Cl. B 4,300 267,116 ---------- Total Automobiles & Transportation 456,836 ---------- Consumer Discretionary 13.2% of net assets ============================================================================= Casinos/Gambling, Hotel/Motel 1.0% International Game Technology Inc.* 4,100 353,830 ---------- Commercial Services 0.7% Cendant Corp.* 17,000 242,760 ---------- Communications, Media & Entertainment 2.1% Clear Channel Communications Inc.* 4,800 187,728 Univision Communications Inc. Cl. A* 10,500 317,940 Walt Disney Co. 13,800 257,508 ---------- 763,176 ---------- Consumer Products 0.6% Avon Products Inc. 3,500 203,595 ---------- Leisure Time 0.6% Carnival Corp. 7,800 215,202 ---------- Printing & Publishing 0.5% News Corp. Ltd. 6,800 192,304 ---------- Restaurants 0.7% Starbucks Corp.* 11,300 265,437 ---------- Retail 6.4% Home Depot Inc. 8,400 236,292 Kohl's Corp.* 6,700 380,560 Lowes Companies Inc. 3,900 171,171 Talbots Inc. 6,100 174,765 (8)USA Interactive* 23,000 688,850 (9)Wal-Mart Stores Inc. 11,800 664,576 ---------- 2,316,214 ---------- Shoes 0.6% Nike Inc. Cl. B 3,700 198,061 ---------- Total Consumer Discretionary 4,750,579 ---------- Consumer Staples 6.8% of net assets ============================================================================= Beverages 2.7% Anheuser-Busch Inc. 3,600 179,568 Coca-Cola Co. 10,800 436,320 PepsiCo Inc. 8,600 372,208 ---------- 988,096 ---------- Drug & Grocery Store Chains 1.5% CVS Corp. 6,700 162,207 Whole Foods Market Inc.* 6,300 373,968 ---------- 536,175 ---------- The text and notes are an integral part of the financial statements. 9 Portfolio Holdings (continued) -------------------------------------------------------------------------------- April 30, 2003 Issuer Shares Value -------------------------------------------------------------------------------- Household Products 2.6% Clorox Co. 5,400 $244,188 (7)Procter & Gamble Co. 7,700 691,845 ---------- 936,033 ---------- Total Consumer Staples 2,460,304 ---------- Financial Services 22.9% of net assets ============================================================================ Banks & Savings & Loan 7.4% Bank of America Corp. 6,600 488,730 Bank of New York Co., Inc. 8,200 216,890 Bank One Corp. 5,600 201,880 Fifth Third Bancorp 5,800 285,882 J.P. Morgan Chase & Co. 9,170 269,139 State Street Corp. 5,400 189,162 US Bancorp 8,500 188,275 Wachovia Corp. 7,500 286,575 Wells Fargo & Co. 10,800 521,208 ---------- 2,647,741 ---------- Financial Data Processing Services & Systems 1.2% First Data Corp. 10,800 423,684 ---------- Insurance 4.0% American International Group Inc. 8,400 486,780 Hartford Financial Services Group Inc. 9,700 395,372 Travelers Property Casualty Corp. Cl. B* 13,560 220,350 XL Capital Ltd. 4,253 350,022 ---------- 1,452,524 ---------- Miscellaneous Financial 9.1% American Express Co. 12,500 473,250 (3)Citigroup Inc. 27,700 1,087,225 Federal Home Loan Mortgage Corp. 5,700 330,030 Federal National Mortgage Association 5,000 361,950 MBNA Corp. 18,800 355,320 Morgan Stanley Dean Witter & Co. 10,800 483,300 Willis Group Holdings Ltd. 6,000 187,140 ---------- 3,278,215 ---------- Securities Brokerage & Services 1.2% Lehman Brothers Holdings Inc. 6,900 434,493 ---------- Total Financial Services 8,236,657 ---------- Health Care 15.0% of net assets ============================================================================ Drugs & Biotechnology 10.2% Altana AG* 5,000 245,950 Amgen Inc.* 7,000 429,170 AstraZeneca PLC@ 13,100 522,297 Biogen Inc.* 5,800 220,342 Forest Laboratories Inc.* 4,100 212,052 Johnson & Johnson Ltd. 4,700 264,892 Novartis AG@ 11,600 457,968 Pfizer Inc. 16,085 494,614 Teva Pharmaceutical Industries Ltd.@ 5,400 252,180 Wyeth Inc. 13,400 583,302 ---------- 3,682,767 ---------- Health Care Facilities 0.6% HCA Inc. 5,700 182,970 ---------- Health Care Services 2.3% Anthem Inc.* 5,900 404,976 Caremark Rx Inc.* 10,400 207,064 Wellpoint Health Networks Inc. Cl. A* 3,000 227,820 ---------- 839,860 ---------- Hospital Supply 1.9% Medtronic Inc. 6,800 324,632 St. Jude Medical Inc.* 3,600 188,856 Zimmer Holdings Inc.* 3,500 164,150 ---------- 677,638 ---------- Total Health Care 5,383,235 ---------- Integrated Oils 3.0% of net assets ============================================================================ Integrated International 3.0% BP PLC@ 5,300 204,262 Exxon Mobil Corp. 14,700 517,440 Total Fina SA@ 5,500 361,350 ---------- Total Integrated Oils 1,083,052 ---------- Materials & Processing 2.3% of net assets ============================================================================ Chemicals 1.1% Air Products & Chemicals Inc. 4,000 172,280 Dow Chemical Co. 6,700 218,688 ---------- 390,968 ---------- Paper & Forest Products 1.2% International Paper Co. 12,000 429,000 ---------- Total Materials & Processing 819,968 ---------- Other 4.9% of net assets ============================================================================ Multi-Sector 4.9% (1)General Electric Co. 40,900 1,204,505 ITT Industries Inc. 3,000 174,900 SPX Corp.* 11,000 371,800 ---------- Total Other 1,751,205 ---------- Other Energy 2.8% of net assets ============================================================================ Oil & Gas Producers 1.6% (10)Burlington Resources Inc. 12,800 592,768 ---------- Oil Well Equipment & Services 1.2% BJ Services Co.* 5,500 200,805 Patterson UTI Energy Inc.* 6,200 205,158 ---------- 405,963 ---------- Total Other Energy 998,731 ---------- Producer Durables 4.2% of net assets ============================================================================ Aerospace 1.1% United Technologies Corp. 6,700 414,127 ---------- Electrical Equipment & Components 1.0% Emerson Electric Co. 7,200 365,040 ---------- Machinery 1.1% Deere & Co. 8,900 391,867 ---------- The text and notes are an integral part of the financial statements. 10 State Street Research Large-Cap Analyst Fund
Issuer Shares Value ---------------------------------------------------------------------------- Miscellaneous Equipment 1.0% Pentair Inc. 9,400 $362,276 ----------- Total Producer Durables 1,533,310 ----------- Technology 13.4% of net assets ============================================================================= Communications Technology 1.3% Cisco Systems Inc.* 31,200 469,248 ----------- Computer Software 4.6% BMC Software Inc.* 11,100 165,612 (2)Microsoft Corp. 43,000 1,099,510 Oracle Systems Corp.* 18,600 220,968 SAP AG@ 6,900 176,019 ----------- 1,662,109 ----------- Computer Technology 3.6% Dell Computer Corp.* 13,500 390,285 (4)IBM Corp. 10,500 891,450 ----------- 1,281,735 ----------- Electronics: Semiconductors/Components 3.9% Altera Corp.* 12,000 189,720 (5)Intel Corp. 42,300 778,320 Jabil Circuit Inc.* 10,300 192,610 National Semiconductor Corp.* 14,100 264,093 ----------- 1,424,743 ----------- Total Technology 4,837,835 ----------- Utilities 7.3% of net assets ============================================================================= Cable Television & Radio 3.6% (6)Comcast Corp.* 23,900 718,434 Cox Communications Inc. Cl. A* 17,800 589,180 ----------- 1,307,614 ----------- Electrical 0.8% Exelon Corp. 5,400 286,416 ----------- Telecommunications 2.9% Alltel Corp. 6,600 309,276 Bellsouth Corp. 15,300 389,997 SBC Communications Inc. 15,000 350,400 ----------- 1,049,673 ----------- Total Utilities 2,643,703 ----------- Total Common Stocks 34,955,415(a) ----------- --------------------------------------------------------------- (a) The fund paid a total of $32,968,924 for these securities. --------------------------------------------------------------- Amount of Principal ----------------------------------------------------------------------------- Commercial Paper 2.9% of net assets Target Corp. 1.25% 5/01/2003 $1,029,000 1,029,000 ----------- Total Commercial Paper 1,029,000(b) ----------- ----------------------------------------------------------- (b) The fund paid a total of $1,029,000 for this security. ----------------------------------------------------------- Issuer Shares -------------------------------------------------------------------------------- Short-Term Investments 4.8% of net assets State Street Navigator Securities Lending Prime Portfolio 1,713,651 1,713,651 ----------- Total Short-Term Investments 1,713,651(c) ----------- ----------------------------------------------------------- (c) The fund paid a total of $1,713,651 for this security. ----------------------------------------------------------- % of Net Assets ----------------------------------------------------------------------------- Summary of Portfolio Assets Investments 104.8% $37,698,066(d) Cash and Other Assets, Less Liabilities (4.8%) (1,719,459) ----- ---------- Net Assets 100.0% $35,978,607 ===== ==========
--------------------------------------------------------------- (d) The fund paid a total of $35,711,575 for these securities. --------------------------------------------------------------- Federal Income Tax Information At April 30, 2003, the net unrealized appreciation of investments based on cost for federal income tax purposes of $36,649,879 was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $3,209,135 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (2,160,948) ----------- $1,048,187 =========== At April 30, 2003, the fund had a capital loss carryforward of $11,288,185 available, to the extent provided in regulations, to offset future capital gains, if any, of which $2,713,876 and $8,574,309 expires on April 30, 2010 and 2011, respectively. In order to meet certain excise tax distribution requirements under Section 4982 of the Internal Revenue Code, the fund is required to measure and distribute annually, if necessary, net capital gains realized during a 12-month period ending October 31. In this connection, the fund is permitted to defer into its next fiscal year any net capital losses incurred between each November 1 and the end of its fiscal year. From November 1, 2001, through April 30, 2002, the fund incurred net capital losses of $2,175,804 and has deferred and treated such losses as arising in the fiscal year ended April 30, 2003. From November 1, 2002, through April 30, 2003, the fund incurred net capital losses of approximately $2,628,000 and intends to defer and treat such losses as arising in the fiscal year ended April 30, 2004. The text and notes are an integral part of the financial statements. 11 Statement of Assets and Liabilities -------------------------------------------------------------------------------- April 30, 2003 This is the fund's balance sheet as of the report date. It shows the fund's assets, its liabilities and, by subtraction, its net assets. It also shows the share price for each share class as of the report date.
Assets Investments, at value* $37,698,066(a) Cash 65,487 Receivable for securities sold 377,142 Receivable from distributor 45,585 Receivable for fund shares sold 44,203 Dividends receivable 25,448 Other assets 29,495 ------------ 38,285,426 Liabilities Payable for collateral received on securities loaned 1,713,651 Payable for securities purchased 355,110 Accrued transfer agent and shareholder services 60,273 Payable for fund shares redeemed 45,915 Accrued management fee 17,720 Accrued distribution and service fees 9,708 Accrued trustees' fees 8,988 Accrued administration fee 7,571 Other accrued expenses 87,883 ------------ 2,306,819 ------------ Net Assets $35,978,607 ============ Net Assets consist of: Undistributed net investment income $50,679(b) Unrealized appreciation of investments 1,986,491 Accumulated net realized loss (14,854,011) Paid-in capital 48,795,448 ------------ $35,978,607(c) ============
*Includes securities on loan valued at $1,660,197 -------------------------------------------------------------- (a) The fund paid a total of $35,711,575 for these securities. -------------------------------------------------------------- -------------------------------------------------------------------------------- (b) The fund reclassified for book purposes amounts arising from permanent book/tax differences relating to organization costs. To the extent there are differences between amounts calculated using generally accepted accounting principles and amounts calculated using federal income tax regulations and the differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax basis treatment. At April 30, 2003, the components of distributable earnings on a tax basis differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences largely arising from wash sales, post-October losses and capital loss carryforwards. At April 30, 2003, the tax basis distributable earnings were: $50,679 in undistributed ordinary income, $0 in undistributed short-term capital gains and $0 in undistributed long-term capital gains. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (c) Net Asset Value (NAV) of Each Share Class Except where noted, the NAV is the offering and the redemption price for each class. Class Net Assets / Number of Shares = NAV A $20,710,649 2,443,287 $8.48* B(1) $5,125,977 630,039 $8.14** B $8,089,412 987,360 $8.19** C $858,051 105,238 $8.15** S $1,194,518 139,221 $8.58 * Maximum offering price per share = $9.00 ($8.48 / 0.9425) ** Redemption price per share for Class B(1), Class B and Class C is equal to net asset value less any applicable contingent deferred sales charge. -------------------------------------------------------------------------------- The text and notes are an integral part of the financial statements. 12 State Street Research Large-Cap Analyst Fund Statement of Operations -------------------------------------------------------------------------------- For the year ended April 30, 2003 This shows what the fund earned and lost over the report period, and what its expenses were.
Investment Income Dividends, net of foreign taxes $651,293(a) Interest 18,623(b) ----------- 669,916 Expenses Management fee 294,185(c) Transfer agent and shareholder services 262,312(d) Custodian fee 94,669 Administration fee 94,276(e) Distribution and service fees-- Class A 71,625(f) Distribution and service fees-- Class B(1) 59,103(f) Distribution and service fees-- Class B 36,867(f) Distribution and service fees-- Class C 14,170(f) Registration fees 56,700 Audit fee 36,697 Trustees' fees 17,793(g) Amortization of organization costs 16,284(h) Reports to shareholders 15,361 Legal fees 6,242 Miscellaneous 18,520 ----------- 1,094,804 Expenses borne by the distributor (460,390)(i) Fees paid indirectly (2,685)(j) ----------- 631,729 ----------- Net investment income 38,187 ----------- Realized and Unrealized Loss on Investments Net realized loss on investments (9,130,490)(k) Change in unrealized depreciation of investments (462,346) ----------- Net loss on investments (9,592,836) ----------- Net decrease in net assets resulting from operations ($9,554,649) ===========
-------------------------------------------------------------------------------- (a) The fund paid foreign taxes of $5,143. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (b) Includes $1,904 in income from the lending of portfolio securities. As of the report date, the fund had a total of $1,660,197 of securities out on loan and was holding a total of $1,713,651 in collateral (consisting entirely of cash collateral invested in State Street Navigator Securities Lending Prime Portfolio) related to those loans. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (c) The management fee is 0.65% of fund net assets, annually. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (d) Includes a total of $98,606 paid to the distributor and to MetLife for services provided, including maintaining the accounts of some investors who hold shares through the firm's employee benefit plans and other sponsored arrangements. Total shareholder service costs are allocated to each fund in the same ratio as the transfer agent costs. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (e) Payments made to the investment manager for certain administrative costs incurred in providing other assistance and services to the fund. The fee is based on a fixed amount that has been allocated equally among State Street Research funds. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (f) Payments made to the distributor under the fund's 12b-1 plans. The fees cover personal services and the maintenance of shareholder accounts.The fees also cover distribution and marketing expenditures for the sale of fund shares. For Class A, Class B and Class C shares, the payments are intended to reimburse the distributor for expenditures incurred under the plan, and any unused payments are returnable to the fund. As of April 30, 2003, there were $665,517 and $555,543 for Class A and Class C, respectively, of unreimbursed distribution and shareholder servicing related expenses to be carried forward to future plan years. For Class B(1) shares, the payments compensate the distributor for services and expenditures incurred under the plan, and none of the payments are returnable to the fund. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (g) Paid only to trustees who aren't currently affiliated with the adviser (the fund doesn't pay trustees' fees to affiliated trustees). -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (h) Organization costs were capitalized and amortized straight-line over five years. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (i) Represents the share of expenses that the fund's distributor and its affiliates paid voluntarily. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (j) Represents transfer agent credits earned from uninvested cash balances. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (k) The fund sold $58,761,700 worth of securities. During this same period, the fund also bought $45,034,562 worth of securities. These figures don't include short-term obligations or U.S. government securities. -------------------------------------------------------------------------------- The text and notes are an integral part of the financial statements. 13 Statement of Changes in Net Assets -------------------------------------------------------------------------------- This shows how the fund's size changed over the report period, including changes that resulted from investment performance as well as those that resulted from shareholders buying and selling fund shares. Years ended April 30 --------------------------------- 2003 2002 -------------------------------------------------------------------------------- Increase (Decrease) In Net Assets Operations: Net investment income (loss) $38,187 ($211,956) Net realized loss on investments (9,130,490) (3,579,665) Change in unrealized depreciation on investments (462,346) (5,179,894) -------------------------------- Net decrease resulting from operations (9,554,649) (8,971,515) -------------------------------- Net increase (decrease) from fund share transactions (13,457,435)(a) 8,787,442 -------------------------------- Total decrease in net assets (23,012,084) (184,073) Net Assets Beginning of year 58,990,691 59,174,764 -------------------------------- End of year $35,978,607(b) $58,990,691 ================================ -------------------------------------------------------------------------------- (b)Includes undistributed net investment income of $50,679 and $0, respectively. -------------------------------------------------------------------------------- The text and notes are an integral part of the financial statements. 14 State Street Research Large-Cap Analyst Fund -------------------------------------------------------------------------------- (a) These transactions break down by share class as follows:
Years ended April 30 ------------------------------------------------------------------ 2003 2002 ------------------------------------------------------------------ Class A Shares Amount Shares Amount ================================================================================================= Shares sold 942,130 $7,966,395* 1,693,198 $17,297,839 Shares redeemed (1,591,554) (13,018,192) (730,337) (7,465,260) ------------------------------------------------------------------ Net increase (decrease) (649,424) ($5,051,797) 962,861 $9,832,579 ================================================================== Class B(1) Shares Amount Shares Amount ------------------------------------------------------------------------------------------------- Shares sold 194,805 $1,557,170** 173,745 $1,800,265 Shares redeemed (349,924) (2,709,281)*** (113,768) (1,155,553) ------------------------------------------------------------------ Net increase (decrease) (155,119) ($1,152,111) 59,977 $644,712 ================================================================== Class B Shares Amount Shares Amount ------------------------------------------------------------------------------------------------- Shares sold 65,423 $518,080 50,596 $525,865 Shares redeemed (399,002) (3,127,283)*** (253,001) (2,574,367) ------------------------------------------------------------------ Net decrease (333,579) ($2,609,203) (202,405) ($2,048,502) ================================================================== Class C Shares Amount Shares Amount ------------------------------------------------------------------------------------------------- Shares sold 61,660 $485,458** 49,411 $499,937 Shares redeemed (173,362) (1,317,372)**** (62,462) (660,164) ------------------------------------------------------------------ Net decrease (111,702) ($831,914) (13,051) ($160,227) ================================================================== Class S Shares Amount Shares Amount ------------------------------------------------------------------------------------------------- Shares sold 134,514 $1,117,726 65,593 $704,547 Shares redeemed (646,384) (4,930,136) (17,250) (185,667) ------------------------------------------------------------------ Net increase (decrease) (511,870) ($3,812,410) 48,343 $518,880 ==================================================================
The trustees have the authority to issue an unlimited number of fund shares, with a $0.001 par value per share. * Sales charges collected by the distributor and MetLife were $4,654 and $18,291, respectively. ** Like all broker/dealers, MetLife received commissions that were calculated as a percentage of these sales but the commissions of $16,557 and $59 for Class B(1) and Class C, respectively, were paid by the distributor, not the fund. *** Includes $26,219 and $19,878 in deferred sales charges collected by the distributor for Class B(1) and Class B, respectively. **** Includes $12 in deferred sales charges collected by the distributor. -------------------------------------------------------------------------------- The text and notes are an integral part of the financial statements. 15 Financial Highlights -------------------------------------------------------------------------------- These provide a summary of each share class's financial performance.
Class A --------------------------------------------------------- Years ended April 30 --------------------------------------------------------- Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a) ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year ($) 9.83 11.48 13.70 11.73 9.92 ------ ------ ------ ------ ------ Net investment income (loss) ($)* 0.02 (0.01) (0.04) (0.04) (0.01) Net realized and unrealized gain (loss) on investments ($) (1.37) (1.64) (1.22) 2.20 1.82 Total from investment operations ($) (1.35) (1.65) (1.26) 2.16 1.81 ------ ------ ------ ------ ------ Dividend from net investment income ($) -- -- -- -- (0.00) Distributions from capital gains ($) -- -- (0.96) (0.19) -- ------ ------ ------ ------ ------ Total distributions ($) -- -- (0.96) (0.19) (0.00) ------ ------ ------ ------ ------ Net asset value, end of year ($) 8.48 9.83 11.48 13.70 11.73 ====== ====== ===== ===== ===== Total return (%) (b) (13.73) (14.37) (9.65) 18.57 18.28 Ratios/Supplemental Data ---------------------------------------------------------------------------------------------------------------------------- Net assets at end of year ($ thousands) 20,711 30,401 24,452 26,704 16,220 Expense ratio (%)* 1.30 1.32 1.34 1.27 1.27 Expense ratio after expense reductions (%)* 1.30 1.30 1.30 1.25 1.25 Ratio of net investment income (loss) to average net assets (%)* 0.18 (0.11) (0.29) (0.29) (0.09) Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16 *Reflects voluntary reduction of expenses of these amounts (%) 1.02 0.84 0.67 0.61 0.75
Class B(1) ---------------------------------------------------------- Years ended April 30 ---------------------------------------------------------- Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a)(c) ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year ($) 9.52 11.19 13.46 11.63 10.63 ------ ------ ------ ------ ------ Net investment loss ($)* (0.04) (0.08) (0.12) (0.13) (0.03) Net realized and unrealized gain (loss) on investments ($) (1.34) (1.59) (1.19) 2.15 1.03 ------ ------ ------ ------ ------ Total from investment operations ($) (1.38) (1.67) (1.31) 2.02 1.00 ------ ------ ------ ------ ------ Dividend from net investment income ($) -- -- -- -- (0.00) Distributions from capital gains ($) -- -- (0.96) (0.19) -- ------ ------ ------ ------ ------ Total distributions ($) -- -- (0.96) (0.19) (0.00) ------ ------ ------ ------ ------ Net asset value, end of year ($) 8.14 9.52 11.19 13.46 11.63 ====== ====== ====== ===== ==== Total return (%) (b) (14.50) (14.92) (10.23) 17.52 9.44(d) Ratios/Supplemental Data ---------------------------------------------------------------------------------------------------------------------------- Net assets at end of year ($ thousands) 5,126 7,471 8,113 6,847 1,776 Expense ratio (%)* 2.00 2.02 2.04 2.02 2.02(e) Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00 2.00(e) Ratio of net investment loss to average net assets (%)* (0.52) (0.80) (0.99) (1.05) (1.01)(e) Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16 *Reflects voluntary reduction of expenses of these amounts (%) 1.03 0.87 0.67 0.61 0.75(e)
The text and notes are an integral part of the financial statements. 16 State Street Research Large-Cap Analyst Fund
Class B ------------------------------------------------------- Years ended April 30 ------------------------------------------------------- Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a) ------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of year ($) 9.52 11.19 13.47 11.63 9.90 ------ ------ ------ ------ ------ Net investment income (loss) ($)* 0.01 (0.08) (0.12) (0.13) (0.09) Net realized and unrealized gain (loss) on investments ($) (1.34) (1.59) (1.20) 2.16 1.82 ------ ------ ------ ------ ------ Total from investment operations ($) (1.33) (1.67) (1.32) 2.03 1.73 ------ ------ ------ ------ ------ Dividend from net investment income ($) -- -- -- -- (0.00) Distributions from capital gains ($) -- -- (0.96) (0.19) -- ------ ------ ------ ------ ------ Total distributions ($) -- -- (0.96) (0.19) (0.00) ------ ------ ------ ------ ------ Net asset value, end of year ($) 8.19 9.52 11.19 13.47 11.63 ====== ====== ====== ===== ===== Total return (%) (b) (13.97) (14.92) (10.30) 17.61 17.50 Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------------------------------ Net assets at end of year ($ thousands) 8,089 12,576 17,054 21,267 19,300 Expense ratio (%)* 1.33 2.02 2.04 2.02 2.02 Expense ratio after expense reductions (%)* 1.33 2.00 2.00 2.00 2.00 Ratio of net investment income (loss) to average net assets (%)* 0.08 (0.79) (1.00) (1.04) (0.84) Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16 *Reflects voluntary reduction of expenses of these amounts (%) 1.02 0.89 0.67 0.61 0.75
Class C ------------------------------------------------------- Years ended April 30 ------------------------------------------------------- Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a) ------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year ($) 9.53 11.20 13.48 11.63 9.91 ------ ------ ------ ------ ------ Net investment loss ($)* (0.04) (0.08) (0.12) (0.13) (0.09) Net realized and unrealized gain (loss) on investments ($) (1.34) (1.59) (1.20) 2.17 1.81 ------ ------ ------ ------ ------ Total from investment operations ($) (1.38) (1.67) (1.32) 2.04 1.72 ------ ------ ------ ------ ------ Dividend from net investment income ($) -- -- -- -- (0.00) Distributions from capital gains ($) -- -- (0.96) (0.19) -- ------ ------ ------ ------ ------ Total distributions ($) -- -- (0.96) (0.19) (0.00) ------ ------ ------ ------ ------ Net asset value, end of year ($) 8.15 9.53 11.20 13.48 11.63 ====== ====== ====== ===== ===== Total return (%) (b) (14.48) (14.91) (10.28) 17.70 17.36 Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------------------------- Net assets at end of year ($ thousands) 858 2,068 2,576 5,393 3,667 Expense ratio (%)* 2.00 2.02 2.04 2.02 2.02 Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00 2.00 Ratio of net investment loss to average net assets (%)* (0.51) (0.79) (1.00) (1.08) (0.85) Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16 *Reflects voluntary reduction of expenses of these amounts (%) 1.00 0.88 0.67 0.61 0.75
(a) Per-share figures have been calculated using the average shares method. (b) Does not reflect any front-end or contingent deferred sales charges. Total return would be lower if the distributor and its affiliates had not voluntarily reduced a portion of the fund's expenses. (c) January 1, 1999 (commencement of share class), to April 30, 1999 (d) Not annualized (e) Annualized The text and notes are an integral part of the financial statements. 17 Financial Highlights (continued) --------------------------------------------------------------------------------
Class S --------------------------------------------------------- Years ended April 30 --------------------------------------------------------- Per-Share Data 2003(a) 2002(a) 2001(a) 2000(a) 1999(a) --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of year ($) 9.95 11.58 13.77 11.76 9.92 ------ ------ ------ ------ ------ Net investment income (loss) ($)* 0.04 0.02 0.00 (0.00) 0.02 Net realized and unrealized gain (loss) on investments ($) (1.41) (1.65) (1.23) 2.20 1.82 ------ ------ ------ ------ ------ Total from investment operations ($) (1.37) (1.63) (1.23) 2.20 1.84 ------ ------ ------ ------ ------ Dividend from net investment income ($) -- -- -- -- (0.00) Distributions from capital gains ($) -- -- (0.96) (0.19) -- ------ ------ ------ ------ ------ Total distributions ($) -- -- (0.96) (0.19) (0.00) ------ ------ ------ ------ ------ Net asset value, end of year ($) 8.58 9.95 11.58 13.77 11.76 ====== ====== ===== ===== ===== Total return (%) (b) (13.77) (14.08) (9.38) 18.87 18.59 Ratios/Supplemental Data --------------------------------------------------------------------------------------------------------------------------- Net assets at end of year ($ thousands) 1,195 6,476 6,980 6,895 5,806 Expense ratio (%)* 1.00 1.02 1.04 1.02 1.02 Expense ratio after expense reductions (%)* 1.00 1.00 1.00 1.00 1.00 Ratio of net investment income (loss) to average net assets (%)* 0.52 0.20 0.01 (0.04) 0.18 Portfolio turnover rate (%) 101.21 87.28 84.75 106.12 134.16 *Reflects voluntary reduction of expenses of these amounts (%) 0.99 0.87 0.67 0.61 0.75
(a) Per-share figures have been calculated using the average shares method. (b) Does not reflect any front-end or contingent deferred sales charges. Total return would be lower if the distributor and its affiliates had not voluntarily reduced a portion of the fund's expenses. (c) January 1, 1999 (commencement of share class), to April 30, 1999 The text and notes are an integral part of the financial statements. -------------------------------------------------------------------------------- Independent Auditors' Report To the Board of Trustees and Shareholders of State Street Research Large-Cap Analyst Fund We have audited the accompanying statement of assets and liabilities, including the portfolio holdings, of the State Street Research Large-Cap Analyst Fund (the "Fund"), a series of State Street Research Securities Trust, as of April 30, 2003, and the related statements of operations, the statement of changes in net assets, and the financial highlights for the year ended April 30, 2003.These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statement of changes in net assets for the year ended April 30, 2002, and the financial highlights for each of the years in the four-year period ended April 30, 2002, were audited by other auditors whose report dated June 14, 2002, expressed an unqualified opinion on such statement and financial highlights. We conducted our audit in accordance with auditing standards generally accepted in the United States of America.Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2003, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation.We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund as of April 30, 2003, and the results of its operations, the changes in its net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. DELOITTE & TOUCHE LLP Boston, Massachusetts June 16, 2003 -------------------------------------------------------------------------------- 18 State Street Research Large-Cap Analyst Fund State Street Research Securities Trust
Number of Funds Name, Position(s) Term of Office in Fund Complex Other Address Held with and Length of Principal Occupations Overseen by Directorships Held and Age (a) Fund Time Served (b) During Past 5 Years Trustee/Officer (c) by Trustee/Officer ==================================================================================================================================== Independent Trustees ------------------------------------------------------------------------------------------------------------------------------------ Bruce R. Bond Trustee Since 1999 Retired; formerly Chairman of the 19 Ceridian Corporation (57) Board, Chief Executive Officer and President, PictureTel Corporation (video conferencing systems) ------------------------------------------------------------------------------------------------------------------------------------ Steve A. Trustee Since 1997 Retired; formerly Senior Vice 55 Metropolitan Series Fund, Garban (65) President for Finance and Inc.(d) Operations and Treasurer, The Pennsylvania State University ------------------------------------------------------------------------------------------------------------------------------------ Dean O. Trustee Since 1994 Retired; formerly Executive Vice 55 The Clorox Company; KLA-Tencor Morton President, Chief Operating Officer Corporation; BEA Systems, Inc.; (71) and Director, Hewlett-Packard Cepheid; Pharsight Corporation; Company (computer manufacturer) and Metropolitan Series Fund, Inc.(d) ------------------------------------------------------------------------------------------------------------------------------------ Susan M. Trustee Since 1999 Dean, School of Business and 19 None Phillips Public Management, George (58) Washington University; formerly a member of the Board of Governors of the Federal Reserve System; and Chairman and Commissioner of the Commodity Futures Trading Commission ------------------------------------------------------------------------------------------------------------------------------------ Toby Trustee Since 1994 President, Founders Investments 55 A. P. Pharma, Inc.; and Rosenblatt Ltd. (investments); formerly Metropolitan Series Fund, Inc. (64) President, The Glen Ellen Company (d) (private investment firm) ------------------------------------------------------------------------------------------------------------------------------------ Michael S. Trustee Since 1994 Jay W. Forrester Professor of 55 Metropolitan Series Fund, Inc. Scott Morton Management, Sloan School of (d) (65) Management, Massachusetts Institute of Technology ------------------------------------------------------------------------------------------------------------------------------------ James M. Trustee Since 2002 Attorney; formerly Partner, 19 SEI Investments Funds Storey Dechert (law firm) (consisting of 104 portfolios); (72) and The Massachusetts Health & Education Tax-Exempt Trust ==================================================================================================================================== Interested Trustee ------------------------------------------------------------------------------------------------------------------------------------ Richard S. Trustee Since 2000 Chairman of the Board, President 19 None Davis++ and Chief Executive Officer of (57) State Street Research & Management Company; formerly Senior Vice President, Fixed Income Investments, Metropolitan Life Insurance Company ==================================================================================================================================== Officers ------------------------------------------------------------------------------------------------------------------------------------ Maureen G. Vice Since 2000 Managing Director of State Street 6 None Depp President Research & Management Company; (49) formerly Senior Vice President and Vice President, State Street Research & Management Company ------------------------------------------------------------------------------------------------------------------------------------ Donald G. Vice Since 2001 Senior Vice President of State 9 None DeVeuve President Street Research & Management (46) Company; formerly Vice President, State Street Research & Management Company ------------------------------------------------------------------------------------------------------------------------------------ Edward Dowd Vice Since 2003 Vice President of State Street 3 None (36) President Research & Management Company; formerly Vice President, Independence Investment LLC and equity research associate, Donaldson, Lufkin and Jenrette ------------------------------------------------------------------------------------------------------------------------------------ Rosalina Vice Since 2001 Senior Vice President of State 8 None Feliciano President Street Research & Management (39) Company; formerly Vice President, State Street Research & Management Company ------------------------------------------------------------------------------------------------------------------------------------ C. Kim Vice Since 2002 Managing Director and Chief 18 None Goodwin President Investment Officer-Equities of (44) State Street Research & Management Company; formerly Chief Investment Officer-U.S. Growth Equities, American Century; and Senior Vice President and portfolio manager, Putnam Investments ------------------------------------------------------------------------------------------------------------------------------------ Jeffrey Vice Since 2003 Managing Director of State Street 3 None Lindsey President Research & Management Company; (40) formerly Managing Direct and Senior Vice President, Putnam Investments ------------------------------------------------------------------------------------------------------------------------------------ John S. Vice Since 2001 Managing Director, Chief Financial 19 None Lombardo President Officer and Director of State (48) Street Research & Management Company; formerly Executive Vice President, State Street Research & Management Company; and Senior Vice President, Product and Financial Management, MetLife Auto & Home ------------------------------------------------------------------------------------------------------------------------------------ Dan R. Vice Since 2002 Managing Director of State Street 12 None Strelow (44) President Research & Management Company; formerly Executive Vice President and Senior Vice President, State Street Research & Management Company ------------------------------------------------------------------------------------------------------------------------------------ Elizabeth Vice Since 1996 Managing Director of State Street 6 None McCombs President Research & Management Company; Westvold (43) formerly Senior Vice President, State Street Research & Management Company ------------------------------------------------------------------------------------------------------------------------------------ Peter Zuger Vice Since 2001 Managing Director of State Street 5 None (54) President Research & Management Company; formerly Senior Vice President, State Street Research & Management Company; and portfolio manager and Vice President, American Century Investment Management Company ------------------------------------------------------------------------------------------------------------------------------------ Douglas A. Treasurer Since 2001 Senior Vice President and 19 None Romich Treasurer of State Street Research (46) & Management Company; formerly Vice President and Assistant Treasurer, State Street Research & Management Company ------------------------------------------------------------------------------------------------------------------------------------ Francis J. Secretary Since 1995 Managing Director, General Counsel 19 None McNamara, III and Secretary of State Street (47) Research & Management Company; formerly Executive Vice President, State Street Research & Management Company ------------------------------------------------------------------------------------------------------------------------------------
The fund's Statement of Additional Information includes additional information about the fund's trustees, and is available without charge, by contacting State Street Research, One Financial Center, Boston, Massachusetts 02111-2690, or by calling toll-free 1-87-SSR-FUNDS (1-877-773-8637). (a) The address of each person is c/o State Street Research & Management Company, One Financial Center, Boston, MA 02111-2690. (b) A Trustee serves until he or she retires, resigns or is removed as provided in the master trust agreement of the respective Trust. Each Trust has adopted a mandatory retirement age of 72. Each officer holds office until he or she resigns, is removed or a successor is elected. (c) Includes all series of 9 investment companies for which State Street Research & Management Company has served as sole investment adviser and all series of Metropolitan Series Fund, Inc. The primary adviser to Metropolitan Series Fund, Inc. is MetLife Advisers, LLC, which has retained State Street Research & Management Company as sub-adviser to certain series of Metropolitan Series Fund, Inc. (d) Serves as Director of Metropolitan Series Fund, Inc., an investment company comprising 36 separate portfolios. ++ Mr. Davis is an "interested person" of the Trust under the Investment Company Act of 1940 by reason of his affiliation with the Trust's Investment Manager, State Street Research & Management Company, as noted. 19 ------------- [LOGO] STATE STREET RESEARCH PRSRT STD One Financial Center o Boston, MA 02111-2690 U.S. POSTAGE PAID PERMIT #6 HUDSON, MA ------------- Contact Information for INVESTOR SERVICES ----------------------------------------------------------------------------- New accounts, mutual fund purchases, exchanges and account information [INTERNET] Internet www.ssrfunds.com [EMAIL] E-mail info@ssrfunds.com [PHONE] Phone 1-87-SSR-FUNDS (1-877-773-8637), toll-free, 7 days a week, 24 hours a day Hearing-impaired: 1-800-676-7876 Chinese- and Spanish-speaking: 1-888-638-3193 [FAX] Fax 1-617-737-9722 (request confirmation number first from the Service Center by calling 1-877-773-8637) [MAILBOX] Mail State Street Research Service Center P.O. Box 8408, Boston, MA 02266-8408 For 24-Hour Automated Access to Your Account [PHONE] 1-87-SSR-FUNDS --------------- (1-877-773-8637) www.ssrfunds.com OverView -------------------------------------------------------------------------------- For more information on the products and services mentioned in OverView, our shareholder newsletter, visit our web site at www.ssrfunds.com. Webcasts -------------------------------------------------------------------------------- [GRAPHIC] For a professional perspective on the markets, the economy and timely investment topics, tune in to a State Street Research webcast. Complete Fund Listing -------------------------------------------------------------------------------- [GRAPHIC] For a list of our funds, visit our web site at www.ssrfunds.com under Research Our Funds. State Street Research FYI -------------------------------------------------------------------------------- [COMPUTER] State Street Research offers electronic delivery of quarterly statements, shareholder reports and fund prospectuses. If you elect this option, we will send these materials to you via e-mail. To learn more, visit us on the web at www.ssrfunds.com and click on "Go to Your Account" or call us toll-free at 1-87-SSR-FUNDS (1-877-773-8637). Did you know that you can give a State Street Research mutual fund as a gift? To learn more, call a service center representative at 1-87-SSR-FUNDS (1-877-773-8637), Monday through Friday, 8am-6pm eastern time. [GRAPHIC] The DALBAR awards recognize quality shareholder service and quality shareholder communications, and should not be considered a rating of fund performance. The survey included mutual fund complexes that volunteered or were otherwise selected to participate and was not industrywide. [GRAPHIC] -------------------------------------------------------------------------------- This report must be accompanied or preceded by a current State Street Research Large-Cap Analyst Fund prospectus. When used as sales material after June 30, 2003, in Shareholder Communications this report must be accompanied by a current Quarterly Performance Update. To obtain a prospectus for any State Street Research fund, call 1-87-SSR-FUNDS (1-877-773-8637). The prospectus contains more complete information, including sales charges and expenses. Please read the prospectus carefully before investing or sending money. (C)2003 State Street Research Investment Services, Inc., One Financial Center, Boston, MA 02111-2690 Member NASD, SIPC Cover Image: (C) Photodisc/Getty Images CONTROL NUMBER:(exp0604)SSR-LD LCA-1891-0603