State Street Research
Institutional Funds
Semiannual Report
July 31,2000
One Financial Center o Boston, MA o 02111 o 617 357-1200
<PAGE>
State Street Research State Street Research
Core Fixed Income Fund Core Large Cap Growth Fund
A bond fund focusing A stock fund seeking competitive
on U.S. investment grade total relative to the
fixed-income securities. Standard & Poor's 500 Composite
Stock Index.
State Street Research State Street Research
Core Plus Fixed Income Fund Large Cap Growth Fund
A bond fund investing in investment A stock fund seeking competitive
grade fixed-income securities and total returns relative to the
using an opportunistic approach to Russell 1000 Growth Index.
high yield and foreign securities.
<PAGE>
State Street Research
Core Fixed Income Fund
Investment Portfolio July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
FIXED INCOME SECURITIES 92.4%
U.S. Treasury 12.7%
U.S. Treasury Bond,
11.25% ........................ $50,000 2/15/2015 $ 74,211
U.S. Treasury Bond,
9.25% ......................... 125,000 2/15/2016 163,438
U.S. Treasury Bond,
8.875% ........................ 250,000 2/15/2019 325,000
U.S. Treasury Bond,
8.75% ......................... 350,000 5/15/2020 454,234
U.S. Treasury Bond,
8.75% ......................... 100,000 8/15/2020 129,984
U.S. Treasury Bond,
8.125% ........................ 10,000 5/15/2021 12,339
U.S. Treasury Bond,
6.75% ......................... 125,000 8/15/2026 136,445
U.S. Treasury Bond,
3.875% ........................ 156,299 4/15/2029 156,933
U.S. Treasury Bond,
6.25% ......................... 100,000 5/15/2030 106,531
U.S. Treasury Note,
6.625% ........................ 375,000 7/31/2001 375,468
---------
1,934,583
---------
U.S. Agency Mortgage 44.3%
Federal Home Loan Mortgage Corp.,
6.75% ......................... 50,000 9/15/2029 48,141
Federal National
Mortgage Association,
6.00% ......................... 140,015 12/01/2028 128,507
Federal National
Mortgage Association,
6.50% ......................... 194,723 5/01/2029 184,013
Federal National
Mortgage Association,
6.50% ......................... 363,444 7/01/2029 343,455
Federal National
Mortgage Association,
7.00% ......................... 279,229 8/01/2029 269,805
Federal National
Mortgage Association,
7.00% ......................... 229,943 8/01/2029 217,296
Federal National
Mortgage Association,
7.00% .........................1,184,412 10/01/2029 1,143,692
Federal National
Mortgage Association,
7.00% ......................... 267,269 12/01/2029 258,081
Federal National
Mortgage Association,
7.125% ........................ 125,000 1/15/2030 126,348
Federal National
Mortgage Association,
7.00% ......................... 147,212 2/01/2030 142,380
Federal National
Mortgage Association TBA,
8.00% ......................... 375,000 12/31/2030 376,054
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
Federal National
Mortgage Association TBA,
8.00% ......................... $1,250,000 12/31/2030 $1,231,638
Federal National
Mortgage Association TBA,
8.00% ......................... 350,000 12/31/2030 343,546
Government National
Mortgage Association,
7.00% ......................... 125,198 6/15/2028 121,676
Government National
Mortgage Association,
6.50% ......................... 360,597 3/15/2029 341,889
Government National
Mortgage Association,
7.00% ......................... 487,108 4/15/2029 473,255
Government National
Mortgage Association,
6.50% ......................... 144,925 6/15/2029 137,406
Government National
Mortgage Association,
7.50% ......................... 98,022 10/15/2029 97,132
Government National
Mortgage Association TBA,
8.00% ......................... 450,000 12/31/2030 453,658
Government National
Mortgage Association TBA,
8.00% ......................... 325,000 12/31/2030 322,055
----------
6,760,027
----------
Canadian-Yankee 2.6%
Bombardier Capital Inc. Note,
7.30%+ ........................ 150,000 12/15/2002 149,310
Province of Quebec Deb.,
7.125% ........................ 250,000 2/09/2024 238,725
----------
388,035
----------
Foreign Government 1.6%
Greek Drachma
Republic of Greece,
6.95% ......................... 250,000 3/04/2008 243,243
----------
Finance/Mortgage 17.2%
American General Finance Corp.,
Note, 5.875% .................. $75,000 12/15/2005 69,162
Associates Corp. of North America,
Note, 5.80% ................... 100,000 4/20/2004 93,958
AT&T Corp. Note,
6.50% ......................... 100,000 3/15/2029 84,001
Bank of America, Sr. Note,
7.875% ........................ 75,000 5/16/2005 76,250
Capital One Bank Note,
6.65% ......................... 150,000 3/15/2004 142,782
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE>
State Street Research
Core Fixed Income Fund
Investment Portfolio (cont'd) July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
Citibank Credit Card
Master Trust I,
Series 1999 7 Class A,
6.65% ......................... $ 50,000 11/15/2006 $ 49,016
Conseco Inc. Note,
9.00% ......................... 100,000 10/15/2006 69,500
Deutsche Telekom International
Finance Bv,7.75% .............. 75,000 6/15/2005 75,293
Dynegy Holdings Inc., Sr. Note,
8.125% ........................ 75,000 3/15/2005 75,440
ERAC USA Finance Co. Note,
6.35%+ ........................ 150,000 1/15/2001 149,346
First Union Lehman
Brothers Bank Series
1998-C2 Cl. A1,
6.28% ......................... 264,203 6/18/2007 253,925
Ford Motor Credit Co. Note,
7.00%, ........................ 200,000 9/25/2001 199,080
Ford Motor Credit Co. Note,
7.50%, ........................ 50,000 3/15/2005 49,716
Ford Motor Credit Co. Note,
7.875%, ....................... 75,000 6/15/2010 75,158
GMAC Commercial
Mortgage Security
Inc. 99-C1 Cl. A2,
6.175% ........................ 325,000 5/15/2033 315,250
Household Finance Corp.,
7.875% ........................ 125,000 3/01/2007 125,176
MBNA Master Credit
Card Trust 11, Series
1999 J Class A,
7.00% ......................... 125,000 2/15/2012 124,297
MBNA Master Credit
Card Trust II,
Series 2000 E Note Class A,
7.80% ......................... 125,000 10/15/2012 129,296
Merrill Lynch
Mortgage Investments Inc.
Series 1998-C2 Cl. A1,
6.22% ......................... 180,668 2/15/2030 174,486
Peco Energy Transport
Trust Series 1999A Cl. A4,
5.80% ......................... 150,000 3/01/2007 150,315
West Penn Funding LLC
Series 1999A Cl. A3,
6.81% ......................... 150,000 9/25/2008 147,164
----------
2,628,611
----------
Corporate 14.0%
Alcoa Inc.,
7.375% ........................ 75,000 8/01/2010 75,062
Atlantic Richfield Co. Note,
5.90% ......................... 125,000 4/15/2009 114,295
California Infrastructure
Development Series 1997-A6,
6.38% ......................... 150,000 9/25/2008 145,500
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
CK Witco Corp. Note,
8.50% ......................... $ 50,000 3/15/2005 $ 49,707
Coca-Cola Enterprises Inc.,
5.75% ......................... 75,000 11/01/2008 66,127
Coca-Cola Enterprises Inc. Deb.,
6.95% ......................... 25,000 11/15/2026 22,334
Coca-Cola Enterprises Inc. Deb.,
6.75% ......................... 200,000 9/15/2028 173,676
Conseco Inc. Note,
8.75% ......................... 150,000 2/09/2004 104,250
El Paso Energy Corp. Sr. Note,
6.625% ........................ 100,000 7/15/2001 99,191
El Paso Energy Corp. Sr. Note,
6.75% ......................... 75,000 5/15/2009 70,174
Honeywell International Inc. Note,
7.50% ......................... 50,000 3/01/2010 50,124
International Paper Co. Note,
7.67%+ ........................ 50,000 7/08/2002 50,190
International Paper Co. Note,
8.00%+ ........................ 75,000 7/08/2003 75,557
Kroger Co. Sr. Note Series B,
7.25% ......................... 100,000 6/01/2009 94,444
Lucent Technologies Inc. Deb.,
6.45% ......................... 25,000 3/15/2029 21,662
New Jersey Economic
Development Authority Series A,
7.425% ........................ 150,000 2/15/2029 147,810
News America Inc. Sr. Deb.,
7.28% ......................... 75,000 6/30/2028 65,210
NRG Energy Inc.,
8.00% ......................... 75,000 11/01/2003 75,440
NRG Energy South Central,
8.96% ......................... 25,000 3/15/2016 23,656
Phillips Petroleum Co. Note,
8.50% ......................... 100,000 5/25/2005 103,878
Safeway Inc. Note,
7.00% ......................... 150,000 9/15/2002 148,447
Service Master Co. Note,
8.45% ......................... 75,000 4/15/2005 75,652
United Technologies Corp. Note,
6.70% ......................... 125,000 8/01/2028 112,427
Vodafone AirTouch PLC,
7.75%+ ........................ 175,000 2/15/2010 174,902
----------
2,139,715
----------
Total Fixed Income Securities
(Cost $14,146,999) 14,094,214
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
State Street Research
Core Fixed Income Fund
Investment Portfolio (cont'd) July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER 22.7%
American Express Credit Corp.,
6.49% ......................... $ 107,000 8/03/2000 $ 107,000
American Express Credit Corp.,
6.50% ......................... 650,000 8/16/2000 650,000
Citicorp,
6.48% ......................... 750,000 8/23/2000 750,000
Ford Motor Credit Co.,
6.49% ......................... 434,000 8/18/2000 434,000
General Electric Capital Corp.,
6.45% ......................... 380,000 8/03/2000 380,000
General Electric Capital Corp.,
6.47% ......................... 379,000 8/21/2000 379,000
Wells Fargo Financial Inc.,
6.49% ......................... 755,000 8/14/2000 755,000
----------
Total Commercial Paper
(Cost $3,455,000) 3,455,000
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Value
Shares (Note 1)
--------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS 11.0%
State Street
Navigator Securities
Lending Prime Portfolio,.................. 1,682,064 $ 1,682,064
-----------
Total Short-Term Investments (Cost $1,682,064) 1,682,064
-----------
Total Investments (Cost $19,284,063) - 126.1% 19,231,278
Cash and Other Assets, Less Liabilities - (26.1%) (3,985,932)
-----------
Net Assets - 100.0% ...................... $15,245,346
===========
Federal Income Tax Information:
At July 31, 2000, the net unrealized depreciation of
investments based on cost for Federal income tax
purposes of $19,289,487 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $96,249
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (154,458)
-----------
$(58,209)
===========
</TABLE>
--------------------------------------------------------------------------------
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at July 31, 2000 were $598,724 and $599,305 (3.93% of net assets),
respectively.
Futures contracts open at July 31, 2000, are as follows:
<TABLE>
<CAPTION>
Type Notional Amount Expiration Month Unrealized Depreciation
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10 Year U.S. Treasury Notes $800,000 September, 2000 $(22,854)
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Investment Portfolio July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
FIXED INCOME SECURITIES 92.4%
U.S. Treasury 7.9%
U.S. Treasury Bond,
10.625% ....................... $ 250,000 8/15/2015 $ 358,438
U.S. Treasury Bond,
8.875% ........................ 200,000 2/15/2019 260,000
U.S. Treasury Bond,
7.875% ........................ 150,000 2/15/2021 180,492
U.S. Treasury Bond,
6.75% ......................... 25,000 8/15/2026 27,289
U.S. Treasury Bond,
3.875% ........................ 130,249 4/15/2029 130,778
U.S. Treasury Bond,
6.25% ......................... 50,000 5/15/2030 53,265
U.S. Treasury STRIPS,
0.00% ......................... 50,000 2/15/2021 14,685
----------
1,024,947
----------
U.S. Agency Mortgage 43.0%
Federal Home Loan Mortgage Corp.,
6.75% ......................... 225,000 9/15/2029 216,632
Federal National
Mortgage Association,
5.75% ......................... 100,000 4/15/2003 97,047
Federal National
Mortgage Association,
6.50% ......................... 50,000 8/15/2004 49,133
Federal National
Mortgage Association,
6.50% ......................... 362,541 5/01/2029 342,602
Federal National
Mortgage Association,
6.50% ......................... 354,167 8/01/2029 334,687
Federal National
Mortgage Association,
7.00% ......................... 1,159,737 10/01/2029 1,119,865
Federal National
Mortgage Association,
7.00% ......................... 122,691 11/01/2029 118,473
Federal National
Mortgage Association,
7.00% ......................... 223,865 5/01/2030 216,169
Federal National
Mortgage Association TBA,
8.00% ......................... 200,000 8/16/2030 200,562
Federal National
Mortgage Association TBA,
7.50%, ........................ 1,175,000 8/16/2030 1,157,739
Government National
Mortgage Association,
7.00% ......................... 229,529 6/15/2028 223,072
Government National
Mortgage Association,
7.00% ......................... 116,207 7/15/2028 112,938
Government National
Mortgage Association,
6.50% ......................... 506,064 3/15/2029 479,809
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
Government National
Mortgage Association TBA,
8.50% ......................... $ 100,000 8/23/2030 $ 102,095
Government National
Mortgage Association TBA,
7.00%, ........................ 525,000 8/23/2030 510,069
Government National
Mortgage Association TBA,
8.00%,......................... 325,000 8/23/2030 327,642
----------
5,608,534
----------
Canadian-Yankee 2.3%
Bombardier Capital Inc. Note,
7.30%+ ........................ 125,000 12/15/2002 124,425
British Sky Broadcasting Group Note,
6.875% ........................ 75,000 2/23/2009 63,491
Province of Quebec,
7.125% ........................ 125,000 2/09/2024 119,363
----------
307,279
----------
Foreign Government 2.5%
Greek Drachma
Republic of Greece,
8.80% ......................... 55,000,000 6/19/2007 173,595
Republic of Greece,
6.95% ......................... 50,000 3/04/2008 48,649
New Zealand Dollar
Government of New Zealand,
8.00% ......................... 100,000 11/15/2006 48,266
United Mexican States,
10.375% ....................... $50,000 2/17/2009 53,800
----------
324,310
----------
Finance/Mortgage 11.6%
Capital One Bank Note,
6.65% ......................... 125,000 3/15/2004 118,985
Conseco Inc. Note,
8.75% ......................... 125,000 2/09/2004 86,875
Conseco Inc. Note,
7.875% ........................ 75,000 12/15/2000 69,000
Conseco Inc. Note,
9.00% ......................... 75,000 10/15/2006 52,125
Conseco Inc. Sr. Note,
6.40% ......................... 75,000 6/15/2001 63,000
DLJ Commercial
Mortgage Corp. 98-C2,
6.24% ......................... 150,000 11/12/2031 138,914
First Union Lehman
Brothers Bank Series
1998-C2 Cl. A1,
6.28% ......................... 330,253 6/18/2007 317,407
Ford Motor Credit Co.,
7.875% ........................ 125,000 6/15/2010 125,264
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Investment Portfolio (cont'd) July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
GMAC Commercial
Mortgage Security Inc.
1999-C1 Cl. A2,
6.175% ........................ $ 150,000 5/15/2033 $ 145,500
MBNA Master Credit
Card Trust Series
1999 J Class A,
7.00% ......................... 125,000 2/15/2012 124,297
Peco Energy Transport
Trust Series 1999A Cl. A4,
5.80% ......................... 150,000 3/01/2007 150,315
West Penn Funding LLC
Series 1999A Cl. A3,
6.81% ......................... 125,000 9/25/2008 122,637
----------
1,514,319
----------
Corporate 25.1%
Albertsons Inc. Sr. Deb.,
7.45% ......................... 75,000 8/01/2029 70,214
Alcoa Inc. Note,
7.375% ........................ 75,000 8/01/2010 75,061
Allied Waste
North America Inc. Sr. Note,
7.625% ........................ 75,000 1/01/2006 67,688
AT&T Corp. Note,
6.50% ......................... 100,000 3/15/2029 84,001
Atlantic Richfield Co. Note,
5.90% .......................... 125,000 4/15/2009 114,295
Beckman Coulter Inc. Sr. Note,
7.45% ......................... 50,000 3/04/2008 45,679
California Infrastructure
Development Series 1997-A6,
6.38% ......................... 150,000 9/25/2008 145,500
Calpine Corp. Sr. Note,
7.75% ......................... 50,000 4/15/2009 47,035
CK Witco Corp. Sr. Note,
8.50% ......................... 25,000 3/15/2005 24,853
Clear Channel
Communications Sr. Note,
7.312% ........................ 50,000 6/15/2002 50,020
Coca-Cola Enterprises Inc.,
5.75% ......................... 75,000 11/01/2008 66,127
Coca-Cola Enterprises Inc. Deb.,
6.75% ......................... 175,000 9/15/2028 151,966
Columbia / HCA Healthcare Corp. Note,
7.58% ......................... 125,000 9/15/2025 101,875
Dominion Resources Inc. Sr. Note,
7.625% ........................ 75,000 7/15/2005 75,003
Duke Energy Co. Sr. Note,
7.375% ........................ 75,000 3/01/2010 73,733
Dynegy Holdings Inc. Sr. Note,
8.125% ........................ 75,000 3/15/2005 75,440
Echostar DBS Corp. Sr. Note,
9.375% ........................ 50,000 2/01/2009 48,375
El Paso Energy Corp. Sr. Note,
6.625% ........................ 125,000 7/15/2001 123,989
Electronic Data Systems Corp. Note,
7.45% ......................... 100,000 10/15/2029 97,433
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
Global Crossing Holdings Ltd. Sr. Note,
9.50% ......................... $ 50,000 11/15/2009 $ 48,500
GTE Corp. Deb.,
6.94% ......................... 75,000 4/15/2028 67,946
Harrah's Operating Inc.
Sr. Sub. Note,
7.875% ........................ 50,000 12/15/2005 47,500
Honeywell International Inc. Note,
7.50% ......................... 50,000 3/01/2010 50,124
International Paper Co. Note,
8.00%+ ........................ 150,000 7/08/2003 151,114
Kroger Co. Sr. Note Series B,
7.25% ......................... 75,000 6/01/2009 70,833
Lear Corp. Sr. Note Series B,
7.96% ......................... 75,000 5/15/2005 70,223
Lockheed Martin Corp. Note,
7.95% ......................... 75,000 12/01/2005 75,517
MGM Grand Inc. Note,
9.75% ......................... 50,000 6/01/2007 51,375
News America Inc. Sr. Deb.,
7.28% ......................... 100,000 6/30/2028 86,947
NRG Energy Inc.,
8.00% ......................... 75,000 11/01/2003 75,440
Park Place Entertainment Corp.
Sr. Sub. Note,
9.375% ........................ 50,000 2/15/2007 50,250
Peco Energy Transition
Trust Note Series 2000 A Cl. A4,
7.65% ......................... 75,000 3/01/2010 75,101
Phillips Petroleum Co. Note,
8.50% ......................... 50,000 5/25/2005 51,939
Pioneer Natural Resources Co. Sr. Note,
9.625% ........................ 50,000 4/01/2010 52,000
Safeway Inc. Note,
7.00% ......................... 150,000 9/15/2002 148,447
Scotts Co. Sr. Sub. Note,
8.625%+ ....................... 50,000 1/15/2009 46,750
Service Master Co. Note,
8.45% ......................... 50,000 4/15/2005 50,435
Sprint Capital Corp.,
7.625% ........................ 75,000 6/10/2002 75,005
Tenet Healthcare Corp. Sr. Note,
8.00% ......................... 50,000 1/15/2005 48,688
Tyco International Group S A,
6.25%+ ........................ 75,000 9/05/2002 74,251
United Technologies Corp. Note,
6.70% ......................... 75,000 8/01/2028 67,457
Vodafone AirTouch PLC,
7.75%+ ........................ 75,000 2/15/2010 74,958
Waste Management Inc. Note,
7.70% ......................... 50,000 10/01/2002 48,842
Williams Communications Corp. Sr. Note,
10.70% ........................ 75,000 10/01/2007 72,375
----------
3,270,304
----------
Total Fixed Income Securities
(Cost $12,122,916) 12,049,693
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Investment Portfolio (cont'd) July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
--------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER 23.9%
American Express Credit Corp.,
6.49% ......................... $ 300,000 8/02/2000 $ 300,000
American Express Credit Corp.,
6.51% ......................... 156,000 8/16/2000 156,000
American Express Credit Corp.,
6.48% ......................... 176,000 8/23/2000 176,000
Associates First Capital Corp.,
6.46% ......................... 318,000 8/07/2000 318,000
Citicorp,
6.48% ......................... 500,000 8/23/2000 500,000
Ford Motor Credit Co.,
6.49% ......................... 525,000 8/18/2000 525,000
General Electric Capital Corp.,
6.45% ......................... 154,000 8/02/2000 154,000
General Electric Capital Corp.,
6.50% ......................... 344,000 8/16/2000 344,000
Wells Fargo Financial Inc.,
6.49% ......................... 648,000 8/14/2000 648,000
----------
3,121,000
----------
Total Commercial Paper
(Cost $3,121,000) 3,121,000
----------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
Value
Shares (Note 1)
--------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS 7.7%
State Street
Navigator Securities
Lending Prime Portfolio, ................. 1,003,469 $ 1,003,469
-----------
Total Short-Term Investments (Cost $1,003,469) 1,003,469
-----------
Total Investments (Cost $16,247,385) - 124.0% 16,174,162
Cash and Other Assets, Less Liabilities - (24.0%) (3,131,560)
-----------
Net Assets - 100.0% ...................... $13,042,602
===========
Federal Income Tax Information:
At July 31, 2000, the net unrealized depreciation of
investments based on cost for Federal income tax
purposes of $16,249,888 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $93,064
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (168,790)
-----------
$(75,726)
===========
</TABLE>
--------------------------------------------------------------------------------
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at July 31, 2000 were $469,880 and $471,498 (3.62% of net assets),
respectively.
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Investment Portfolio (cont'd) July 31, 2000 (Unaudited)
Forward currency exchange contracts outstanding at July 31, 2000 are as follows:
<TABLE>
<CAPTION>
Unrealized
Appreciation
Total Value Contract Price (Depreciation) Delivery Date
-------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
Sell Euro, Buy U.S. dollars.............. 24,900 EUR 0.90910 EUR ($444) 8/18/00
Sell Greek drachma, Buy U.S. dollars..... 4,955,000 GRD 0.00284 GRD 453 8/18/00
Sell Greek drachma, Buy U.S. dollars..... 13,646,000 GRD 0.00283 GRD 1,222 8/22/00
Sell Greek drachma, Buy U.S. dollars..... 7,000,000 GRD 0.00281 GRD 425 8/22/00
Sell Greek drachma, Buy U.S. dollars..... 5,385,000 GRD 0.00284 GRD 500 9/11/00
Buy New Zealand dollars, Sell U.S. dollars 101,000 NZD 0.47410 NZD (2,115) 8/18/00
Buy New Zealand dollars, Sell U.S. dollars 52,000 NZD 0.46134 NZD (378) 8/18/00
Sell New Zealand dollars, Buy U.S. dollars 260,000 NZD 0.47250 NZD 4,794 8/18/00
--------------
$4,457
==============
</TABLE>
Futures contracts open at July 31, 2000, are as follows:
<TABLE>
<CAPTION>
Type Notional Amount Expiration Month Unrealized Depreciation
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5 year U.S. Treasury Notes $200,000 September, 2000 $(5,061)
10 year U.S. Treasury Notes $700,000 September, 2000 $(22,721)
--------------
$(27,782)
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
State Street Research
Core Large Cap Growth Fund
Investment Portfolio July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS 98.0%
Consumer Discretionary 11.9%
Advertising Agencies 1.4%
Omnicom Group Inc. .................. 200 $ 17,000
--------
Commercial Services 1.3%
America Online Inc.* ................ 300 15,994
--------
Communications, Media & Entertainment 5.5%
U.S.A. Networks Inc.* ............... 605 12,743
Viacom Inc. Cl. B* .................. 550 36,498
Walt Disney Co. ..................... 405 15,668
--------
64,909
--------
Retail 3.7%
Best Buy Company Inc.* .............. 100 7,275
Home Depot Inc. ..................... 200 10,350
Staples Inc.* ....................... 705 9,738
Wal-Mart Stores, Inc. ............... 300 16,481
--------
43,844
--------
Total Consumer Discretionary 141,747
--------
Consumer Staples 5.0%
Beverages 3.6%
Anheuser-Busch Companies, Inc. ...... 310 24,955
Coca-Cola Co. ....................... 300 18,394
--------
43,349
--------
Drug & Grocery Store Chains 1.4%
CVS Corp. ........................... 405 15,972
--------
Total Consumer Staples 59,321
--------
Financial Services 16.3%
Banks & Savings & Loan 1.5%
Chase Manhattan Corp. ............... 357 17,739
--------
Insurance 7.6%
Ace Ltd. ............................ 805 28,980
American International Group Inc. ... 300 26,306
Chubb Corp. ......................... 180 13,320
Saint Paul Companies, Inc. .......... 510 22,663
--------
91,269
--------
Miscellaneous Financial 7.2%
Citigroup, Inc. ..................... 605 42,690
Marsh & McLennan Companies, Inc. .... 200 24,400
Morgan Stanley Dean Witter & Co. .... 200 18,250
--------
85,340
--------
Total Financial Services 194,348
--------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
Health Care 11.2%
Drugs & Biotechnology 9.8%
American Home Products Corp. ........ 300 $15,919
Baxter International Inc. ........... 315 24,491
Pfizer Inc. ......................... 860 37,088
Pharmacia Corp. ..................... 710 38,872
--------
116,370
--------
Hospital Supply 1.4%
Guidant Corp.* ...................... 305 17,194
--------
Total Health Care 133,564
--------
Integrated Oils 3.5%
Integrated Domestic 1.0%
Conoco Inc. Cl. B ................... 510 11,762
--------
Integrated International 2.5%
Exxon Mobil Corp. ................... 200 16,000
Total Fina SA ADR ................... 195 14,345
--------
30,345
--------
Total Integrated Oils 42,107
--------
Other 7.6%
Multi-Sector 7.6%
General Electric Co. ................ 920 47,322
Tyco International Ltd. ............. 810 43,335
--------
Total Other 90,657
--------
Other Energy 4.9%
Offshore Drilling 1.8%
Transocean Sedco Forex Inc.* ........ 440 21,780
--------
Oil & Gas Producers 1.6%
Anadarko Petroleum Corp. ............ 415 19,842
--------
Oil Well Equipment & Services 1.5%
Noble Drilling Corp.* ............... 405 17,643
--------
Total Other Energy 59,265
--------
Producer Durables 1.5%
Telecommunications Equipment 1.5%
American Tower Corp. Cl. A* ......... 410 17,579
--------
Total Producer Durables 17,579
--------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
State Street Research
Core Large Cap Growth Fund
Investment Portfolio (cont'd) July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
Technology 33.1%
Communications Technology 12.2%
Cisco Systems Inc.* ................. 710 $ 46,460
Comverse Technology Inc.* ........... 220 19,305
Corning Inc. ........................ 100 23,394
General Motors Corp. Cl. H* ......... 990 25,616
Nortel Networks Corp. ............... 410 30,494
--------
145,269
--------
Computer Software 5.4%
Amdocs Ltd.* ........................ 160 10,750
Microsoft Corp.* .................... 510 35,604
Oracle Systems Corp.* ............... 100 7,519
Veritas Software Co.* ............... 100 10,194
--------
64,067
--------
Computer Technology 5.1%
Corvis Corp.* ....................... 100 8,233
Dell Computer Corp.* ................ 325 14,280
EMC Corp.* .......................... 300 25,537
International Business Machines Corp. 110 12,368
--------
60,418
--------
Electronics 5.0%
Nokia Corp. ADR ..................... 305 13,515
PE Biosystems Group Corp. ........... 210 18,310
Solectron Corp.* .................... 705 28,420
--------
60,245
--------
Electronics: Semi-Conductors/Components 5.4%
Intel Corp. ......................... 610 40,718
Texas Instruments Inc. .............. 405 23,768
--------
64,486
--------
Total Technology 394,485
--------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
Utilities 3.0%
Telecommunications 3.0%
NEXTLINK Communications Inc. Cl. A* . 300 $ 9,919
Voicestream Wireless Corp.* ......... 110 14,108
Worldcom Inc.* ...................... 310 12,109
----------
Total Utilities 36,136
----------
Total Common Stocks (Cost $988,194) 1,169,209
----------
SHORT-TERM INVESTMENTS 24.8%
State Street Navigator
Securities Lending
Prime Portfolio ..................... 295,432 295,432
----------
Total Short-Term Investments (Cost $295,432) 295,432
----------
Total Investments (Cost $1,283,626) - 122.8% 1,464,641
Cash and Other Assets, Less Liabilities-(22.8%) (272,159)
----------
Net Assets - 100.0% ................. $1,192,482
==========
Federal Income Tax Information:
At July 31, 2000, the net unrealized appreciation of
investments based on cost for Federal income tax
purposes of $1,283,626 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $226,860
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (45,845)
---------
$181,015
=========
</TABLE>
--------------------------------------------------------------------------------
*Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
State Street Research
Large Cap Growth Fund
Investment Portfolio July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS 99.6%
Consumer Discretionary 10.4%
Advertising Agencies 1.0%
Omnicom Group Inc. .................. 160 $ 13,600
--------
Commercial Services 1.6%
America Online Inc.* ................ 400 21,325
--------
Communications, Media & Entertainment 4.1%
U.S.A. Networks Inc.* ............... 700 14,744
Viacom Inc. Cl. B* .................. 434 28,780
Walt Disney Co. ..................... 300 11,606
--------
55,130
Retail 3.7%
Best Buy Company Inc.* .............. 200 14,550
Home Depot Inc. ..................... 250 12,937
Wal-Mart Stores, Inc................. 400 21,975
--------
49,462
--------
Total Consumer Discretionary 139,517
--------
Consumer Staples 3.5%
Beverages 3.5%
Anheuser-Busch Companies, Inc. ...... 360 28,980
Coca-Cola Co. ....................... 300 18,394
--------
Total Consumer Staples 47,374
--------
Financial Services 4.2%
Miscellaneous Financial 4.2%
Citigroup, Inc. ..................... 250 17,641
Marsh & McLennan Companies, Inc. .... 200 24,400
Morgan Stanley Dean Witter & Co. .... 150 13,687
--------
Total Financial Services 55,728
--------
Health Care 14.4%
Drugs & Biotechnology 12.0%
American Home Products Corp. ........ 200 10,613
Baxter International Inc. ........... 400 31,100
Genentech, Inc.* .................... 100 15,212
Johnson & Johnson ................... 160 14,890
Pfizer Inc. ......................... 1,175 50,672
Pharmacia Corp. ..................... 700 38,325
--------
160,812
--------
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
Hospital Supply 2.4%
Guidant Corp.* ...................... 300 $ 16,912
Medtronic Inc. ...................... 300 15,319
--------
32,231
--------
Total Health Care 193,043
--------
Other 7.7%
Multi-Sector 7.7%
General Electric Co. ................ 1,500 77,156
Tyco International Ltd. ............. 500 26,750
--------
Total Other 103,906
--------
Other Energy 3.7%
Offshore Drilling 2.6%
Transocean Sedco Forex Inc.* ........ 700 34,650
--------
Oil & Gas Producers 1.1%
Anadarko Petroleum Corp. ............ 300 14,344
--------
Total Other Energy 48,994
--------
Producer Durables 1.0%
Telecommunications Equipment 1.0%
American Tower Corp. Cl. A* ......... 300 12,863
--------
Total Producer Durables 12,863
--------
Technology 52.8%
Communications Technology 19.1%
Cisco Systems Inc.* ................. 1,500 98,156
Comverse Technology Inc.*........... 250 21,937
Corning Inc. ........................ 70 16,376
General Motors Corp. Cl. H* ......... 990 25,616
Inktomi Corp.* ...................... 100 10,700
JDS Uniphase Corp. .................. 100 11,813
Juniper Networks Inc. ............... 100 14,244
Nortel Networks Corp. ............... 600 44,625
Sycamore Networks Inc. .............. 100 12,331
--------
255,798
--------
Computer Software 8.5%
Amdocs Ltd.* ........................ 190 12,766
Mercury Interactive Corp.* .......... 100 9,926
Microsoft Corp.* .................... 800 55,850
Oracle Systems Corp.* ............... 260 19,549
Veritas Software Co.* ............... 160 16,310
--------
114,401
--------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
State Street Research
Large Cap Growth Fund
Investment Portfolio (cont'd)
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
Computer Technology 8.5%
Corvis Corp.* ....................... 100 $ 8,233
Dell Computer Corp.* ................ 540 23,726
EMC Corp.* .......................... 500 42,563
International Business Machines Corp. 190 21,363
Sun Microsystems Inc.* .............. 170 17,924
---------
113,809
---------
Electronics 5.3%
Nokia Corp. ADR ..................... 400 17,725
PE Biosystems Group Corp. ........... 200 17,438
Solectron Corp.* .................... 900 36,281
---------
71,444
---------
Electronics: Semi-Conductors/Components 11.4%
Analog Devices Inc.* ................ 440 29,425
Intel Corp. ......................... 1,200 80,100
PMC Sierra Inc.* .................... 100 19,387
Texas Instruments Inc. .............. 400 23,475
---------
152,387
---------
Total Technology 707,839
---------
Utilities 1.9%
Telecommunications 1.9%
NEXTLINK Communications Inc. Cl. A* . 400 13,225
Voicestream Wireless Corp.* ......... 100 12,825
---------
Total Utilities 26,050
---------
Total Common Stocks (Cost $1,068,900) 1,335,314
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------------------------------
Value
Shares (Note 1)
------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS 22.2%
State Street Navigator
Securities Lending
Prime Porfolio ...................... 297,021 $ 297,021
----------
Total Short-Term Investments (Cost $297,021) 297,021
----------
Total Investments (Cost $1,365,921) - 121.8% 1,632,335
Cash and Other Assets, Less Liabilities-(21.8%) (292,341)
----------
Net Assets - 100.0% ................. $1,339,994
==========
Federal Income Tax Information:
At July 31, 2000, the net unrealized appreciation of
investments based on cost for Federal income tax
purposes of $1,365,921 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $307,675
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (41,261)
----------
$266,414
==========
</TABLE>
--------------------------------------------------------------------------------
*Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
State Street Research
Institutional Funds
Statements of Assets and Liabilities July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
State Street Research State Street Research State Street Research State Street Research
Core Fixed Core Plus Fixed Core Large Cap Large Cap
Income Fund Income Fund Growth Fund Growth Fund
--------------------- --------------------- --------------------- ---------------------
<S> <C> <C> <C> <C>
Assets
Investments, at value ................... $ 19,231,278 $ 16,174,162 $ 1,464,641 $ 1,632,335
Cash ................................... 248,857 5,133 26,589 --
Receivable for securities sold .......... -- -- 16,417 11,133
Receivable for open forward contracts ... -- 7,394 -- --
Interest and dividends receivable ....... 195,238 178,401 229 252
Receivable from Adviser ................. 14,961 12,898 1,176 1,348
-------------- -------------- -------------- --------------
19,690,334 16,377,988 1,509,052 1,645,068
Liabilities
Payable for collateral recieved on securities loaned 1,682,064 1,003,469 295,432 297,021
Payable for securities purchased ........ 2,741,976 2,308,347 19,031 3,600
Payable for open forward contracts ...... -- 2,937 -- --
Payable for variation margin ............ 250 313 -- --
Accrued management fee (Note 2) ......... 15,113 17,423 1,655 1,908
Accrued shareholder service fee (Note 5) 5,585 2,898 452 681
Other accrued expenses .................. -- -- -- 1,864
-------------- -------------- -------------- --------------
4,444,988 3,335,387 316,570 305,074
-------------- -------------- -------------- --------------
Net Assets $ 15,245,346 $ 13,042,602 $ 1,192,482 $ 1,339,994
============== ============== ============== ==============
Net Assets consist of:
Undistributed net investment income $ 183,871 $ 130,242 $ 1,009 --
Unrealized appreciation (depreciation)
of investments ................ (52,785) (73,224) 181,015 $ 266,414
Unrealized depreciation of futures contracts (22,854) (27,782) -- --
Unrealized appreciation of forward contracts
and foreign currency ......... -- 4,489 -- --
Accumulated net realized gain (loss) (79,133) (68,541) 2,081 42,034
Paid-in capital ................... 15,216,247 13,077,418 1,008,377 1,031,546
-------------- -------------- -------------- --------------
$ 15,245,346 $ 13,042,602 $ 1,192,482 $ 1,339,994
============== ============== ============== ==============
Net Assets - Class I .................... $ 5,659,677 $ 500,616 $ 290,691 $ 326,769
Shares .................................. 564,180 50,278 25,010 25,445
Net Asset Value and redemption price per share of
Class I shares .......................... 10.03 9.96 11.62 12.84
Net Assets - Class II ................... $ 503,193 $ 500,737 $ 290,792 $ 326,910
Shares .................................. 50,162 50,278 25,010 25,445
Net Asset Value and offering price per share of
Class II shares ......................... 10.03 9.96 11.63 12.85
Net Assets - Class III.................. $ 503,243 $ 500,782 $ 290,918 $ 327,052
Shares .................................. 50,162 50,278 25,010 25,445
Net Asset Value and offering price per share of
Class III shares ........................ 10.03 9.96 11.63 $12.85
Net Asset Value - Class IV .............. $ 8,579,233 $ 11,540,467 $ 320,081 $ 359,263
Shares .................................. 855,091 1,158,666 27,510 27,945
Net Asset Value and offering price per share of
Class IV shares ......................... 10.03 9.96 11.64 12.86
Cost of Investments ..................... $ 19,284,063 $ 16,247,386 $ 1,283,626 $ 1,365,921
============== ============== ============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
State Street Research
Institutional Funds
Statements of Operations
For the six months ended July 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
State Street Research State Street Research State Street Research State Street Research
Core Fixed Core Plus Fixed Core Large Cap Large Cap
Income Fund Income Fund Growth Fund Growth Fund
--------------------- --------------------- --------------------- ---------------------
<S> <C> <C> <C> <C>
Investment Income
Dividends ............................... -- $ -- $ 3,742 $ 2,555
Interest (Note 1)........................ $ 521,916 462,841 233 350
---------- ---------- --------- ---------
521,916 462,841 3,975 2,905
Expenses
Management fee (Note 2) ................. 29,923 25,797 3,235 3,707
Shareholder service fee - Class I (Note 5) 8,258 742 430 493
Shareholder service fee - Class ll (Note 5) 497 495 287 329
Shareholder service fee - Class lll (Note 5) 248 248 143 165
Shareholder service fee - Class lV (Note 5) 2,127 2,853 79 90
---------- ---------- --------- ---------
41,053 30,135 4,174 4,784
Expenses borne by the Adviser (Note 3) .. (14,961) (12,898) (1,176) (1,348)
---------- ---------- --------- ---------
26,092 17,237 2.998 3,436
---------- ---------- --------- ---------
Net investment income (loss) ............ 495,824 445,604 977 (531)
---------- ---------- --------- ---------
Realized and Unrealized Gain (Loss) on Investments,
Foreign Currency, Forward Contracts and
Futures Contracts
Net realized gain on investments (Notes 1 and 4) 2,464 3,228 10,239 42,035
Net realized loss on futures contracts (Note 1) (2,148) (2,612) -- --
Net realized loss on forward contracts
and foreign currency (Note 1)...... -- (24,888) -- --
---------- ---------- --------- ---------
Total net realized gain (loss) .... 316 (24,272) 10,239 42,035
---------- ---------- --------- ---------
Net unrealized appreciation of investments 192,299 157,991 76,921 52,834
Net unrealized depreciation of futures contracts (23,340) (27,782) -- --
Net unrealized depreciation of forward contracts
and foreign currency............... -- (6,509) -- --
---------- ---------- --------- ---------
Total net unrealized appreciation 168,959 123,700 76,921 52,834
---------- ---------- --------- ---------
Net gain on investments, foreign currency
and forward contracts.............. 169,275 99,428 87,160 94,869
---------- ---------- --------- ---------
Net increase in net assets
resulting from operations ......... $ 665,099 $ 545,032 $ 88,137 $ 94,338
========== ========== ======== =========
</TABLE>
The accompanying notes are integral part of the financial statements.
13
<PAGE>
State Street Research
Institutional Funds
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
State Street Research State Street Research
Core Fixed Income Fund Core Plus Fixed Income Fund
------------------------------------ -----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) January 31, 2000 (Unaudited)
----------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net investment income.................... $ 433,069 $ 495,824 $ 405,850 $ 445,604
Net realized gain (loss)
on investments, foreign currency,
forward contracts and futures contracts.. (33,470) 316 41,012 (24,272)
Net unrealized appreciation
of investments, foreign currency,
forward contracts, and futures contracts (244,598) 168,959 (220,217) 123,700
------------ ------------ ------------ ------------
Net increase resulting from operations .. 155,001 665,099 226,645 545,032
------------ ------------ ------------ ------------
Dividends from net investment income:
Class I............................ (123,965) (146,834) (12,522) (15,335)
Class II........................... (11,677) (13,544) (12,738) (15,586)
Class III.......................... (11,877) (13,795) (12,948) (15,837)
Class IV .......................... (204,527) (236,860) (300,920) (368,456)
------------ ------------ ------------ ------------
(352,046) (411,033) (339,128) (415,214)
------------ ------------ ------------ ------------
Distributions from capital gains:
Class I............................ (16,215) -- (2,656) --
Class II........................... (1,509) -- (2,656) --
Class III.......................... (1,509) -- (2,656) --
Class IV .......................... (25,702) -- (61,196) --
------------ ------------ ------------ ------------
(44,935) -- (69,164) --
------------ ------------ ------------ ------------
Net increase from fund share
transactions (Note 6) ............. 15,099,714 133,546 13,094,431 --
------------ ------------ ------------ ------------
Total increase in net assets ............ 14,857,734 387,612 12,912,784 129,818
Net Assets
Beginning of period ..................... -- 14,857,734 -- 12,912,784
------------ ------------ ------------ ------------
End of period* .......................... $ 14,857,734 $ 15,245,346 $ 12,912,784 $ 13,042,602
============ ============ ============ ============
</TABLE>
*(Including undistributed net investment income of $99,080, $183,871, $99,852,
and $130,242, respectively).
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
State Street Research
Institutional Funds
Statements of Changes in Net Assets (cont'd)
<TABLE>
<CAPTION>
State Street Research State Street Research
Core Large Cap Growth Fund Large Cap Growth Fund
------------------------------------ -----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) January 31, 2000 (Unaudited)
----------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net investment income (loss)............. $ 1,414 $ 977 $ 195 $ (531)
Net realized gain (loss)
on investments, foreign currency,
forward contracts and futures contracts.. (8,158) 10,239 24,352 42,035
Net unrealized appreciation
of investments, foreign currency,
forward contracts, and futures contracts 104,094 76,921 213,580 52,834
------------ ------------ ------------ ------------
Net increase resulting from operations .. 97,350 88,137 238,127 94,338
------------ ------------ ------------ ------------
Dividends from net investment income:
Class I............................ -- (4,227) -- (3,926)
Class II........................... -- (4,427) -- (4,127)
Class III.......................... -- (4,602) -- (4,327)
Class IV .......................... -- (5,139) -- (4,869)
------------ ------------ ------------ ------------
-- (18,395) -- (17,249)
------------ ------------ ------------ ------------
Distributions from capital gains:
Class I............................ -- -- -- (5,939)
Class II........................... -- -- -- (5,939)
Class III.......................... -- -- -- (5,939)
Class IV .......................... -- -- -- (6,535)
------------ ------------ ------------ ------------
-- -- -- (24,352)
------------ ------------ ------------ ------------
Net increase from fund share
transactions (Note 6) ............. 1,025,390 -- 1,025,374 23,756
------------ ------------ ------------ ------------
Total increase in net assets ............ 1,122,740 69,742 1,263,501 76,493
Net Assets
Beginning of period ..................... -- 1,122,740 -- 1,263,501
------------ ------------ ------------ ------------
End of period* .......................... $ 1,122,740 $ 1,192,482 $ 1,263,501 $ 1,339,994
============ ============ ============ ============
</TABLE>
*(Including undistributed net investment income of $18,427, $1,009, $17,208, and
$0, respectively).
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
State Street Research
Institutional Funds
Notes to Unaudited Financial Statements July 31, 2000
Note 1
------
State Street Research Institutional Funds (the "Trust") is a Massachusetts
business trust organized on March 3, 1999 and is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Trust consists presently of four separate funds: State Street Research Core
Fixed Income Fund (the "Core Fixed Fund"), State Street Research Core Plus Fixed
Income Fund (the "Core Plus Fund"), State Street Research Core Large Cap Growth
Fund (the "Core Large Cap Growth Fund") and State Street Research Large Cap
Growth Fund (the "Large Cap Growth Fund") (collectively the "Funds").
The investment objectives of the Funds are as follows: The Core Fixed Fund and
the Core Plus Fund seek competitive total returns primarily from investing in
fixed income securities. The Core Large Cap Growth Fund and the Large Cap Growth
Fund seek to provide long-term growth of capital.
The Funds each offer four classes of shares. Class I shares of Core Large Cap
Growth Fund and Large Cap Growth Fund may only be purchased by certain
institutional investors, such as retirement plans, foundations, endowments,
corporations, partnerships, trusts, or similar institutional investors. Class I
shares of Core Fixed Fund and Core Plus Fund may only be purchased by
institutional investors, as well as private clients with existing advisory
relationships with State Street Research & Management Company (the "Advisor"),
an indirect wholly owned subsidiary of MetLife, Inc ("MetLife"). The minimum
initial investment for Class I shares is $1 million. Class I shares pay a
shareholder service fee of 0.30% of average net assets. Class II, Class III and
Class IV shares may only be purchased by institutional investors, as well as
private clients with existing advisory relationships with the Adviser. The
minimum initial investment for Class II, Class III and Class IV shares are $5
million, $15 million and $25 million, respectively. The shareholder service fees
for Class II, Class III and Class IV shares are 0.20%, 0.10% and 0.05%,
respectively.
The Funds' expenses are borne pro-rata by each class, except that each class
bears expenses, and has exclusive voting rights 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
Funds in preparing their financial statements, and such policies are in
conformity with generally accepted accounting principles.
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. Fixed Income securities are valued by a
pricing service, which utilizes market transactions, quotations from dealers,
and various relationships among securities in determining value. 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.
B. Forward Contracts and Foreign Currencies
The Core Plus Fund has entered into forward foreign exchange contracts in
order to hedge its exposure to changes in foreign currency exchange rates on
its foreign portfolio holdings and to hedge certain purchase and
16
<PAGE>
State Street Research
Institutional Funds
Notes (cont'd) July 31, 2000
sale commitments denominated in foreign currencies. A forward foreign
currency exchange contract is an obligation by a fund to purchase or sell a
specific currency at a future date, which may be any fixed number of days
from the origination date of the contract. Forward foreign currency exchange
contracts establish an exchange rate at a future date. These contracts are
transferable in the interbank market conducted directly between currency
traders (usually large commercial banks) and their customers. Risk may arise
from the potential liability of a counterparty to meet the terms of a
contract and from unanticipated movements in the value of foreign currencies
relative to the U.S. dollar. The aggregate principal amount of forward
currency exchange contracts is recorded in a fund's accounts. All commitments
are marked-to-market at the applicable transaction rates resulting in
unrealized gains or losses. A fund records realized gains or losses at the
time the forward contracts are extinguished by entry into a closing contract
or by delivery of the currency. Neither spot transactions nor forward
currency exchange contracts eliminate fluctuations in the prices of a fund's
portfolio securities or in foreign exchange rates, or prevent loss if the
price of these securities should decline.
Securities quoted in foreign currencies are translated into U.S. dollars at
the current exchange rate. Gains and losses that arise from changes in
exchange rates are not segregated from gains and losses that arise from
changes in market prices of investments.
C. 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.
D. 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 Funds. Interest income is accrued daily as earned. Dividend income is
accrued on the ex-dividend date. Discount on debt obligations is amortized
under the effective yield method. The Funds are charged for expenses directly
attributable to them, while indirect expenses are allocated among all funds
in the Trust.
E. Dividends
Dividends from net investment income are declared and paid or reinvested
quarterly for the Cored Fixed Fund and the Core Plus Fund and annually, if
any, for the Core Large Cap Growth Fund and the Large Cap Growth Fund. Net
realized capital gains, if any, are distributed annually, unless additional
distributions are required for compliance with applicable tax regulations.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations, which may differ from generally accepted
accounting principles. The difference is primarily due to differing
treatments for foreign currency transactions, paydown gain and losses and
wash sale deferrals.
F. Federal Income Tax
No provision for Federal income taxes is necessary because the Funds intend
to qualify under Subchapter M of the Internal Revenue Code and their policy
is to distribute all of their taxable income, including realized capital
gains, within the prescribed time periods.
At January 31, 2000, the Core Large Cap Growth Fund had a capital loss
carryforward of $8,158 available, to the extent provided in regulations, to
offset future capital gains, if any, which expires January 31, 2008.
17
<PAGE>
State Street Research
Institutional Funds
Notes (cont'd) July 31, 2000
In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the Funds are required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the Funds are
permitted to defer into their next fiscal year any net capital losses
incurred between each November 1 and the end of their fiscal years. From
November 1, 1999 through January 31, 2000, the Core Fixed Fund and the Core
Plus Fund incurred net capital losses of approximately $72,000 and $43,000,
respectively, and intend to defer and treat such losses as arising in the
fiscal year ended January 31, 2001.
G. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles 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 those estimates.
H. Futures
The Core Fixed and Core Plus Funds have entered into future contracts as a
hedge against unfavorable market conditions and to enhance income. The Funds
will not purchase any futures contract if, after such purchase, more than
one-third of net assets would be represented by long futures contracts. The
Funds will limit their risks by entering into a futures position only if it
appears to be a liquid investment.
Upon entering into a futures contract, the Funds deposit with the selling
broker sufficient cash or U.S. Government securities to meet the minimum
"initial margin" requirements. Thereafter, the Funds receive from or pay to
the broker cash or U.S. Government securities equal to the daily fluctuation
in value of the contract ("variation margin"), which is recorded as
unrealized gain or loss. When the contract is closed, the Funds record a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
I. Securities Lending
The Funds may seek additional income by lending portfolio securities to
qualified institutions. The Funds 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 Funds 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
Funds will bear the loss. At July 31, 2000, the value of the securities
loaned and the value of the collateral were as follows:
<TABLE>
<CAPTION>
Market Value Collateral
------------ ----------
<S> <C> <C>
Core Fixed Fund $1,647,761 $1,682,064
Core Plus Fund $982,126 $1,003,469
Core Large Cap Growth Fund $268,012 $295,432
Large Cap Growth Fund $278,882 $297,021
</TABLE>
During the six months ended July 31, 2000, income from securities lending for
Core Fixed Fund, Core Plus Fund, Core Large Cap Growth Fund, and Large Cap
Growth Fund amounted to $1,596, $1,238, $233 and $270, respectively.
18
<PAGE>
State Street Research
Institutional Funds
Notes (cont'd) July 31, 2000
Note 2
------
The Trust and the Adviser have entered into an agreement under which the Adviser
earns monthly fees at an annual rate of 0.40%, 0.40%, 0.55% and 0.55% of the
average daily net assets for the Core Fixed Fund, Core Plus Fund, Core Large Cap
Growth Fund and Large Cap Growth Fund, respectively. In consideration of these
fees, the Adviser furnishes the Funds with management, investment advisory,
statistical and research facilities and services. The Adviser also pays all
salaries, rent and certain other expenses of management including accounting and
legal services, custodial services and all other routine expenses incurred in
connection with managing the business and affairs of the Funds. During the six
months ended July 31, 2000, the fees pursuant to such agreement amounted to
$29,923, $25,797, $3,235 and $3,707 for the Core Fixed Fund, Core Plus Fund,
Core Large Cap Growth Fund and Large Cap Growth Fund, respectively.
Note 3
------
The Adviser has contractually agreed to waive management fees and bear or
reimburse certain other expenses until termination of such agreement. During the
six months ended July 31, 2000, the amounts of such expenses waived and
reimbursed by the Adviser were $14,961, $12,898, $1,176 and $1,348 for the Core
Fixed Fund, Core Plus Fund, Core Large Cap Growth Fund and Large Cap Growth
Fund, respectively.
Note 4
------
For the six months ended July 31, 2000, purchases and sales of securities,
exclusive of short-term obligations and forward foreign currency exchange
contracts, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------- -----
<S> <C> <C>
Core Fixed Fund $20,947,261 $20,664,080
Core Plus Fund $19,720,833 $19,580,015
Core Large Cap Growth Fund $612,291 $602,589
Large Cap Growth Fund $675,093 $591,257
</TABLE>
Purchases of $17,236,736 and $16,079,916 and sales of $17,437,889 and
$15,114,004 of U.S. Government obligations occurred in the Core Fixed Fund and
Core Plus Fund, respectively.
Note 5
The Trust has entered into a Servicing Agreement with the Adviser under which
the Adviser provides certain shareholder services to the Funds such as
responding to inquiries and instructions from investors with respect to the
purchase and redemption of shares of the Funds. Under the Agreement, the Funds
pay annual shareholder service fees to the Adviser at a rate of 0.30%, 0.20%,
0.10% and 0.05% of average daily net assets for Class I, Class II, Class III and
Class IV shares, respectively. For the six months ended July 31, 2000, fees
pursuant to such agreement were as follows:
<TABLE>
<CAPTION>
Class I Class II Class III Class IV
------- -------- --------- --------
<S> <C> <C> <C> <C>
Core Fixed Fund $8,258 $497 $248 $2,127
Core Plus Fund $742 $495 $248 $2,853
Core Large Cap Growth Fund $430 $287 $143 $79
Large Cap Growth Fund $493 $329 $165 $90
</TABLE>
19
<PAGE>
State Street Research
Core Fixed Fund
Notes (cont'd) July 31, 2000
Note 6
------
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, no par value per share. At July 31, 2000, the Adviser
owned 2,500 Class IV shares of each of the Core Fixed Fund, Core Plus Fund,
Core Large Cap Growth Fund, and Large Cap Growth Fund, and MetLife owned 50,152
shares of each
Class I, Class II and Class III and 852,581 Class IV shares of the Core Fixed
Fund. MetLife owned 50,268 shares of each Class I, Class II and Class III and
1,156,156 Class IV shares of Core Plus Fund, 25,000 shares of Class
I, Class II, Class III, and Class IV of Core Large Cap Growth Fund, and 25,435
shares of Class I, Class II, Class III and Class IV of Large Cap Growth Fund.
These transactions break down by share class as follows:
<TABLE>
<CAPTION>
State Street Research Core Fixed Income Fund
-------------------------------------------------------------------
August 2, 1999 Six months ended
(Commencement of Operations) July 31, 2000
to January 31, 2000 (Unaudited)
----------------------------- -------------------------------
Class I Shares Amount Shares Amount
--------- ------------ ------------ ---------
<S> <C> <C> <C> <C>
Shares sold 537,809 $ 5,417,118 -- --
Issued upon reinvestment of:
Dividend from net investment income 11,323 112,439 13,415 $133,546
Distribution from capital gains 1,633 16,215 -- --
--------- ------------ ------------ ---------
Net increase 550,765 $ 5,545,772 13,415 $133,546
========= ============ ============ =========
Class II
Shares sold 50,010 $500,099 -- --
Issued upon reinvestment of
distribution from capital gains 152 1,509 -- --
--------- ------------ ------------ ---------
Net increase 50,162 $ 501,608 -- --
========= ============ ============ =========
Class III
Shares sold 50,010 $ 500,099 -- --
Issued upon reinvestment of
distribution from capital gains 152 1,509 -- --
--------- ------------ ------------ ---------
Net increase 50,162 $ 501,608 -- --
========= ============ ============ =========
Class IV
Shares sold 852,510 $ 8,525,099 -- --
Issued upon reinvestment of:
Dividend from net investment income 60 599 -- --
Distribution from capital gains 2,521 25,028 -- --
--------- ------------ ------------ ---------
Net increase 855,091 $ 8,550,726 -- --
========= ============ ============ =========
</TABLE>
20
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Notes (cont'd) July 31, 2000
<TABLE>
<CAPTION>
State Street Research Core Plus Fixed Income Fund
---------------------------------------------------------------------
August 2, 1999 Six months ended
(Commencement of Operations) July 31, 2000
to January 31, 2000 (Unaudited)
------------------------------- -------------------------------
Class I Shares Amount Shares Amount
---------- ------------ ------------ ----------
<S> <C> <C> <C> <C>
Shares sold 50,010 $500,099 -- --
Issued upon reinvestment of
distribution from capital gains 268 2,656 -- --
---------- ------------ ------------ ----------
Net increase 50,278 $502,755 -- --
========== ============ ============ ==========
Class II
Shares sold 50,010 $500,099 -- --
Issued upon reinvestment of
distribution from capital gains 268 2,656 -- --
---------- ------------ ------------ ----------
Net increase 50,278 $502,755 -- --
========== ============ ============ ==========
Class III
Shares sold 50,010 $500,099 -- --
Issued upon reinvestment of
distribution from capital gains 268 2,656 -- --
---------- ------------ ------------ ----------
Net increase 50,278 $502,755 -- --
========== ============ ============ ==========
Class IV
Shares sold 1,152,510 $11,525,099 -- --
Issued upon reinvestment of:
Dividend from net investment income 66 654 -- --
Distribution from capital gains 6,090 60,413 -- --
---------- ------------ ------------ ----------
Net increase 1,158,666 $11,586,166 -- --
========== ============ ============ ==========
</TABLE>
21
<PAGE>
State Street Research
Core Large Cap Growth Fund
Notes (cont'd) July 31, 2000
<TABLE>
<CAPTION>
State Street Research Core Large Cap Growth Fund
------------------------------------------------------------------
August 2, 1999 Six months ended
(Commencement of Operations) July 31, 2000
to January 31, 2000 (Unaudited)
---------------------------- --------------------------
Class I Shares Amount Shares Amount
------- --------- ------- -------
<S> <C> <C> <C> <C>
Shares sold 25,010 $250,098 -- --
------- --------- ------- -------
Net increase 25,010 $250,098 -- --
======= ========= ======= =======
Class II
Shares sold 25,010 $250,098 -- --
------- --------- ------- -------
Net increase 25,010 $250,098 -- --
======= ========= ======= =======
Class III
Shares sold 25,010 $250,098 -- --
------- --------- ------- -------
Net increase 25,010 $250,098 -- --
======= ========= ======= =======
Class IV
Shares sold 27,510 $275,096 -- --
------- --------- ------- -------
Net increase 27,510 $275,096 -- --
======= ========= ======= =======
</TABLE>
22
<PAGE>
State Street Research
Large Cap Growth Fund
Notes (cont'd) January 31, 2000
<TABLE>
<CAPTION>
State Street Research Large Cap Growth Fund
------------------------------------------------------------------
August 2, 1999 Six months ended
(Commencement of Operations) July 31, 2000
to January 31, 2000 (Unaudited)
---------------------------- --------------------------
Class I Shares Amount Shares Amount
------- --------- ------- -------
<S> <C> <C> <C> <C>
Shares sold 25,010 $250,094 -- --
Issued upon reinvestment of
distribution from capital gains -- -- 435 $5,939
------- --------- ------- -------
Net increase 25,010 $250,094 435 $5,939
======= ========= ======= =======
Class II
Shares sold 25,010 $250,094 -- --
Issued upon reinvestment of
distribution from capital gains -- -- 435 $5,939
------- --------- ------- -------
Net increase 25,010 $250,094 435 $5,939
======= ========= ======= =======
Class III
Shares sold 25,010 $250,094 -- --
Issued upon reinvestment of
distribution from capital gains -- -- 435 $5,939
------- --------- ------- -------
Net increase 25,010 $250,094 435 $5,939
======= ========= ======= =======
Class IV
Shares sold 27,510 $275,092 -- --
Issued upon reinvestment of
distribution from capital gains -- -- 435 $5,939
------- --------- ------- -------
Net increase 27,510 $275,092 435 $5,939
======= ========= ======= =======
</TABLE>
23
<PAGE>
State Street Research
Core Fixed Income Fund
Financial Highlights
For a share outstanding throughtout each period(1)
<TABLE>
<CAPTION>
Class I Class II
----------------------------------- ---------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 9.86 10.00 9.86
---------------- ---------------- ---------------- ----------------
Net investment income ($)* 0.27 0.32 0.29 0.33
Net realized and unrealized gain (loss) on
investments, foreign currency, forward
contracts and futures contracts ($) (0.15) 0.12 (0.17) 0.11
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 0.12 0.44 0.12 0.44
---------------- ---------------- ---------------- ----------------
Dividends from net investment income ($) (0.23) (0.27) (0.23) (0.27)
Distributions from capital gains ($) (0.03) 0.00 (0.03) 0.00
---------------- ---------------- ---------------- ----------------
Total distributions ($) (0.26) (0.27) (0.26) (0.27)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 9.86 10.03 9.86 10.03
================ ================ ================ ================
Total return (%)(2) 1.19(3) 4.45(3) 1.22(3) 4.50(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 5,433 5,660 495 503
Ratio of operating expenses
to average net assets (%)* 0.50(4) 0.50(4) 0.40(4) 0.40(4)
Ratio of net investment income
to average net assets (%)* 5.78(4) 6.48(4) 5.81(4) 6.58(4)
Portfolio turnover rate (%) 213.41 142.91 213.41 142.91
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.04 0.01 0.04 0.01
</TABLE>
<TABLE>
<CAPTION>
Class III Class IV
----------------------------------- ---------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 9.86 10.00 9.86
---------------- ---------------- ---------------- ----------------
Net investment income ($)* 0.30 0.33 0.30 0.33
Net realized and unrealized gain (loss) on
investments, foreign currency, forward
contracts and futures contracts ($) (0.17) 0.12 (0.17) 0.12
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 0.13 0.45 0.13 0.45
---------------- ---------------- ---------------- ----------------
Dividends from net investment income ($) (0.24) (0.28) (0.24) (0.28)
Distributions from capital gains ($) (0.03) 0.00 (0.03) 0.00
---------------- ---------------- ---------------- ----------------
Total distributions ($) (0.27) (0.28) (0.27) (0.28)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 9.86 10.03 9.86 10.03
================ ================ ================ ================
Total return (%)(2) 1.26(3) 4.55(3) 1.28(3) 4.57(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 495 503 8,435 8,579
Ratio of operating expenses
to average net assets (%)* 0.30(4) 0.30(4) 0.25(4) 0.25(4)
Ratio of net investment income
to average net assets (%)* 5.91(4) 6.68(4) 5.93(4) 6.73(4)
Portfolio turnover rate (%) 213.41 142.91 213.41 142.91
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.04 0.01 0.04 0.01
</TABLE>
--------------------------------------------------------------------------------
(1)Per-share figures have been calculated using the average shares method.
(2)Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3)Not annualized.
(4)Annualized.
24
<PAGE>
State Street Research
Core Plus Fixed Income Fund
Financial Highlights (cont'd)
For a share outstanding throughtout each period(1)
<TABLE>
<CAPTION>
Class I Class II
----------------------------------- ----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 9.86 10.00 9.86
---------------- ---------------- ---------------- ----------------
Net investment income ($)* 0.30 0.33 0.30 0.33
Net realized and unrealized gain (loss)
on investments ($) (0.14) 0.08 (0.14) 0.08
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 0.16 0.41 0.16 0.41
---------------- ---------------- ---------------- ----------------
Dividends from net investment income ($) (0.25) (0.31) (0.25) (0.31)
Distributions from capital gains ($) (0.05) 0.00 (0.05) 0.00
---------------- ---------------- ---------------- ----------------
Total distributions ($) (0.30) (0.31) (0.30) (0.31)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 9.86 9.96 9.86 9.96
================ ================ ================ ================
Total return (%)(2) 1.62(3) 4.16(3) 1.66(3) 4.21(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 496 501 496 501
Ratio of operating expenses
to average net assets (%)* 0.50(4) 0.50(4) 0.40(4) 0.40(4)
Ratio of net investment income
to average net assets (%)* 5.88(4) 6.68(4) 5.98(4) 6.78(4)
Portfolio turnover rate (%) 234.12 158.20 234.12 158.20
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.04 0.01 0.04 0.01
</TABLE>
<TABLE>
<CAPTION>
Class III Class IV
----------------------------------- ----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 9.86 10.00 9.86
---------------- ---------------- ---------------- ----------------
Net investment income ($)* 0.31 0.34 0.31 0.34
Net realized and unrealized gain (loss)
on investments ($) (0.14) 0.08 (0.14) 0.08
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 0.17 0.42 0.17 0.42
---------------- ---------------- ---------------- ----------------
Dividend from net investment income ($) (0.26) (0.32) (0.26) (0.32)
Distribution from capital gains ($) (0.05) 0.00 (0.05) 0.00
---------------- ---------------- ---------------- ----------------
Total distributions ($) (0.31) (0.32) (0.31) (0.32)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 9.86 9.96 9.86 9.96
================ ================ ================ ================
Total return (%)(2) 1.70(3) 4.26(3) 1.72(3) 4.29(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 496 501 11,426 11,540
Ratio of operating expenses
to average net assets (%)* 0.30(4) 0.30(4) 0.25(4) 0.25(4)
Ratio of net investment income
to average net assets (%)* 6.08(4) 6.88(4) 6.13(4) 6.93(4)
Portfolio turnover rate (%) 234.12 158.20 234.12 158.20
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.04 0.01 0.04 0.01
</TABLE>
--------------------------------------------------------------------------------
(1)Per-share figures have been calculated using the average shares method.
(2)Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3)Not annualized.
(4)Annualized.
25
<PAGE>
State Street Research
Core Large Cap Growth Fund
Financial Highlights (cont'd)
For a share outstanding throughtout each period(1)
<TABLE>
<CAPTION>
Class I Class II
----------------------------------- ----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 10.94 10.00 10.95
---------------- ---------------- ---------------- ----------------
Net investment income ($)* 0.01 0.00 0.01 0.01
Net realized and unrealized gain
on investments ($) 0.93 0.85 0.94 0.85
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 0.94 0.85 0.95 0.86
---------------- ---------------- ---------------- ----------------
Dividends from net investment income ($) -- (0.17) -- (0.18)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 10.94 11.62 10.95 11.63
================ ================ ================ ================
Total return (%)(2) 9.40(3) 7.70(3) 9.50(3) 7.76(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 274 291 274 291
Ratio of operating expenses
to average net assets (%)* 0.65(4) 0.65(4) 0.55(4) 0.55(4)
Ratio of net investment income
to average net assets (%)* 0.12(4) 0.03(4) 0.22(4) 0.13(4)
Portfolio turnover rate (%) 40.53 52.31 40.53 52.31
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.41 0.01 0.41 0.01
</TABLE>
<TABLE>
<CAPTION>
Class III Class IV
----------------------------------- ----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 10.95 10.00 10.96
---------------- ---------------- ---------------- ----------------
Net investment income ($)* 0.02 0.01 0.02 0.02
Net realized and unrealized gain
on investments ($) 0.93 0.85 0.94 0.85
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 0.95 0.86 0.96 0.87
---------------- ---------------- ---------------- ----------------
Dividends from net investment income ($) -- (0.18) -- (0.19)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 10.95 11.63 10.96 11.64
================ ================ ================ ================
Total return (%)(2) 9.50(3) 7.83(3) 9.60(3) 7.85(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 274 291 301 320
Ratio of operating expenses
to average net assets (%)* 0.45(4) 0.45(4) 0.40(4) 0.40(4)
Ratio of net investment income
to average net assets (%)* 0.32(4) 0.23(4) 0.37(4) 0.28(4)
Portfolio turnover rate (%) 40.53 52.31 40.53 52.31
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.41 0.01 0.41 0.01
</TABLE>
--------------------------------------------------------------------------------
(1)Per-share figures have been calculated using the average shares method.
(2)Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3)Not annualized.
(4)Annualized.
26
<PAGE>
State Street Research
Large Cap Growth Fund
Financial Highlights (cont'd)
For a share outstanding throughtout each period(1)
<TABLE>
<CAPTION>
Class I Class II
----------------------------------- ----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 12.31 10.00 12.32
---------------- ---------------- ---------------- ----------------
Net investment loss ($)* (0.01) (0.01) (0.00) (0.01)
Net realized and unrealized gain
on investments ($) 2.32 0.94 2.32 0.95
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 2.31 0.93 2.32 0.94
---------------- ---------------- ---------------- ----------------
Dividends from net investment income ($) -- (0.16) -- (0.17)
Distributions from capital gains ($) -- (0.24) -- (0.24)
---------------- ---------------- ---------------- ----------------
Total distributions ($) -- (0.40) -- (0.41)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 12.31 12.84 12.32 12.85
================ ================ ================ ================
Total return (%)(2) 23.10(3) 7.32(3) 23.20(3) 7.38(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 308 327 308 327
Ratio of operating expenses
to average net assets (%)* 0.65(4) 0.65(4) 0.55(4) 0.55(4)
Ratio of net investment loss
to average net assets (%)* (0.11)(4) (0.22)(4) (0.01)(4) (0.12)(4)
Portfolio turnover rate (%) 41.57 45.00 41.57 45.00
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.41 0.01 0.41 0.01
</TABLE>
<TABLE>
<CAPTION>
Class III Class IV
----------------------------------- ----------------------------------
August 2, 1999 August 2, 1999
(Commencement of Six months ended (Commencement of Six months ended
Operations) to July 31, 2000 Operations) to July 31, 2000
January 31, 2000 (Unaudited) Januray 31, 2000 (Unaudited)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ($) 10.00 12.33 10.00 12.33
---------------- ---------------- ---------------- ----------------
Net investment income (loss) ($)* 0.01 (0.00) 0.01 0.00
Net realized and unrealized gain
on investments ($) 2.32 0.93 2.32 0.95
---------------- ---------------- ---------------- ----------------
Total from investment operations ($) 2.33 0.93 2.33 0.95
---------------- ---------------- ---------------- ----------------
Dividends from net investment income ($) -- (0.17) -- (0.18)
Distributions from capital gains ($) -- (0.24) -- (0.24)
---------------- ---------------- ---------------- ----------------
Total distributions ($) -- (0.41) -- (0.42)
---------------- ---------------- ---------------- ----------------
Net asset value, end of period ($) 12.33 12.85 12.33 12.86
================ ================ ================ ================
Total return (%)(2) 23.30(3) 7.35(3) 23.30(3) 7.47(3)
Ratios/supplemental data:
Net assets at end of period ($ thousands) 308 327 339 359
Ratio of operating expenses
to average net assets (%)* 0.45(4) 0.45(4) 0.40(4) 0.40(4)
Ratio of net investment income (loss)
to average net assets (%)* 0.09(4) (0.02)(4) 0.14(4) 0.03(4)
Portfolio turnover rate (%) 41.57 45.00 41.57 45.00
*Reflects voluntary reduction of
expenses per share of these amounts ($) 0.41 0.01 0.41 0.01
</TABLE>
--------------------------------------------------------------------------------
(1)Per-share figures have been calculated using the average shares method.
(2)Total return would be lower if the Distributor and its affiliates had not
reduced a portion of the Fund's expenses.
(3)Not annualized.
(4)Annualized.
27
