[FRONT COVER]
[STATE STREET LOGO]
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State Street Research
Capital Fund
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Semiannual Report
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March 31, 1997
[GRAPHIC OMITTED]
(man pointing to shooting star)
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What's Inside
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Investment Update:
About the Fund,
economy and markets
Fund Information
Facts and Figures
Plus, Complete Portfolio Holdings
and Financial Statements
(DALBAR KEY HONORS GRAPHIC)
For Excellence
in
Shareholder Service
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
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INVESTMENT UPDATE
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INVESTMENT ENVIRONMENT
The Economy
[bullet] Economic growth accelerated somewhat in the fourth quarter of 1996 and
continued to advance into the first quarter of 1997, exceeding
expectations.
[bullet] Consumer spending and industrial output steadily advanced during the
six months ended March 31, 1997. Wages continued to rise during the
period, but consumer prices and inflation remained low.
[bullet] The Federal Reserve raised interest rates by one-quarter point in
March.
The Markets
[bullet] The Fed's tightening predictably had an effect on both the stock and
bond markets. The bond market anticipated and then reacted to the Fed's
action by experiencing negative returns for the first quarter of 1997
for all sectors but the high-yield area. As the first quarter ended,
the stock market, as measured by the Dow Jones Industrial Average,
experienced a sizable correction.
[bullet] The S&P 500 was up +11.24% for the six-month period. Small stocks
severely lagged the performance of larger stocks, as shown by the
Russell 2000 Index, which lost -0.24%.(1)
[bullet] Bond performance lost momentum in the fourth quarter of 1996 but still
offered positive returns for the six months. The Lehman Brothers
Aggregate Bond Index gained +2.42% during the period.(1)
THE FUND
Over the past six months
[bullet] For the six months ended March 31, 1997, Class A Shares of Capital Fund
provided a total return of -13.52% (does not reflect sales charge).(2)
The Fund underperformed the average total return for 214 fund classes
in Lipper Analytical Services' Capital Appreciation Funds category,
which was -0.66% (does not reflect sales charge).
[bullet] The Fund's performance was hurt by a risk-averse market that favored
large-capitalization stocks at the expense of growth-oriented small-
and mid-capitalization stocks--the type Capital Fund mainly invests in.
Current strategy
[bullet] We continue to invest in growth stocks that are attractively valued,
which, historically, has been a successful strategy for the Fund.
[bullet] We are adding to our holdings in the areas of specialty retail,
specialty energy and science and technology.
[bullet] We own many stocks that have strong fundamentals. We believe the market
offers great opportunity for investors with a long-term bias and an
emphasis on high earnings growth.
March 31, 1997
(1) The Standard & Poor's 500 Composite Index (S&P 500) includes 500 widely
traded common stocks and is a commonly used measure of U.S. stock market
performance. The Russell 2000 Index is a commonly used measure of
small-company stock performance. The Lehman Brothers Government/Corporate
Bond Index is a commonly used measure of bond market performance. The
indices are unmanaged and do not take sales charges into account. Direct
investment in the indices is not possible; results are for illustrative
purposes only.
(2) -13.88% for Class B shares; -13.41% for Class C shares; -13.86% for Class D
shares.
(3) All returns represent past performance, which is no guarantee of future
results. The investment return and principal value of an investment made in
the Fund will fluctuate and shares, when redeemed, may be worth more or less
than their original cost. All returns assume reinvestment of capital gain
distributions and income dividends. Performance for a class may include
periods prior to the adoption of class designations in 1993, which resulted
in new or increased 12b-1 fees of up to 1% per class there-after and which
will reduce subsequent performance. "C" shares, offered without a sales
charge, are available only to certain employee benefit plans and large
institutions.
(4) Performance reflects maximum 4.5% "A" share front-end sales charge or 5% "B"
share or 1% "D" share contingent deferred sales charges, where applicable.
(5) Cumulative total returns are not annualized, nor do they reflect sales
charges, which, if reflected, would reduce performance.
Because the Fund invests in emerging growth and special situation companies, an
investment in the Fund may involve greater-than-average risk and above-average
price fluctuation. Small-company stocks are more volatile than large-company
stocks.
Please note that the discussion throughout this shareholder report is dated as
indicated and, because of possible changes in view-point, data and transactions,
should not be relied upon as being current thereafter.
________________________________________________________________________________
FUND INFORMATION (all data are for periods ended March 31, 1997)
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SEC Average Annual Compound Rates of Return
(at maximum applicable sales charge)3,4
- -------------------------------------------
10 Years 5 Years 1 Year
Class A +12.51% +13.00% -10.09%
Class B +12.72% +13.17% -11.23%
Class C +13.18% +14.35% -5.56%
Class D +12.73% +13.45% -7.48%
- -------------------------------------------
Cumulative Total Returns
(do not reflect sales charge)3,5
- -------------------------------------------
10 Years 5 Years 1 Year
Class A +240.37% +92.95% -5.85%
Class B +231.03% +87.65% -6.56%
Class C +244.87% +95.50% -5.56%
Class D +231.57% +87.96% -6.55%
- -------------------------------------------
Top 10 Stock Positions
(by percentage of net assets)
1 Republic Industries Waste management 5.8%
2 HFS Hotel reservations 2.9%
3 H.F. Ahmanson Savings and loan 2.3%
4 Altera Electronic circuit boards 2.2%
5 Halliburton Oil Services 2.2%
6 Extended Stay America Extended-stay lodging 2.1%
7 Philip Morris Consumer products 2.0%
8 Schlumberger Energy service products 2.0%
9 Sanmina Electronic circuit boards 1.8%
10 Continental Airlines Airline 1.8%
These securities represent an aggregate of 25.1% of the portfolio. Because of
active management, there is no guarantee that the Fund currently invests, or
will continue to invest, in the securities listed in this table or in the text
above.
Top 5 Industries
(by percentage of net assets)
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Business service 11.1%
---------------------------------------------
---------------------------------------------
Electronic components 11.0%
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Retail 10.7%
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Oil service 10.4%
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Hotel and restaurant 7.1%
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Total: 50.3%
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
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INVESTMENT PORTFOLIO
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March 31, 1997 (Unaudited)
Value
Shares (Note 1)
COMMON STOCKS 96.1%
Basic Industries 3.0%
Chemical 1.5%
Rhone-Poulenc SA ADR* ..................... 253,400 $ 8,425,550
Rohm & Haas Co. ........................... 18,300 1,370,212
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9,795,762
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Metal & Mining 1.5%
Chicago Bridge & Iron Co. NV* ............... 137,500 2,440,625
Phelps Dodge Corp. ........................ 47,500 3,473,438
Reynolds Metals Co. ........................ 55,600 3,447,200
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9,361,263
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Total Basic Industries ................................. 19,157,025
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Consumer Cyclical 27.3%
Airline 2.2%
America West Holding Corp. Cl. B* ......... 165,800 2,590,625
China Eastern Airlines Ltd* ............... 10,900 313,375
Continental Airlines Inc. Cl. B* ............ 365,500 11,467,563
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14,371,563
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Automotive 0.6%
Danaher Corp. .............................. 24,800 1,032,300
Team Rental Group, Inc. Cl. A* ............ 126,000 2,646,000
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3,678,300
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Building 1.4%
American Standard Companies Inc.* ......... 202,400 9,108,000
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Hotel & Restaurant 7.1%
Extended Stay America Inc.* ............... 677,400 9,991,650
Extended Stay America Inc.*[dbldag] ...... 249,300 3,692,756
Four Seasons Hotels Inc.* .................. 31,300 719,900
HFS Inc.* ................................. 314,500 18,516,187
Interstate Hotels Co.* ..................... 234,000 6,610,500
Lone Star Steakhouse & Saloon Inc.* ......... 138,300 3,163,613
Trump Hotels & Casino Resorts Inc.* ......... 352,000 3,168,000
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45,862,606
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Recreation 1.1%
Action Performance Companies Inc.* ......... 25,300 493,350
Ascent Entertainment Group Inc.* ............ 107,700 1,144,312
Florida Panthers Holdings Inc. Cl. A* ...... 32,900 892,413
Petco Animal Supplies Inc.* ............... 101,500 2,385,250
Ticketmaster Group Inc.* .................. 155,200 1,978,800
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6,894,125
Value
Shares (Note 1)
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Retail Trade 10.7%
Abercrombie & Fitch Co. Cl. A* ............ 39,300 $ 599,325
Borders Group Inc.* ........................ 339,000 6,398,625
Federated Department Stores Inc.* ......... 197,200 6,482,950
Footstar Inc.* .............................. 10,000 296,250
Gucci Group NV* ........................... 134,100 9,671,963
Guitar Center Inc.* ........................ 44,500 712,000
Jones Apparel Group Inc.* .................. 228,600 8,486,775
Just For Feet Inc.* ........................ 295,900 5,104,275
Linens 'n Things Inc.* ..................... 131,400 3,071,475
RDO Equipment Co. Cl. A* .................. 44,800 784,000
Saks Holdings Inc.* ........................ 157,300 4,522,375
Sears Roebuck & Co. ........................ 98,900 4,969,725
Staples Inc.* .............................. 411,450 8,280,431
Sunglass Hut International Inc.* ............ 661,900 4,633,300
Toys R Us Inc.* ........................... 125,100 3,502,800
West Marine Inc.* ........................... 34,400 1,135,200
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68,651,469
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Textile & Apparel 4.2%
Men's Wearhouse, Inc.* ..................... 291,225 8,008,687
Nautica Enterprises Inc.* .................. 205,100 5,153,137
Timberland Co. Cl. A* ..................... 56,900 2,496,488
Tommy Hilfiger Corp.* ..................... 211,000 11,024,750
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26,683,062
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Total Consumer Cyclical .................. 175,249,125
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Consumer Staple 19.0%
Business Service 11.1%
Aspect Telecommunications Corp.* ............ 189,400 3,693,300
Caribiner International Inc.* ............... 189,000 8,835,750
Cognos Inc.* .............................. 221,900 5,769,400
Education Management Corp.* ............... 57,900 1,317,225
Outdoor Systems Inc.* ..................... 51,000 1,523,625
Republic Industries Inc.* .................. 1,078,700 37,417,406
U.S. Office Products Co.* .................. 363,500 8,996,625
Universal Outdoor Holdings Inc.* ............ 138,200 4,007,800
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71,561,131
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Drug 3.6%
Biochem Pharma Inc.* ........................ 78,700 3,384,100
Bristol-Myers Squibb Co. .................. 116,600 6,879,400
Cephalon Inc.* .............................. 187,700 3,941,700
Entremed Inc.* .............................. 73,400 935,850
Ligand Pharmaceuticals Inc. Cl. B* ......... 66,500 748,125
Magainin Pharmaceuticals Inc.* ............ 67,200 571,200
Vertex Pharmaceuticals Inc.* ............... 160,500 6,460,125
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22,920,500
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The accompanying notes are an integral part of the financial statements.
2
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
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INVESTMENT PORTFOLIO (cont'd)
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Value
Shares (Note 1)
Hospital Supply 2.3%
Aetna Inc. .................................... 122,600 $10,528,275
Trigon Healthcare Inc.* ..................... 237,800 4,191,225
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14,719,500
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Tobacco 2.0%
Philip Morris Companies, Inc. ............... 113,000 12,896,125
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Total Consumer Staple .................................122,097,256
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Energy 15.0%
Oil 4.6%
Anadarko Petroleum Corp. ..................... 96,200 5,399,225
Apache Corp. ................................. 166,700 5,584,450
Burlington Resources Inc. .................. 94,400 4,035,600
Chesapeake Energy Corp.* ..................... 54,700 1,141,863
Chevron Corp. .............................. 93,400 6,502,975
Exxon Corp. ................................. 63,200 6,809,800
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29,473,913
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Oil Service 10.4%
Baker Hughes Inc. ........................... 84,600 3,246,525
Diamond Offshore Drilling Inc.* ............... 34,600 2,370,100
BJ Services Co.* .............................. 115,700 5,539,137
Cooper Cameron Corp.* ........................ 81,700 5,596,450
Ensco International Inc.* ..................... 7,700 379,225
Halliburton Co. .............................. 210,600 14,268,150
Newpark Resources Inc.* ..................... 25,500 1,115,625
Noble Drilling Corp.* ........................ 609,700 10,517,325
Reading & Bates Corp.* ........................ 110,000 2,488,750
Rowan Companies, Inc.* ........................ 278,600 6,303,325
Schlumberger Ltd. ........................... 118,600 12,719,850
Varco International Inc.* ..................... 36,700 917,500
Weatherford Enterra Inc.* ..................... 59,000 1,733,125
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67,195,087
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Total Energy .......................................... 96,669,000
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Finance 7.1%
Bank 2.8%
Bank United Corp. Cl. A* ..................... 123,600 3,646,200
H.F. Ahmanson & Co. ........................ 398,100 14,530,650
------------
18,176,850
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Financial Service 1.8%
American Express Co. ........................ 93,400 5,592,325
AmeriTrade Holding Corp.* ..................... 10,800 168,750
Beacon Properties Corp. ..................... 118,900 3,938,562
MoneyGram Payment Systems Inc.* ............... 215,700 1,779,525
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11,479,162
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Value
Shares (Note 1)
--------- ------------
Insurance 2.5%
Ace Ltd. .................................... 68,700 $ 4,396,800
General Re Corp. ........................... 43,900 6,936,200
Travelers Group Inc. ........................ 97,200 4,653,450
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15,986,450
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Total Finance .............................. 45,642,462
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Science & Technology 22.0%
Computer Software & Service 6.9%
America Online Inc.* ........................ 165,600 7,017,300
Ascend Communications Inc.* .................. 87,100 3,549,325
Check Point Software Technologies Ltd.* ...... 32,600 668,300
EMC Corp.* .................................... 96,600 3,429,300
Excalibur Technologies Corp.* ............... 50,000 337,500
Geoworks* .................................... 235,300 1,558,863
McAfee Associates Inc.* ..................... 32,300 1,429,275
P-COM, Inc.* ................................. 116,600 3,031,600
Parametric Technology Corp.* .................. 134,800 6,082,850
Westell Technologies, Inc. Cl. A* ............ 272,100 3,639,337
Western Digital Corp.* ........................ 54,000 3,057,750
Xilinx Inc.* ................................. 221,200 10,783,500
------------
44,584,900
------------
Electronic Components 11.0%
Altera Corp.* ................................. 333,700 14,349,100
Analog Devices Inc.* ........................ 159,200 3,582,000
CHS Electronics Inc.* ........................ 43,600 888,350
Cymer Inc.* ................................. 204,100 7,322,088
LSI Logic Corp.* .............................. 289,800 10,070,550
Micron Technology Inc. ..................... 175,600 7,111,800
Pairgain Technologies Inc.* .................. 256,900 7,610,662
Sanmina Corp.* .............................. 256,900 11,496,275
Texas Instruments Inc. ..................... 109,600 8,206,300
------------
70,637,125
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Electronic Equipment 1.5%
ASM Lithography Holdings NV* .................. 43,900 3,292,500
Motorola Inc. .............................. 49,100 2,964,413
Teradyne Inc.* .............................. 112,000 3,234,000
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9,490,913
------------
Office Equipment 2.6%
Dell Computer Corp. ........................ 48,000 3,246,000
International Business Machines Corp. ...... 49,200 6,758,850
Seagate Technology Inc.* ..................... 72,000 3,231,000
Sun Microsystems Inc.* ........................ 114,700 3,311,962
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16,547,812
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Total Science & Technology .................. 141,260,750
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The accompanying notes are an integral part of the financial statements.
3
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
Value
Shares (Note 1)
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Utility 2.7%
Natural Gas 0.6%
Calpine Corp.* ........................ 211,500 $ 3,833,439
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Telephone 2.1%
Colt Telecom Group PLC ADR* ............ 89,300 1,685,538
NACT Telecommunications Inc.* ......... 21,200 124,550
Omnipoint Corp.* ........................ 67,900 662,025
Telecomunicacoes Brasileiras ADR* ...... 111,200 11,384,100
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13,856,213
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Total Utility .................................... 17,689,652
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Total Common Stocks (Cost $620,782,228) ............617,765,270
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Principal Maturity
Amount Date
------------ -----------
SHORT-TERM OBLIGATIONS 12.7%
American Express Credit Corp.,
5.63% .............................. $9,156,000 4/01/1997 9,156,000
Beneficial Corp., 5.55% ............... 17,823,000 4/01/1997 17,823,000
Beneficial Corp., 5.60% ............... 14,872,000 4/03/1997 14,872,000
Chevron Oil Finance Co., 5.61% ...... 13,000,000 4/01/1997 13,000,000
Chevron Oil Finance Co., 5.61% ...... 15,000,000 4/02/1997 15,000,000
Household Finance Corp., 6.60% ...... 11,660,000 4/01/1997 11,660,000
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Total Short-Term Obligations (Cost $81,511,000) ............... 81,511,000
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Total Investments (Cost $702,293,228)--108.8% .................. 699,276,270
Cash and Other Assets, Less Liabilities--(8.8%) ............... (56,726,152)
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Net Assets--100.0% .......................................... $ 642,550,118
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Federal Income Tax Information:
At March 31, 1997, the net unrealized depreciation of
investments based on cost for Federal income tax
purposes of $702,938,744 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value
over tax cost ....................................... $ 52,729,904
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax
cost over value .................................... (56,392,378)
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$ (3,662,474)
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* Nonincome-producing securities
ADR stands for American Depositary Receipt, representing ownership of foreign
securities.
[dbldag] Security restricted as to public resale. The total cost and market
value of restricted securities owned at March 31, 1997 were $4,393,913
and $3,692,756 (0.57% of net assets), respectively.
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STATEMENT OF ASSETS AND LIABILITIES
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March 31, 1997 (Unaudited)
Assets
Investments, at value (Cost $702,293,228) (Note 1) ... $699,276,270
Cash ................................................ 24
Receivable for securities sold ..................... 19,314,680
Receivable for fund shares sold ..................... 1,384,654
Dividends and interest receivable .................. 373,888
Other assets ....................................... 30,287
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720,379,803
Liabilities
Payable for securities purchased .................. 73,807,055
Payable for fund shares redeemed .................. 2,819,726
Accrued distribution and service fees (Note 4) ...... 452,318
Accrued management fee (Note 2) ..................... 406,179
Accrued transfer agent and shareholder services
(Note 2) .......................................... 277,225
Accrued trustees' fees (Note 2) ..................... 9,713
Other accrued expenses .............................. 57,469
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77,829,685
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Net Assets $642,550,118
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Net Assets consist of:
Unrealized depreciation of investments ............ $ (3,016,958)
Accumulated net realized gain ..................... 35,433,521
Shares of beneficial interest ..................... 610,133,555
-------------
$642,550,118
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Net Asset Value and redemption price per share of
Class A shares ($100,159,790 [divided by] 8,411,894
shares of beneficial interest) .................... $11.91
=============
Maximum Offering Price per share of Class A shares
($11.91 [divided by] .955) ....................... $12.47
=============
Net Asset Value and offering price per share of
Class B shares ($349,693,160 [divided by] 30,283,268
shares of beneficial interest)* ................... $11.55
=============
Net Asset Value, offering price and redemption price
per share of Class C shares ($31,160,127 [divided by]
2,581,270 shares of beneficial interest) ......... $12.07
=============
Net Asset Value and offering price per share of
Class D shares ($161,537,041 [divided by] 13,966,295
shares of beneficial interest)* .................. $11.57
=============
- -------------------------------------
* Redemption price per share for Class B and Class D is equal to net
asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
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STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
For the six months ended March 31, 1997 (Unaudited)
Investment Income
Dividends, net of foreign taxes of $90 ............... $ 1,510,085
Interest ............................................. 1,478,744
---------------
2,988,829
Expenses
Management fee (Note 2) .............................. 2,661,334
Transfer agent and shareholder services (Note 2) ...... 485,993
Service fee--Class A (Note 4) ........................ 140,251
Distribution and service fees--Class B (Note 4) ...... 1,905,684
Distribution and service fees--Class D (Note 4) ...... 914,277
Custodian fee ....................................... 91,898
Registration fees .................................... 75,738
Reports to shareholders .............................. 44,181
Trustees' fees (Note 2) .............................. 14,611
Audit fee ............................................. 12,750
Legal fees .......................................... 7,125
Miscellaneous ....................................... 11,964
---------------
6,365,806
---------------
Net investment loss ................................. (3,376,977)
---------------
Realized and Unrealized Gain (Loss)
on Investments
Net realized gain on investments (Notes 1 and 3) ...... 37,512,704
Net unrealized depreciation of investments ............ (136,824,687)
---------------
Net loss on investments .............................. (99,311,983)
---------------
Net decrease in net assets resulting from operations $ (102,688,960)
===============
- ---------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------
Six months ended
March 31, 1997 Year ended
(Unaudited) September 30, 1996
------------------ -------------------
Increase (Decrease) in Net Assets
Operations:
Net investment loss ............ $ (3,376,977) $ (5,102,129)
Net realized gain (loss) on
investments* .................. 37,512,704 (2,073,183)
Net unrealized appreciation
(depreciation) of investments . (136,824,687) 70,731,585
-------------- -------------
Net increase (decrease) resulting
from operations ............... (102,688,960) 63,556,273
-------------- -------------
Distribution from net realized gains:
Class A ........................ -- (4,170,914)
Class B ........................ -- (15,632,187)
Class C ........................ -- (3,556,781)
Class D ........................ -- (7,349,181)
-------------- -------------
-- (30,709,063)
-------------- -------------
Net increase from fund share
transactions (Note 6) ......... 18,939,344 291,406,436
-------------- -------------
Total increase (decrease) in
net assets ..................... (83,749,616) 324,253,646
Net Assets
Beginning of period ............ 726,299,734 402,046,088
-------------- -------------
End of period .................. $ 642,550,118 $ 726,299,734
============== =============
* Net realized gain (loss) for
Federal income tax purposes
(Note 1) ..................... $ 37,007,317 $ (928,280)
============== =============
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
- --------------------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
March 31, 1997
Note 1
State Street Research Capital Fund (the "Fund"), is a series of State Street
Research Capital Trust (the "Trust"), which is a Massachusetts business trust
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Trust was organized in
November, 1988 as a successor to State Street Capital Fund, Inc., a
Massachusetts corporation. The Trust consists presently of three separate funds:
State Street Research Capital Fund, State Street Research Emerging Growth Fund
and State Street Research Aurora Fund.
The investment objective of the Fund is to seek maximum capital appreciation by
investing primarily in common stocks of emerging growth companies and of
companies considered to be undervalued special situations, as determined by the
Fund's investment manager.
The Fund offers four classes of shares. Class A shares are subject to an initial
sales charge of up to 4.50% and pay an annual service fee equal to 0.25% of
average daily net assets. Class B shares are subject to a contingent deferred
sales charge on certain redemptions made within five years of purchase and pay
annual distribution and service fees of 1.00%. Class B shares automatically
convert into Class A shares (which pay lower ongoing expenses) at the end of
eight years after the issuance of the Class B shares. Class C shares are only
offered to certain employee benefit plans and large institutions. Class D shares
are subject to a contingent deferred sales charge of 1.00% on any shares
redeemed within one year of their purchase. Class D shares also pay annual
distribution and service fees of 1.00%. The Fund's expenses are borne pro-rata
by each class, except that each class bears expenses, and has exclusive voting
rights with respect to provisions of the Plan of Distribution, related
specifically to that class. The Trustees declare separate dividends on each
class of shares.
The following significant policies are consistently followed by the Fund in
preparing its financial statements, and such policies are in conformity with
generally accepted accounting principles for investment companies.
A. Investments in Securities
Values for listed securities represent the last sale 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 the closing price
supplied through such system. In the absence of recorded sales and for those
over-the-counter securities not quoted on the NASDAQ system, valuations are at
the mean of the closing bid and asked quotations, except for certain securities
that may be restricted as to public resale, which are valued in accordance with
methods adopted by the Trustees. Security transactions are accounted for on the
trade date (date the order to buy or sell is executed), and dividends declared
but not received are accrued on the ex-dividend date. Interest income is
determined on the accrual basis. Realized gains and losses from security
transactions are reported on the basis of identified cost of securities
delivered for both financial reporting and Federal income tax purposes.
B. Federal Income Taxes
No provision for Federal income taxes is necessary since the Fund has elected to
qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods. At September 30, 1996, the Fund had a
capital loss carryforward of $928,280 available, to the extent provided in
regulations, to offset future capital gains, if any, which expires on September
30, 2004.
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 twelve-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, 1995 through September 30, 1996, the
Fund incurred net capital losses of approximately $356,000 and intends to defer
and treat such losses as arising in the fiscal year ended September 30, 1997.
C. Dividends
Dividends from net investment income, if any, are declared and paid or
reinvested annually. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles.
D. 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.
Note 2
The Trust and State Street Research & Management Company (the "Adviser"), an
indirect wholly owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"), have entered into an agreement under which the Adviser earns
monthly fees equal to 1/16 of 1% (3/4 of 1% on an annual basis) of average daily
net assets. In consideration of these fees, the Adviser furnishes the Fund with
management, investment advisory, statistical and research facilities and
services. The Adviser also pays all salaries, rent and certain other expenses of
management. During the six months ended March 31, 1997, the fees pursuant to
such agreement amounted to $2,661,334.
State Street Research Shareholder Services, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), an indirect wholly owned subsidiary of Metropolitan, provides
certain shareholder services to the Fund such as responding to inquiries and
instructions from investors with respect to the purchase and redemption of
shares of the Fund. During the six months ended March 31, 1997, the amount of
such expenses was $311,512.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$14,611 during the six months ended March 31, 1997.
6
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
- --------------------------------------------------------------------------------
NOTES (cont'd)
- --------------------------------------------------------------------------------
Note 3
For the six months ended March 31, 1997, exclusive of short-term investments and
U.S. Government obligations, purchases and sales of securities aggregated
$1,102,556,611 and $1,094,515,722, respectively.
Note 4
The Trust has adopted a Plan of Distribution pursuant to Rule 12b-1 (the "Plan")
under the Investment Company Act of 1940. Under the Plan, the Fund pays annual
service fees to the Distributor at a rate of 0.25% of average daily net assets
for Class A, Class B and Class D shares. In addition, the Fund pays annual
distribution fees of 0.75% of average daily net assets for Class B and Class D
shares. The Distributor uses such payments for personal services and/or the
maintenance or servicing of shareholder accounts, to reimburse securities
dealers for distribution and marketing services, to furnish ongoing assistance
to investors and to defray a portion of its distribution and marketing expenses.
For the six months ended March 31, 1997, fees pursuant to such plan amounted to
$140,251, $1,905,684 and $914,277 for Class A, Class B and Class D shares,
respectively.
The Fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of Metropolitan, earned initial sales charges
aggregating $57,363 and $191,103, respectively, on sales of Class A shares of
the Fund during the six months ended March 31, 1997, and that MetLife
Securities, Inc. earned commissions aggregating $582,174 on sales of Class B
shares, and that the Distributor collected contingent deferred sales charges of
$310,250 and $19,984 on redemptions of Class B and Class D shares, respectively,
during the same period.
Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share.
Share transactions were as follows:
<TABLE>
<CAPTION>
Six months ended
March 31, 1997
(Unaudited)
---------------------------------
Class A Shares Amount
- ------------------------------------------------------------------- --------------- ----------------
<S> <C> <C>
Shares sold ...................................................... 2,764,093 $ 36,485,325
Issued upon reinvestment of distribution from net realized gains -- --
Shares repurchased ............................................. (2,653,130) (34,762,588)
------------ -------------
Net increase ................................................... 110,963 $ 1,722,737
============ =============
Class B Shares Amount
- ------------------------------------------------------------------- ----------- --------
Shares sold ...................................................... 4,397,661 $ 56,599,013
Issued upon reinvestment of distribution from net realized gains -- --
Shares repurchased ............................................. (2,987,294) (38,044,700)
------------ -------------
Net increase ................................................... 1,410,367 $ 18,554,313
============ =============
Class C Shares Amount
- ------------------------------------------------------------------- ----------- --------
Shares sold ...................................................... 340,607 $ 4,569,416
Issued upon reinvestment of distribution from net realized gains -- --
Shares repurchased ............................................. (258,449) (3,459,321)
------------ -------------
Net increase (decrease) .......................................... 82,158 $ 1,110,095
============ =============
Class D Shares Amount
- ------------------------------------------------------------------- ----------- --------
Shares sold ...................................................... 1,924,100 $ 24,819,589
Issued upon reinvestment of distribution from net realized gains -- --
Shares repurchased ............................................. (2,138,180) (27,267,390)
------------ -------------
Net increase (decrease) .......................................... (214,080) $ (2,447,801)
============ =============
<CAPTION>
Year ended
September 30, 1996
---------------------------------
Class A Shares Amount
- ------------------------------------------------------------------- --------------- -----------------
<S> <C> <C>
Shares sold ...................................................... 4,999,832 $ 62,467,171
Issued upon reinvestment of distribution from net realized gains 302,993 3,738,939
Shares repurchased ............................................. (1,085,442) (13,577,652)
------------ --------------
Net increase ................................................... 4,217,383 $ 52,628,458
============ ==============
Class B Shares Amount
- ------------------------------------------------------------------- ----------- ---------
Shares sold ...................................................... 14,984,596 $ 183,598,870
Issued upon reinvestment of distribution from net realized gains 1,171,523 14,187,153
Shares repurchased ............................................. (2,587,886) (31,537,100)
------------ --------------
Net increase ................................................... 13,568,233 $ 166,248,923
============ ==============
Class C Shares Amount
- ------------------------------------------------------------------- ----------- ---------
Shares sold ...................................................... 822,474 $ 10,670,766
Issued upon reinvestment of distribution from net realized gains 267,147 3,331,325
Shares repurchased ............................................. (2,072,769) (26,820,873)
------------ --------------
Net increase (decrease) .......................................... (983,148) $ (12,818,782)
============ ==============
Class D Shares Amount
- ------------------------------------------------------------------- ----------- ---------
Shares sold ...................................................... 7,893,265 $ 96,528,582
Issued upon reinvestment of distribution from net realized gains 561,501 6,811,002
Shares repurchased ............................................. (1,469,595) (17,991,747)
------------ --------------
Net increase (decrease) .......................................... 6,985,171 $ 85,347,837
============ ==============
</TABLE>
7
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a share outstanding throughout each period:
<TABLE>
<CAPTION>
Class A
-----------------------------------------------------------------------------------------------------
Six months ended
March 31, 1997 Year ended September 30
----------------------------------------------------------------------
(Unaudited)* 1996* 1995* 1994 1993**
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 13.76 $ 13.53 $ 9.92 $ 10.43 $ 8.03
Net investment loss (0.02) (0.05) (0.04) (0.04) (0.03)
Net realized and unrealized
gain (loss) on investments (1.83) 1.30 3.69 0.28 2.43
---------- --------- -------- -------- ----------
Total from investment
operations (1.85) 1.25 3.65 0.24 2.40
---------- --------- -------- -------- ----------
Distributions from net
realized gains -- (1.02) (0.04) (0.75) --
---------- --------- -------- -------- ----------
Total distributions -- (1.02) (0.04) (0.75) --
---------- --------- -------- -------- ----------
Net asset value, end of
period $ 11.91 $ 13.76 $ 13.53 $ 9.92 $ 10.43
========== ========= ======== ======== ==========
Total return (13.52)%[dbldag] 10.12 %[dag] 36.95%[dag] 2.51%[dag] 24.61%[dbldag]
Net assets at end of period
(000s) $100,160 $ 114,247 $ 55,250 $ 19,891 $ 7,251
Ratio of operating expenses
to average net assets 1.21 %[dbldag] 1.26 % 1.33% 1.41% 2.43%[dbldag]
Ratio of net investment loss
to average net assets (0.37)%[dbldag] (0.39)% (0.34)% (0.55)% (1.43)%[dbldag]
Portfolio turnover rate 164.20 % 215.07 % 214.59% 167.08% 129.57%
Average commission rate@ $ 0.0333 $ 0.0278 -- -- --
<CAPTION>
Class B
-----------------------------------------------------------------------------------------------------
Six months ended
March 31, 1997 Year ended September 30
----------------------------------------------------------------------
(Unaudited)* 1996* 1995* 1994 1993***
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 13.40 $ 13.29 $ 9.82 $ 10.40 $ 8.68
Net investment loss (0.07) (0.14) (0.12) (0.08) (0.04)
Net realized and unrealized
gain (loss) on investments (1.78) 1.27 3.63 0.25 1.76
---------- --------- --------- -------- ----------
Total from investment
operations (1.85) 1.13 3.51 0.17 1.72
---------- --------- --------- -------- ----------
Distributions from net
realized gains -- (1.02) (0.04) (0.75) --
---------- --------- --------- -------- ----------
Total distributions -- (1.02) (0.04) (0.75) --
---------- --------- --------- -------- ----------
Net asset value, end of
period $ 11.55 $ 13.40 $ 13.29 $ 9.82 $ 10.40
========== ========= ========= ======== ==========
Total return (13.88)%[dbldag] 9.33 %[dag] 35.90%[dag] 1.79%[dag] 19.82%[dbldag]
Net assets at end of period
(000s) $349,693 $ 386,899 $ 203,446 $ 73,354 $ 16,044
Ratio of operating expenses
to average net assets 1.96 %[dbldag] 2.01 % 2.08% 2.16% 3.16%[dbldag]
Ratio of net investment loss
to average net assets (1.12)%[dbldag] (1.13)% (1.10)% (1.28)% (2.15)%[dbldag]
Portfolio turnover rate 164.20 % 215.07 % 214.59% 167.08% 129.57%
Average commission rate@ $ 0.0333 $ 0.0278 -- -- --
</TABLE>
<TABLE>
<CAPTION>
Class C
-----------------------------------------------------------------------------------------------------
Six months ended
March 31, 1997 Year ended September 30
----------------------------------------------------------------------
(Unaudited)* 1996* 1995* 1994 1993 1992
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 13.94 $ 13.66 $ 9.99 $ 10.46 $ 7.96 $ 7.74
Net investment loss (0.01) (0.01) (0.01) (0.03) (0.06) (0.06)
Net realized and unrealized
gain (loss) on investments (1.86) 1.31 3.72 0.31 3.90 0.63
---------- -------- -------- -------- -------- ---------
Total from investment
operations (1.87) 1.30 3.71 0.28 3.84 0.57
---------- -------- -------- -------- -------- ---------
Distributions from net
realized gains -- (1.02) (0.04) (0.75) (1.34) (0.35)
---------- -------- -------- -------- -------- ---------
Total distributions -- (1.02) (0.04) (0.75) (1.34) (0.35)
---------- -------- -------- -------- -------- ---------
Net asset value, end of
period $ 12.07 $ 13.94 $ 13.66 $ 9.99 $ 10.46 $ 7.96
========== ========= ======== ======== ======== =========
Total return (13.41)%[dagdag] 10.41 %[dag] 37.30%[dag] 2.91%[dag] 55.46%[dag] 7.34%[dag]
Net assets at end of period
(000s) $ 31,160 $ 34,835 $ 47,553 $ 23,967 $ 18,342 $ 11,654
Ratio of operating expenses
to average net assets 0.96 %[dbldag] 1.01 % 1.08% 1.16% 2.11% 1.54%
Ratio of net investment loss
to average net assets (0.12)%[dbldag] (0.08)% (0.07)% (0.32)% (1.30)% (0.86)%
Portfolio turnover rate 164.20 % 215.07 % 214.59% 167.08% 129.57% 124.94%
Average commission rate@ $ 0.0333 $ 0.0278 -- -- -- --
<CAPTION>
Class D
-----------------------------------------------------------------------------------------------------
Six months ended
March 31, 1997 Year ended September 30
----------------------------------------------------------------------
(Unaudited)* 1996* 1995* 1994 1993***
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 13.42 $ 13.31 $ 9.83 $ 10.39 $ 8.68
Net investment loss (0.07) (0.14) (0.12) (0.09) (0.04)
Net realized and unrealized
gain (loss) on investments (1.78) 1.27 3.64 0.28 1.75
---------- --------- -------- -------- ----------
Total from investment
operations (1.85) 1.13 3.52 0.19 1.71
---------- --------- -------- -------- ----------
Distributions from net
realized gains -- (1.02) (0.04) (0.75) --
---------- --------- -------- -------- ----------
Total distributions -- (1.02) (0.04) (0.75) --
---------- --------- -------- -------- ----------
Net asset value, end of
period $ 11.57 $ 13.42 $ 13.31 $ 9.83 $ 10.39
========== ========= ======== ======== ==========
Total return (13.86)%[dagdag] 9.23 %[dag] 36.07%[dag] 2.00%[dag] 19.70%[dagdag]
Net assets at end of period
(000s) $161,537 $ 190,319 $ 95,797 $ 37,783 $ 5,011
Ratio of operating expenses
to average net assets 1.96 %[dbldag] 2.01 % 2.08% 2.16% 3.16%[dbldag]
Ratio of net investment loss
to average net assets (1.12)%[dbldag] (1.13)% (1.09)% (1.28)% (2.16)%[dbldag]
Portfolio turnover rate 164.20 % 215.07 % 214.59% 167.08% 129.57%
Average commission rate@ $ 0.0333 $ 0.0278 -- -- --
</TABLE>
- --------------------------------------------------------------------------------
[dbldag] Annualized
* Per-share figures have been calculated using the average shares method.
** February 17, 1993 (commencement of share class designations) to
September 30, 1993.
*** March 15, 1993 (commencement of share class designations) to
September 30, 1993.
[dag] Total return figures do not reflect any front-end or contingent
deferred sales charges.
[dagdag] Represents aggregate return for the period without annualization and
does not reflect any front-end or contingent deferred sales charges.
@ For fiscal years beginning on or after October 1, 1995, the Fund is
required to disclose its average commission rate per share paid for
security trades.
8
<PAGE>
STATE STREET RESEARCH CAPITAL FUND
- --------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH CAPITAL TRUST
- --------------------------------------------------------------------------------
Fund Information
State Street Research
Capital Fund
One Financial Center
Boston, MA 02111
Investment Adviser
State Street Research &
Management Company
One Financial Center
Boston, MA 02111
Distributor
State Street Research
Investment Services, Inc.
One Financial Center
Boston, MA 02111
Shareholder Services
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
1-800-562-0032
Custodian
State Street Bank and
Trust Company
225 Franklin Street
Boston, MA 02110
Legal Counsel
Mintz, Levin, Cohn, Ferris,
Glovsky and Popeo, P.C.
One Financial Center
Boston, MA 02111
Officers
Ralph F. Verni
Chairman of the Board,
President and
Chief Executive Officer
Peter C. Bennett
Vice President
Jesus A. Cabrera
Vice President
Michael T. Carmen
Vice President
Rudolph K. Kluiber
Vice President
Frederick R. Kobrick
Vice President
James M. Weiss
Vice President
Gerard P. Maus
Treasurer
Joseph W. Canavan
Assistant Treasurer
Douglas A. Romich
Assistant Treasurer
Francis J. McNamara, III
Secretary and General Counsel
Darman A. Wing
Assistant Secretary and
Assistant General Counsel
Amy L. Simmons
Assistant Secretary
Trustees
Ralph F. Verni
Chairman of the Board,
President, Chief Executive
Officer and Director,
State Street Research &
Management Company
Steve A. Garban
Retired; formerly Senior Vice
President for Finance and
Operations and Treasurer, The
Pennsylvania State University
Malcolm T. Hopkins
Former Vice Chairman of the
Board and Chief Financial
Officer, St. Regis Corp.
Edward M. Lamont
Formerly in banking
(Morgan Guaranty Trust
Company of New York);
presently engaged in private
investments and civic affairs
Robert A. Lawrence
Associate, Saltonstall & Co.
Dean O. Morton
Retired; formerly Executive
Vice President, Chief
Operating Officer and Director,
Hewlett-Packard Company
Thomas L. Phillips
Retired; formerly Chairman of the
Board and Chief Executive
Officer, Raytheon Company
Toby Rosenblatt
President,
The Glen Ellen Company
Vice President,
Founders Investments Ltd.
Michael S. Scott Morton
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
Jeptha H. Wade
Retired; formerly Of Counsel,
Choate, Hall & Stewart
9
<PAGE>
[BACK COVER]
---------------------
State Street Research Capital Fund Bulk Rate
One Financial Center U.S. Postage
Boston, MA 02111 PAID
Brockton, MA
Permit No. 600
---------------------
Questions? Comments?
Call us at 1-800-562-0032,
or write us at:
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
[STATE STREET LOGO]
This report is prepared for the general information of current shareholders.
When used in the general solicitation of investors, this report must be
accompanied by a current State Street Research Capital fund prospectus. When
used after June 30, 1997, this report must be accompanied by a current Quarterly
Performance Update.
Portfolio changes should not be considered recommendations for action by
individual investors.
The Dalbar award recognizes quality shareholder service 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
industry-wide
CONTROL NUMBER: 3507-961122 (698)SSR-LD
Cover Illustration by Dorothy Cullinan CF-593D-597IBS
<PAGE>
[FRONT COVER]
[STATE STREET LOGO]
STATE STREET RESEARCH
EMERGING GROWTH FUND
Semiannual Report
March 31, 1997
[Graphic illustration: person climbing steps toward stars]
What's Inside
Investment Update
About the Fund,
economy and markets
Fund Information
Facts and figures
Plus, Complete Portfolio Holdings
and Financial Statements
- -----------------------------
[Graphic: Dalbar Key logo]
Dalbar Key Honors
Commitment To:
Investors
1996)
- -----------------------------
For Excellence
in
Shareholder Service
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT UPDATE
- --------------------------------------------------------------------------------
INVESTMENT ENVIRONMENT
The Economy
[bullet] Economic growth accelerated somewhat in the fourth quarter of 1996 and
continued to advance into the first quarter of 1997, exceeding
expectations.
[bullet] Consumer spending and industrial output steadily advanced during the
six months ended March 31, 1997. Wages continued to rise during the
period, but consumer prices and inflation remained low.
[bullet] The Federal Reserve raised interest rates by one-quarter point in
March.
The Markets
[bullet] The Fed's tightening predictably had an effect on both the stock and
bond markets. The bond market anticipated and then reacted to the Fed's
action by experiencing negative returns for the first quarter of 1997
for all sectors but the high-yield area. As the first quarter ended,
the stock market, as measured by the Dow Jones Industrial Average,
experienced a sizable correction.
[bullet] The S&P 500 was up +11.24% for the six-month period. Small stocks
severely lagged the performance of larger stocks, as shown by the
Russell 2000 Index, which lost -0.24%.(1)
[bullet] Bond performance lost momentum in the fourth quarter of 1996 but still
offered positive returns for the six months. The Lehman Brothers
Aggregate Bond Index gained +2.42% during the period.(1)
THE FUND
Over The Past Six Months
[bullet] For the six months ended March 31, 1997, Class A shares of Emerging
Growth Fund (formerly Small Capitalization Growth Fund) returned -0.70%
(does not reflect sales charge).(2) The Fund outperformed the average
six-month return for the 425 fund classes in Lipper Analytical
Services' Small Cap Funds category, which was -4.65% (does not reflect
sales charge).
[bullet] The Fund's performance was hurt by a risk-averse market that favored
large-company stocks at the expense of growth-oriented small-company
stocks--the type Emerging Growth Fund mainly invests in.
[bullet] Michael Carmen took over as portfolio manager of the Fund in December
1996.
Current Strategy
[bullet] We are keeping with our strategy of evaluating stocks on an individual
basis, looking for growth at good valuations and strong company
management.
[bullet] We are adding to our science and technology holdings and paring back in
the basic industries areas.
[bullet] We are taking advantage of the lower valuations created by recent
market corrections and staying diversified.
March 31, 1997
(1) The Standard & Poor's 500 Composite Index (S&P 500) includes 500 widely
traded common stocks and is a commonly used measure of U.S. stock market
performance. The Russell 2000 Index is a commonly used measure of
small-company stock performance. The Lehman Brothers Government/Corporate
Bond Index is a commonly used measure of bond market performance. The
indices are unmanaged and do not take sales charges into account. Direct
investment in the indices is not possible; results are for illustrative
purposes only.
(2) -1.09% for Class B shares; -0.70% for Class C shares; -1.09% for Class D
shares.
(3) All returns represent past performance, which is no guarantee of future
results. The investment return and principal value of an investment made in
the Fund will fluctuate and shares, when redeemed, may be worth more or less
than their original cost. All returns assume reinvestment of capital gain
distributions and income dividends. Performance for a class may include
periods prior to the adoption of class designations in 1994, which resulted
in new or increased 12b-1 fees of up to 1% per class thereafter and which
will reduce subsequent performance. Fund performance results are increased
by the voluntary reduction of Fund fees and expenses. The first figure
reflects expense reduction; the second shows results without subsidization.
"C" shares, offered without a sales charge, are available only to certain
employee benefit plans and large institutions.
(4) Performance reflects maximum 4.5% "A" share front-end sales charge or 5% "B"
share or 1% "D" share contingent deferred sales charges, where applicable.
(5) Cumulative total returns are not annualized, nor do they reflect sales
charges, which, if reflected, would reduce performance.
Because the Fund invests in emerging growth and special situation companies, an
investment in the Fund may involve greater-than-average risk and above-average
price fluctuation. Small-company stocks are more volatile than large-company
stocks.
Please note that the discussion throughout this shareholder report is dated as
indicated and, because of possible changes in viewpoint, data and transactions,
should not be relied upon as being current thereafter.
SEC Average Annual Compound Rates Of Return
(at maximum applicable sales charge) [3,4]
Life of Fund
(since 10/4/93) 1 year
- -------------------------------------------------
Class A +3.43%/+2.94% +9.31%/+8.91%
- -------------------------------------------------
Class B +3.32%/+2.81% +8.64%/+8.22%
- -------------------------------------------------
Class C +5.10%/+4.58% +14.64%/+14.22%
- -------------------------------------------------
Class D +4.07%/+3.57% +12.54%/+12.11%
=================================================
Cumulative Total Returns
(do not reflect sales charge) [3,5]
Life of Fund
(since 10/4/93) 1 year
- -------------------------------------------------
Class A +17.81%/+15.88% +14.46%/+14.04%
- -------------------------------------------------
Class B +15.07%/+13.16% +13.64%/+13.22%
- -------------------------------------------------
Class C +18.96%/+16.92% +14.64%/+14.22%
- -------------------------------------------------
Class D +14.96%/+13.05% +13.54%/+13.11%
=================================================
Top 10 Holdings
(by percentage of net assets)
1 Cooper Companies Health care 5.1%
2 Caribiner Corporate communications 4.8%
3 Applied Graphics
Technologies Computer software 3.5%
4 U.S. Office Products Office products 2.9%
5 Whittman-hart Information technology 2.8%
6 Action Performance Collectibles 2.6%
7 Kenneth Cole Productions Footwear 2.0%
8 Men's Wearhouse Retail apparel 1.8%
9 Ames Department stores 1.7%
10 Sanmina Electronic circuit boards 1.7%
These securities represent an aggregate of 28.9% of the portfolio. Because of
active management, there is no guarantee that the Fund currently invests, or
will continue to invest, in the securities listed in this table or in the text
above.
Top 5 Industries
(by percentage of net assets)
Business Service 16.8%
Computer Software 11.4%
Retail 10.4%
Electronic
Components 7.6%
Textile And Apparel 6.9%
Total: 53.1%
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
- --------------------------------------------------------------------------------
March 31, 1997 (Unaudited)
Value
Shares (Note 1)
COMMON STOCKS 99.6%
Basic Industries 4.7%
Diversified 1.4%
Vitro SA ADR* .............................. 100,000 $ 737,500
-----------
Electronic Equipment 1.3%
Aavid Thermal Technologies Inc.* ......... 60,000 705,000
-----------
Machinery 1.1%
US Filter Corp.* ........................... 18,400 568,100
-----------
Metal & Mining 0.9%
ASARCO Inc. .............................. 8,900 250,312
Chicago Bridge & Iron Co. NV* ............ 10,900 193,475
-----------
443,787
-----------
Total Basic Industries ............................ 2,454,387
-----------
Consumer Cyclical 29.8%
Automotive 1.3%
Lear Corp.* .............................. 9,000 300,375
Team Rental Group, Inc. Cl. A* ............ 20,000 420,000
-----------
720,375
-----------
Building 0.5%
American HomeStar Corp.* .................. 15,000 262,500
-----------
Hotel & Restaurant 5.2%
Extended Stay America Inc.*[dbldag] ...... 35,300 522,881
Fine Host Corp.* ........................... 34,400 808,400
Interstate Hotels Co.* ..................... 18,300 516,975
Lone Star Steakhouse & Saloon Inc.* ...... 10,700 244,763
Station Casinos Inc.* ..................... 50,000 406,250
Trump Hotels & Casino Resorts Inc.* ...... 29,200 262,800
-----------
2,762,069
-----------
Recreation 5.5%
Action Performance Companies Inc.* ......... 70,000 1,365,000
HSN Inc.* ................................. 30,000 761,250
LIN Television Corp.* ..................... 15,000 543,750
Petco Animal Supplies Inc.* ............... 9,200 216,200
------------
2,886,200
-----------
Retail Trade 10.4%
Abercrombie & Fitch Co. Cl. A* ............ 33,200 506,300
Ames Department Stores Inc.* ............... 100,000 912,500
Blyth Industries Inc.* ..................... 15,000 541,875
Guitar Center Inc.* ........................ 3,500 56,000
Jones Apparel Group Inc.* .................. 20,000 742,500
Just For Feet Inc.* ........................ 38,400 662,400
Linens 'n Things Inc.* ..................... 10,200 238,425
Value
Shares (Note 1)
--------- ------------
Retail Trade (cont'd)
Loehmann's, Inc.* ........................ 15,000 $ 262,500
RDO Equipment Co. Cl. A* .................. 42,400 742,000
Sunglass Hut International Inc.* ......... 41,100 287,700
WinsLoew Furniture Inc.* .................. 60,000 525,000
-----------
5,477,200
-----------
Textile & Apparel 6.9%
Ashworth Inc.* ........................... 80,400 643,200
Kenneth Cole Productions Inc. Cl. A* ...... 50,000 1,050,000
Men's Wearhouse, Inc.* ..................... 35,000 962,500
Nautica Enterprises Inc.* .................. 7,400 185,925
Tommy Hilfiger Corp.* ..................... 15,200 794,200
-----------
3,635,825
-----------
Total Consumer Cyclical ............................. 15,744,169
-----------
Consumer Staple 31.3%
Business Service 16.8%
ABR Information Services Inc.* ............ 15,500 279,000
Apollo Group Inc. Cl. A* .................. 20,000 490,000
Aspect Telecommunications Corp.* ......... 29,400 573,300
Caribiner International Inc.* ............ 54,400 2,543,200
Cognos Inc.* .............................. 15,900 413,400
Data Processing Resources Corp.* ......... 30,900 579,375
Education Management Corp.* ............... 22,900 520,975
Hvide Marine Inc. Cl. A* .................. 24,000 546,000
Philip Environmental Inc.* ............... 50,200 759,275
Precision Response Corp.* .................. 26,400 623,700
U.S. Office Products Co.* .................. 62,100 1,536,975
-----------
8,865,200
-----------
Drug 0.8%
Cephalon Inc.* ........................... 20,000 420,000
-----------
Food & Beverage 0.9%
Prosource Inc. Cl. A* ..................... 40,000 450,000
-----------
Hospital Supply 4.9%
Maxicare Health Plans Inc.* ............... 25,000 628,125
Micro Therapeutics Inc.* .................. 50,000 356,250
Patient Infosystems Inc.* .................. 50,000 343,750
Sierra Health Services Inc.* ............... 20,000 507,500
Trigon Healthcare Inc.* .................. 42,000 740,250
-----------
2,575,875
-----------
Personal Care 5.1%
Cooper Companies Inc. ..................... 132,900 2,691,225
-----------
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
- --------------------------------------------------------------------------------
Value
Shares (Note 1)
--------- ------------
Printing & Publishing 2.1%
Hollinger International, Inc. Cl. A* ......... 52,400 $ 478,150
Valassis Communications Inc. .................. 29,300 655,587
-----------
1,133,737
-----------
Tobacco 0.7%
Swisher International Group Inc. Cl. A* ...... 25,300 370,013
-----------
Total Consumer Staple ............................... 16,506,050
-----------
Energy 6.0%
Oil 3.3%
Abacan Resource Corp.* ........................ 48,800 384,300
Barrett Resources Corp.* ..................... 7,900 236,012
Flores & Rucks Inc.* ........................ 13,200 534,600
United Meridian Corp.* ........................ 20,000 602,500
-----------
1,757,412
-----------
Oil Service 2.7%
Cliffs Drilling Co.* ........................ 14,500 860,938
Marine Drilling Companies, Inc.* ............ 30,000 532,500
-----------
1,393,438
-----------
Total Energy ....................................... 3,150,850
-----------
Finance 8.8%
Bank 4.0%
Bank United Corp. Cl. A* ..................... 17,600 519,200
Commercial Federal Corp. ..................... 22,500 759,375
North Fork Bancorporation Inc.* ............... 10,400 375,700
Sovereign Bancorp Inc.* ..................... 41,160 493,920
-----------
2,148,195
-----------
Financial Service 2.1%
Beacon Properties Corp. ..................... 19,500 645,938
Medallion Financial Corp.* .................. 15,000 271,875
MoneyGram Payment Systems Inc.* ............... 21,200 174,900
-----------
1,092,713
-----------
Insurance 2.7%
Chartwell Re Corp.* ........................... 19,400 531,075
Delphi Financial Group Inc. Cl. A* ............ 12,600 418,950
Mutual Risk Management Ltd. .................. 13,266 480,892
-----------
1,430,917
-----------
Total Finance ........................................ 4,671,825
-----------
Value
Shares (Note 1)
-------- -----------
Science & Technology 19.0%
Computer Software & Service 11.4%
Applied Graphics Technologies, Inc.* ......... 51,500 $1,821,812
Geoworks* .................................... 20,000 132,500
McAfee Associates Inc.* ..................... 2,600 115,050
P-COM, Inc.* ................................. 14,500 377,000
Pure Atria Corp.* ........................... 40,000 682,500
Quickturn Design Systems Inc.* ............... 40,000 640,000
Westell Technologies, Inc. Cl. A* ............ 25,000 334,375
Whittman-Hart Inc.* ........................... 69,000 1,466,250
Wonderware Corp.* ........................... 45,500 443,625
-----------
6,013,112
-----------
Electronic Components 7.6%
Actel Corp.* ................................. 19,900 432,825
CHS Electronics Inc.* ........................ 35,000 713,125
Cymer Inc.* ................................. 10,600 380,275
Kulicke & Soffa Industries Inc.* ............ 18,200 384,475
NeoMagic Corp.* .............................. 2,000 25,250
Pairgain Technologies Inc.* .................. 20,100 595,463
Sanmina Corp.* .............................. 20,000 895,000
SBS Technologies Inc.* ........................ 40,000 610,000
-----------
4,036,413
-----------
Total Science & Technology ............................ 10,049,525
-----------
Utility 0.0%
Telephone 0.0%
NACT Telecommunications Inc.* ............... 1,700 9,988
-----------
Total Utility ........................................ 9,988
-----------
Total Common Stocks (Cost $51,215,695) ................ 52,586,794
-----------
- ----------------------------------------------------------------------
Principal Maturity
Amount Date
- ----------------------------------------------------------------------
SHORT-TERM OBLIGATIONS 1.0%
American Express Credit Corp.,
6.00% ..................... $521,000 4/02/1997 521,000
------------
Total Short-Term Obligations (Cost $521,000)............ 521,000
------------
Total Investments (Cost $51,736,695)--100.6%............ 53,107,794
Cash and Other Assets, Less Liabilities--(0.6%) ........ (308,654)
------------
Net Assets--100.0% .................................... $ 52,799,140
============
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
Federal Income Tax Information:
At March 31, 1997, the net unrealized appreciation of
investments based on cost for Federal income tax
purposes of $51,736,870 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost ...................................................... $ 5,025,709
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value ................................................... (3,654,785)
------------
$ 1,370,924
============
- --------------------------------------------------------------------------------
* Nonincome-producing securities
ADR stands for American Depository Receipt, representing ownership of foreign
securities.
[dbldag] Security restricted as to public resale. The total cost and market
value of restricted securities owned at March 31, 1997 were $622,163
and $522,881 (0.99% of net assets), respectively.
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1997 (Unaudited)
Assets
Investments, at value (Cost $51,736,695) (Note 1) ...... $53,107,794
Cash ................................................... 100,421
Receivable for securities sold ........................ 1,310,921
Receivable for fund shares sold ........................ 149,556
Receivable from Distributor (Note 3) .................. 35,991
Dividends and interest receivable ..................... 6,902
Deferred organization costs and other assets (Note 1) 12,036
------------
54,723,621
Liabilities
Payable for securities purchased ........................ 1,634,849
Payable for fund shares redeemed ..................... 99,649
Accrued transfer agent and shareholder services
(Note 2) ............................................. 77,933
Accrued management fee (Note 2) ........................ 32,019
Accrued distribution and service fees (Note 5) ......... 26,418
Accrued trustees' fees (Note 2) ........................ 6,733
Other accrued expenses ................................. 46,880
------------
1,924,481
------------
Net Assets $52,799,140
============
Net Assets consist of:
Unrealized appreciation of investments ............... $ 1,371,099
Accumulated net realized gain ........................ 7,318,227
Shares of beneficial interest ........................ 44,109,814
------------
$52,799,140
============
Net Asset Value and redemption price per share of
Class A shares ($20,591,208 [divided by] 1,977,057
shares of beneficial interest)........................ $10.42
======
Maximum Offering Price per share of Class A shares
($10.42 [divided by] .955).............................. $10.91
======
Net Asset Value and offering price per share of
Class B shares ($23,407,773 [divided by] 2,304,652
shares of beneficial interest)* ....................... $10.16
======
Net Asset Value, offering price and redemption price
per share of Class C shares ($4,691,811 [divided by]
445,508 shares of beneficial interest) ................ $10.53
======
Net Asset Value and offering price per share of
Class D shares ($4,108,348 [divided by] 404,703 shares
of beneficial interest)* .............................. $10.15
======
- --------------------------------------------------------------------------------
* Redemption price per share for Class B and Class D is equal to net asset value
less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
For the six months ended March 31, 1997 (Unaudited)
Investment Income
Interest .......................................... $ 83,107
Dividends ....................................... 70,317
-----------
153,424
Expenses
Management fee (Note 2) ........................... 212,424
Transfer agent and shareholder services (Note 2) 83,031
Custodian fee .................................... 58,166
Service fee-Class A (Note 5) ..................... 24,893
Distribution and service fees-Class B (Note 5) ... 116,595
Distribution and service fees-Class D (Note 5) ... 21,356
Reports to shareholders ........................... 21,125
Registration fees ................................. 18,850
Audit fee ....................................... 9,875
Trustees' fees (Note 2) ........................... 6,316
Amortization of organization costs (Note 1) ...... 3,239
Legal fees ....................................... 2,227
Miscellaneous .................................... 5,344
-----------
583,441
Expenses borne by the Distributor (Note 3) ...... (107,922)
-----------
475,519
-----------
Net investment loss .............................. (322,095)
-----------
Realized and Unrealized Gain (Loss)
on Investments
Net realized gain on investments (Notes 1 and 3) ... 7,705,196
Net unrealized depreciation of investments ...... (7,605,997)
-----------
Net gain on investments ........................... 99,199
-----------
Net decrease in net assets resulting from
operations .................................... $ (222,896)
===========
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Six months ended
March 31, 1997 Year ended
(Unaudited) September 30, 1996
------------------ -------------------
Increase (Decrease) in Net Assets
Operations:
Net investment loss ............ $ (322,095) $ (749,639)
Net realized gain on
investments* ............... 7,705,196 11,088,837
Net unrealized depreciation of
investments .................. (7,605,997) (2,000,953)
------------ -------------
Net increase (decrease)
resulting from operations ... (222,896) 8,338,245
------------ -------------
Distribution from net realized
gains:
Class A ..................... (1,462,798) --
Class B ..................... (1,761,067) --
Class C ..................... (1,026,873) --
Class D ..................... (320,673) --
------------ -------------
(4,571,411) --
------------ -------------
Net decrease from fund share
transactions (Note 6) ...... (3,666,364) (14,818,177)
------------ -------------
Total decrease in net assets..... (8,460,671) (6,479,932)
Net Assets
Beginning of period ............ 61,259,811 67,739,743
------------ -------------
End of period .................. $ 52,799,140 $ 61,259,811
============ =============
* Net realized gain for
Federal income tax purposes
(Note 1) ..................... $ 7,697,060 $ 7,630,937
============ =============
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
March 31, 1997
Note 1
State Street Research Emerging Growth Fund, formerly State Street Research Small
Capitalization Growth Fund (the "Fund"), is a series of State Street Research
Capital Trust (the "Trust"), which is a Massachusetts business trust registered
under the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The Trust was organized in November, 1988 as a
successor to State Street Capital Fund, Inc., a Massachusetts corporation. The
Trust consists presently of three separate funds: State Street Research Emerging
Growth Fund, State Street Research Capital Fund and State Street Research Aurora
Fund.
The investment objective of the Fund is to provide growth of capital. In seeking
to achieve its investment objective, the Fund invests primarily in the equity
securities of emerging growth and small capitalization companies.
The Fund offers four classes of shares. Class A shares are subject to an initial
sales charge of up to 4.50% and pay an annual service fee equal to 0.25% of
average daily net assets. Class B shares are subject to a contingent deferred
sales charge on certain redemptions made within five years of purchase and pay
annual distribution and service fees of 1.00%. Class B shares automatically
convert into Class A shares (which pay lower ongoing expenses) at the end of
eight years after the issuance of the Class B shares. Class C shares are only
offered to certain employee benefit plans and large institutions. Class D shares
are subject to a contingent deferred sales charge of 1.00% on any shares
redeemed within one year of their purchase. Class D shares also pay annual
distribution and service fees of 1.00%. The Fund's expenses are borne pro-rata
by each class, except that each class bears expenses, and has exclusive voting
rights with respect to provisions of the Plan of Distribution, related
specifically to that class. The Trustees declare separate dividends on each
class of shares.
The following significant policies are consistently followed by the Fund in
preparing its financial statements, and such policies are in conformity with
generally accepted accounting principles for investment companies.
A. Investments In Securities
Values for listed securities represent the last sale 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 the closing price
supplied through such system. In the absence of recorded sales and for those
over-the-counter securities not quoted on the NASDAQ system, valuations are at
the mean of the closing bid and asked quotations, except for certain securities
that may be restricted as to public resale, which are valued in accordance with
methods adopted by the Trustees. Security transactions are accounted for on the
trade date (date the order to buy or sell is executed), and dividends declared
but not received are accrued on the ex-dividend date. Interest income is
determined on the accrual basis. Realized gains and losses from security
transactions are reported on the basis of identified cost of securities
delivered for both financial reporting and Federal income tax purposes.
B. Federal Income Taxes
No provision for Federal income taxes is necessary since the Fund intends to
qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains, if
any, within the prescribed time periods.
C. Dividends
Dividends from net investment income, if any, are declared and paid or
reinvested annually. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles.
D. Deferred Organization Costs
Certain costs incurred in the organization and registration of the Fund were
capitalized and are being amortized under the straight-line method over a period
of five years.
E. 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.
Note 2
The Trust and State Street Research & Management Company (the "Adviser"), an
indirect wholly owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"), have entered into an agreement under which the Adviser earns
monthly fees equal to 1/16 of 1% (3/4 of 1% on an annual basis) of average daily
net assets. In consideration of these fees, the Adviser furnishes the Fund with
management, investment advisory, statistical and research facilities and
services. The Adviser also pays all salaries, rent and certain other expenses of
management. During the six months ended March 31, 1997, the fees pursuant to
such agreement amounted to $212,424.
State Street Research Shareholder Services, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), an indirect wholly owned subsidiary of Metropolitan, provides
certain shareholder services to the Fund such as responding to inquiries and
instructions from investors with respect to the purchase and redemption of
shares of the Fund. In addition, Metropolitan receives a fee for maintenance of
the accounts of certain shareholders who are participants in sponsored
arrangements, employee benefit plans and similar programs or plans, through or
under which shares of the Fund may be purchased. During the six months ended
March 31, 1997, the amount of such shareholder servicing and account maintenance
expenses was $24,027.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$6,316 during the six months ended March 31, 1997.
6
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
NOTES (cont'd)
- --------------------------------------------------------------------------------
Note 3
The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees or expenses relating to the Fund. During
the six months ended March 31, 1997, the amount of such expenses assumed by the
Distributor and its affiliates was $107,922.
Note 4
For the six months ended March 31, 1997, exclusive of short-term investments and
U.S. Government obligations, purchases and sales of securities aggregated
$93,522,514 and $96,802,799, respectively.
Note 5
The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the "Plan")
under the Investment Company Act of 1940. Under the Plan, the Fund pays annual
service fees to the Distributor at a rate of 0.25% of average daily net assets
for Class A, Class B and Class D shares. In addition, the Fund pays annual
distribution fees of 0.75% of average daily net assets for Class B and Class D
shares. The Distributor uses such payments for personal services and/or the
maintenance or servicing of shareholder accounts, to reimburse securities
dealers for distribution and marketing services, to furnish ongoing assistance
to investors and to defray a portion of its distribution and marketing expenses.
For the six months ended March 31, 1997, fees pursuant to such plan amounted to
$24,893, $116,595 and $21,356 for Class A, Class B and Class D, respectively.
The Fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of Metropolitan, earned initial sales charges
aggregating $3,146 and $14,885, respectively, on sales of Class A shares of the
Fund during the six months ended March 31, 1997, and that MetLife Securities,
Inc. earned commissions aggregating $23,572 on sales of Class B shares, and that
the Distributor collected contingent deferred sales charges aggregating $26,897
and $50 on redemptions of Class B and Class D shares, respectively, during the
same period.
Note 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share.
At March 31, 1997, the Adviser owned one Class C share of the Fund.
Share transactions were as follows:
<TABLE>
<CAPTION>
Six months ended
March 31, 1997 Year ended
(Unaudited) September 30, 1996
----------------------------- ------------------------------
Class A Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 242,303 $ 2,684,143 163,674 $ 1,606,790
Issued upon reinvestment of distribution from net realized gains 133,558 1,418,423 -- --
Shares redeemed ................................................ (146,146) (1,614,966) (632,394) (6,137,327)
------------ ------------ ---------- -------------
Net increase (decrease) .......................................... 229,715 $ 2,487,600 (468,720) $ (4,530,537)
============ ============ ========== =============
Class B Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------
Shares sold ................................................... 216,404 $ 2,328,572 84,647 $ 831,719
Issued upon reinvestment of distribution from net realized gains 157,306 1,632,835 -- --
Shares redeemed ................................................ (198,812) (2,149,700) (721,298) (6,831,042)
------------ ------------ ---------- -------------
Net increase (decrease) .......................................... 174,898 $ 1,811,707 (636,651) $ (5,999,323)
============ ============ ========== =============
Class C Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------
Shares sold ................................................... 195,856 $ 2,206,558 490,032 $ 5,072,988
Issued upon reinvestment of distribution from net realized gains 95,612 1,026,868 -- --
Shares redeemed ................................................ (1,009,650) (11,172,770) (593,777) (5,912,012)
------------ ------------ ---------- -------------
Net decrease ................................................... (718,182) $ (7,939,344) (103,745) $ (839,024)
============ ============ ========== =============
Class D Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------
Shares sold ................................................... 26,987 $ 287,641 14,475 $ 143,867
Issued upon reinvestment of distribution from net realized gains 29,013 300,866 -- --
Shares redeemed ................................................ (56,832) (614,834) (380,626) (3,593,160)
------------ ------------ ---------- -------------
Net decrease ................................................... (832) $ (26,327) (366,151) $ (3,449,293)
============ ============ ========== =============
</TABLE>
7
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a share outstanding throughout each period:
<TABLE>
<CAPTION>
Class A
-----------------------------------------------------------------------------------
Six months ended Year ended September 30
-------------------------------------------------------
March 31, 1997
(Unaudited)**** 1996**** 1995**** 1994**
---------------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.33 $ 9.69 $ 8.56 $ 9.45
Net investment loss* (0.04) (0.09) (0.08) (0.02)
Net realized and unrealized gain (loss) on
investments (0.02) 1.73 1.21 (0.87)
------- ------- ------- -------
Total from investment operations (0.06) 1.64 1.13 (0.89)
------- ------- ------- -------
Distribution from net realized gains (0.85) -- -- --
------- ------- ------- -------
Total distributions (0.85) -- -- --
------- ------- ------- -------
Net asset value, end of period $ 10.42 $ 11.33 $ 9.69 $ 8.56
======= ======= ======= =======
Total return (0.70)%++ 16.92%+ 13.20%+ (9.42)%++
Net assets at end of period (000s) $20,591 $19,791 $21,480 $21,986
Ratio of operating expenses to average net
assets* 1.35%[dbldag] 1.35% 1.35% 1.35%[dbldag]
Ratio of net investment loss to average net
assets* (0.80)%[dbldag] (0.96)% (0.93)% (0.58)%[dbldag]
Portfolio turnover rate 169.85% 155.85% 178.60% 83.61%
Average commission rate@ $0.0202 $0.0159 -- --
*Reflects voluntary assumption of fees or
expenses per share in each period (Note 3). $0.02 $0.04 $ 0.06 $ 0.02
</TABLE>
<TABLE>
<CAPTION>
Class B
-----------------------------------------------------------------------------------
Six months ended Year ended September 30
-------------------------------------------------------
March 31, 1997
(Unaudited)**** 1996**** 1995**** 1994**
---------------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.11 $ 9.58 $ 8.52 $ 9.45
Net investment loss* (0.08) (0.17) (0.14) (0.06)
Net realized and unrealized gain (loss) on
investments (0.02) 1.70 1.20 (0.87)
------- ------- ------- -------
Total from investment operations (0.10) 1.53 1.06 (0.93)
------- ------- ------- -------
Distribution from net realized gains (0.85) -- -- --
------- ------- ------- -------
Total distributions (0.85) -- -- --
------- ------- ------- -------
Net asset value, end of period $ 10.16 $ 11.11 $ 9.58 $ 8.52
======= ======= ======= =======
Total return (1.09)%++ 15.97%+ 12.44%+ (9.84)%++
Net assets at end of period (000s) $23,408 $23,656 $26,489 $29,287
Ratio of operating expenses to average net
assets* 2.10%[dbldag] 2.10% 2.10% 2.10%[dbldag]
Ratio of net investment loss to average net
assets* (1.58)%[dbldag] (1.71)% (1.67)% (1.32)%[dbldag]
Portfolio turnover rate 169.85% 155.85 % 178.60% 83.61%
Average commission rate@ $0.0202 $0.0159 -- --
*Reflects voluntary assumption of fees or
expenses per share in each period (Note 3). $ 0.02 $ 0.04 $ 0.06 $ 0.02
</TABLE>
<TABLE>
<CAPTION>
Class C
-----------------------------------------------------------------------------------
Six months ended Year ended September 30
-------------------------------------------------------
March 31, 1997
(Unaudited)**** 1996**** 1995**** 1994**
---------------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.44 $ 9.77 $ 8.60 $ 9.55
Net investment loss* (0.03) (0.07) (0.06) (0.06)
Net realized and unrealized gain (loss) on
investments (0.03) 1.74 1.23 (0.89)
------- ------- -------- -------
Total from investment operations (0.06) 1.67 1.17 (0.95)
------- ------- -------- -------
Distribution from net realized gains (0.85) -- -- --
------- ------- -------- -------
Total distributions (0.85) -- -- --
------- ------- -------- -------
Net asset value, end of period $ 10.53 $ 11.44 $ 9.77 $ 8.60
======= ======= ======= =======
Total return (0.70)%++ 17.09%+ 13.60%+ (9.95)%++
Net assets at end of period (000s) $ 4,692 $13,311 $12,380 $ 7,033
Ratio of operating expenses to average net
assets* 1.10%[dbldag] 1.10% 1.10% 1.10%[dbldag]
Ratio of net investment loss to average net
assets* (0.49)%[dbldag] (0.71)% (0.71)% (0.68)%[dbldag]
Portfolio turnover rate 169.85% 155.85% 178.60% 83.61%
Average commission rate@ $0.0202 $0.0159 -- --
*Reflects voluntary assumption of fees or
expenses per share in each period (Note 3). $ 0.02 $ 0.04 $ 0.06 $ 0.04
</TABLE>
<TABLE>
<CAPTION>
Class D
-----------------------------------------------------------------------------------
Six months ended Year ended September 30
-------------------------------------------------------
March 31, 1997
(Unaudited)**** 1996**** 1995**** 1994**
---------------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.10 $ 9.58 $ 8.52 $ 9.45
Net investment loss* (0.08) (0.16) (0.14) (0.06)
Net realized and unrealized gain (loss) on
investments (0.02) 1.68 1.20 (0.87)
------- ------- -------- -------
Total from investment operations (0.10) 1.52 1.06 (0.93)
------- ------- -------- -------
Distribution from net realized gains (0.85) -- -- --
------- ------- -------- -------
Total distributions (0.85) -- -- --
------- ------- -------- -------
Net asset value, end of period $ 10.15 $ 11.10 $ 9.58 $ 8.52
======= ======= ======= =======
Total return (1.09)%++ 15.87%+ 12.44%+ (9.84)%++
Net assets at end of period (000s) $ 4,108 $ 4,503 $ 7,391 $10,032
Ratio of operating expenses to average net
assets* 2.10%[dbldag] 2.10% 2.10% 2.10%[dbldag]
Ratio of net investment loss to average net
assets* (1.57)%[dbldag] (1.71)% (1.67)% (1.32)%[dbldag]
Portfolio turnover rate 169.85% 155.85% 178.60% 83.61%
Average commission rate@ $0.0202 $0.0159 -- --
*Reflects voluntary assumption of fees or
expenses per share in each period (Note 3). $ 0.02 $ 0.04 $ 0.06 $ 0.02
</TABLE>
- --------------------------------------------------------------------------------
[dbldag] Annualized.
+ Total return figures do not reflect any front-end or contingent
deferred sales charges. Total return would be lower if the Distributor
and its affiliates had not voluntarily assumed a portion of the Fund's
expenses.
++ Represents aggregate return for the period without annualization and
does not reflect any front-end or contingent deferred sales charges.
Total return would be lower if the Distributor and its affiliates had
not voluntarily assumed a portion of the Fund's expenses.
** February 1, 1994 (commencement of share class designations) to
September 30, 1994.
*** October 4, 1993 (commencement of operations) to September 30, 1994.
**** Per-share figures have been calculated using the average shares
method.
@ For fiscal years beginning on or after October 1, 1995, the Fund is
required to disclose its average commission rate per share paid for
security trades.
8
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
- --------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH CAPITAL TRUST
- --------------------------------------------------------------------------------
Fund Information
State Street Research
Emerging Growth Fund
One Financial Center
Boston, MA 02111
Investment Adviser
State Street Research &
Management Company
One Financial Center
Boston, MA 02111
Distributor
State Street Research
Investment Services, Inc.
One Financial Center
Boston, MA 02111
Shareholder Services
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
1-800-562-0032
Custodian
State Street Bank and
Trust Company
225 Franklin Street
Boston, MA 02110
Legal Counsel
Mintz, Levin, Cohn, Ferris,
Glovsky and Popeo, P.C.
One Financial Center
Boston, MA 02111
Officers
Ralph F. Verni
Chairman of the Board,
President and
Chief Executive Officer
Peter C. Bennett
Vice President
Jesus A. Cabrera
Vice President
Michael Carmen
Vice President
Rudolph K. Kluiber
Vice President
Frederick R. Kobrick
Vice President
James M. Weiss
Vice President
Gerard P. Maus
Treasurer
Joseph W. Canavan
Assistant Treasurer
Douglas A. Romich
Assistant Treasurer
Francis J. McNamara, III
Secretary and General Counsel
Darman A. Wing
Assistant Secretary and
Assistant General Counsel
Amy L. Simmons
Assistant Secretary
Trustees
Ralph F. Verni
Chairman of the Board,
President, Chief Executive
Officer and Director,
State Street Research &
Management Company
Steve A. Garban
Retired; formerly Senior Vice
President for Finance and
Operations and Treasurer, The
Pennsylvania State University
Malcolm T. Hopkins
Former Vice Chairman of the
Board and Chief Financial
Officer, St. Regis Corp.
Edward M. Lamont
Formerly in banking
(Morgan Guaranty Trust
Company of New York);
presently engaged in private
investments and civic affairs
Robert A. Lawrence
Associate, Saltonstall & Co.
Dean O. Morton
Retired; formerly Executive
Vice President, Chief
Operating Officer and Director,
Hewlett-Packard Company
Thomas L. Phillips
Retired; formerly Chairman of
the Board and Chief Executive
Officer, Raytheon Company
Toby Rosenblatt
President,
The Glen Ellen Company
Vice President,
Founders Investments Ltd.
Michael S. Scott Morton
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
Jeptha H. Wade
Retired; formerly Of Counsel,
Choate, Hall & Stewart
9
<PAGE>
[BACK COVER]
State Street Research Bulk Rate
Emerging Growth Fund U.S. Postage
One Financial Center PAID
Boston, MA 02111 Brockton, MA
Permit No. 600
Questions? Comments?
Call us at 1-800-562-0032,
or write us at:
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
[STATE STREET LOGO]
This report is prepared for the general information of current shareholders.
When used in the general solicitation of investors, this report must be
accompanied by a current State Street Research Emerging Growth Fund prospectus.
When used after June 30, 1997, this report must be accompanied by a current
Quarterly Performance Update.
Portfolio changes should not be considered recommendations for action by
individual investors.
The Dalbar award recognizes quality shareholder service 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
industry-wide
CONTROL NUMBER: 3508-961125(698)SSR-LD Cover Illustration by Dorothy Cullinan
SCG-006E-597IBS
<PAGE>
[logo] STATE STREET RESEARCH
- ---------------------------
STATE STREET RESEARCH
AURORA FUND
- ---------------------------
- ---------------------------
SEMIANNUAL REPORT
- ---------------------------
March 31, 1997
[Graphic illustration: person climbing stairs to the stars]
- ---------------------------
WHAT'S INSIDE
- ---------------------------
INVESTMENT UPDATE
About the Fund,
economy and markets
FUND INFORMATION
Facts and figures
PLUS, COMPLETE PORTFOLIO HOLDINGS
AND FINANCIAL STATEMENTS
- -----------------------------
[Graphic: Dalbar Key logo]
Dalbar Key Honors
Commitment To:
Investors
1996)
- -----------------------------
For Excellence
in
Shareholder Service
<PAGE>
STATE STREET RESEARCH AURORA FUND
- ------------------------------------------------------------------------------
INVESTMENT UPDATE
- ------------------------------------------------------------------------------
INVESTMENT ENVIRONMENT
The Economy
* Economic growth accelerated somewhat in the fourth quarter of 1996 and
continued to advance into the first quarter of 1997, exceeding expectations.
* Consumer spending and industrial output steadily advanced during the six
months ended March 31, 1997. Wages continued to rise during the period, but
consumer prices and inflation remained low.
* The Federal Reserve raised interest rates by one-quarter point in March.
The Markets
* The Fed's tightening predictably had an effect on both the stock and bond
markets. The bond market anticipated and then reacted to the Fed's action by
experiencing negative returns for the first quarter of 1997 for all sectors
but the high-yield area. As the first quarter ended, the stock market, as
measured by the Dow Jones Industrial Average, experienced a sizable
correction.
* The S&P 500 was up +11.24% for the six-month period. Small stocks severely
lagged the performance of larger stocks, as shown by the Russell 2000 Index,
which lost -0.24%.(1)
* Bond performance lost momentum in the fourth quarter of 1996 but still offered
positive returns for the six months. The Lehman Brothers Aggregate Bond Index
gained +2.42% during the period.(1)
THE FUND
Over The Past Six Months
* For the six months ended March 31, 1997, Class A shares of Aurora Fund
(formerly Small Capitalization Value Fund) returned +16.83% (does not reflect
sales charge).(2) The Fund solidly outperformed the average six-month return
for the 425 fund classes in Lipper Analytical Services' Small Cap Funds
category, which was -4.65% (does not reflect sales charge).
* Aurora Fund was the top-performing fund in its Lipper category for the six
months ended March 31, 1997.
* The bulk of the Fund's gains came during the first three months of the
six-month period ended March 31, 1997. Careful stock selection combined with
minimal holdings in financial services and science and technology stocks
helped Aurora Fund maintain positive returns when markets corrected in March.
Current Strategy
* We are keeping with our strategy of evaluating stocks on an individual basis,
focusing on small, attractively priced companies with good appreciation
potential.
* We continue to stay away from science and technology stocks and try to find
companies that are not yet widely followed by Wall Street analysts.
* This Fund tends to move independently of the broader markets. We are taking
advantage of the lower valuations created by recent market corrections.
March 31, 1997
(1) The Standard & Poor's 500 Composite Index (S&P 500) includes 500 widely
traded common stocks and is a commonly used measure of U.S. stock market
performance. The Russell 2000 Index is a commonly used measure of small-
company stock performance. The Lehman Brothers Government/ Corporate Bond
Index is a commonly used measure of bond market performance. The indices
are unmanaged and do not take transaction charges into account. Direct
investment in the indices is not possible; results are for illustrative
purposes only.
(2) +16.39% for Class B shares; +17.01% for Class C shares; +16.39% for Class D
shares.
(3) All returns represent past performance, which is no guarantee of future
results. The investment return and principal value of an investment made in
the Fund will fluctuate and shares, when redeemed, may be worth more or
less than their original cost. All returns assume reinvestment of capital
gain distributions and income dividends. Fund performance results are
increased by the voluntary reduction of Fund fees and expenses. The first
figure reflects expense reduction; the second shows results without
subsidization. "C" shares, offered without a sales charge, are available
only to certain employee benefit plans and large institutions.
(4) Performance reflects maximum 4.5% "A" share front-end sales charge or 5%
"B" share or 1% "D" share contingent deferred sales charges, where
applicable.
(5) Cumulative total returns are not annualized, nor do they reflect sales
charges, which, if reflected, would reduce performance.
BECAUSE THE FUND INVESTS IN SPECIAL SITUATION COMPANIES, AN INVESTMENT IN THE
FUND MAY INVOLVE GREATER-THAN-AVERAGE RISK AND ABOVE-AVERAGE PRICE
FLUCTUATION. SMALL-COMPANY STOCKS ARE MORE VOLATILE THAN LARGE-COMPANY STOCKS.
PLEASE NOTE THAT THE DISCUSSION THROUGHOUT THIS SHAREHOLDER REPORT IS DATED AS
INDICATED AND, BECAUSE OF POSSIBLE CHANGES IN VIEWPOINT, DATA AND TRANSACTIONS,
SHOULD NOT BE RELIED UPON AS BEING CURRENT THEREAFTER.
- ------------------------------------------------------------------------------
FUND INFORMATION (all data are for periods ended March 31, 1997)
- ------------------------------------------------------------------------------
SEC AVERAGE ANNUAL COMPOUND RATES OF RETURN
(at maximum applicable sales charge)(3)(4)
- ------------------------------------------------------------------------------
LIFE OF FUND 1 YEAR
(since 2/13/95)
- ------------------------------------------------------------------------------
Class A +34.05%/+31.24% +37.00%/+33.99%
- ------------------------------------------------------------------------------
Class B +34.62%/+31.40% +37.36%/+34.21%
- ------------------------------------------------------------------------------
Class C +37.34%/+34.10% +43.82%/+40.68%
- ------------------------------------------------------------------------------
Class D +35.62%/+32.38% +41.36%/+38.21%
- ------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURNS
(do not reflect sales charge)(3)(5)
- ------------------------------------------------------------------------------
LIFE OF FUND 1 YEAR
(since 2/13/95)
- ------------------------------------------------------------------------------
Class A +95.55%/+86.91% +43.45%/+40.31%
- ------------------------------------------------------------------------------
Class B +92.45%/+82.96% +42.36%/+39.21%
- ------------------------------------------------------------------------------
Class C +96.65%/+86.90% +43.82%/+40.68%
- ------------------------------------------------------------------------------
Class D +92.45%/+82.84% +42.36%/+39.21%
- ------------------------------------------------------------------------------
TOP 10 HOLDINGS
(by percentage of net assets)
1 Tokheim Gas pumps 2.9%
2 Borg Warner Automotive Auto parts 2.2%
3 RDO Equipment Agricultural equipment sales 2.0%
4 Data Documents Business forms 1.6%
5 Ryerson Tull Steel service center 1.6%
6 Invivo Medical instruments 1.6%
7 Commercial Intertech Hydraulic cylinders 1.6%
8 Protection One Residential alarms 1.4%
9 Memtec Filtration systems 1.4%
10 Wolverine Tube Copper tubing 1.3%
These securities represent an aggregate of 17.6% of the portfolio. Because of
active management, there is no guarantee that the Fund currently invests, or
will continue to invest, in the securities listed in this table or in the text
above.
TOP 5 INDUSTRIES
(by percentage of net assets)
Machinery 10.8%
Metals And Mining 8.2%
Automotive 7.5%
Business Service 6.8%
Diversified 5.5%
Total: 38.8%
<PAGE>
STATE STREET RESEARCH AURORA FUND
- ----------------------------------------------------------------------------
INVESTMENT PORTFOLIO
- ----------------------------------------------------------------------------
March 31, 1997 (Unaudited)
- ----------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- ----------------------------------------------------------------------------
COMMON STOCKS 84.3%
BASIC INDUSTRIES 31.9%
CHEMICAL 1.4%
Cambrex Corp. .................................. 6,450 $ 216,075
McWhorter Technologies Inc.* ................... 2,000 41,750
Mississippi Chemical Corp. ..................... 11,000 262,625
Triple S Plastics Inc.* ........................ 2,000 14,000
-----------
534,450
-----------
DIVERSIFIED 5.5%
Commercial Intertech Corp. ..................... 55,000 618,750
Noel Group Inc.* ............................... 77,000 500,500
Quixote Corp. .................................. 10,000 90,000
Recoton Corp.* ................................. 30,800 404,250
Titan Wheel International Inc. ................. 30,000 442,500
Zero Corp. ..................................... 3,300 61,875
-----------
2,117,875
-----------
ELECTRICAL EQUIPMENT 2.7%
Channell Commercial Corp.* ..................... 34,500 362,250
Hughes Supply Inc. ............................. 7,000 228,375
LSI Industries Inc. ............................ 2,000 24,500
Methode Electronics Inc. Cl. A ................. 13,000 182,000
Overland Data Inc.* ............................ 29,000 145,000
T B Woods Corp. ................................ 9,000 119,250
-----------
1,061,375
-----------
FOREST PRODUCT 0.4%
Gaylord Container Corp Cl. A* .................. 24,500 148,531
Gaylord Container Corp. Wts* ................... 200 1,275
-----------
149,806
-----------
MACHINERY 10.8%
Arden Industrial Products Inc.* ................ 5,000 20,938
Greenfield Industrial Inc. ..................... 10,000 218,750
ICF Kaiser International Inc.* ................. 95,000 190,000
Inter-City Products Corp.* ..................... 6,300 33,469
ITEQ Inc.* ..................................... 10,000 65,000
Memtec Ltd. ADR* ............................... 21,500 545,562
OmniQuip International Inc.* ................... 21,300 308,850
Penn Engineering & Manufacturing Corp. ......... 21,000 406,875
Pfeiffer Vacuum Technology AG ADR* ............. 6,500 144,625
Rofin-Sinar Technologies Inc.* ................. 5,000 73,125
Specialty Equipment Companies Inc.* ............ 6,000 78,750
Sun Hydraulics Inc. ............................ 9,000 99,000
Tokheim Corp.* ................................. 138,500 1,125,312
Varlen Corp. ................................... 19,000 370,500
Wolverine Tube Inc.* ........................... 20,000 520,000
-----------
4,200,756
-----------
METAL & MINING 8.2%
Carbide/Graphite Group Inc.* ................... 19,000 427,500
Chase Brass Industries Inc.* ................... 6,000 121,500
Citation Corp.* ................................ 4,000 58,000
Easco Inc. ..................................... 22,000 176,000
Huntco Inc Cl. A ............................... 13,000 157,625
Interlake Corp.* ............................... 15,000 56,250
Keystone Consolidated Industries Inc.* ......... 11,197 97,974
N.N. Ball and Roller Inc. ...................... 34,500 360,094
NS Group Inc.* ................................. 15,400 78,925
Ryerson Tull Inc. Cl. A* ....................... 45,200 627,150
Sinter Metals Inc. Cl. A* ...................... 4,500 123,750
Special Metals Corp.* .......................... 18,400 322,000
Webco Industries Inc.* ......................... 39,500 227,125
Wyman-Gordon Co.* .............................. 16,000 326,000
-----------
3,159,893
-----------
RAILROAD 2.9%
ABC Rail Products Corp.* ....................... 15,000 260,625
Johnstown America Industries Inc.* ............. 84,000 273,000
RailTex Inc.* .................................. 20,000 332,500
Tranz Rail Holdings Ltd ADR* ................... 13,000 235,625
Westinghouse Air Brake Co. ..................... 3,000 39,000
-----------
1,140,750
-----------
TRUCKERS 0.0%
Central Transport Rental Group PLC ADR* ........ 47,700 16,397
-----------
Total Basic Industries ........................ 12,381,302
-----------
CONSUMER CYCLICAL 24.8%
AUTOMOTIVE 7.5%
Aftermarket Technology Corp.* .................. 5,000 77,500
Borg-Warner Automotive Inc. .................... 20,000 852,500
Control Devices Inc.* .......................... 41,500 518,750
Defiance Inc. .................................. 35,000 245,000
Exide Corp. .................................... 23,500 384,812
Federal-Mogul Corp. ............................ 6,500 160,063
Lund International Holdings Inc.* .............. 8,500 108,375
Motorcar Parts & Accessories Inc.* ............. 2,000 28,250
Strattec Security Corp.* ....................... 1,000 17,500
Thomson PBE Inc.* .............................. 20,000 105,000
TransPro Inc. .................................. 34,500 306,187
Wescast Industries Inc. Cl. A .................. 5,000 122,500
-----------
2,926,437
-----------
BUILDING 5.4%
Belmont Homes Inc.* ............................ 3,000 22,875
Cameron Ashley Inc.* ........................... 7,000 95,375
Castle & Cooke Inc.* ........................... 28,000 416,500
Centex Construction Products Inc. .............. 14,500 262,812
Dal-Tile International Inc.* ................... 4,000 62,500
Dayton Superior Corp. Cl. A* ................... 7,500 84,375
Falcon Building Products Inc. Cl. A* ........... 7,200 126,000
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Kevco Inc.* .................................... 7,000 108,500
Morrison Knudsen Corp.* ........................ 25,000 262,500
Nortek Inc.* ................................... 10,500 206,063
Shelby Williams Industries Inc.* ............... 16,000 222,000
Simpson Manufacturing Inc.* .................... 4,000 102,000
Stimsonite Corp.* .............................. 20,000 120,000
-----------
2,091,500
-----------
HOTEL & RESTAURANT 2.1%
Casino America Inc.* ........................... 7,000 17,500
Primadonna Resorts Inc.* ....................... 9,000 178,875
Station Casinos Inc.* .......................... 35,000 284,375
Trump Hotels & Casino Resorts Inc.* ............ 20,000 180,000
Vistana Inc.* .................................. 15,000 168,750
-----------
829,500
-----------
RECREATION 4.6%
All American Communications Inc. Cl. B* ........ 4,500 47,812
AMC Entertainment Inc. ......................... 2,000 39,000
American Coin Merchandising Inc.* .............. 20,000 142,500
Bacou USA Inc.* ................................ 30,000 450,000
Cineplex Odeon Corp.* .......................... 40,000 60,000
HMG Worldwide Corp.* ........................... 22,000 23,375
HSN Inc.* ...................................... 1,400 35,525
Leslie's Poolmart* ............................. 6,000 84,000
Lewis Galoob Toys Inc.* ........................ 10,000 185,000
Panavision Inc.* ............................... 2,000 34,750
Rawlings Sporting Goods Co.* ................... 2,000 18,250
Rockshox Inc.* ................................. 1,000 14,938
Safety First Inc.* ............................. 500 3,250
Steinway Musical Instruments Inc.* ............. 20,000 355,000
Sturm Ruger & Company Inc.* .................... 18,000 285,750
-----------
1,779,150
-----------
RETAIL TRADE 4.3%
99 Cents Only Stores* .......................... 3,000 60,375
Brylane Inc.* .................................. 5,000 118,750
Cole National Corp. Cl. A* ..................... 3,500 111,125
Finlay Enterprises Inc.* ....................... 10,000 157,500
Friedman's Inc Cl. A* .......................... 1,000 15,875
Hanover Direct Inc.* ........................... 30,200 20,763
Hibbett Sporting Goods Inc.* ................... 4,000 68,000
Krause's Furniture Inc.* ....................... 17,200 26,875
Little Switzerland Inc.* ....................... 8,000 36,000
Michaels Stores Inc.* .......................... 4,500 82,687
RDO Equipment Co. Cl. A* ....................... 45,000 787,500
TBC Corp.* ..................................... 5,000 46,875
York Group Inc. ................................ 4,000 75,000
Zale Corp.* .................................... 3,500 64,313
-----------
1,671,638
-----------
TEXTILE & APPAREL 0.9%
Chic By H. I. S. Inc.* ......................... 16,000 98,000
Culp Inc. ...................................... 8,000 138,000
Marisa Christina Inc.* ......................... 10,000 96,250
-----------
332,250
-----------
Total Consumer Cyclical ....................... 9,630,475
-----------
CONSUMER STAPLE 14.9%
BUSINESS SERVICE 6.8%
Abacus Direct Corp.* ........................... 2,000 42,500
Amerco* ........................................ 16,100 410,550
American Residential Services Inc.* ............ 3,000 57,375
Carriage Services, Inc. Cl. A* ................. 4,000 76,500
Data Documents Inc.* ........................... 61,000 632,875
Forrester Research Inc.* ....................... 2,500 45,625
Lamar Advertising Co. Cl. A* ................... 2,700 54,675
Macrovision Corp.* ............................. 15,000 129,375
ProMedCo Management Co.* ....................... 30,000 270,000
Protection One Inc.* ........................... 52,000 546,000
Staffing Resources Inc.* ....................... 6,500 91,000
Staffmark Inc.* ................................ 3,000 39,375
Todd-AO Corp. .................................. 13,500 131,625
Universal Outdoor Holdings Inc.* ............... 3,000 87,000
-----------
2,614,475
-----------
CONTAINER 1.8%
Bway Corp.* .................................... 2,000 39,250
Lufkin Industries Inc. ......................... 1,000 22,062
Rock Tennessee Co. Cl. A ....................... 12,750 211,969
Silgan Holdings Inc.* .......................... 10,000 250,000
U.S. Can Corp.* ................................ 10,000 152,500
-----------
675,781
-----------
DRUG 1.5%
ArQule Inc.* ................................... 1,500 23,250
Clintrials Research Inc.* ...................... 22,000 187,000
ImmuLogic Pharmaceutical Corp.* ................ 22,000 96,250
Martek Biosciences Corp.* ...................... 12,500 218,750
Unigene Labs Inc.* ............................. 20,000 67,500
-----------
592,750
-----------
FOOD & BEVERAGE 0.5%
Garden Fresh Restaurant Corp.* ................. 2,000 23,250
Northland Cranberries Inc. Cl. A ............... 8,000 145,000
Robert Mondavi Corp. Cl. A* .................... 1,000 36,250
-----------
204,500
-----------
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
HOSPITAL SUPPLY 2.7%
CN Biosciences Inc.* ........................... 3,000 43,125
Fusion Medical Technologies Inc.* .............. 16,500 63,938
General Surgical Innovations Inc.* ............. 1,500 10,125
Imagyn Medical, Inc.* .......................... 13,000 104,812
Invivo Corp.* .................................. 50,000 625,000
SeaMed Corp.* .................................. 12,000 192,000
Sunrise Medical Inc.* .......................... 1,000 13,000
-----------
1,052,000
-----------
PRINTING & PUBLISHING 1.4%
Central Newspapers Inc. Cl. A .................. 4,000 200,500
Hollinger International, Inc. Cv. Pfd. ......... 7,000 70,070
Katz Media Group Inc.* ......................... 42,000 267,750
-----------
538,320
-----------
TOBACCO 0.2%
Dimon Inc. ..................................... 3,000 69,000
Schweitzer-Mauduit International, Inc. ......... 500 15,125
-----------
84,125
-----------
Total Consumer Staple ......................... 5,761,951
-----------
ENERGY 3.6%
OIL 0.4%
Crystal Oil Co.* ............................... 3,800 132,050
-----------
OIL SERVICE 3.2%
American Oilfield Divers Inc* .................. 20,000 225,000
Atwood Oceanics Inc.* .......................... 4,100 254,713
Maverick Tube Corp.* ........................... 3,000 53,250
Patterson Energy, Inc.* ........................ 9,732 268,846
Stolt Comex Seaway SA* ......................... 10,000 202,500
Timber/Sharp Drilling Inc.* .................... 21,000 249,375
-----------
1,253,684
-----------
Total Energy .................................. 1,385,734
-----------
FINANCE 1.2%
BANK 0.5%
AMBANC Holding Co. Inc.* ....................... 6,000 80,250
Ambase Corp.* .................................. 5,000 13,600
ITLA Capital Corp.* ............................ 4,000 59,500
Meritor Savings Bank* .......................... 10,000 24,375
-----------
177,725
-----------
FINANCIAL SERVICE 0.5%
Gentra Inc.* ................................... 12,000 24,355
Matrix Capital Corp.* .......................... 5,000 60,000
MoneyGram Payment Systems Inc.* ................ 6,000 49,500
Willis Lease Finance Corp.* .................... 6,000 75,000
-----------
208,855
-----------
INSURANCE 0.2%
AmerUs Life Holdings Inc.* ..................... 4,000 89,000
-----------
Total Finance ................................. 475,580
-----------
SCIENCE & TECHNOLOGY 6.6%
AEROSPACE 1.6%
Doncasters PLC ADR* ............................ 22,900 443,687
First Aviation Services Inc.* .................. 15,000 142,500
Triumph Group, Inc.* ........................... 1,500 37,688
-----------
623,875
-----------
COMPUTER SOFTWARE & SERVICE 1.0%
ATL Products Inc.* ............................. 400 3,450
Aurum Software Inc.* ........................... 1,000 14,000
Computervision Corp.* .......................... 6,000 32,250
Information Storage Devices Inc.* .............. 3,000 20,437
Larscom Inc. Cl. A* ............................ 1,100 9,213
MAI Systems Corp.* ............................. 4,000 25,000
Phoenix International Inc.* .................... 4,000 93,500
SeaChange International Inc.* .................. 100 1,775
Template Software Inc.* ........................ 9,000 82,125
Walsh International Inc.* ...................... 12,000 93,000
-----------
374,750
-----------
ELECTRONIC COMPONENTS 1.4%
Applied Magnetics Corp.* ....................... 700 19,775
Electro Scientific Industries Inc.* ............ 5,000 126,250
Fusion Systems Corp.* .......................... 1,000 23,750
NeoMagic Corp.* ................................ 1,200 15,150
Reliability Inc.* .............................. 45,000 376,875
-----------
561,800
-----------
ELECTRONIC EQUIPMENT 1.5%
Instrumentation Laboratories SPA ADR* .......... 40,000 170,000
Mackie Designs Inc.* ........................... 10,000 73,750
Network Equipment Technologies, Inc.* .......... 3,000 40,500
Pioneer-Standard Electronics Inc. .............. 17,000 216,750
Plantronics Inc.* .............................. 2,000 86,000
-----------
587,000
-----------
OFFICE EQUIPMENT 1.1%
Davel Communications Group* .................... 8,000 124,000
Exabyte Corp.* ................................. 25,000 303,125
-----------
427,125
-----------
Total Science & Technology .................... 2,574,550
-----------
UTILITY 1.3%
NATURAL GAS 0.6%
TransTexas Gas Corp.* .......................... 17,500 245,000
-----------
TELEPHONE 0.7%
NACT Telecommunications Inc.* .................. 45,000 264,375
Yurie Systems Inc.* ............................ 200 2,125
-----------
266,500
-----------
Total Utility ................................. 511,500
-----------
Total Common Stocks (Cost $31,415,236) ......... 32,721,092
-----------
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- ------------------------------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS 17.7%
<S> <C> <C> <C>
American Express Credit Corp., 5.48% .............. $1,014,000 4/01/1997 1,014,000
Ford Motor Credit Co., 5.61% ....................... 1,062,000 4/03/1997 1,062,000
Ford Motor Credit Co., 5.65% ....................... 268,000 4/07/1997 268,000
General Electric Capital Corp., 5.65% ............. 1,700,000 4/07/1997 1,700,000
Household Finance Corp., 5.60% ..................... 1,142,000 4/04/1997 1,142,000
Norwest Financial Inc., 5.60% ...................... 1,684,000 4/02/1997 1,684,000
-----------
Total Short-Term Obligations (Cost $6,870,000) .................................... 6,870,000
-----------
Total Investments (Cost $38,285,236) - 102.0% ..................................... 39,591,092
Cash and Other Assets, Less Liabilities - (2.0%) ................................... (792,398)
-----------
Net Assets - 100.0% ............................................................... $38,798,694
===========
Federal Income Tax Information:
At March 31, 1997, the net unrealized appreciation of investments based
on cost for Federal income tax purposes of $38,285,236 was as follows:
Aggregate gross unrealized appreciation for all investments in which
there is an excess of value over tax cost ........................................ $ 2,663,652
Aggregate gross unrealized depreciation for all investments in which
there is an excess of tax cost over value ........................................ (1,357,796)
-----------
$ 1,305,856
===========
- ------------------------------------------------------------------------------------------------------
* Nonincome-producing securities
ADR stands for American Depositary Receipt, representing ownership of foreign securities.
</TABLE>
The accompanying notes are an integral part of the financial statements.
STATE STREET RESEARCH AURORA FUND
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
March 31, 1997 (Unaudited)
<TABLE>
ASSETS
<S> <C>
Investments, at value (Cost $38,285,236) (Note 1) ....................... $39,591,092
Cash .................................................................... 101,375
Receivable for fund shares sold ......................................... 1,002,193
Receivable from Distributor (Note 3) .................................... 29,049
Receivable for securities sold .......................................... 28,749
Dividends and interest receivable ....................................... 8,190
Deferred organization costs and other assets (Note 1) ................... 37,354
-----------
40,798,002
LIABILITIES
Payable for securities purchased ........................................ 1,858,472
Payable for fund shares redeemed ........................................ 65,000
Accrued transfer agent and shareholder services (Note 2) ................ 27,855
Accrued management fee (Note 2) ......................................... 22,918
Accrued distribution and service fees (Note 5) .......................... 13,825
Accrued trustees' fees (Note 2) ......................................... 5,627
Other accrued expenses .................................................. 5,611
-----------
1,999,308
-----------
NET ASSETS $38,798,694
===========
Net Assets consist of:
Unrealized appreciation of investments ................................ $ 1,305,856
Accumulated net realized gain ......................................... 830,324
Shares of beneficial interest ......................................... 36,662,514
-----------
$38,798,694
===========
Net Asset Value and redemption price per share of Class A shares
($11,469,626 / 818,323 shares of beneficial interest) ................. $14.02
======
Maximum Offering Price per share of Class A shares ($14.02 / .955) ...... $14.68
======
Net Asset Value and offering price per share of Class B shares
($13,380,024 / 968,676 shares of beneficial interest)* ................ $13.81
======
Net Asset Value, offering price and redemption price per share of Class C
shares ($9,098,706 / 645,904 shares of beneficial interest) ........... $14.09
======
Net Asset Value and offering price per share of Class D shares
($4,850,338 / 351,037 shares of beneficial interest)* ................. $13.82
======
- ------------------------------------------------------------------------------------------
* Redemption price per share for Class B and Class D is equal to net asset
value less any applicable contingent deferred sales charge.
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
STATE STREET RESEARCH AURORA FUND
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- -------------------------------------------------------------------------------
For the six months ended March 31, 1997 (Unaudited)
INVESTMENT INCOME
Dividends, net of foreign taxes of $56 .................... $ 26,177
Interest ................................................... 63,291
----------
89,468
EXPENSES
Management fee (Note 2) .................................... 66,311
Custodian fee .............................................. 41,628
Transfer agent and shareholder services (Note 2) ........... 29,101
Registration fees .......................................... 24,257
Amortization of organization costs (Note 1) ................ 7,211
Trustees' fees (Note 2) .................................... 7,125
Audit fee .................................................. 6,697
Reports to shareholders .................................... 4,595
Service fee-Class A (Note 5) ............................... 4,145
Distribution and service fees-Class B (Note 5) ............. 14,305
Distribution and service fees-Class D (Note 5) ............. 4,332
Legal fees ................................................. 3,461
Miscellaneous .............................................. 2,972
----------
216,140
Expenses borne by the Distributor (Note 3) ................. (99,949)
----------
116,191
----------
Net investment loss ........................................ (26,723)
----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain on investments (Notes 1 and 3) ........... 1,029,668
Net unrealized depreciation of investments ................. (5,518)
----------
Net gain on investments .................................... 1,024,150
----------
Net increase in net assets resulting from operations ....... $ 997,427
==========
The accompanying notes are an integral part of the financial statements.
STATE STREET RESEARCH AURORA FUND
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
MARCH 31, 1997 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1996
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment loss ............................... $ (26,723) $ (38,012)
Net realized gain on investments* ................. 1,029,668 1,978,638
Net unrealized appreciation
(depreciation) of investments ................... (5,518) 774,969
----------- ----------
Net increase resulting from operations 997,427 2,715,595
----------- ----------
Dividend from net investment income:
Class A ......................................... -- (46,536)
Class B ......................................... -- (430)
Class C ......................................... -- (1,112)
Class D ......................................... -- (430)
----------- ----------
-- (48,508)
----------- ----------
Distributions from the net realized gains:
Class A ......................................... (275,192) (259,563)
Class B ......................................... (38,226) (5,268)
Class C ......................................... (1,776,578) (5,268)
Class D ......................................... (38,226) (5,268)
----------- ----------
(2,128,222) (275,367)
----------- ----------
Net increase from fund share
transactions (Note 6) ........................... 30,737,847 668,649
----------- ----------
Total increase in net assets ...................... 29,607,052 3,060,369
NET ASSETS
Beginning of period ............................... 9,191,642 6,131,273
----------- ----------
End of period ..................................... $38,798,694 $9,191,642
=========== ==========
*Net realized gain for Federal
income tax purposes (Note 1) .................... $ 1,029,668 $1,940,770
=========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
STATE STREET RESEARCH AURORA FUND
- -------------------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
March 31, 1997
NOTE 1
State Street Research Aurora Fund, formerly State Street Research Small
Capitalization Value Fund (the "Fund"), is a series of State Street Research
Capital Trust (the "Trust"), which is a Massachusetts business trust registered
under the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The Trust was organized in November, 1988 as a
successor to State Street Capital Fund, Inc., a Massachusetts corporation. The
Trust consists presently of three separate funds: State Street Research Aurora
Fund, State Street Research Emerging Growth Fund and State Street Research
Capital Fund.
The investment objective of the Fund is to provide high total return consisting
principally of capital appreciation. In seeking to achieve its investment
objective, the Fund invests primarily in the equity securities of small
capitalization companies which are trading at prices believed to be below the
true values of such securities.
The Fund is authorized to issue four classes of shares. At the present time,
only Class A shares are generally available for purchase. Class B, Class C and
Class D shares are not being offered at this time. Class A shares are subject to
an initial sales charge of up to 4.50% and pay an annual service fee equal to
0.25% of average daily net assets. Class B shares are subject to a contingent
deferred sales charge on certain redemptions made within five years of purchase
and pay annual distribution and service fees of 1.00%. Class B shares
automatically convert into Class A shares (which pay lower ongoing expenses) at
the end of eight years after the issuance of the Class B shares. Class C shares
are only offered to certain employee benefit plans and large institutions. Class
D shares are subject to a contingent deferred sales charge of 1.00% on any
shares redeemed within one year of their purchase. Class D shares also pay
annual distribution and service fees of 1.00%. The Fund's expenses are borne pro
rata by each class, except that each class bears expenses, and has exclusive
voting rights with respect to provisions of the Plan of Distribution, related
specifically to that class. The Trustees declare separate dividends on each
class of shares.
The following significant policies are consistently followed by the Fund in
preparing its financial statements, and such policies are in conformity with
generally accepted accounting principles for investment companies.
A. INVESTMENTS IN SECURITIES
Values for listed securities represent the last sale 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 the closing price supplied
through such system. In the absence of recorded sales and for those over-the-
counter securities not quoted on the NASDAQ system, valuations are at the mean
of the closing bid and asked quotations, except for certain securities that may
be restricted as to public resale, which are valued in accordance with methods
adopted by the Trustees. Security transactions are accounted for on the trade
date (date the order to buy or sell is excuted), and dividends declared but not
received are accrued on the ex-dividend date. Interest income is determined on
the accrual basis. Realized gains and losses from security transactions are
reported on the basis of identified cost of securities delivered for both
financial reporting and Federal income tax purposes.
B. FEDERAL INCOME TAXES
No provision for Federal income taxes is necessary since the Fund intends to
qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains, if
any, within the prescribed time period.
C. DIVIDENDS
Dividends from net investment income, if any, are declared and paid or
reinvested annually. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles.
D. DEFERRED ORGANIZATION COSTS
Certain costs incurred in the organization and registration of the Fund were
capitalized and are being amortized under the straight-line method over a
period of five years.
E. 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.
NOTE 2
The Trust and State Street Research & Management Company (the "Adviser"), an
indirect wholly owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"), have entered into an agreement under which the Adviser earns
monthly fees at an annual rate of 0.85% of the Fund's average daily net assets.
In consideration of these fees, the Adviser furnishes the Fund with management,
investment advisory, statistical and research facilities and services. The
Adviser also pays all salaries, rent and certain other expenses of management.
During the six months ended March 31, 1997, the fees pursuant to such agreement
amounted to $66,311.
State Street Research Shareholder Services, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), and indirect wholly owned subsidiary of Metropolitan, provides
certain shareholder services to the Fund such as responding to inquiries and
instructions from investors with respect to the purchase and redemption of
shares of the Fund. During the six months ended March 31, 1997, the amount of
such expenses was $5,384.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$7,125 during the six months ended March 31, 1997.
7
<PAGE>
NOTE 3
The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees or expenses relating to the Fund. During
the six months ended March 31, 1997, the amount of such expenses assumed by the
Distributor and its affiliates was $99,949.
NOTE 4
For the six months ended March 31, 1997, exclusive of short-term investments
and U.S. Government obligations, purchases and sales of securities aggregated
$28,536,929 and $5,940,962, respectively.
NOTE 5
The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the "Plan")
under the Investment Company Act of 1940. Under the Plan, the Fund pays annual
service fees to the Distributor at a rate of 0.25% of average daily net assets
for Class A, Class B and Class D shares. In addition, the Fund pays annual
distribution fees of 0.75% of average daily net assets for Class B and Class D
shares. The Distributor uses such payments for personal services and/or the
maintenance or servicing of shareholder accounts, to reimburse securities
dealers for distribution and marketing services, to furnish ongoing assistance
to investors and to defray a portion of its distribution and marketing expenses.
For the six months ended March 31, 1997, fees pursuant to such plan amounted to
$4,145, $14,305 and $4,332 for Class A, Class B and Class D, respectively.
The Fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of Metropolitan, earned initial sales charges
aggregating $28,297 and $10,022, respectively, on sales of Class A shares of the
Fund during the six months ended March 31, 1997, and that MetLife Securities,
Inc. earned commissions aggregating $29,586 on sales of Class B shares, and that
the Distributor collected contingent deferred sales charges aggregating $334 on
redemptions of Class B shares during the same period.
NOTE 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share. At March 31, 1997, the Adviser
owned one share of each of Class A, Class B, Class C and Class D shares and
Metropolitan owned 19,510 Class A shares, 13,884 Class B shares, 636,481 Class C
shares and 13,884 Class D shares of the Fund.
Share transactions were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
MARCH 31, 1997 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1996
------------------------------- ------------------------------
CLASS A SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ......................... 747,234 $10,682,211 32,682 $ 424,234
Issued upon reinvestment of:
Distributions from net realized
gains ........................... 20,767 275,171 24,487 259,562
Dividend from net investment income -- -- 211 2,242
Shares repurchased .................. (22,983) (328,651) (503,526) (5,963,085)
------- ----------- -------- -----------
Net increase (decrease) ............. 745,018 $10,628,731 (446,146) $(5,277,047)
======= =========== ======== ===========
<CAPTION>
CLASS B SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ......................... 955,237 $13,482,024 -- $ --
Issued upon reinvestment of
distributions from net realized
gains ............................. 2,920 38,204 498 5,265
Shares repurchased .................. (472) (6,683) -- --
------- ----------- -------- -----------
Net increase ........................ 957,685 $13,513,545 498 $ 5,265
======= =========== ======== ===========
<CAPTION>
CLASS C SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ......................... 8,841 $ 126,919 499,540 $ 5,929,901
Issued upon reinvestment of
distributions from net realized
gains ............................. 133,575 1,776,556 497 5,265
Shares repurchased .................. (7,042) (100,000) -- --
------- ----------- -------- -----------
Net increase ........................ 135,374 $ 1,803,475 500,037 $ 5,935,166
======= =========== ======== ===========
<CAPTION>
CLASS D SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ......................... 341,902 $ 4,821,038 -- $ --
Issued upon reinvestment of
distributions from net realized
gains ............................. 2,921 38,204 498 5,265
Shares repurchased .................. (4,777) (67,146) -- --
------- ----------- -------- -----------
Net increase ........................ 340,046 $ 4,792,096 498 $ 5,265
======= =========== ======== ===========
</TABLE>
8
<PAGE>
STATE STREET RESEARCH AURORA FUND
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
For a share outstanding throughout each period:
<TABLE>
<CAPTION>
CLASS A CLASS B
----------------------------------------------------- --------------------------------------------------
YEAR ENDED YEAR ENDED
SIX MONTHS ENDED SEPTEMBER 30 SIX MONTHS ENDED SEPTEMBER 30
MARCH 31, 1997 ----------------------------- MARCH 31, 1997 ----------------------------
(UNAUDITED)** 1996** 1995*** (UNAUDITED)** 1996** 1995***
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $15.14 $11.13 $ 9.55 $15.02 $11.08 $ 9.55
Net investment income (loss)* (0.02) (0.06) 0.07 (0.04) (0.17) 0.02
Net realized and
unrealized gain on
investments 2.38 4.66 1.51 2.31 4.65 1.51
------ ------ ------ ------ ------ ------
Total from investment
operations 2.36 4.60 1.58 2.27 4.48 1.53
------ ------ ------ ------ ------ ------
Dividend from net
investment income -- (0.09) -- -- (0.04) --
Distributions from net
realized gains (3.48) (0.50) -- (3.48) (0.50) --
------ ------ ------ ------ ------ ------
Total distributions (3.48) (0.59) -- (3.48) (0.54) --
------ ------ ------ ------ ------ ------
Net asset value, end of
period $14.02 $15.14 $11.13 $13.81 $15.02 $11.08
====== ====== ====== ====== ====== ======
Total return 16.83%++ 43.63%+ 16.54%++ 16.39%++ 42.52%+ 16.02%++
Net assets at end of
period (000s) $11,470 $1,110 $5,782 $13,380 $165 $116
Ratio of operating
expenses to average
net assets* 1.45%(+) 1.45% 1.45%(+) 2.20%(+) 2.20% 2.20%(+)
Ratio of net investment
income (loss) to
average
net assets* (0.16)%(+) (0.56)% 1.05%(+) (0.63)%(+) (1.38)% 0.32%(+)
Portfolio turnover rate 40.68% 124.79% 47.34% 40.68% 124.79% 47.34%
Average commission rate@ $0.0120 $0.0174 -- $0.0120 $0.0174 --
*Reflects voluntary
assumption of fees or
expenses per share in
each period (Note 3). $0.08 $0.32 $0.15 $0.08 $0.32 $0.15
<CAPTION>
CLASS C CLASS D
----------------------------------------------------- --------------------------------------------------
YEAR ENDED YEAR ENDED
SIX MONTHS ENDED SEPTEMBER 30 SIX MONTHS ENDED SEPTEMBER 30
MARCH 31, 1997 ----------------------------- MARCH 31, 1997 ----------------------------
(UNAUDITED)** 1996** 1995*** (UNAUDITED)** 1996** 1995***
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $15.18 $11.15 $ 9.55 $15.02 $11.08 $ 9.55
Net investment income
(loss)* (0.02) (0.06) 0.09 (0.04) (0.17) 0.02
Net realized and
unrealized gain on
investments 2.41 4.70 1.51 2.32 4.65 1.51
------ ------ ------ ------ ------ ------
Total from investment
operations 2.39 4.64 1.60 2.28 4.48 1.53
------ ------ ------ ------ ------ ------
Dividend from net
investment income -- (0.11) -- -- (0.04) --
Distributions from net
realized gains (3.48) (0.50) -- (3.48) (0.50) --
------ ------ ------ ------ ------ ------
Total distributions (3.48) (0.61) -- (3.48) (0.54) --
------ ------ ------ ------ ------ ------
Net asset value, end of
period $14.09 $15.18 $11.15 $13.82 $15.02 $11.08
====== ====== ====== ====== ====== ======
Total return 17.01%++ 43.95%+ 16.75%++ 16.39%++ 42.52%+ 16.02%++
Net assets at end of
period (000s) $9,099 $7,752 $117 $4,850 $165 $116
Ratio of operating
expenses to average
net assets* 1.20%(+) 1.20% 1.20%(+) 2.20%(+) 2.20% 2.20%(+)
Ratio of net investment
income (loss) to
average net assets* (0.28)%(+) (0.43)% 1.32%(+) (0.73)%(+) (1.38)% 0.32%(+)
Portfolio turnover rate 40.68% 124.79% 47.34% 40.68% 124.79% 47.34%
Average commission rate@ $0.0120 $0.0174 -- $0.0120 $0.0174 --
*Reflects voluntary
assumption of fees or
expenses per share in
each period (Note 3). $0.08 $0.32 $0.15 $0.08 $0.32 $0.15
</TABLE>
- --------------------------------------------------------------------------------
(+) Annualized.
** Per-share figures have been calculated using the average shares method.
*** February 13, 1995 (commencement of operations) to September 30, 1995.
+ Total return figures do not reflect any front-end or contingent deferred
sales charges. Total return would be lower if the Distributor and its
affiliates had not voluntarily assumed a portion of the Fund's expenses.
++ Represents aggregate return for the period without annualization and does
not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the Distributor and its affiliates had not
voluntarily assumed a portion of the Fund's expenses.
@ For fiscal years beginning on or after October 1, 1995, the Fund is
required to disclose its average commission rate per share paid for
security trades.
9
<PAGE>
STATE STREET RESEARCH AURORA FUND
- -------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH CAPITAL TRUST
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FUND INFORMATION OFFICERS TRUSTEES
<S> <C> <C>
STATE STREET RESEARCH RALPH F. VERNI RALPH F. VERNI
AURORA FUND Chairman of the Board, Chairman of the Board,
One Financial Center President and President, Chief Executive
Boston, MA 02111 Chief Executive Officer Officer and Director,
State Street Research &
INVESTMENT ADVISER PETER C. BENNETT Management Company
State Street Research & Vice President
Management Company
One Financial Center JESUS A. CABRERA STEVE A. GARBAN
Boston, MA 02111 Vice President Retired; formerly Senior Vice
President for Finance and
DISTRIBUTOR MICHAEL CARMEN Operations and Treasurer, The
State Street Research Vice President Pennsylvania State University
Investment Services, Inc.
One Financial Center RUDOLPH K. KLUIBER
Boston, MA 02111 Vice President MALCOLM T. HOPKINS
Former Vice Chairman of the
SHAREHOLDER SERVICES FREDERICK R. KOBRICK Board and Chief Financial
State Street Research Vice President Officer, St. Regis Corp.
Shareholder Services
P.O. Box 8408 JAMES M. WEISS
Boston, MA 02266-8408 Vice President EDWARD M. LAMONT
1-800-562-0032 Formerly in banking
GERARD P. MAUS (Morgan Guaranty Trust
CUSTODIAN Treasurer Company of New York);
State Street Bank and presently engaged in private
Trust Company JOSEPH W. CANAVAN investments and civic affairs
225 Franklin Street Assistant Treasurer
Boston, MA 02110
DOUGLAS A. ROMICH ROBERT A. LAWRENCE
LEGAL COUNSEL Assistant Treasurer Associate, Saltonstall & Co.
Mintz, Levin, Cohn, Ferris,
Glovsky and Popeo, P.C. FRANCIS J. MCNAMARA, III
One Financial Center Secretary and General Counsel DEAN O. MORTON
Boston, MA 02111 Retired; formerly Executive
DARMAN A. WING Vice President, Chief
Assistant Secretary and Operating Officer and Director,
Assistant General Counsel Hewlett-Packard Company
AMY L. SIMMONS
Assistant Secretary THOMAS L. PHILLIPS
Retired; formerly Chairman of
the Board and Chief Executive
Officer, Raytheon Company
TOBY ROSENBLATT
President,
The Glen Ellen Company
Vice President,
Founders Investments Ltd.
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
JEPTHA H. WADE
Retired; formerly of Counsel,
Choate, Hall & Stewart
</TABLE>
10
<PAGE>
------------------
STATE STREET RESEARCH BULK RATE
AURORA FUND U.S. POSTAGE
One Financial Center PAID
Boston, MA 02111 BROCKTON, MA
PERMIT NO. 600
------------------
QUESTIONS? COMMENTS?
Call us at 1-800-562-0032,
or write us at:
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
[logo] STATE STREET RESEARCH
This report is prepared for the general information of current shareholders.
When used in the general solicitation of investors, this report must be
accompanied by a current State Street Research Aurora Fund prospectus. When used
after June 30, 1997, this report must be accompanied by a current Quarterly
Performance Update.
Portfolio changes should not be considered recommendations for action by
individual investors.
The Dalbar award recognizes quality shareholder service 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
industry-wide.
CONTROL NUMBER: 3948-970521(0698)SSR-LD SCV-207E-597IBS
Cover Illustration by Dorothy Cullinan
