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STATE STREET RESEARCH
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MID-CAP GROWTH FUND
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SEMIANNUAL REPORT
March 31, 2000
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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
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[DALBAR LOGO]
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For Excellence
[logo] STATE STREET RESEARCH in
Service
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STATE STREET RESEARCH MID-CAP GROWTH FUND
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INVESTMENT UPDATE
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INVESTMENT ENVIRONMENT
THE ECONOMY
o Gross domestic product, a measure of goods and services produced in the
U.S., rose strongly in the fourth quarter of 1999, surging ahead at an
annualized rate of 7.3%. It slowed only slightly in the first quarter of
2000, expanding at an annual rate of 5.4%.
o Inflation remained low, but showed signs of heating up. Core consumer
inflation, which excludes food and energy, advanced in March at the fastest
pace since the early 1990s. Wholesale prices continued to accelerate and
wages gave some cause for concern.
o In an effort to cool off the economy and keep inflation in check, the
Federal Reserve Board continued to raise short-term interest rates. The
federal funds rate ended the quarter at 6.0%, up from 5.25% six months ago.
THE MARKETS
o The divergence between the broad U.S. stock market and the technology
sector, which continued into the new year, decreased dramatically toward the
end of the six- month period. The NASDAQ sunk well into bear market
territory after having been ahead by nearly 20% for the year early in March.
In contrast, the S&P 500 appeared to gain strength as investors sought
shelter in old economy blue chips.(1)
o After losing ground earlier in the six- month period, the bond market
strengthened during March as the yield on the benchmark 30-year U.S.
Treasury bond fell below 6.0% for the first time in more than a year.
High-yield bonds, which had strengthened late in 1998, stumbled as investors
withdrew funds from the sector and reallocated them to higher-performing
technology stocks.
THE FUND
OVER THE PAST SIX MONTHS
o For the six months ended March 31, 2000, Class A shares of State Street
Research Mid-Cap Growth Fund returned 52.21% (does not reflect sales
charge).(2) Our strong performance was lower than the 68.93% return of the
Russell Midcap Growth Index.(1)
o During the first half of the period, technology stocks drove the fund's
performance. In the second half, these investments were hurt by the
technology correction. However, our investments in producer durables,
financial services and consumer staples were standouts in the second half.
CURRENT STRATEGY
o We completed restructuring the fund during the period.
o We increased the fund's exposure to technology, and we continue to favor
investments in technology, health care, energy and communications. Many
companies in these segments continue to report strong earnings, top line and
unit growth.
o We expect continued market volatility. However, we continue to focus on high
quality mid-cap growth companies.
March 31, 2000
(1) The S&P 500 (officially the "Standard and Poor's 500 Composite Stock Price
Index") is an unmanaged index of 500 U.S. stocks. The Russell Midcap(TM)
Growth Index contains only those securities from the Russell Midcap Index
with a greater than average growth generation. The indices do not take
transaction charges into consideration. It is not possible to invest
directly in the indices.
(2) 51.77% for Class B(1) shares; 51.62% for Class B shares; 51.65% for Class C
shares; 52.38% for Class S shares.
(3) Keep in mind that past performance is no guarantee of future results. The
fund's share price, yield and return will fluctuate, and you may have a gain
or loss when you sell your shares. All returns assume reinvestment of
capital gains distributions and income dividends at net asset value.
Performance reflects a maximum 5.75% Class A share front-end sales charge,
or 5% Class B(1) or Class B share or 1% Class C share contingent deferred
sales charge, where applicable.
(4) Class S shares, offered without a sales charge, are available through
certain employee benefit plans and special programs.
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.
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FUND INFORMATION (all data are for periods ended March 31, 2000)
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AVERAGE ANNUAL TOTAL RETURN
(at maximum applicable sales charge)(3)(4)
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10 YEARS 5 YEARS 1 YEAR
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Class A 17.72% 17.90% 45.59%
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Class B(1) 17.83% 18.19% 48.44%
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Class B 17.81% 18.16% 48.28%
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Class C 17.84% 18.37% 52.31%
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Class S 18.66% 19.57% 54.82%
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TOP 10 STOCK POSITIONS
(by percentage of net assets)
1 CIRCUIT CITY STORES Retail electronics 2.6%
2 SANDISK Computers 2.5%
3 CYPRESS SEMICONDUCTOR Electronic 2.4%
4 CIENA Fiber optics 2.2%
5 JDS UNIPHASE Fiber optics 2.1%
6 LEHMAN BROTHERS HLDGS Investment banking 2.1%
7 MACROMEDIA Internet software 2.1%
8 INKTOMI Internet software 2.0%
9 NOVELLUS SYS Electronic 2.0%
10 AMERICAN TOWER Wireless equipment 1.9%
These securities represent an aggregate of 21.9% 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)
COMMUNICATIONS TECHNOLOGY 15.0%
COMPUTER SOFTWARE 14.4%
ELECTRONICS: SEMI-CONDUCTORS/COMPONENTS 9.9%
PRODUCTION TECHNOLOGY EQUIPMENT 7.8%
RETAIL 7.5%
Total: 54.6%
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
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INVESTMENT PORTFOLIO
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March 31, 2000 (Unaudited)
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VALUE
SHARES (NOTE 1)
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COMMON STOCKS 95.1%
CONSUMER DISCRETIONARY 13.5%
ADVERTISING AGENCIES 1.0%
Young & Rubicam Inc.* ............................. 222,600 $ 10,462,200
--------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 2.5%
Pegasus Communications Corp. Cl. A ................ 13,400 1,886,050
USA Networks Inc.* ................................ 688,654 15,537,756
Univision Communications Inc. Cl. A* .............. 88,300 9,977,900
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27,401,706
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CONSUMER ELECTRONICS 1.4%
Electronic Arts Inc.* ............................. 79,400 5,652,287
Proxicom Inc. ..................................... 231,200 10,245,050
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15,897,337
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HOUSEHOLD FURNISHINGS 0.4%
Black & Decker Corp. .............................. 112,600 4,229,538
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LEISURE TIME 0.7%
Royal Caribbean Cruises Ltd. ...................... 286,100 8,010,800
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RETAIL 7.5%
Bed Bath & Beyond Inc. ............................ 282,800 11,135,250
Best Buy Company Inc.* ............................ 177,600 15,273,600
Circuit City Stores Inc. .......................... 474,400 28,879,100
Family Dollar Stores Inc. ......................... 732,900 15,253,481
Staples Inc.* ..................................... 572,500 11,450,000
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81,991,431
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Total Consumer Discretionary ...................... 147,993,012
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FINANCIAL SERVICES 4.7%
FINANCIAL DATA PROCESSING SERVICES & SYSTEMS 2.1%
Bisys Group Inc.* ................................. 115,800 7,700,700
Concord EFS Inc.* ................................. 644,000 14,771,750
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22,472,450
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INSURANCE 0.5%
Travelers Property Casualty Corp. Cl. A ........... 136,500 5,630,625
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SECURITIES BROKERAGE & SERVICES 2.1%
Lehman Brothers Holdings Inc. ..................... 240,800 23,357,600
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Total Financial Services .......................... 51,460,675
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HEALTH CARE 6.8%
DRUGS & BIOTECHNOLOGY 3.8%
ALZA Corp.* ....................................... 498,500 18,724,906
Genzyme Corp.* .................................... 266,800 13,373,350
Watson Pharmaceuticals Inc.* ...................... 241,900 9,600,406
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41,698,662
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HOSPITAL SUPPLY 3.0%
Biomet Inc. ....................................... 487,100 17,718,263
Stryker Corp. ..................................... 213,000 14,856,750
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32,575,013
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Total Health Care ................................. 74,273,675
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INTEGRATED OILS 0.6%
INTEGRATED DOMESTIC 0.6%
Kerr-McGee Corp. .................................. 113,400 6,548,850
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Total Integrated Oils ............................. 6,548,850
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OTHER 1.8%
MULTI-SECTOR 1.8%
Standard & Poor's 400 Mid-Cap Depositary Receipt .. 219,400 20,020,250
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Total Other ....................................... 20,020,250
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OTHER ENERGY 4.0%
GAS PIPELINES 1.3%
Dynegy Inc. Cl. A ................................. 235,200 14,758,800
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OFFSHORE DRILLING 1.0%
Transocean Sedco Forex Inc.* ...................... 211,800 10,867,987
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OIL & GAS PRODUCERS 0.9%
Burlington Resources Inc. ......................... 260,400 9,634,800
--------------
OIL WELL EQUIPMENT & SERVICES 0.8%
Noble Drilling Corp.* ............................. 214,900 8,904,919
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Total Other Energy ................................ 44,166,506
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PRODUCER DURABLES 14.4%
INDUSTRIAL PRODUCTS 1.5%
Waters Corp.* ..................................... 175,400 16,706,850
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MISCELLANEOUS EQUIPMENT 0.9%
Danaher Corp. ..................................... 179,600 9,159,600
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OFFICE FURNITURE & BUSINESS EQUIPMENT 0.3%
Diebold Inc. ...................................... 112,400 3,091,000
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PRODUCTION TECHNOLOGY EQUIPMENT 7.8%
Applied Materials Inc.* ........................... 118,767 11,193,790
Flextronics International Ltd. .................... 214,100 15,080,669
Lam Research Corp.* ............................... 378,900 17,074,181
Millipore Corp. ................................... 153,100 8,640,581
Novellus Systems Inc.* ............................ 387,800 21,765,275
Teradyne Inc.* .................................... 142,400 11,712,400
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85,466,896
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TELECOMMUNICATIONS EQUIPMENT 3.9%
Adaptive Broadband Corp. .......................... 132,800 7,104,800
American Tower Corp. Cl. A* ....................... 412,300 20,357,313
E-Tek Dynamics Inc. ............................... 63,700 14,985,425
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42,447,538
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Total Producer Durables ........................... 156,871,884
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TECHNOLOGY 43.5%
COMMUNICATIONS TECHNOLOGY 15.0%
ADC Telecommunications Inc.* ...................... 370,100 19,939,137
Arrowpoint Communications Inc. .................... 5,000 592,422
Ciena Corp.* ...................................... 193,400 24,392,575
Comverse Technology Inc.* ......................... 50,400 9,525,600
CSG Systems International Inc.* ................... 249,100 12,159,194
Entrust Technologies Inc. ......................... 159,600 13,578,469
Extreme Networks Inc. ............................. 84,600 6,683,400
Harmonic Inc. ..................................... 107,000 8,904,406
Inktomi Corp.* .................................... 113,000 22,035,000
Interliant Inc. ................................... 162,400 4,537,050
Internap Network Services Corp.* .................. 142,600 6,559,600
JDS Uniphase Corp.* ............................... 194,800 23,485,575
Network Solutions Inc. Cl. A* ..................... 66,000 10,144,406
Packeteer Inc. .................................... 45,300 1,577,006
--------------
164,113,840
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COMPUTER SOFTWARE 14.4%
Acxiom Corp. ...................................... 99,200 3,298,400
Aspect Development Inc. ........................... 204,400 13,158,250
Bea Systems Inc. .................................. 125,900 9,237,913
Bluestone Software, Inc.* ......................... 143,600 4,846,500
Citrix Systems Inc.* .............................. 121,800 8,069,250
Digex Inc. Cl. A .................................. 88,500 9,817,969
Keane Inc.* ....................................... 230,300 5,815,075
Macromedia Inc. ................................... 255,900 23,118,966
marchFIRST Inc. ................................... 529,200 18,885,825
Micromuse Inc. .................................... 75,700 10,508,106
New Era of Networks Inc. .......................... 254,800 10,000,900
Peregrine Systems Inc. ............................ 91,300 6,122,806
Phone.com Inc. .................................... 100,600 16,410,375
Qlogic Corp.* ..................................... 68,000 9,214,000
Symantec Corp.* ................................... 127,100 9,548,387
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158,052,722
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COMPUTER TECHNOLOGY 2.5%
Sandisk Corp.* .................................... 219,300 26,864,250
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ELECTRONICS 1.7%
Symbol Technologies Inc. .......................... 224,000 18,438,000
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ELECTRONICS: SEMI-CONDUCTORS/COMPONENTS 9.9%
Broadcom Corp. Cl. A .............................. 75,000 18,215,625
Cypress Semiconductor Corp.* ...................... 540,700 26,663,269
GlobeSpan Semiconductor Inc. ...................... 60,200 6,136,638
Integrated Device Technology Inc. ................. 221,500 8,776,937
Intersil Holding Corp. Cl. A ...................... 112,800 5,830,350
Jabil Circuit Inc.* ............................... 381,400 16,495,550
Powerwave Technologies Inc. ....................... 51,500 6,437,500
Vitesse Semiconductor Corp.* ...................... 202,700 19,509,875
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108,065,744
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Total Technology .................................. 475,534,556
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UTILITIES 5.8%
TELECOMMUNICATIONS 5.8%
Broadwing Inc. .................................... 128,400 4,774,875
Dobson Communications Corp. Cl. A ................. 112,800 2,594,400
Intermedia Communications Inc.* ................... 252,200 12,184,413
Metricom Inc. ..................................... 275,600 12,780,950
Metromedia Fiber Network Inc. Cl. A* .............. 190,500 18,418,969
Western Wireless Corp. Cl. A ...................... 279,600 12,817,912
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63,571,519
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Total Utilities ................................... 63,571,519
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Total Common Stocks (Cost $801,713,645) ........... 1,040,440,927
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SHORT-TERM INVESTMENTS 3.7%
AIM Liquid Assets Portfolio ....................... 40,428,414 40,428,414
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Total Short-Term Investments (Cost $40,428,414) ... 40,428,414
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<TABLE>
<CAPTION>
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PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
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COMMERCIAL PAPER 2.9%
<S> <C> <C> <C> <C>
American Express Credit Corp., 6.40% $ 9,939,000 4/03/2000 $ 9,939,000
American Express Credit Corp., 6.06% 9,670,000 4/05/2000 9,670,000
Associates First Capital Corp., 6.04% ............ 11,700,000 4/03/2000 11,700,000
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Total Commercial Paper (Cost $31,309,000) ................................................... 31,309,000
--------------
Total Investments (Cost $873,451,059) - 101.7% .............................................. 1,112,178,341
Cash and Other Assets, Less Liabilities - (1.7%) ............................................ (18,480,247)
--------------
Net Assets - 100.0% ......................................................................... $1,093,698,094
==============
Federal Income Tax Information:
At March 31, 2000, the net unrealized appreciation of investments based on cost for Federal
income tax purposes of $874,092,961 was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an
excess of value over tax cost ............................................................. $ 297,822,051
Aggregate gross unrealized depreciation for all investments in which there is an
excess of tax cost over value ............................................................... (59,736,671)
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$ 238,085,380
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* Nonincome-producing securities.
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
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STATEMENT OF ASSETS AND LIABILITIES
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March 31, 2000 (Unaudited)
ASSETS
Investments, at value (Cost $873,451,059) (Note 1) ......... $1,112,178,341
Cash ....................................................... 409
Receivable for securities sold ............................. 23,405,138
Receivable for fund shares sold ............................ 2,224,678
Dividends and interest receivable .......................... 206,625
Other assets ............................................... 39,725
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1,138,054,916
LIABILITIES
Payable for collateral received on securities loaned 40,428,414
Payable for fund shares redeemed ........................... 1,067,949
Accrued transfer agent and shareholder services (Note 2) 1,196,919
Accrued management fee (Note 2) ............................ 748,576
Accrued distribution and service fees (Note 4) ............. 597,267
Payable for securities purchased ........................... 170,000
Accrued trustees' fees (Note 2) ............................ 27,810
Other accrued expenses ..................................... 119,887
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44,356,822
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NET ASSETS $1,093,698,094
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Net Assets consist of:
Unrealized appreciation of investments ................... $ 238,727,282
Accumulated net realized gain ............................ 375,147,608
Paid-in capital .......................................... 479,823,204
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$1,093,698,094
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Net Asset Value and redemption price per share of
Class A shares ($457,789,002 / 23,184,509 shares) ........ $19.75
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Maximum Offering Price per share of Class A shares
($19.75 / .9425) ......................................... $20.95
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Net Asset Value and offering price per share of
Class B(1) shares ($22,022,708 / 1,186,143 shares)* ...... $18.57
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Net Asset Value and offering price per share of
Class B shares ($433,051,472 / 23,349,534 shares)* ....... $18.55
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Net Asset Value and offering price per share of
Class C shares ($54,013,642 / 2,904,664 shares)* ......... $18.60
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Net Asset Value, offering price and redemption
price per share of Class S shares
($126,821,270 / 6,270,395 shares) ........................ $20.23
======
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*Redemption price per share for Class B(1), Class B and Class C is equal to
net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
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STATEMENT OF OPERATIONS
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For the six months ended March 31, 2000 (Unaudited)
INVESTMENT INCOME
Dividends ................................................... $ 812,032
Interest (Note 1) ........................................... 1,726,337
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2,538,369
EXPENSES
Management fee (Note 2) ..................................... 3,503,168
Transfer agent and shareholder services (Note 2) ............ 1,954,133
Custodian fee ............................................... 111,622
Reports to shareholders ..................................... 81,986
Service fee - Class A (Note 4) .............................. 502,856
Distribution and service fees - Class B(1) (Note 4) ......... 72,270
Distribution and service fees - Class B (Note 4) ............ 1,944,499
Distribution and service fees - Class C (Note 4) ............ 246,020
Registration fees ........................................... 33,936
Trustees' fees (Note 2) ..................................... 18,923
Audit fee ................................................... 16,891
Legal fees .................................................. 7,366
Miscellaneous ............................................... 31,005
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8,524,675
Fees paid indirectly (Note 2) ............................... (54,246)
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8,470,429
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Net investment loss ......................................... (5,932,060)
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REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments (Notes 1 and 3) ............ 381,894,168
Net unrealized appreciation of investments .................. 11,413,468
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Net gain on investments ..................................... 393,307,636
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Net increase in net assets resulting from
operations ................................................ $387,375,576
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The accompanying notes are an integral part of the financial statements.
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STATE STREET RESEARCH MID-CAP GROWTH FUND
<TABLE>
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STATEMENT OF CHANGES IN NET ASSETS
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<CAPTION>
SIX MONTHS ENDED
YEAR ENDED MARCH 31, 2000
SEPTEMBER 30, 1999 (UNAUDITED)
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<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment loss ...................................... $ (11,979,964) $ (5,932,060)
Net realized gain on investments ......................... 45,443,247 381,894,168
Net unrealized appreciation of investments ............... 180,781,535 11,413,468
-------------- --------------
Net increase resulting from operations ................... 214,244,818 387,375,576
-------------- --------------
Distributions from net realized gains:
Class A ................................................ (34,950,690) (18,716,333)
Class B(1) ............................................. -- (642,758)
Class B ................................................ (41,134,345) (19,305,814)
Class C ................................................ (5,936,698) (2,433,655)
Class S ................................................ (11,198,919) (5,227,875)
-------------- --------------
(93,220,652) (46,326,435)
-------------- --------------
Net decrease from fund share transactions (Note 5) ....... (192,832,074) (28,429,166)
-------------- --------------
Total increase (decrease) in net assets .................. (71,807,908) 312,619,975
NET ASSETS
Beginning of period ...................................... 852,886,027 781,078,119
-------------- --------------
End of period ............................................ $ 781,078,119 $1,093,698,094
============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
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NOTES TO UNAUDITED FINANCIAL STATEMENTS
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March 31, 2000
NOTE 1
State Street Research Mid-Cap Growth Fund, formerly 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 consists presently of three separate
funds: State Street Research Mid-Cap Growth Fund, State Street Research Emerging
Growth Fund and State Street Research Aurora Fund.
The Fund seeks to provide long-term growth of capital. Under normal market
conditions, the Fund invests at least 65% of total assets in stocks of companies
with medium market capitalizations and the potential for earnings growth.
The Fund offers five classes of shares. Class A shares are subject to an initial
sales charge of up to 5.75% and an annual service fee equal to 0.25% of average
daily net assets. On January 1, 1999, the Fund began offering Class B(1) shares
and continued offering Class B shares but only to current shareholders. Class
B(1) and Class B shares pay annual distribution and service fees of 1.00% and
both classes automatically convert into Class A shares (which pay lower ongoing
expenses) at the end of eight years. Class B (1) shares are subject to a
contingent deferred sales charge on certain redemptions made within six years of
purchase. Class B shares are subject to a contingent deferred sales charge on
certain redemptions made within five years of purchase. Class C shares are
subject to a contingent deferred sales charge of 1.00% on any shares redeemed
within one year of their purchase. Class C shares also pay annual distribution
and service fees of 1.00%. Class S shares are only offered through certain
retirement accounts, advisory accounts of State Street Research & Management
Company (the "Adviser"), an indirect wholly owned subsidiary of Metropolitan
Life Insurance Company ("Metropolitan"), and special programs. No sales charge
is imposed at the time of purchase or redemption of Class S shares. Class S
shares do not pay any distribution or service fees. 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 plans 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. INVESTMENT 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 closing prices 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.
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 gains 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.
E. SECURITIES LENDING
The Fund may seek additional income by lending portfolio securities to
qualified institutions. The Fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the Fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the Fund will bear the
loss. At March 31, 2000, the value of the securities loaned and the value of
collateral were $83,713,588 and $83,543,158 (including $40,428,414 of cash
collateral), respectively. During the six months ended March 31, 2000, income
from securities lending amounted to $325,728 and is included in interest
income.
NOTE 2
The management fee is 0.75% of the first $500 million of net assets, annually,
0.70% of the next $500 million, and 0.65% of any amount over $1 billion. 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, 2000, the fees pursuant to such
agreement amounted to $3,503,168.
State Street Research Service Center, 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, 2000, the amount of such expenses was $711,573.
The Fund has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances and directed
brokerage commissions, respectively were used to reduce a portion of the
Fund's expenses. During the six months ended March 31, 2000, the Fund's
transfer agent and custodian fees were reduced by $52,146 and $2,100,
respectively under these arrangements.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$18,923 during the six months ended March 31, 2000.
NOTE 3
For the six months ended March 31, 2000, exclusive of short-term investments
and U.S. Government obligations, purchases and sales of securities aggregated
$821,872,512 and $951,253,793, respectively.
NOTE 4
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940. Under the plans, the Fund pays annual service
fees to the Distributor at a rate of 0.25% of average daily net assets for
Class A, Class B(1), Class B and Class C shares. In addition, the Fund pays
annual distribution fees of 0.75% of average daily net assets for Class B(1),
Class B and Class C 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, 2000,
fees pursuant to such plans amounted to $502,856, $72,270, $1,944,499 and
$246,020 for Class A, Class B(1), Class B and Class C 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 $37,848 and $106,951, respectively, on sales of Class A shares of
the Fund during the six months ended March 31, 2000, and that MetLife
Securities, Inc. earned commissions aggregating $102,461, $1,958 and $92 on
sales of Class B(1), Class B and Class C shares, and that the Distributor
collected contingent deferred sales charges of $21,907, $336,069 and $366 on
redemptions of Class B(1), Class B and Class C 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. At March 31, 2000, the Adviser
owned 8,618 Class A shares of the Fund.
Share transactions were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
YEAR ENDED MARCH 31, 2000
SEPTEMBER 30, 1999 (UNAUDITED)
---------------------------- ----------------------------
CLASS A SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 39,389,475 $529,187,418 4,627,939 $ 76,040,108
Issued upon reinvestment of distributions from net realized gains 2,837,347 33,878,568 1,136,163 18,225,176
Shares redeemed ................................................. (45,341,679) (609,290,036) (6,165,269) (101,050,865)
------------ ------------ ------------ ------------
Net decrease .................................................... (3,114,857) $(46,224,050) (401,167) $ (6,785,581)
============ ============ ============ ============
<CAPTION>
CLASS B(1)* SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 783,117 $ 10,186,480 556,171 $ 9,510,018
Issued upon reinvestment of distribution from net realized gains -- -- 40,788 601,180
Shares redeemed ................................................. (106,356) (1,413,615) (87,577) (1,447,826)
------------ ------------ ------------ ------------
Net increase .................................................... 676,761 $ 8,772,865 509,382 $ 8,663,372
============ ============ ============ ============
<CAPTION>
CLASS B SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 1,661,817 $ 20,500,970 701,822 $ 12,021,855
Issued upon reinvestment of distributions from net realized gains 3,398,217 38,637,975 1,209,097 18,257,330
Shares redeemed ................................................. (12,296,088) (155,311,696) (3,264,746) (51,919,917)
------------ ------------ ------------ ------------
Net decrease .................................................... (7,236,054) $(96,172,751) (1,353,827) $(21,640,732)
============ ============ ============ ============
<CAPTION>
CLASS C SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 833,587 $ 11,510,962 75,301 $ 1,274,741
Issued upon reinvestment of distributions from net realized gains 471,367 5,373,580 145,327 2,200,241
Shares redeemed ................................................. (2,930,508) (37,673,074) (505,216) (8,009,296)
------------ ------------ ------------ ------------
Net decrease .................................................... (1,625,554) $(20,788,532) (284,588) $ (4,534,314)
============ ============ ============ ============
<CAPTION>
CLASS S SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 2,251,900 $ 29,901,607 1,042,353 $ 19,299,667
Issued upon reinvestment of distributions from net realized gains 897,316 10,929,580 305,445 5,015,411
Shares redeemed ................................................. (5,941,816) (79,250,793) (1,589,293) (28,446,989)
------------ ------------ ------------ ------------
Net decrease .................................................... (2,792,600) $(38,419,606) (241,495) $ (4,131,911)
============ ============ ============ ============
--------------------------------------------------------------------------------------------------------------------------------
*January 1, 1999 (commencement of share class) to September 30, 1999.
</TABLE>
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
<TABLE>
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period:
<CAPTION>
CLASS A
----------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
----------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 9.92 13.53 13.76 14.74 11.95 13.64
----- ----- ----- ----- ----- -----
Net investment loss ($) (0.04) (0.05) (0.08) (0.12) (0.14) (0.08)
Net realized and unrealized gain
(loss) on investments ($) 3.69 1.30 1.06 (2.54) 3.15 7.02
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) 3.65 1.25 0.98 (2.66) 3.01 6.94
----- ----- ----- ----- ----- -----
Distributions from capital gains ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD ($) 13.53 13.76 14.74 11.95 13.64 19.75
===== ===== ===== ===== ===== =====
Total return(b) (%) 36.95 10.12 7.12 (18.14) 26.75 52.21(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 55,250 114,247 470,977 319,014 321,667 457,789
Expense ratio (%) 1.33 1.26 1.21 1.39 1.40 1.44(e)
Expense ratio after expense reductions (%) 1.33 1.26 1.21 1.39 1.38 1.43(e)
Ratio of net investment loss to average
net assets (%) (0.34) (0.39) (0.60) (0.88) (1.03) (0.90)(e)
Portfolio turnover rate(%) 214.59 215.07 230.66 86.34 68.03 91.33
<CAPTION>
CLASS B(1)
-------------------------------
PERIOD ENDED SIX MONTHS ENDED
SEPTEMBER 30, MARCH 31, 2000
1999(a)(c) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 13.17 12.90
----- -----
Net investment loss ($) (0.17) (0.13)
Net realized and unrealized gain
(loss) on investments ($) (0.10) 6.63
----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) (0.27) 6.50
----- -----
Distributions from capital gains ($) -- (0.83)
----- -----
TOTAL DISTRIBUTIONS ($) -- (0.83)
----- -----
NET ASSET VALUE, END OF PERIOD ($) 12.90 18.57
===== =====
Total return(b) (%) (2.05)(d) 51.77(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 8,730 22,023
Expense ratio (%) 2.15(e) 2.19(e)
Expense ratio after expense reductions (%) 2.13(e) 2.18(e)
Ratio of net investment loss to average net assets (%) (1.81)(e) (1.63)(e)
Portfolio turnover rate(%) 68.03 91.33
--------------------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999.
(d) Not annualized.
(e) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
<TABLE>
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
-------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CLASS B
------------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 9.82 13.29 13.40 14.24 11.45 12.90
----- ----- ----- ----- ----- -----
Net investment loss ($) (0.12) (0.14) (0.17) (0.22) (0.22) (0.13)
Net realized and unrealized gain
(loss) on investments ($) 3.63 1.27 1.01 (2.44) 2.99 6.61
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) 3.51 1.13 0.84 (2.66) 2.77 6.48
----- ----- ----- ----- ----- -----
Distributions from capital gains ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD ($) 13.29 13.40 14.24 11.45 12.90 18.55
===== ===== ===== ===== ===== =====
Total return(b) (%) 35.90 9.33 6.27 (18.78) 25.74 51.62(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 203,446 386,899 562,392 365,547 318,695 433,051
Expense ratio (%) 2.08 2.01 1.98 2.13 2.15 2.19(e)
Expense ratio after expense reductions (%) 2.08 2.01 1.98 2.13 2.13 2.18(e)
Ratio of net investment loss to
average net assets (%) (1.10) (1.13) (1.32) (1.63) (1.77) (1.66)(e)
Portfolio turnover rate (%) 214.59 215.07 230.66 86.34 68.03 91.33
<CAPTION>
CLASS C
------------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 9.83 13.31 13.42 14.26 11.47 12.93
----- ----- ----- ----- ----- -----
Net investment loss ($) (0.12) (0.14) (0.17) (0.22) (0.22) (0.13)
Net realized and unrealized gain
(loss) on investments($) 3.64 1.27 1.01 (2.44) 3.00 6.63
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) 3.52 1.13 0.84 (2.66) 2.78 6.50
----- ----- ----- ----- ----- -----
Distributions from capital gains ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD ($) 13.31 13.42 14.26 11.47 12.93 18.60
===== ===== ===== ===== ===== =====
Total return(b) (%) 36.07 9.23 6.26 (18.76) 25.77 51.65(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 95,797 190,319 120,051 55,208 41,235 54,014
Expense ratio (%) 2.08 2.01 1.98 2.13 2.15 2.19(e)
Expense ratio after expense reductions (%) 2.08 2.01 1.98 2.13 2.13 2.18(e)
Ratio of net investment
loss to average net assets (%) (1.09) (1.13) (1.30) (1.63) (1.77) (1.66)(e)
Portfolio turnover rate (%) 214.59 215.07 230.66 86.34 68.03 91.33
-----------------------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999.
(d) Not annualized.
(e) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
<TABLE>
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
-------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CLASS S
------------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 9.99 13.66 13.94 14.96 12.16 13.94
---------- ---------- ---------- ---------- ---------- ----------
Net investment loss ($) (0.01) (0.01) (0.05) (0.09) (0.10) (0.06)
Net realized and unrealized gain
(loss) on investments ($) 3.72 1.31 1.07 (2.58) 3.20 7.18
---------- ---------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS ($) 3.71 1.30 1.02 (2.67) 3.10 7.12
---------- ---------- ---------- ---------- ---------- ----------
Distributions from capital gains ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
---------- ---------- ---------- ---------- ---------- ----------
TOTAL DISTRIBUTIONS ($) (0.04) (1.02) -- (0.13) (1.32) (0.83)
---------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD ($) 13.66 13.94 14.96 12.16 13.94 20.23
========== ========== ========== ========== ========== ==========
Total return(b) (%) 37.30 10.41 7.32 (17.94) 27.06 52.38(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 47,553 34,835 189,778 113,118 90,751 126,821
Expense ratio (%) 1.08 1.01 0.96 1.14 1.15 1.19e)
Expense ratio after expense reductions (%) 1.08 1.01 0.96 1.14 1.13 1.18(e)
Ratio of net investment loss to
average net assets (%) (0.07) (0.08) (0.37) (0.63) (0.77) (0.67)(e)
Portfolio turnover rate (%) 214.59 215.07 230.66 86.34 68.03 91.33
-------------------------------------------------------------------------------------------------------------------------------
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999.
(d) Not annualized.
(e) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
<TABLE>
----------------------------------------------------------------------------------------------------------------
REPORT ON SPECIAL MEETING OF SHAREHOLDERS
----------------------------------------------------------------------------------------------------------------
A Special Meeting of Shareholders of the State Street Research Mid-Cap Growth Fund ("Fund"), formerly, State
Street Research Capital Fund, a series of State Street Research Capital Trust, was convened on February 29, 2000
("Meeting"). The results of the Meeting are set forth below.
<CAPTION>
VOTES (MILLIONS OF SHARES)
-------------------------------------------
ACTION ON PROPOSAL FOR AGAINST ABSTAIN
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1. CLASS A SHARES
The Fund's current Rule 12b-1 Distribution Plan
was amended to increase the amount that may be
expended for the distribution of Class A shares ............... 10.7 1.9 0.9
CLASS B SHARES
The Fund's current Rule 12b-1 Distribution Plan
was amended to increase the amount that may be
expended for the distribution of Class A shares ............... 9.7 1.2 0.9
CLASS B(1) SHARES
The Fund's current Rule 12b-1 Distribution Plan
was amended to increase the amount that may be
expended for the distribution of Class A shares ............... 0.3 0.0 0.0
2. The Fund's investment objective was revised to
provide for long-term growth of capital ....................... 27.2 1.0 1.6
3. The fundamental policy on diversification of
investments was amended ....................................... 26.5 1.5 2.0
4. The fundamental policy on industry concentration
was amended ................................................... 26.1 1.7 2.1
5. The fundamental policy regarding investments in
companies in which fund management or the management
of the investment adviser has an interest was eliminated ...... 24.8 3.0 2.1
6. The fundamental policy regarding participation
in underwritings was amended .................................. 25.5 1.9 2.6
</TABLE>
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND
<TABLE>
---------------------------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH CAPITAL TRUST
---------------------------------------------------------------------------------------------------
<CAPTION>
FUND INFORMATION OFFICERS TRUSTEES
<S> <C> <C>
STATE STREET RESEARCH GERARD P. MAUS GERARD P. MAUS
MID-CAP GROWTH FUND Chairman of The Board, Interim Chief Operating Officer,
One Financial Center President, Chief Executive Chief Financial Officer,
Boston, MA 02111 Officer and Treasurer Chief Administrative Officer and
Director, State Street Research
INVESTMENT ADVISER PETER C. BENNETT & Management Company
State Street Research & Vice President
Management Company BRUCE R. BOND
One Financial Center CATHY DUDLEY Former Chairman of the Board,
Boston, MA 02111 Vice President Chief Executive Officer and
President, PictureTel Corporation
DISTRIBUTOR LAWRENCE J. HAVERTY, JR.
State Street Research Vice President STEVE A. GARBAN
Investment Services, Inc. Former Senior Vice President
One Financial Center RUDOLPH K. KLUIBER for Finance and Operations and
Boston, MA 02111 Vice President Treasurer, The Pennsylvania
State University
SHAREHOLDER SERVICES TUCKER WALSH
State Street Research Vice President DEAN O. MORTON
Service Center Former Executive Vice
P.O. Box 8408 JAMES M. WEISS President, Chief Operating
Boston, MA 02266-8408 Vice President Officer and Director,
1-87-SSR-FUNDS (toll free) Hewlett-Packard Company
JOSEPH W. CANAVAN
CUSTODIAN Assistant Treasurer SUSAN M. PHILLIPS
State Street Bank and Dean, School of Business
Trust Company DOUGLAS A. ROMICH and Public Management,
225 Franklin Street Assistant Treasurer George Washington University;
Boston, MA 02110 former Member of the Board
FRANCIS J. MCNAMARA, III of Governors of the Federal
LEGAL COUNSEL Secretary and General Counsel Reserve System and Chairman
Goodwin, Procter & Hoar LLP and Commissioner of the
Exchange Place DARMAN A. WING Commodity Futures Trading
Boston, MA 02109 Assistant Secretary and Commission
Assistant General Counsel
TOBY ROSENBLATT
AMY L. SIMMONS President,
Assistant Secretary Founders Investments Ltd.;
President,
The Glen Ellen Company
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
</TABLE>
<PAGE>
STATE STREET RESEARCH MID-CAP GROWTH FUND -------------------
One Financial Center Bulk Rate
Boston, MA 02111 U.S. Postage
PAID
Canton, MA
Permit #313
-------------------
QUESTIONS? COMMENTS?
E-MAIL us at:
[email protected]
INTERNET site:
www.ssrfunds.com
CALL us toll free at 1-87-SSR-FUNDS (1-877-773-8637 or
[hearing-impaired 1-800-676-7876]
[Chinese and Spanish-speaking 1-888-638-3193]
WRITE us at:
State Street Research
Service Center
P.O. Box 8408
Boston, MA 02266-8408
[logo] STATE STREET RESEARCH
(C)2000 State Street Research Investment Services, Inc., One Financial Center,
Boston, MA 02111
This report is prepared for the general information of current shareholders.
This publication must be preceded or accompanied by a current State Street
Research Mid-Cap Growth Fund prospectus.
When used after June 30, 2000, 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 awards recognize 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: (exp0501)SSR-LD MG-1759-0500
<PAGE>
--------------------------------
STATE STREET RESEARCH
--------------------------------
EMERGING GROWTH FUND
--------------------------------
SEMIANNUAL REPORT
March 31, 2000
---------------------
WHAT'S INSIDE
---------------------
INVESTMENT UPDATE
About the fund,
economy and markets
FUND INFORMATION
Facts and figures
PLUS, COMPLETE PORTFOLIO HOLDINGS
AND FINANCIAL STATEMENTS
-------------------
[DALBAR LOGO]
-------------------
For Excellence
[logo] STATE STREET RESEARCH in
Service
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
--------------------------------------------------------------------------------
INVESTMENT UPDATE
--------------------------------------------------------------------------------
INVESTMENT ENVIRONMENT
THE ECONOMY
o Gross domestic product, a measure of goods and services produced in the
U.S., rose strongly in the fourth quarter of 1999, surging ahead at an
annualized rate of 7.3%. It slowed only slightly in the first quarter of
2000, expanding at an annual rate of 5.4%.
o Inflation remained low, but showed signs of heating up. Core consumer
inflation, which excludes food and energy, advanced in March at the fastest
pace since the early 1990s. Wholesale prices continue to accelerate and
wages gave some cause for concern.
o In an effort to cool off the economy and keep inflation in check, the
Federal Reserve Board continued to raise short-term interest rates. The
federal funds rate ended the quarter at 6.0%, up from 5.25% six months ago.
THE MARKETS
o The divergence between the broad U.S. stock market and the technology
sector, which continued into the new year, decreased dramatically toward the
end of the six-month period. The NASDAQ sunk well into bear market territory
after having been ahead by nearly 20% for the year early in March. In
contrast, the S&P 500 appeared to gain strength as investors sought shelter
in old economy blue chips.(1)
o After losing ground earlier in the six- month period, the bond market
strengthened during March as the yield on the benchmark 30-year U.S.
Treasury bond fell below 6.0% for the first time in more than a year.
High-yield bonds, which had strengthened late in 1998, stumbled as investors
withdrew funds from the sector and reallocated them to higher-performing
technology stocks.
THE FUND
OVER THE PAST SIX MONTHS
o For the six months ended March 31, 2000, Class A shares of State Street
Research Emerging Growth Fund returned 65.94% (does not reflect sales
charge).(2) The fund surpassed the Russell 2000 Growth Index, which gained
45.77% over the same period.(1)
o Technology was the main driver of positive performance early in the period.
Then, we reduced the fund's technology holdings ahead of the big downturn in
March. That helped lock in some attractive gains.
o Good stock selection helped boost results. Health care delivered mixed
returns. Retail and financial services stocks were a drag on performance,
but our position in both was relatively small.
CURRENT STRATEGY
o We are keeping an eye on interest rates because we believe further increases
could hurt valuations.
o Although we expect further volatility in the technology sector, we continue
to look for opportunities to increase the fund's exposure to technology
stocks with solid long-term prospects.
March 31, 2000
(1) The S&P 500 (officially the "Standard and Poor's 500 Composite Stock Price
Index") is an unmanaged index of 500 U.S. stocks. The Russell 2000 Growth
Index contains only those securities in the Russell 2000 Index with a
greater than average growth orientation. The indices do not take transaction
charges into consideration. It is not possible to invest directly in the
indices.
(2) 65.30% for Class B(1) shares; 65.30% for Class B shares; 65.39% for Class C
shares; 66.07% for Class S shares.
(3) Keep in mind that past performance is no guarantee of future results. The
fund's share price, yield and return will fluctuate, and you may have a gain
or loss when you sell your shares. All returns assume reinvestment of
capital gains distributions and income dividends at net asset value.
Performance reflects a maximum 5.75% Class A share front-end sales charge,
or 5% Class B(1) or Class B share or 1% Class C share contingent deferred
sales charge, where applicable.
(4) Class S shares, offered without a sales charge, are available through
certain employee benefit plans and special programs.
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, 2000)
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(at maximum applicable sales charge)(3)(4)
---------------------------------------------------------------------------
LIFE OF FUND
(SINCE 10/4/93) 5 YEARS 1 YEAR
---------------------------------------------------------------------------
Class A 15.02% 23.57% 67.83%
---------------------------------------------------------------------------
Class B(1) 15.28% 23.96% 71.61%
---------------------------------------------------------------------------
Class B 15.28% 23.96% 71.79%
---------------------------------------------------------------------------
Class C 15.29% 24.15% 75.71%
---------------------------------------------------------------------------
Class S 16.41% 25.39% 78.44%
---------------------------------------------------------------------------
Performance results for the fund are increased by the voluntary reduction of
fund fees and expenses. Without subsidization, performance would have been
lower.
TOP 10 STOCK POSITIONS
(by percentage of net assets)
1 LIFEMINDERS.COM Internet content 3.9%
2 AEROFLEX Electronics 3.3%
3 ACXIOM Data processing 3.0%
4 QRS Computer services 2.8%
5 INTERWORLD Internet software 2.4%
6 RADIANT SYSTEMS Computers 2.3%
7 CALPINE Power producer 2.1%
8 LEVEL 8 SYSTEMS Telecommunications 2.0%
9 BROOKS AUTOMATION Industrial 2.0%
J BIOVAIL Pharmaceutical 1.9%
These securities represent an aggregate of 25.7% 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)
COMPUTER SOFTWARE 19.5%
COMMUNICATIONS TECHNOLOGY 8.3%
DRUGS & BIOTECHNOLOGY 8.1%
ADVERTISING AGENCIES 6.1%
PRODUCTION TECHNOLOGY EQUIPMENT 5.4%
Total: 47.4%
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
-------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
-------------------------------------------------------------------------------
March 31, 2000 (Unaudited)
-------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
-------------------------------------------------------------------------------
COMMON STOCKS 95.4%
AUTOMOBILES & TRANSPORTATION 1.2%
AUTOMOTIVE PARTS 0.9%
Gentex Corp.* ......................................... 41,500 $ 1,538,094
------------
TRUCKERS 0.3%
CNF Transportation Inc. ............................... 16,800 466,200
------------
Total Automobiles & Transportation .................... 2,004,294
------------
CONSUMER DISCRETIONARY 21.6%
ADVERTISING AGENCIES 6.1%
Cybergold Inc. ........................................ 63,000 677,250
Lifeminders.com, Inc.* ................................ 100,500 6,821,437
Mediaplex Inc. ........................................ 16,700 868,400
Young & Rubicam Inc.* ................................. 46,400 2,180,800
------------
10,547,887
------------
CASINOS/GAMBLING, HOTEL/MOTEL 1.1%
International Game Technology Inc. .................... 47,300 1,025,819
Station Casinos Inc.* ................................. 42,500 927,031
------------
1,952,850
------------
COMMERCIAL SERVICES 5.3%
Copart Inc.* .......................................... 135,500 2,371,250
Hotel Reservations Network Inc. Cl. A* ................ 48,200 855,550
Maximus Inc.* ......................................... 34,000 1,037,000
QRS Corp.* ............................................ 64,700 4,868,675
------------
9,132,475
------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 4.3%
Imax Corp.* ........................................... 47,300 1,019,906
TiVo Inc.* ............................................ 32,300 1,118,388
USA Networks Inc.* .................................... 94,500 2,132,156
Wink Communications, Inc.* ............................ 32,500 1,084,688
World Wrestling Federation Entertainment Inc. Cl. A ... 118,500 2,101,523
------------
7,456,661
------------
CONSUMER SERVICES 2.8%
Apollo Group Inc. Cl. A* .............................. 58,700 1,654,606
Bright Horizons Family Solutions Corp.* ............... 41,300 893,113
DeVry Inc.* ........................................... 76,300 2,327,150
------------
4,874,869
------------
RETAIL 2.0%
99 Cents Only Stores Co.* ............................. 19,833 778,445
Sharper Image Corp.* .................................. 37,400 458,150
Shopnow.com Inc. ...................................... 73,500 1,074,938
Ticketmaster Online City Search, Inc. Cl. B* .......... 47,300 1,185,456
------------
3,496,989
------------
Total Consumer Discretionary .......................... 37,461,731
------------
CONSUMER STAPLES 0.8%
BEVERAGES 0.2%
Beringer Wine Estates Holdings, Inc. Cl. B* ........... 10,700 383,863
------------
DRUG & GROCERY STORE CHAINS 0.6%
Duane Reade Inc.* ..................................... 47,100 1,095,075
------------
Total Consumer Staples ................................ 1,478,938
------------
FINANCIAL SERVICES 4.2%
BANKS & SAVINGS & LOAN 0.3%
Centura Banks Inc. .................................... 11,300 517,681
------------
FINANCIAL DATA PROCESSING SERVICES & SYSTEMS 1.7%
Nova Corp.* ........................................... 24,596 716,359
Profit Recovery Group International Inc.* ............. 119,900 2,218,150
------------
2,934,509
------------
INSURANCE 0.5%
Markel Corp. .......................................... 1,637 238,226
Markel Corp. Rts. ..................................... 1,637 9,824
Partnerre Ltd. ........................................ 17,300 636,856
------------
884,906
------------
MISCELLANEOUS FINANCIAL 1.7%
Metris Companies Inc. ................................. 22,900 890,237
Radian Group Inc. ..................................... 13,600 647,700
S1 Corp. .............................................. 16,500 1,413,844
------------
2,951,781
------------
Total Financial Services .............................. 7,288,877
------------
HEALTH CARE 10.2%
DRUGS & BIOTECHNOLOGY 8.1%
BioMarin Pharmaceutical Inc.* ......................... 38,900 1,380,950
Biovail Corp. ......................................... 26,500 1,174,281
Biovail Corp. Wts. .................................... 42,500 2,167,500
ILEX Oncology Inc.* ................................... 44,600 1,873,200
Intelligent Polymers Ltd. ............................. 94,900 3,285,913
Intermune Pharmaceuticals Inc. ........................ 12,700 253,206
Maxim Pharmaceuticals Inc.* ........................... 17,600 826,100
Priority Healthcare Corp. Cl. B* ...................... 27,800 1,396,950
Sangstat Medical Corp.* ............................... 60,500 1,675,094
------------
14,033,194
------------
HEALTH CARE SERVICES 0.9%
Province Healthcare Co.* .............................. 54,400 1,557,200
------------
HOSPITAL SUPPLY 1.2%
Aradigm Corp.* ........................................ 103,900 2,168,912
------------
Total Health Care ..................................... 17,759,306
------------
MATERIALS & PROCESSING 1.3%
BUILDING & CONSTRUCTION 0.7%
SLI Inc.* ............................................. 64,922 1,103,674
------------
CHEMICALS 0.6%
Valence Technology Inc. ............................... 45,800 1,079,163
------------
Total Materials & Processing .......................... 2,182,837
------------
OTHER 0.5%
MULTI-SECTOR 0.5%
Teleflex Inc. ......................................... 26,000 923,000
------------
Total Other ........................................... 923,000
------------
OTHER ENERGY 7.8%
GAS PIPELINES 1.0%
Dynegy Inc. Cl. A ..................................... 26,900 1,687,975
------------
OIL & GAS PRODUCERS 2.2%
Louis Dreyfus Natural Gas Corp.* ...................... 29,100 989,400
Maxx Petroleum Ltd.* .................................. 113,375 325,953
Ocean Energy Inc.* .................................... 43,800 629,625
Plains Resources Inc.* ................................ 24,900 311,250
Santa Fe Snyder Corp.* ................................ 90,000 866,250
St. Mary Land & Exploration Co.* ...................... 23,600 705,050
------------
3,827,528
------------
OIL WELL EQUIPMENT & SERVICES 4.6%
Calpine Corp.* ........................................ 39,000 3,666,000
IRI International Corp.* .............................. 122,300 1,154,206
Nabors Industries Inc.* ............................... 25,100 974,194
Veritas DGC Inc.* ..................................... 81,800 2,300,625
------------
8,095,025
------------
Total Other Energy .................................... 13,610,528
------------
PRODUCER DURABLES 8.8%
AEROSPACE 0.3%
Heico Corp. Cl. A* .................................... 31,500 441,000
------------
INDUSTRIAL PRODUCTS 0.4%
Advanced Energy Industries Inc. ....................... 14,300 729,300
------------
MACHINERY 1.3%
Helix Technology Corp. ................................ 38,400 2,306,400
------------
PRODUCTION TECHNOLOGY EQUIPMENT 5.4%
Brooks Automation Inc.* ............................... 54,800 3,425,000
Cymer Inc.* ........................................... 47,000 2,350,000
Dupont Photomasks Inc.* ............................... 27,600 1,599,075
PRI Automation Inc. ................................... 32,400 1,980,450
------------
9,354,525
------------
TELECOMMUNICATIONS EQUIPMENT 1.4%
American Tower Corp. Cl. A* ........................... 33,100 1,634,313
L-3 Communications Holding Corp.* ..................... 15,400 800,800
------------
2,435,113
------------
Total Producer Durables ............................... 15,266,338
------------
TECHNOLOGY 37.3%
COMMUNICATIONS TECHNOLOGY 8.3%
About.com Inc.* ....................................... 13,300 1,172,063
Covad Communications Group Inc.* ...................... 19,850 1,439,125
CSG Systems International Inc.* ....................... 25,300 1,234,956
Digital Microwave Corp.* .............................. 61,500 2,083,312
Extreme Networks Inc.* ................................ 16,500 1,303,500
Marimba Inc. .......................................... 44,400 1,959,150
Packeteer Inc.* ....................................... 64,100 2,243,500
Remec Inc.* ........................................... 52,900 2,671,450
Telocity Inc. ......................................... 25,900 320,513
------------
14,427,569
------------
COMPUTER SOFTWARE 19.5%
ActivCard SA ADR ...................................... 16,800 716,100
Acxiom Corp. .......................................... 157,100 5,223,575
Bluestone Software, Inc.* ............................. 11,400 384,750
Citrix Systems Inc.* .................................. 31,400 2,080,250
Extensity, Inc.* ...................................... 8,700 417,600
GRIC Communications, Inc.* ............................ 46,200 1,559,250
Interworld Corp. ...................................... 74,600 4,214,900
Level 8 Systems Inc. .................................. 73,400 3,431,450
Luminant Worldwide Corp.* ............................. 31,600 525,350
Manhattan Associates Inc. ............................. 20,600 705,550
Netegrity Inc. ........................................ 42,400 2,904,400
Optimal Robotics Corp. Cl. A .......................... 9,400 441,800
Sanchez Computer Associates Inc. ...................... 32,400 1,138,050
Tanning Technology Corp. .............................. 24,600 1,059,337
Tenfold Corp. ......................................... 49,400 2,988,700
Transaction Systems Architects Inc. Cl. A* ............ 31,400 906,675
Versata, Inc.* ........................................ 18,500 1,113,469
Viador Inc. ........................................... 35,800 1,749,725
Websense Inc. ......................................... 1,900 $ 91,319
Zoran Corp. ........................................... 39,000 2,196,187
------------
33,848,437
------------
COMPUTER TECHNOLOGY 3.1%
Radiant Systems Inc.* ................................. 62,400 3,923,400
Zebra Technologies Corp. Cl. A* ....................... 29,200 1,460,000
------------
5,383,400
------------
ELECTRONICS 3.3%
Aeroflex Inc.* ........................................ 116,200 5,751,900
------------
ELECTRONICS: SEMI-CONDUCTORS/COMPONENTS 3.1%
Artisan Components Inc. ............................... 80,700 1,583,737
Cree Research Inc. .................................... 11,300 1,275,488
Sawtek Inc.* .......................................... 48,100 2,528,256
------------
5,387,481
------------
Total Technology ...................................... 64,798,787
------------
UTILITIES 1.4%
TELECOMMUNICATIONS 1.4%
Time Warner Telecom Inc. Cl. A ........................ 30,400 2,416,800
------------
Total Utilities ....................................... 2,416,800
------------
NON-U.S. EQUITIES 0.3%
Gulfstream Resources Ltd. ............................. 140,000 173,434
Post Energy Corp.* .................................... 107,400 425,017
------------
Total Non-U.S. Equities ............................... 598,451
------------
Total Common Stocks (Cost $129,243,601) ............... 165,789,887
------------
SHORT-TERM INVESTMENTS 4.3%
AIM Liquid Assets Portfolio ..........................7,540,330 7,540,330
------------
Total Short-Term Investments (Cost $7,540,330) ................ 7,540,330
------------
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------
PRINCIPAL MATURITY
AMOUNT DATE
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER 3.8%
American Express Credit Corp., 6.40% ................. $2,565,000 4/03/2000 2,565,000
American Express Credit Corp., 6.01% ................. 465,000 4/04/2000 465,000
American Express Credit Corp., 6.06% ................. 1,683,000 4/04/2000 1,683,000
Associates First Capital Corp., 6.04% ................ 1,088,000 4/04/2000 1,088,000
Ford Motor Credit Co.,6.06% .......................... 764,000 4/06/2000 764,000
------------
Total Commercial Paper (Cost $6,565,000) ................................................. 6,565,000
------------
Total Investments (Cost $143,348,931) - 103.5% ........................................... 179,895,217
Cash and Other Assets, Less Liabilities - (3.5%) ......................................... (6,072,636)
------------
Net Assets - 100.0% ...................................................................... $173,822,581
============
Federal Income Tax Information (Note 1):
At March 31, 2000, the net unrealized appreciation of investments based on cost for Federal
income tax purposes of $143,500,204 was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess
of value over tax cost ................................................................. $ 45,631,735
Aggregate gross unrealized depreciation for all investments in which there is an excess
of tax cost over value ................................................................. (9,236,722)
------------
$ 36,395,013
============
* 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.
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
-------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
-------------------------------------------------------------------------------
March 31, 2000 (Unaudited)
ASSETS
Investments, at value (Cost $143,348,931) (Note 1) .......... $ 179,895,217
Cash ........................................................ 210
Receivable for securities sold .............................. 3,482,219
Receivable for fund shares sold ............................. 303,402
Receivable from Distributor (Note 3) ........................ 61,723
Dividends and interest receivable ........................... 2,918
Other assets ................................................ 28,050
--------------
183,773,739
LIABILITIES
Payable for collateral received on securities loaned ........ 7,540,330
Payable for securities purchased ............................ 1,654,656
Payable for fund shares redeemed ............................ 306,296
Accrued transfer agent and shareholder services (Note 2) 144,628
Accrued management fee (Note 2) ............................. 125,932
Accrued distribution and service fees (Note 5) .............. 113,830
Accrued trustees' fees (Note 2) ............................. 12,611
Other accrued expenses ...................................... 52,875
--------------
9,951,158
--------------
NET ASSETS $ 173,822,581
==============
Net Assets consist of:
Unrealized appreciation of investments .................... $ 36,546,286
Accumulated net realized gain ............................. 28,649,720
Paid-in capital ........................................... 108,626,575
--------------
$ 173,822,581
==============
Net Asset Value and redemption price per share of
Class A shares ($58,262,549 / 3,189,846 shares) $18.27
======
Maximum Offering Price per share of Class A shares
($18.27 / .9425) .......................................... $19.38
======
Net Asset Value and offering price per share of
Class B(1) shares ($13,135,973 / 759,958 shares)* $17.29
======
Net Asset Value and offering price per share of
Class B shares ($81,004,800 / 4,686,403 shares)* $17.29
======
Net Asset Value and offering price per share of
Class C shares ($10,072,836 / 582,413 shares)* ............ $17.30
======
Net Asset Value, offering price and redemption
price per share of Class S shares
($11,346,423 / 606,832 shares) ............................ $18.70
======
-------------------------------------------------------------------------------
*Redemption price per share for Class B(1), Class B and Class C is equal to
net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
-------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
-------------------------------------------------------------------------------
For the six months ended March 31, 2000 (Unaudited)
INVESTMENT INCOME
Dividends, net of foreign taxes of $35 ....................... $ 71,262
Interest (Note 1) ............................................ 88,417
-------------
159,679
EXPENSES
Management fee (Note 2) ...................................... 504,933
Transfer agent and shareholder services (Note 2) ............. 247,973
Custodian fee ................................................ 72,716
Service fee - Class A (Note 5) ............................... 56,900
Distribution and service fees - Class B(1) (Note 5) .......... 36,022
Distribution and service fees - Class B (Note 5) ............. 318,056
Distribution and service fees - Class C (Note 5) ............. 43,902
Reports to shareholders ...................................... 27,184
Registration fees ............................................ 23,798
Audit fee .................................................... 11,811
Legal fees ................................................... 6,988
Trustees' fees (Note 2) ...................................... 6,205
Miscellaneous ................................................ 18,094
-------------
1,374,582
Expenses borne by the Distributor (Note 3) ................... (172,118)
Fees paid indirectly (Note 2) ................................ (7,016)
-------------
1,195,448
-------------
Net investment loss .......................................... (1,035,769)
-------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments (Notes 1 and 3) ............. 39,700,297
Net unrealized appreciation of investments ................... 20,897,654
-------------
Net gain on investments ...................................... 60,597,951
-------------
Net increase in net assets resulting from
operations ................................................. $ 59,562,182
=============
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
-------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
YEAR ENDED MARCH 31, 2000
SEPTEMBER 30, 1999 (UNAUDITED)
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment loss ......................................... $ (1,145,894) $ (1,035,769)
Net realized gain (loss) on
investments ............................................... (10,832,312) 39,700,297
Net unrealized appreciation of investments .................. 36,463,829 20,897,654
------------- --------------
Net increase resulting from
operations ................................................ 24,485,623 59,562,182
------------- --------------
Distribution from net realized gains:
Class A ................................................... (1,253,862) --
Class B ................................................... (1,968,205) --
Class C ................................................... (310,824) --
Class S ................................................... (221,009) --
------------- --------------
(3,753,900) --
------------- --------------
Net increase (decrease) from fund share transactions (Note 6) (17,371,058) 21,755,402
------------- --------------
Total increase in net assets ................................ 3,360,665 81,317,584
NET ASSETS
Beginning of period ......................................... 89,144,332 92,504,997
------------- --------------
End of period ............................................... $ 92,504,997 $ 173,822,581
============= ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
-------------------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
March 31, 2000
NOTE 1
State Street Research Emerging 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 consists
presently of three separate funds: State Street Research Emerging Growth Fund,
State Street Research Mid-Cap Growth 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 five classes of shares. Class A shares are subject to an initial
sales charge of up to 5.75% and an annual service fee equal to 0.25% of average
daily net assets. On January 1, 1999, the Fund began offering Class B(1) shares
and continued offering Class B shares but only to current shareholders. Class
B(1) and Class B shares pay annual distribution and service fees of 1.00% and
both classes automatically convert into Class A shares (which pay lower ongoing
expenses) at the end of eight years. Class B (1) shares are subject to a
contingent deferred sales charge on certain redemptions made within six years of
purchase. Class B shares are subject to a contingent deferred sales charge on
certain redemptions made within five years of purchase. Class C shares are
subject to a contingent deferred sales charge of 1.00% on any shares redeemed
within one year of their purchase. Class C shares also pay annual distribution
and service fees of 1.00%. Class S shares are only offered through certain
retirement accounts, advisory accounts of State Street Research & Management
Company (the "Adviser"), an indirect wholly owned subsidiary of Metropolitan
Life Insurance Company ("Metropolitan"), and special programs. No sales charge
is imposed at the time of purchase or redemption of Class S shares. Class S
shares do not pay any distribution or service fees. 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 plans 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 closing prices 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,
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. At September 30, 1999, the Fund had a capital loss
carryforward of $5,296,006 available, to the extent provided in regulations, to
offset future capital gains, if any, which expires on September 30, 2007.
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.
E. SECURITIES LENDING
The Fund may seek additional income by lending portfolio securities to
qualified institutions. The Fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the Fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the Fund will bear the
loss. At March 31, 2000, the value of the securities loaned and the value of
collateral were $16,329,138 and $15,812,353 (including $7,540,330 of cash
collateral), respectively.
NOTE 2
The Trust and the Adviser have entered into an agreement under which the Adviser
earns monthly fees equal to 0.75% 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, 2000, the fees pursuant to such agreement
amounted to $504,933.
State Street Research Service Center, 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, 2000, the amount of such shareholder servicing and account maintenance
expenses was $99,645.
The Fund has entered into an arrangement with its transfer agent whereby
credits realized as a result of uninvested cash balances were used to reduce a
portion of the Fund's expense. During the six months ended March 31, 2000, the
Fund's transfer agent fees were reduced by $7,016 under this agreement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$6,205 during the six months ended March 31, 2000.
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, 2000, the amount of such expenses
assumed by the Distributor and its affiliates was $172,118.
NOTE 4
For the six months ended March 31, 2000, exclusive of short-term investments
and U.S. Government obligations, purchases and sales of securities aggregated
$150,083,867 and $134,128,099, respectively.
NOTE 5
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940, as amended. Under the plans, the Fund pays
annual service fees to the Distributor at a rate of 0.25% of average daily net
assets for Class A, Class B(1), Class B and Class C shares. In addition, the
Fund pays annual distribution fees of 0.75% of average daily net assets for
Class B(1), Class B and Class C 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, 2000,
fees pursuant to such plans amounted to $56,900, $36,022, $318,056 and $43,902
for Class A, Class B(1), Class B and Class C 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 $10,465 and $54,220, respectively, on sales of Class A shares of
the Fund during the six months ended March 31, 2000, and that MetLife
Securities, Inc. earned commissions aggregating $72,898, $1,023 and $177 on
sales of Class B(1), Class B and Class C shares, and that the Distributor
collected contingent deferred sales charges aggregating $5,413, $61,513 and
$469 on redemptions of Class B(1), Class B and Class C 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.
Share transactions were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
YEAR ENDED MARCH 31, 2000
SEPTEMBER 30, 1999 (UNAUDITED)
---------------------------- ----------------------------
CLASS A SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 4,968,247 $ 49,800,390 2,278,530 $ 36,396,249
Issued upon reinvestment of distribution from net realized gains 127,972 1,229,924 -- --
Shares redeemed ................................................. (5,731,015) (57,731,106) (1,938,058) (30,235,842)
------------ ------------ ------------ ------------
Net increase (decrease) ......................................... (634,796) $ (6,700,792) 340,472 $ 6,160,407
============ ============ ============ ============
<CAPTION>
CLASS B(1)* SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 375,316 $ 3,852,387 494,041 $ 8,370,785
Shares redeemed ................................................. (15,248) (154,780) (94,151) (1,478,906)
------------ ------------ ------------ ------------
Net increase .................................................... 360,068 $ 3,697,607 399,890 $ 6,891,879
============ ============ ============ ============
<CAPTION>
CLASS B SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 670,763 $ 6,311,001 971,640 $ 16,404,213
Issued upon reinvestment of distribution from net realized gains 203,644 1,869,477 -- --
Shares redeemed ................................................. (2,093,387) (20,576,063) (526,028) (7,759,222)
------------ ------------ ------------ ------------
Net increase (decrease) ......................................... (1,218,980) $(12,395,585) 445,612 $ 8,644,991
============ ============ ============ ============
<CAPTION>
CLASS C SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 1,655,582 $ 16,046,613 419,436 $ 6,017,044
Issued upon reinvestment of distribution from net realized gains 31,662 290,973 -- --
Shares redeemed ................................................. (1,888,067) (18,492,709) (462,478) (6,497,938)
------------ ------------ ------------ ------------
Net decrease .................................................... (200,823) $ (2,155,123) (43,042) $ (480,894)
============ ============ ============ ============
<CAPTION>
CLASS S SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ..................................................... 237,974 $ 2,451,542 386,306 $ 6,145,403
Issued upon reinvestment of distribution from net realized gains 22,552 221,009 -- --
Shares redeemed ................................................. (239,161) (2,489,716) (350,495) (5,606,384)
------------ ------------ ------------ ------------
Net increase .................................................... 21,365 $ 182,835 35,811 $ 539,019
============ ============ ============ ============
--------------------------------------------------------------------------------------------------------------------------------
*January 1, 1999 (commencement of share class) to September 30, 1999.
</TABLE>
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
<TABLE>
----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
----------------------------------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period:
<CAPTION>
CLASS A
----------------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 8.56 9.69 11.33 15.53 8.86 11.01
---- ---- ---- ---- ---- ----
Net investment loss ($)* (0.08) (0.09) (0.08) (0.05) (0.08) (0.09)
Net realized and
unrealized gain (loss)
on investments ($) 1.21 1.73 5.13 (4.01) 2.60 7.35
---- ---- ---- ---- ---- ----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.13 1.64 5.05 (4.06) 2.52 7.26
---- ---- ---- ---- ---- ----
Distributions from
capital gains ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
TOTAL DISTRIBUTIONS ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
NET ASSET VALUE, END OF
PERIOD ($) 9.69 11.33 15.53 8.86 11.01 18.27
==== ===== ===== ==== ===== =====
Total return(b) (%) 13.20 16.92 48.00 (29.97) 29.10 65.94 (d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 21,480 19,791 34,446 30,858 31,384 58,263
Expense ratio (%)* 1.35 1.35 1.35 1.35 1.37 1.36 (e)
Expense ratio after
expense reductions (%)* 1.35 1.35 1.35 1.35 1.35 1.35 (e)
Ratio of net investment
loss to average net
assets (%)* (0.93) (0.96) (0.64) (0.45) (0.75) (1.11) (e)
Portfolio turnover rate (%) 178.60 155.85 273.33 98.30 93.38 106.55
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.06 0.04 0.04 0.02 0.05 0.02
<CAPTION>
CLASS B(1)
-------------------------------
PERIOD ENDED SIX MONTHS ENDED
SEPTEMBER 30, MARCH 31, 2000
1999(a)(c) (UNAUDITED)(a)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 10.22 10.46
---- ----
Net investment loss ($)* (0.12) (0.15)
Net realized and unrealized gain on investments ($) 0.36 6.98
---- ----
TOTAL FROM INVESTMENT OPERATIONS ($) 0.24 6.83
---- ----
NET ASSET VALUE, END OF PERIOD ($) 10.46 17.29
===== =====
Total return(b) (%) 2.35 (d) 65.30 (d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 3,767 13,136
Expense ratio (%)* 2.12 (e) 2.11 (e)
Expense ratio after expense reductions (%)* 2.10 (e) 2.10 (e)
Ratio of net investment loss to average net assets (%)* (1.59) (e) (1.93) (e)
Portfolio turnover rate (%) 93.38 106.55
*Reflects voluntary reduction of expenses per share of these amounts ($) 0.05 0.02
--------------------
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999.
(d) Not annualized.
(e) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
<TABLE>
----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CLASS B
----------------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 8.52 9.58 11.11 15.09 8.48 10.46
---- ---- ---- ---- ---- ----
Net investment loss ($)* (0.14) (0.17) (0.16) (0.14) (0.15) (0.14)
Net realized and
unrealized gain (loss)
on investments ($) 1.20 1.70 4.99 (3.86) 2.50 6.97
---- ---- ---- ---- ---- ----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.06 1.53 4.83 (4.00) 2.35 6.83
---- ---- ---- ---- ---- ----
Distributions from
capital gains ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
TOTAL DISTRIBUTIONS ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
NET ASSET VALUE, END OF
PERIOD ($) 9.58 11.11 15.09 8.48 10.46 17.29
==== ===== ===== ==== ===== =====
Total return(b) (%) 12.44 15.97 46.91 (30.56) 28.37 65.30 (d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 26,489 23,656 40,512 46,315 44,377 81,005
Expense ratio (%)* 2.10 2.10 2.10 2.10 2.12 2.11 (e)
Expense ratio after
expense reductions (%)* 2.10 2.10 2.10 2.10 2.10 2.10 (e)
Ratio of net investment
loss to average net
assets (%)* (1.67) (1.71) (1.40) (1.20) (1.50) (1.86) (e)
Portfolio turnover rate (%) 178.60 155.85 273.33 98.30 93.38 106.55
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.06 0.04 0.03 0.02 0.05 0.02
<CAPTION>
CLASS C
-----------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
----------------------------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 8.52 9.58 11.10 15.10 8.49 10.46
---- ---- ---- ---- ---- ----
Net investment loss ($)* (0.14) (0.16) (0.16) (0.14) (0.15) (0.14)
Net realized and
unrealized gain (loss)
on investments ($) 1.20 1.68 5.01 (3.86) 2.49 6.98
---- ---- ---- ---- ---- ----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.06 1.52 4.85 (4.00) 2.34 6.84
---- ---- ---- ---- ---- ----
Distributions from
capital gains ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
TOTAL DISTRIBUTIONS ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
NET ASSET VALUE, END OF
PERIOD ($) 9.58 11.10 15.10 8.49 10.46 17.30
==== ===== ===== ==== ===== =====
Total return(b) (%) 12.44 15.87 47.15 (30.52) 28.21 65.39 (d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 7,391 4,503 7,460 7,012 6,545 10,073
Expense ratio (%)* 2.10 2.10 2.10 2.10 2.12 2.11 (e)
Expense ratio after
expense reductions (%)* 2.10 2.10 2.10 2.10 2.10 2.10 (e)
Ratio of net investment
loss to average net
assets (%)* (1.67) (1.71) (1.41) (1.20) (1.50) (1.84) (e)
Portfolio turnover rate (%) 178.60 155.85 273.33 98.30 93.38 106.55
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.06 0.04 0.03 0.02 0.05 0.02
--------------------------------------------------------------------------------------------------------------------------------
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999.
(d) Not annualized.
(e) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
<TABLE>
----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
-------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CLASS S
----------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30
SIX MONTHS ENDED
------------------------------------------------------------------------------- MARCH 31, 2000
1995(a) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 8.60 9.77 11.44 15.73 9.02 11.26
---- ---- ---- ---- ---- ----
Net investment loss ($)* (0.06) (0.07) (0.04) (0.02) (0.05) (0.07)
Net realized and
unrealized gain (loss)
on investments ($) 1.23 1.74 5.18 (4.08) 2.66 7.51
---- ---- ---- ---- ---- ----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.17 1.67 5.14 (4.10) 2.61 7.44
---- ---- ---- ---- ---- ----
Distributions from
capital gains ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
TOTAL DISTRIBUTIONS ($) -- -- (0.85) (2.61) (0.37) --
---- ---- ---- ---- ---- ----
NET ASSET VALUE, END OF
PERIOD ($) 9.77 11.44 15.73 9.02 11.26 18.70
==== ===== ===== ==== ===== =====
Total return(b) (%) 13.60 17.09 48.34 (29.83) 29.59 66.07 (d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 12,380 13,311 7,008 4,958 6,432 11,346
Expense ratio (%)* 1.10 1.10 1.10 1.10 1.12 1.11 (e)
Expense ratio after
expense reductions (%)* 1.10 1.10 1.10 1.10 1.10 1.10 (e)
Ratio of net investment
loss to average net
assets (%)* (0.71) (0.71) (0.39) (0.19) (0.51) (0.85) (e)
Portfolio turnover rate (%) 178.60 155.85 273.33 98.30 93.38 106.55
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.06 0.04 0.03 0.02 0.05 0.02
-------------------------------------------------------------------------------------------------------------------------------
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999.
(d) Not annualized.
(e) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND
<TABLE>
----------------------------------------------------------------------------------------------------------------------------------
REPORT ON SPECIAL MEETING OF SHAREHOLDERS
----------------------------------------------------------------------------------------------------------------------------------
A Special Meeting of Shareholders of the State Street Research Emerging Growth Fund ("Fund"), a series of State Street Research
Capital Trust, was convened on February 25, 2000 ("Meeting"). The results of the Meeting are set forth below.
<CAPTION>
VOTES (MILLIONS OF SHARES)
----------------------------------------------------
ACTION ON PROPOSAL FOR AGAINST ABSTAIN
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CLASS A SHARES
The Fund's current Rule 12b-1 Distribution Plan was amended to increase the
amount that may be expended for the distribution of Class A shares ................ 1.3 0.2 0.1
CLASS B SHARES
The Fund's current Rule 12b-1 Distribution Plan was amended to increase the
amount that may be expended for the distribution of Class A shares ................ 1.8 0.3 0.1
CLASS B(1) SHARES
The Fund's current Rule 12b-1 Distribution Plan was amended to increase the
amount that may be expended for the distribution of Class A shares ................ 0.2 0.0 0.0
</TABLE>
<PAGE>
<TABLE>
STATE STREET RESEARCH EMERGING GROWTH FUND
-------------------------------------------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH CAPITAL TRUST
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FUND INFORMATION OFFICERS TRUSTEES
STATE STREET RESEARCH GERARD P. MAUS GERARD P. MAUS
EMERGING GROWTH FUND Chairman of the Board, Interim Chief Operating Officer,
One Financial Center President, Chief Executive Chief Financial Officer,
Boston, MA 02111 Officer and Treasurer Chief Administrative Officer and
Director, State Street Research
INVESTMENT ADVISER PETER C. BENNETT & Management Company
State Street Research & Vice President
Management Company BRUCE R. BOND
One Financial Center CATHY DUDLEY Former Chairman of the Board,
Boston, MA 02111 Vice President Chief Executive Officer and
President, PictureTel Corporation
DISTRIBUTOR LAWRENCE J. HAVERTY, JR.
State Street Research Vice President STEVE A. GARBAN
Investment Services, Inc. Former Senior Vice President
One Financial Center RUDOLPH K. KLUIBER for Finance and Operations and
Boston, MA 02111 Vice President Treasurer, The Pennsylvania
State University
SHAREHOLDER SERVICES TUCKER WALSH
State Street Research Vice President DEAN O. MORTON
Service Center Former Executive Vice
P.O. Box 8408 JAMES M. WEISS President, Chief Operating
Boston, MA 02266-8408 Vice President Officer and Director,
1-87-SSR-FUNDS (toll free) Hewlett-Packard Company
JOSEPH W. CANAVAN
CUSTODIAN Assistant Treasurer SUSAN M. PHILLIPS
State Street Bank and Dean, School of Business
Trust Company DOUGLAS A. ROMICH and Public Management,
225 Franklin Street Assistant Treasurer George Washington University;
Boston, MA 02110 former Member of the Board
FRANCIS J. MCNAMARA, III of Governors of the Federal
LEGAL COUNSEL Secretary and General Counsel Reserve System and Chairman
Goodwin, Procter & Hoar LLP and Commissioner of the
Exchange Place DARMAN A. WING Commodity Futures Trading
Boston, MA 02109 Assistant Secretary and Commission
Assistant General Counsel
TOBY ROSENBLATT
AMY L. SIMMONS President,
Assistant Secretary Founders Investments Ltd.;
President,
The Glen Ellen Company
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
</TABLE>
<PAGE>
STATE STREET RESEARCH EMERGING GROWTH FUND -------------------
One Financial Center Bulk Rate
Boston, MA 02111 U.S. Postage
PAID
Canton, MA
Permit #313
-------------------
QUESTIONS? COMMENTS?
E-MAIL us at:
[email protected]
INTERNET site:
www.ssrfunds.com
CALL us toll free at 1-87-SSR-FUNDS (1-877-773-8637 or
[hearing-impaired 1-800-676-7876]
[Chinese and Spanish-speaking 1-888-638-3193]
WRITE us at:
State Street Research
Service Center
P.O. Box 8408
Boston, MA 02266-8408
[logo] STATE STREET RESEARCH
(C)2000 State Street Research Investment Services, Inc., One Financial Center,
Boston, MA 02111
This report is prepared for the general information of current shareholders.
This publication must be preceded or accompanied by a current State Street
Research Emerging Growth Fund prospectus.
When used after June 30, 2000, 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 awards recognize 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: (exp0501)SSR-LD EM-1761-0500
<PAGE>
--------------------------------
STATE STREET RESEARCH
--------------------------------
AURORA FUND
--------------------------------
SEMIANNUAL REPORT
March 31, 2000
---------------------
WHAT'S INSIDE
---------------------
INVESTMENT UPDATE
About the fund,
economy and markets
FUND INFORMATION
Facts and figures
PLUS, COMPLETE PORTFOLIO HOLDINGS
AND FINANCIAL STATEMENTS
-------------------
[DALBAR LOGO]
-------------------
For Excellence
[logo] STATE STREET RESEARCH in
Service
<PAGE>
STATE STREET RESEARCH AURORA FUND
-------------------------------------------------------------------------------
INVESTMENT UPDATE
-------------------------------------------------------------------------------
INVESTMENT ENVIRONMENT
THE ECONOMY
o Gross domestic product, a measure of goods and services produced in the U.S.,
rose strongly in the fourth quarter of 1999, surging ahead at an annual- ized
rate of 7.3%. It slowed only slightly in the first quarter of 2000, expanding
at an annual rate of 5.4%.
o Inflation remained low, but showed signs of heating up. Core consumer
inflation, which excludes food and energy, advanced in March at the fastest
pace since the early 1990s. Wholesale prices continued to accelerate and wages
gave some cause for concern.
o In an effort to cool off the economy and keep inflation in check, the Federal
Reserve Board raised short-term interest rates three times during the period.
The federal funds rate ended the quarter at 6.0%, up from 5.25% six months
ago.
THE MARKETS
o The divergence between the broad U.S. stock market and the technology sector,
which continued into the new year, decreased dramatically toward the end of
the six- month period. The NASDAQ sunk well into bear market territory after
having been ahead by nearly 20% for the year early in March. In contrast, the
S&P 500 appeared to gain strength as investors sought shelter in old economy
blue chips.(1)
o After losing ground earlier in the six- month period, the bond market
strengthened during March as the yield on the benchmark 30-year U.S. Treasury
bond fell below 6.0% for the first time in more than a year. High-yield bonds,
which had strengthened late in 1998, stumbled as investors withdrew funds from
the sector and reallocated them to higher-performing technology stocks.
THE FUND
OVER THE PAST SIX MONTHS
o For the six months ended March 31, 2000, Class A shares of State Street
Research Aurora Fund returned 28.93% (does not reflect sales charge).(2) The
fund significantly outperformed the Russell 2000 Value Index, which gained
5.41% over the same period.(1)
o A relatively modest exposure to the highly volatile technology sector helped
boost performance. The fund also benefited from a relatively high cash
position, which resulted from a high number of takeovers during the second
quarter. In addition, a strong new issue market has made positive
contributions.
CURRENT STRATEGY
o Our strategy remains the same: invest in good, inexpensive, small companies
that we feel are trading below their true worth, but appear likely to come
back into favor. We continue to look at companies one at a time, using
fundamental analysis, or a "bottom-up" approach.
o We continue to seek opportunity in the IPO market.
March 31, 2000
(1) The S&P 500 (officially the "Standard and Poor's 500 Composite Stock Price
Index") is an unmanaged index of 500 U.S. stocks. The Russell 2000 Value
Index contains only those stocks within the complete Russell 2000 Index that
show less than average growth. The indices do not take transaction charges
into consideration. It is not possible to invest directly in the indices.
(2) 28.42% for Class B(1) shares; 28.47% for Class B shares; 28.47% for Class C
shares; 29.34% for Class S shares.
(3) Keep in mind that past performance is no guarantee of future results. The
fund's share price, yield and return will fluctuate, and you may have a gain
or loss when you sell your shares. All returns assume reinvestment of
capital gains distributions and income dividends at net asset value.
Performance reflects a maximum 5.75% Class A share front-end sales charge,
or 5% Class B(1) or Class B share or 1% Class C share contingent deferred
sales charge, where applicable.
(4) Class S shares, offered without a sales charge, are available through
certain employee benefit plans and special programs.
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, 2000)
-------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(at maximum applicable sales charge)(3)(4)
---------------------------------------------------------------------------
LIFE OF FUND
(since 2/13/95) 5 YEARS 1 YEAR
---------------------------------------------------------------------------
Class A 25.90% 26.08% 45.84%
---------------------------------------------------------------------------
Class B(1) 26.31% 26.44% 48.48%
---------------------------------------------------------------------------
Class B 26.39% 26.45% 48.55%
---------------------------------------------------------------------------
Class C 26.39% 26.61% 52.55%
---------------------------------------------------------------------------
Class S 27.72% 27.96% 55.47%
---------------------------------------------------------------------------
Performance results for the fund are increased by the voluntary reduction of
fund fees and expenses. Without subsidization, performance would have been
lower.
-------------------------------------------------------------------------
TOP 10 STOCK POSITIONS
(by percentage of net assets)
1 COHERENT Laser systems 3.3%
2 BORG-WARNER AUTOMOTIVE Automotive
parts/equipment 3.3%
3 HARRAH'S ENTERTAINMENT Casino hotels 2.3%
4 ACE Insurance 2.1%
5 INTERNATIONAL GAME TECHNOLOGY Casino
services 2.0%
6 BELL & HOWELL Computer services 1.7%
7 CORE CAPITAL Chemicals 1.6%
8 CAMBREX Publishing 1.6%
9 STEPAN CHEMICALS Chemicals 1.5%
10 HOLLINGER INTERNATIONAL Publishing 1.4%
These securities represent an aggregate of 20.8% 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)
AUTO PARTS 7.0%
CASINOS/GAMBLING HOTEL/MOTEL 6.8%
ELECTRONICS 4.8%
CHEMICALS 4.8%
COMMUNICATIONS TECHNOLOGY 4.1%
Total: 27.5%
<PAGE>
STATE STREET RESEARCH AURORA FUND
<TABLE>
-----------------------------------------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
-----------------------------------------------------------------------------------------------------------------
March 31, 2000 (Unaudited)
-----------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
SHARES (NOTE 1)
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS 84.3%
AUTOMOBILES & TRANSPORTATION 10.5%
AIR TRANSPORT 1.0%
Airnet Systems Inc.* ................................................................ 280,000 $ 1,365,000
America West Holdings Corp. Cl. B* .................................................. 100,000 1,550,000
Mesa Air Group, Inc.* ............................................................... 565,000 3,531,250
------------
6,446,250
------------
AUTOMOTIVE PARTS 7.0%
American Axle & Manufacturing Holdings Inc.* ........................................ 260,000 3,851,250
Borg-Warner Automotive Inc. ......................................................... 560,000 22,050,000
Dura Automotive Systems Inc.* ....................................................... 300,000 5,156,250
Federal-Mogul Corp. ................................................................. 420,000 7,008,750
Simpson Industries Inc. ............................................................. 818,000 8,026,625
Stoneridge Inc.* .................................................................... 39,500 454,250
------------
46,547,125
------------
MISCELLANEOUS TRANSPORTATION 0.2%
Tranz Rail Holdings Ltd. ADR ........................................................ 285,000 1,282,500
------------
RAILROAD EQUIPMENT 1.5%
ABC-NACO Inc.* ...................................................................... 158,500 1,386,875
Westinghouse Air Brake Co. .......................................................... 846,100 8,989,813
------------
10,376,688
------------
RAILROADS 0.3%
Genesee & Wyoming Inc. Cl. A* ....................................................... 140,000 2,170,000
------------
RECREATIONAL VEHICLES & BOATS 0.1%
National R.V. Holdings, Inc.* ....................................................... 40,000 632,500
------------
TIRES & RUBBER 0.4%
Titan International Inc. ............................................................ 383,900 2,759,281
------------
Total Automobiles & Transportation .................................................. 70,214,344
------------
CONSUMER DISCRETIONARY 18.1%
ADVERTISING AGENCIES 0.7%
Avenue A, Inc.* ..................................................................... 3,000 91,500
HA-LO Industries, Inc.* ............................................................. 130,000 1,023,750
Interep National Radio Sales, Inc. Cl. A* ........................................... 250,000 1,671,875
Lifeminders.com, Inc.* .............................................................. 26,000 1,764,750
Valueclick Inc. ..................................................................... 13,600 284,750
------------
4,836,625
------------
CASINOS/GAMBLING, HOTEL/MOTEL 6.8%
Anchor Gaming* ...................................................................... 200,000 7,587,500
Argosy Gaming Corp.* ................................................................ 200,000 2,850,000
Harrah's Entertainment Inc.* ........................................................ 840,000 15,592,500
International Game Technology Inc.* ................................................. 600,000 13,012,500
Mandalay Resort Group* .............................................................. 210,000 3,543,750
MGM Grand Inc.* ..................................................................... 102,688 2,464,512
------------
45,050,762
------------
COMMERCIAL SERVICES 2.7%
Bell & Howell Co.* .................................................................. 360,000 11,250,000
Fairmarket Inc.* .................................................................... 22,000 536,250
Harris Interactive Inc.* ............................................................ 30,000 195,000
Hotel Reservations Network Inc. Cl. A* .............................................. 30,000 532,500
Iron Mountain Inc.* ................................................................. 47,300 1,611,156
Lastminute.com PLC ADR* ............................................................. 6,900 131,963
Official Payments Corp.* ............................................................ 25,000 1,050,000
Right Management Consultants Inc.* .................................................. 100,000 918,750
Ritchie Brothers Auctioneers Inc.* .................................................. 65,000 1,657,500
Zap.com* ............................................................................ 5,378 34,957
------------
17,918,076
------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 0.3%
Artistdirect Inc. ................................................................... 2,900 22,113
Hearst Argyle Television Inc.* ...................................................... 39,667 927,216
Regent Communications Inc.* ......................................................... 30,000 371,250
Salem Communications Corp. Cl. A* ................................................... 40,000 477,500
------------
1,798,079
------------
CONSUMER ELECTRONICS 0.2%
Snowball.com Inc.* .................................................................. 117,200 1,179,325
------------
CONSUMER PRODUCTS 0.1%
Bacou USA Inc.* ..................................................................... 40,000 625,000
------------
CONSUMER SERVICES 0.7%
Amerco* ............................................................................. 180,000 3,307,500
Digitalthink Inc.* .................................................................. 8,000 315,125
Dollar Thrifty Automotive Group, Inc.* .............................................. 65,000 1,117,188
------------
4,739,813
------------
HOUSEHOLD FURNISHINGS 0.1%
Home Products International Inc.* ................................................... 48,000 534,000
------------
LEISURE TIME 2.0%
Championship Auto Racing Teams, Inc.* ............................................... 250,000 5,500,000
Rawlings Sporting Goods Co.* ........................................................ 30,000 135,000
Steinway Musical Instruments Inc.* .................................................. 395,000 7,430,937
------------
13,065,937
------------
PHOTOGRAPHY 0.2%
CPI Corp. ........................................................................... 72,000 1,678,500
------------
PRINTING & PUBLISHING 2.4%
A.H. Belo Corp. Cl. A ............................................................... 334,500 5,979,187
Hollinger International, Inc. Cl. A ................................................. 850,000 9,137,500
Pulitzer Inc.* ...................................................................... 24,200 989,175
------------
16,105,862
------------
RETAIL 1.5%
BJ's Wholesale Club Inc.* ........................................................... 40,000 1,545,000
Bradlees Inc.* ...................................................................... 300,000 1,856,250
Consolidated Stores Corp.* .......................................................... 200,000 2,275,000
Finlay Enterprises Inc.* ............................................................ 2,000 24,625
RDO Equipment Co. Cl. A* ............................................................ 5,000 28,750
Whitehall Jewellers Inc.* ........................................................... 145,000 3,407,500
Wilsons The Leather Experts Inc.* ................................................... 63,000 850,500
------------
9,987,625
------------
TEXTILE APPAREL MANUFACTURERS 0.4%
Oshkosh B' Gosh, Inc. Cl. A ......................................................... 160,000 2,880,000
------------
Total Consumer Discretionary ........................................................ 120,399,604
------------
CONSUMER STAPLES 1.1%
BEVERAGES 0.6%
Beringer Wine Estates Holdings, Inc. Cl. B* ......................................... 100,000 3,587,500
Golden State Vintners Inc. Cl. B* ................................................... 85,000 382,500
------------
3,970,000
------------
FOODS 0.5%
Bush Boake Allen Inc.* .............................................................. 100,000 2,781,250
International Home Foods Inc.* ...................................................... 50,000 800,000
------------
3,581,250
------------
Total Consumer Staples .............................................................. 7,551,250
------------
FINANCIAL SERVICES 8.0%
BANKS & SAVINGS & LOAN 1.8%
PBOC Holdings Inc.* ................................................................. 531,200 4,780,800
Richmond County Financial Corp.* .................................................... 230,500 3,716,812
Staten Islands Bancorp Inc. ......................................................... 180,000 3,082,500
------------
11,580,112
------------
FINANCIAL DATA PROCESSING SERVICES & SYSTEMS 0.7%
Fair, Issac & Company Inc. .......................................................... 120,000 4,665,000
------------
INSURANCE 2.9%
Ace Ltd. ............................................................................ 620,000 14,182,500
Partnerre Ltd.* ..................................................................... 60,000 2,208,750
PAULA Financial ..................................................................... 96,500 355,844
Renaissance Re Holdings Ltd.* ....................................................... 25,000 1,021,875
Travelers Property Casualty Corp. Cl. A ............................................. 40,500 1,670,625
------------
19,439,594
------------
REAL ESTATE INVESTMENT TRUSTS 2.6%
Beacon Capital Partners Inc.*+ ...................................................... 120,000 2,460,000
Core Capital Inc. Cl. A* ............................................................ 300,000 4,545,000
Core Capital Inc. Series A Pfd.*+ ................................................... 300,000 6,000,000
Entertainment Properties Trust ...................................................... 330,000 4,351,875
------------
17,356,875
------------
RENTAL & LEASING SERVICES: COMMERCIAL 0.0%
Linc Capital Inc.* .................................................................. 7,500 22,969
------------
SECURITIES BROKERAGE & SERVICES 0.0%
Noel Liquidating Trust* ............................................................. 102,000 73,440
------------
Total Financial Services ............................................................ 53,137,990
------------
HEALTH CARE 2.4%
DRUGS & BIOTECHNOLOGY 1.2%
Aclara Biosciences Inc.* ............................................................ 23,800 938,613
Aviron Corp.* ....................................................................... 90,000 2,503,125
Biomarin Pharmaceutical Inc. ........................................................ 20,000 710,000
Diversa Corp.* ...................................................................... 5,000 235,000
Intermune Pharmaceuticals Inc. ...................................................... 32,800 653,950
Intrabiotics Pharmaceuticals Inc. ................................................... 65,700 985,500
Lunar Corp.* ........................................................................ 60,000 720,000
Medarex, Inc.* ...................................................................... 19,700 989,925
------------
7,736,113
------------
HEALTH CARE SERVICES 0.2%
DIANON Systems Inc.* ................................................................ 76,900 1,581,256
------------
HOSPITAL SUPPLY 1.0%
Aradigm Corp.* ...................................................................... 40,000 835,000
Closure Medical Corp.* .............................................................. 20,000 525,000
CONMED Corp.* ....................................................................... 120,000 3,007,500
Igen International, Inc.* ........................................................... 25,000 625,000
Invivo Corp.* ....................................................................... 164,900 1,978,800
------------
6,971,300
------------
Total Health Care ................................................................... 16,288,669
------------
MATERIALS & PROCESSING 11.8%
AGRICULTURE 1.2%
Cadiz Inc.* ......................................................................... 28,000 238,000
Corn Products International Inc. .................................................... 200,000 4,812,500
Zapata Corp.* ....................................................................... 600,000 2,850,000
------------
7,900,500
------------
BUILDING & CONSTRUCTION 0.5%
Centex Construction Products Inc. ................................................... 14,500 380,625
Nortek Inc.* ........................................................................ 126,500 2,798,812
------------
3,179,437
------------
CHEMICALS 4.8%
American Pacific Corp.* ............................................................. 510,000 3,601,875
Cambrex Corp. ....................................................................... 240,000 10,440,000
Geon Co. ............................................................................ 147,000 3,160,500
Lilly Industrial Inc. Cl. A ......................................................... 340,000 4,207,500
Omnova Solutions Inc. ............................................................... 60,000 337,500
Stepan Chemical Co. ................................................................. 460,000 9,976,250
------------
31,723,625
------------
CONTAINERS & PACKAGING 0.9%
Intertape Polymer Group Inc. ........................................................ 16,300 185,413
Ivex Packaging Corp.* ............................................................... 90,000 680,625
Packaging Corp. of America* ......................................................... 340,000 3,570,000
U.S. Can Corp.* ..................................................................... 85,000 1,652,187
------------
6,088,225
------------
FERTILIZERS 1.4%
Agrium Inc. ......................................................................... 1,100,000 8,868,750
Mississippi Chemical Corp. .......................................................... 29,400 200,287
------------
9,069,037
------------
MISCELLANEOUS MATERIALS & PROCESSING 2.2%
Chase Industries Inc.* .............................................................. 100,400 878,500
Hawk Corp. Cl. A* ................................................................... 298,700 1,568,175
Intermet Corp. ...................................................................... 415,000 3,786,875
N.N. Ball & Roller Inc. ............................................................. 95,000 1,033,125
Penn Engineering & Manufacturing Corp. .............................................. 160,000 3,920,000
Ryerson Tull, Inc. .................................................................. 120,000 1,860,000
Wolverine Tube Inc.* ................................................................ 148,000 1,896,250
------------
14,942,925
------------
NON-FERROUS METALS 0.2%
Lindberg Corp. ...................................................................... 142,800 874,650
Packaged Ice, Inc.* ................................................................. 170,000 765,000
------------
1,639,650
------------
PAPER & FOREST PRODUCTS 0.1%
Rock-Tenn Co. Cl. A ................................................................. 74,000 721,500
------------
REAL ESTATE & CONSTRUCTION 0.2%
Castle & Cooke Inc.* ................................................................ 79,600 1,338,275
------------
TEXTILE & PRODUCTS 0.3%
Carlyle Industries Inc.* ............................................................ 100,000 76,563
Polymer Group Inc. .................................................................. 135,000 1,721,250
------------
1,797,813
------------
Total Materials & Processing ........................................................ 78,400,987
------------
OTHER 0.8%
MULTI-SECTOR 0.8%
CBI Distribution Trust* ............................................................. 102,000 102,000
Commercial Intertech Corp. .......................................................... 85,000 1,673,437
Gencorp Inc. ........................................................................ 60,000 465,000
Gentek, Inc. ........................................................................ 229,747 3,216,458
------------
Total Other ......................................................................... 5,456,895
------------
OTHER ENERGY 3.4%
OFFSHORE DRILLING 0.1%
TMBR/Sharp Drilling Inc.* ........................................................... 70,000 857,500
------------
OIL & GAS PRODUCERS 3.0%
Basin Exploration Inc.* ............................................................. 190,500 2,845,594
Cabot Oil & Gas Corp. Cl. A ......................................................... 55,000 993,438
Maxx Petroleum Ltd.* ................................................................ 475,000 1,365,625
Ocean Energy Inc.* .................................................................. 540,000 7,762,500
Plains Resources Inc.* .............................................................. 207,500 2,593,750
Ranger Oil Ltd.* .................................................................... 537,500 2,082,812
Titan Exploration Inc.* ............................................................. 469,300 2,346,500
------------
19,990,219
------------
OIL WELL EQUIPMENT & SERVICES 0.3%
NewPark Resources Inc.* ............................................................. 100,000 800,000
Stolt Comex Seaway SA* .............................................................. 48,000 672,000
Stolt Comex Seaway SA ADR* .......................................................... 24,000 249,000
Syntroleum Corp.* ................................................................... 10,000 233,750
------------
1,954,750
------------
Total Other Energy .................................................................. 22,802,469
------------
PRODUCER DURABLES 9.5%
AEROSPACE 1.4%
Curtiss-Wright Corp. ................................................................ 100,000 3,662,500
Doncasters PLC ADR* ................................................................. 51,100 443,931
Ladish Inc.* ........................................................................ 600,000 3,750,000
Primex Technologies, Inc. ........................................................... 60,000 1,278,750
------------
9,135,181
------------
INDUSTRIAL PRODUCTS 0.7%
Denison International PLC ADR* ...................................................... 376,700 4,897,100
------------
MACHINE TOOLS 0.0%
Thermadyne Holdings Corp.* .......................................................... 13,599 268,580
------------
MACHINERY 3.2%
CTB International Corp.* ............................................................ 87,500 601,563
Howmet International Inc.* .......................................................... 385,351 7,779,273
JLG Industries Inc. ................................................................. 650,000 5,931,250
Specialty Equipment Companies Inc.* ................................................. 335,100 6,953,325
------------
21,265,411
------------
MISCELLANEOUS EQUIPMENT 0.7%
Thomas & Betts Corp. ................................................................ 157,800 4,457,850
------------
MISCELLANEOUS PRODUCER DURABLES 0.4%
BE Aerospace Inc.* .................................................................. 450,000 2,643,750
------------
OFFICE FURNITURE & BUSINESS EQUIPMENT 0.2%
Steelcase Inc. Cl. A ................................................................ 100,000 1,200,000
------------
PRODUCTION TECHNOLOGY EQUIPMENT 1.0%
CVC Inc.* ........................................................................... 65,000 2,063,750
GSI Lumonics Inc.* .................................................................. 167,297 2,864,961
InTEST Corp.* ....................................................................... 40,000 837,500
Therma-Wave Inc.* ................................................................... 20,000 680,000
------------
6,446,211
------------
TELECOMMUNICATIONS EQUIPMENT 1.9%
Belden Inc. ......................................................................... 180,000 4,950,000
L-3 Communications Holding Corp.* ................................................... 130,000 6,760,000
Plantronics Inc.* ................................................................... 13,000 1,211,438
------------
12,921,438
------------
Total Producer Durables ............................................................. 63,235,521
------------
TECHNOLOGY 15.3%
COMMUNICATIONS TECHNOLOGY 4.1%
Arrowpoint Communications Inc. ...................................................... 5,900 699,058
Breezecom Ltd. ...................................................................... 23,700 885,788
Completel Europe NV ................................................................. 11,000 219,313
Finistar Corp.* ..................................................................... 10,000 1,465,156
Foundry Networks, Inc.* ............................................................. 25,000 3,593,750
Inet Technologies, Inc.* ............................................................ 30,000 1,588,125
Interwave Communications International, Ltd.* ....................................... 10,000 301,250
P-Com, Inc.* ........................................................................ 50,000 925,000
Pairgain Technologies Inc.* ......................................................... 150,000 2,803,125
RADVision Ltd.* ..................................................................... 9,000 471,375
Savvis Communications Corp.* ........................................................ 25,500 449,438
Spectrasite Holdings, Inc.* ......................................................... 135,000 3,822,187
Telocity Inc. ....................................................................... 136,500 1,689,187
Universal Access Inc.* .............................................................. 15,000 502,500
UTStarcom, Inc.* .................................................................... 70,000 5,464,375
Verio Inc.* ......................................................................... 50,000 2,253,125
------------
27,132,752
------------
COMPUTER SOFTWARE 2.2%
Blaze Software Inc. ................................................................. 3,200 91,200
CacheFlow Inc.* ..................................................................... 6,600 782,100
Calico Commerce Inc.* ............................................................... 25,000 818,750
Centra Software Inc.* ............................................................... 10,000 210,000
Digitas Inc.* ....................................................................... 8,600 210,700
DRS Technologies Inc.* .............................................................. 56,500 561,469
Eidos PLC ADR* ...................................................................... 50,000 318,750
Eloquent, Inc.* ..................................................................... 15,000 305,625
Eprise Corp. ........................................................................ 8,000 126,000
Etinuum Inc. ........................................................................ 7,700 73,150
Extensity, Inc.* .................................................................... 20,000 960,000
Firstworld Communications Cl. B* .................................................... 20,000 407,500
GRIC Communications, Inc.* .......................................................... 26,000 877,500
H.T.E. Inc.* ........................................................................ 200,000 643,750
Intertrust Technologies Corp.* ...................................................... 20,000 850,000
MatrixOne Inc.* ..................................................................... 10,000 399,375
Nanometrics Inc.* ................................................................... 35,000 1,706,250
Niku Corp.* ......................................................................... 10,000 473,125
OTG Software Inc.* .................................................................. 5,700 229,781
Red Hat, Inc.* ...................................................................... 20,000 847,500
Register.com, Inc.* ................................................................. 16,000 1,112,000
Selectica Inc.* ..................................................................... 7,100 626,575
Versata, Inc.* ...................................................................... 27,600 1,661,175
VIA Networks Inc.* .................................................................. 23,200 616,250
Websense Inc. ....................................................................... 3,200 153,800
------------
15,062,325
------------
COMPUTER TECHNOLOGY 1.9%
Exabyte Corp.* ...................................................................... 220,000 1,636,250
Hutchinson Technology Inc.* ......................................................... 250,000 4,406,250
Imation Corp.* ...................................................................... 265,000 7,072,187
------------
13,114,687
------------
ELECTRONICS 4.8%
BEI Electronics Inc.* ............................................................... 215,000 376,250
BEI Technologies Inc. ............................................................... 455,000 8,047,812
Coherent Inc.* ...................................................................... 425,000 22,100,000
II-VI, Inc.* ........................................................................ 30,000 1,140,000
Viasystems Group Inc. ............................................................... 8,700 134,850
------------
31,798,912
------------
ELECTRONICS: SEMI-CONDUCTORS/COMPONENTS 2.3%
Channell Commercial Corp.* .......................................................... 180,000 2,475,000
Chartered Semiconductor Manufacturing ADR* .......................................... 20,000 1,885,000
Infineon Technologies AG ADR* ....................................................... 92,600 5,318,713
Insilicon Inc. ...................................................................... 2,100 33,206
Mattson Technology Inc.* ............................................................ 50,000 2,131,250
Metron Technology NV* ............................................................... 20,000 420,000
PSI Technologies Holdings Inc. ADR* ................................................. 36,000 598,500
Sawtek Inc.* ........................................................................ 10,000 525,625
Silicon Image Inc.* ................................................................. 10,000 716,250
Silicon Laboratories Inc. ........................................................... 4,600 407,100
ST Assembly Test Services Ltd. ADR* ................................................. 15,000 727,500
------------
15,238,144
------------
Total Technology .................................................................... 102,346,820
------------
UTILITIES 2.8%
GAS DISTRIBUTION 1.0%
Western Gas Resources Inc. .......................................................... 410,000 6,508,750
------------
TELECOMMUNICATIONS 1.8%
Alamosa PCS Holdings, Inc.* ......................................................... 30,000 1,132,500
Allied Riser Communications Corp.* .................................................. 90,900 3,158,775
Carrier 1 International S.A. ADR* ................................................... 70,000 1,356,250
Cypress Communications Inc.* ........................................................ 40,000 980,000
GT Group Telecom Inc. Cl. B* ........................................................ 15,000 313,125
KPNQwest N.V. Cl. C* ................................................................ 25,000 1,356,250
Nextel Partners Inc. Cl. A* ......................................................... 24,000 696,000
Tritel Inc. Cl. A* .................................................................. 15,000 573,750
Triton PCS Holdings Inc.* ........................................................... 25,000 1,493,750
Z-tel Technologies, Inc.* ........................................................... 25,000 1,050,000
------------
12,110,400
------------
Total Utilities ..................................................................... 18,619,150
------------
NON-U.S. EQUITIES 0.6%
Fred Olsen Energy ASA ADR* .......................................................... 54,100 442,208
Jean Coutu Group Inc. Cl. A* ........................................................ 150,000 2,813,145
World Online International* ......................................................... 34,900 780,322
------------
Total Non-U.S. Equities ............................................................. 4,035,675
------------
Total Common Stocks (Cost $508,812,164) ............................................. 562,489,374
------------
SHORT-TERM INVESTMENTS 3.2%
AIM Liquid Assets Portfolio ......................................................... 21,596,228 21,596,228
------------
Total Short-Term Investments (Cost $21,596,228) ..................................... 21,596,228
------------
<CAPTION>
-----------------------------------------------------------------------------------------------------------------
PRINCIPAL MATURITY
AMOUNT DATE
-----------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER 16.6%
<S> <C> <C> <C>
American Express Credit Corp., 6.06% ............... $ 7,416,000 4/03/2000 $ 7,416,000
American Express Credit Corp., 5.86% ............... 10,405,000 4/04/2000 10,405,000
Citicorp, 6.04% .................................... 14,086,000 4/07/2000 14,086,000
Ford Motor Credit Co., 6.08% ....................... 5,518,000 4/07/2000 5,518,000
General Electric Capital Corp., 6.00% .............. 2,898,000 4/07/2000 2,898,000
General Electric Capital Corp., 5.96% .............. 8,084,000 4/12/2000 8,084,000
General Electric Capital Corp., 6.03% .............. 13,914,000 4/17/2000 13,914,000
Merrill Lynch & Company Inc., 5.85% ................ 10,000,000 4/04/2000 9,995,125
Merrill Lynch & Company Inc., 6.05% ................ 18,900,000 4/12/2000 18,865,177
Norwest Financial Inc., 6.00% ...................... 19,489,000 4/20/2000 19,489,000
------------
Total Commercial Paper (Cost $110,670,302) .................................................... 110,670,302
------------
REPURCHASE AGREEMENTS 0.1%
State Street Bank and Trust Co., dated
3/31/00, repurchase proceeds $392,114,
collateralized by $385,000 U.S. Treasury Note,
7.50%, due 2/15/05, market value $405,213 .......... 392,000 4/03/2000 392,000
------------
Total Repurchase Agreements (Cost $392,000) ................................................... 392,000
------------
Total Investments (Cost $641,470,694) - 104.2% ................................................ 695,147,904
Cash and Other Assets, Less Liabilities - (4.2%) .............................................. (28,216,624)
------------
Net Assets - 100.0% ........................................................................... $666,931,280
============
Federal Income Tax Information:
At March 31, 2000, the net unrealized appreciation of investments based on cost for
Federal income tax purposes of $641,652,350 was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value
over tax cost ............................................................................... $109,407,125
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax
cost over value ............................................................................. (55,911,571)
------------
$ 53,495,554
============
-----------------------------------------------------------------------------------------------------------------
* Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of foreign securities.
+ Security restricted in accordance with Rule 144A under the Securities Act of 1933, which allows for the resale
of such securities among certain qualified buyers. The total cost and market value of Rule 144A securities owned
at March 31, 2000 were $9,150,000 and $8,460,000 (1.27% of net assets), respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH AURORA FUND
-------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
-------------------------------------------------------------------------------
March 31, 2000 (Unaudited)
ASSETS
Investments, at value (Cost $641,470,694) (Note 1) ............. $695,147,904
Cash ........................................................... 126
Receivable for fund shares sold ................................ 5,900,664
Dividends and interest receivable .............................. 599,804
Receivable for securities sold ................................. 68,666
Other assets ................................................... 176
------------
701,717,340
LIABILITIES
Payable for collateral received on securities loaned ........... 21,596,228
Payable for securities purchased ............................... 7,170,210
Payable for fund shares redeemed ............................... 4,783,684
Accrued management fee (Note 2) ................................ 507,744
Accrued distribution and service fees (Note 4) ................. 414,453
Accrued transfer agent and shareholder services (Note 2) ....... 273,473
Accrued trustees' fees (Note 2) ................................ 21,598
Other accrued expenses ......................................... 18,670
------------
34,786,060
------------
NET ASSETS $666,931,280
============
Net Assets consist of:
Unrealized appreciation of investments ....................... $ 53,677,210
Accumulated net realized gain ................................ 74,704,444
Paid-in capital .............................................. 538,549,626
------------
$666,931,280
============
Net Asset Value and redemption price per share of Class A shares
($272,161,058 / 11,105,627 shares) ........................... $24.51
======
Maximum Offering Price per share of Class A shares
($24.51 / .9425) ............................................. $26.01
======
Net Asset Value and offering price per share of
Class B(1) shares ($53,371,330 / 2,262,139 shares)* .......... $23.59
======
Net Asset Value and offering price per share of
Class B shares ($234,068,516 / 9,918,931 shares)* ............ $23.60
======
Net Asset Value and offering price per share of
Class C shares ($105,448,536 / 4,468,984 shares)* ............ $23.60
======
Net Asset Value, offering price and redemption
price per share of Class S shares
($1,881,840 / 75,694 shares) ................................. $24.86
======
-------------------------------------------------------------------------------
* Redemption price per share for Class B(1), Class B and Class C is equal to
net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH AURORA FUND
-------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
-------------------------------------------------------------------------------
For the six months ended March 31, 2000 (Unaudited)
INVESTMENT INCOME
Dividends, net of foreign taxes of $9,444 ...................... $ 2,396,055
Interest (Note 1) .............................................. 2,262,001
------------
4,658,056
EXPENSES
Management fee (Note 2) ........................................ 2,271,561
Transfer agent and shareholder services (Note 2) ............... 555,793
Service fee - Class A (Note 4) ................................. 247,139
Distribution and service fees - Class B(1) (Note 4) ............ 175,128
Distribution and service fees - Class B (Note 4) ............... 1,083,306
Distribution and service fees - Class C (Note 4) ............... 417,638
Custodian fee .................................................. 75,061
Registration fees .............................................. 43,439
Reports to shareholders ........................................ 38,608
Trustees' fees (Note 2) ........................................ 16,988
Audit fee ...................................................... 13,144
Legal fees ..................................................... 9,556
Amortization of organization costs (Note 1) .................... 7,327
Miscellaneous .................................................. 20,189
------------
4,974,877
Fees paid indirectly (Note 2) .................................. (13,801)
------------
4,961,076
------------
Net investment loss ............................................ (303,020)
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments (Notes 1 and 3) ............... 75,226,083
Net unrealized appreciation of investments ..................... 56,366,020
------------
Net gain on investments ........................................ 131,592,103
------------
Net increase in net assets resulting from
operations ................................................... $131,289,083
============
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH AURORA FUND
-------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
-------------------------------------------------------------------------------
SIX MONTHS ENDED
YEAR ENDED MARCH 31, 2000
SEPTEMBER 30, 1999 (UNAUDITED)
-------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment loss ......................... $ (852,674) $ (303,020)
Net realized gain on investments ............ 1,843,995 75,226,083
Net unrealized appreciation of investments .. 78,160,879 56,366,020
------------ ------------
Net increase resulting from
operations ................................ 79,152,200 131,289,083
------------ ------------
Net increase (decrease) from fund share
transactions (Note 5) ..................... (33,298,752) 101,153,176
------------ ------------
Total increase in net assets ................ 45,853,448 232,442,259
NET ASSETS
Beginning of period ......................... 388,635,573 434,489,021
------------ ------------
End of period ............................... $434,489,021 $666,931,280
============ ============
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH AURORA FUND
-------------------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
March 31, 2000
NOTE 1
State Street Research Aurora 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 consists
presently of three separate funds: State Street Research Aurora Fund, State
Street Research Emerging Growth Fund and State Street Research Mid-Cap Growth
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 five classes of shares. Class A shares are
subject to an initial sales charge of up to 5.75% and an annual service fee
equal to 0.25% of average daily net assets. On January 1, 1999, the Fund began
offering Class B(1) shares and continued offering Class B shares but only to
current shareholders. Class B(1) and Class B shares pay annual distribution
and service fees of 1.00% and both classes automatically convert into Class A
shares (which pay lower ongoing expenses) at the end of eight years. Class B
(1) shares are subject to a contingent deferred sales charge on certain
redemptions made within six years of purchase. Class B shares are subject to a
contingent deferred sales charge on certain redemptions made within five years
of purchase. Class C shares are subject to a contingent deferred sales charge
of 1.00% on any shares redeemed within one year of their purchase. Class C
shares also pay annual distribution and service fees of 1.00%. Class S shares
are only offered through certain retirement accounts, advisory accounts of
State Street Research & Management Company (the "Adviser"), an indirect wholly
owned subsidiary of Metropolitan Life Insurance Company ("Metropolitan"), and
special programs. No sales charge is imposed at the time of purchase or
redemption of Class S shares. Class S shares do not pay any distribution or
service fees. 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 plans 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 closing prices 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,
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 gains 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 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.
F. SECURITIES LENDING
The Fund may seek additional income by lending portfolio securities to
qualified institutions. The Fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the Fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the Fund will bear the
loss. At March 31, 2000, the value of the securities loaned and the value of
collateral were $28,709,531 and $29,183,651 (including $21,596,228 of cash
collateral), respectively. During the six months ended March 31, 2000, income
from securities lending amounted to $152,555 and is included in interest
income.
NOTE 2
The Trust and the Adviser have entered into an agreement under which the
Adviser earns monthly fees 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, 2000, the fees pursuant to such
agreement amounted to $2,271,561.
State Street Research Service Center, 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, 2000, the amount of
such expenses was $303,353.
The Fund has entered into an arrangement with its transfer agent whereby
credits realized as a result of uninvested cash balances were used to reduce a
portion of the Fund's expense. During the six months ended March 31, 2000, the
Fund's transfer agent fees were reduced by $13,801 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$16,988 during the six months ended March 31, 2000.
NOTE 3
For the six months ended March 31, 2000, exclusive of short-term investments
and U.S. Government obligations, purchases and sales of securities aggregated
$333,897,214 and $292,844,676, respectively.
NOTE 4
The Trust has adopted plans of distribution pursuant to Rule 12b-1 (the
"plans") under the Investment Company Act of 1940. Under the plans, the Fund
pays annual service fees to the Distributor at a rate of 0.25% of average
daily net assets for Class A, Class B(1), Class B and Class C shares. In
addition, the Fund pays annual distribution fees of 0.75% of average daily net
assets for Class B(1), Class B and Class C 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, 2000, fees pursuant to such plans amounted to $247,139, $175,128,
$1,083,306 and $417,638 for Class A, Class B(1), Class B and Class C 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 $65,613 and $85,766, respectively, on sales of Class A shares of
the Fund during the six months ended March 31, 2000, and that MetLife
Securities, Inc. earned commissions aggregating $153,103, $601 and $339 on
sales of Class B(1), Class B and Class C shares, and that the Distributor
collected contingent deferred sales charges aggregating $24,556, $375,599 and
$4,569 on redemptions of Class B(1), Class B and Class C 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
YEAR ENDED MARCH 31, 2000
SEPTEMBER 30, 1999 (UNAUDITED)
------------------------------ ------------------------------
CLASS A SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 5,556,940 $ 95,959,404 4,973,307 $112,373,706
Shares redeemed ................ (5,359,184) (91,802,702) (1,559,677) (34,877,347)
----------- ------------ ---------- ------------
Net increase ................... 197,756 $ 4,156,702 3,413,630 $ 77,496,359
=========== ============ ========== ============
<CAPTION>
CLASS B(1)(a) SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 1,174,063 $ 20,609,640 1,246,034 $ 26,500,627
Shares redeemed ................ (63,385) (1,087,830) (94,573) (1,998,721)
----------- ------------ ---------- ------------
Net increase ................... 1,110,678 $ 19,521,810 1,151,461 $ 24,501,906
=========== ============ ========== ============
<CAPTION>
CLASS B SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 2,191,760 $ 34,769,493 539,125 $ 11,447,692
Shares redeemed ................ (5,338,722) (86,005,542) (1,433,087) (29,800,416)
----------- ------------ ---------- ------------
Net decrease ................... (3,146,962) $(51,236,049) (893,962) $(18,352,724)
=========== ============ ========== ============
<CAPTION>
CLASS C SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 1,879,939 $ 31,150,039 1,323,999 $ 28,608,724
Shares redeemed ................ (2,272,628) (36,944,284) (544,955) (11,411,411)
----------- ------------ ---------- ------------
Net increase (decrease) ........ (392,689) $ (5,794,245) 779,044 $ 17,197,313
=========== ============ ========== ============
<CAPTION>
CLASS S SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 57,888 $ 904,426 18,207 $ 396,278
Shares redeemed ................ (44,784) (851,396) (3,707) (85,956)
----------- ------------ ---------- ------------
Net increase ................... 13,104 $ 53,030 14,500 $ 310,322
=========== ============ ========== ============
-------------------------------------------------------------------------------------------------------
(a) January 1, 1999 (commencement of share class) to September 30, 1999.
</TABLE>
<PAGE>
STATE STREET RESEARCH AURORA FUND
<TABLE>
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
-------------------------------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period:
<CAPTION>
CLASS A
---------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------- MARCH 31, 2000
1995(c) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 9.55 11.13 15.14 20.71 15.47 19.02
----- ----- ----- ----- ----- -----
Net investment income
(loss) ($)* 0.07 (0.06) 0.03 0.02 0.05 0.04
Net realized and
unrealized gain
(loss) on
investments ($) 1.51 4.66 9.02 (5.03) 3.50 5.45
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.58 4.60 9.05 (5.01) 3.55 5.49
----- ----- ----- ----- ----- -----
Dividends from net
investment income ($) -- (0.09) -- -- -- --
Distributions from
capital gains ($) -- (0.50) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) -- (0.59) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF
PERIOD ($) 11.13 15.14 20.71 15.47 19.02 24.51
===== ===== ===== ===== ===== =====
Total return(b) (%) 16.54 (e) 43.63 72.70 (24.42) 22.88 28.93 (e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 5,782 1,110 157,853 115,973 146,295 272,161
Expense ratio (%)* 1.45 (f) 1.45 1.34 1.39 1.46 1.39 (f)
Expense ratio after
expense reductions
(%)* 1.45 (f) 1.45 1.34 1.39 1.45 1.39 (f)
Ratio of net investment
income (loss) to
average net assets
(%)* 1.05 (f) (0.56) 0.17 0.09 0.30 0.36 (f)
Portfolio turnover rate (%) 47.34 124.79 25.03 67.80 65.13 63.45
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.15 0.32 0.02 -- -- --
<CAPTION>
CLASS B(1)
------------------------------------------
SIX MONTHS ENDED
PERIOD ENDED MARCH 31, 2000
SEPTEMBER 30, 1999(a)(d) (UNAUDITED)(a)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 16.17 18.38
----- -----
Net investment loss ($) (0.03) (0.04)
Net realized and unrealized gain on investments ($) 2.24 5.25
----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) 2.21 5.21
----- -----
NET ASSET VALUE, END OF PERIOD ($) 18.38(e) 23.59(e)
===== =====
Total return(b) (%) 13.61(e) 28.42(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 20,419 53,371
Expense ratio (%) 2.10(f) 2.14(f)
Expense ratio after expense reductions (%) 2.09(f) 2.14(f)
Ratio of net investment loss to average net assets (%) (0.24)(f) (0.38)(f)
Portfolio turnover rate (%) 65.13 63.45
---------------------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charge. Total return would be lower if the Distributor and its
affiliates had not voluntarily reduced a portion of the Fund's expenses.
(c) February 13, 1995 (commencement of operations) to September 30, 1995.
(d) January 1, 1999 (commencement of share class) to September 30, 1999.
(e) Not annualized.
(f) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH AURORA FUND
<TABLE>
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
-------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CLASS B
--------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------ MARCH 31, 2000
1995(c) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 9.55 11.08 15.02 20.33 15.07 18.38
----- ----- ----- ----- ----- -----
Net investment income
(loss) ($)* 0.02 (0.17) (0.09) (0.13) (0.08) (0.04)
Net realized and
unrealized gain
(loss) on
investments ($) 1.51 4.65 8.88 (4.90) 3.39 5.26
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.53 4.48 8.79 (5.03) 3.31 5.22
----- ----- ----- ----- ----- -----
Dividend from net
investment income ($) -- (0.04) -- -- -- --
Distributions from
capital gains ($) -- (0.50) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) -- (0.54) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF
PERIOD ($) 11.08 15.02 20.33 15.07 18.38 23.60
===== ===== ===== ===== ===== =====
Total return(b) (%) 16.02 (e) 42.52 71.34 (24.98) 21.90 28.47 (e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 116 165 235,938 210,408 198,783 234,069
Expense ratio (%)* 2.20 (f) 2.20 2.08 2.15 2.21 2.14 (f)
Expense ratio after
expense reductions (%)* 2.20 (f) 2.20 2.08 2.15 2.20 2.14 (f)
Ratio of net investment
income (loss) to
average net assets (%)* 0.32 (f) (1.38) (0.55) (0.68) (0.46) (0.40)(f)
Portfolio turnover
rate (%) 47.34 124.79 25.03 67.80 65.13 63.45
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.15 0.32 0.01 -- -- --
<CAPTION>
CLASS C
-----------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------------ MARCH 31, 2000
1995(c) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 9.55 11.08 15.02 20.32 15.06 18.38
----- ----- ----- ----- ----- -----
Net investment income
(loss) ($)* 0.02 (0.17) (0.09) (0.13) (0.08) (0.04)
Net realized and
unrealized gain
(loss) on
investments ($) 1.51 4.65 8.87 (4.90) 3.40 5.26
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.53 4.48 8.78 (5.03) 3.32 5.22
----- ----- ----- ----- ----- -----
Dividends from net
investment income ($) -- (0.04) -- -- -- --
Distributions from
capital gains ($) -- (0.50) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) -- (0.54) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF
PERIOD ($) 11.08 15.02 20.32 15.06 18.38 23.60
===== ===== ===== ===== ===== =====
Total return(b) (%) 16.02 (e) 42.52 71.26 (25.00) 21.98 28.47 (e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 116 165 67,121 61,504 67,816 105,449
Expense ratio (%)* 2.20 (f) 2.20 2.09 2.15 2.21 2.14 (f)
Expense ratio after
expense reductions (%)* 2.20 (f) 2.20 2.09 2.15 2.20 2.14 (f)
Ratio of net investment
income (loss) to
average net assets (%)* 0.32 (f) (1.38) (0.58) (0.68) (0.45) (0.39)(f)
Portfolio turnover
rate (%) 47.34 124.79 25.03 67.80 65.13 63.45
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.15 0.32 0.01 -- -- --
-------------------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charge. Total return would be lower if the Distributor and its
affiliates had not voluntarily reduced a portion of the fund's expenses.
(c) February 13, 1995 (commencement of operations) to September 30, 1995.
(d) January 1, 1999 (commencement of share class) to September 30, 1999.
(e) Not annualized.
(f) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH AURORA FUND
<TABLE>
-------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
-------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CLASS S
--------------------------------------------------------------------------------------------------
YEARS ENDED SEPTEMBER 30 SIX MONTHS ENDED
------------------------------------------------------------------------ MARCH 31, 2000
1995(c) 1996(a) 1997(a) 1998(a) 1999(a) (UNAUDITED)(a)
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD ($) 9.55 11.15 15.18 20.83 15.60 19.23
----- ----- ----- ----- ----- -----
Net investment income
(loss) ($)* 0.09 (0.06) (0.00) 0.10 0.10 0.07
Net realized and
unrealized gain
(loss) on
investments ($) 1.51 4.70 9.13 (5.10) 3.53 5.56
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT
OPERATIONS ($) 1.60 4.64 9.13 (5.00) 3.63 5.63
----- ----- ----- ----- ----- -----
Dividends from net
investment income ($) -- (0.11) -- -- -- --
Distributions from
capital gains ($) -- (0.50) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) -- (0.61) (3.48) (0.23) -- --
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF
PERIOD ($) 11.15 15.18 20.83 15.60 19.23 24.86
===== ===== ===== ===== ===== =====
Total return(b) (%) 16.75 (e) 43.95 73.10 (24.23) 23.21 29.34 (e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of
period ($ thousands) 117 7,752 14,542 750 1,177 1,882
Expense ratio (%)* 1.20 (f) 1.20 1.16 1.04 1.21 1.14 (f)
Expense ratio after
expense reductions (%)* 1.20 (f) 1.20 1.16 1.04 1.20 1.14 (f)
Ratio of net investment
income (loss) to
average net assets (%)* 1.32 (f) (0.43) (0.02) 0.53 0.54 0.61 (f)
Portfolio turnover
rate (%) 47.34 124.79 25.03 67.80 65.13 63.45
*Reflects voluntary
reduction of expenses
per share of these
amounts ($) 0.15 0.32 0.12 -- -- --
------------------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charge. Total return would be lower if the Distributor and its
affiliates had not voluntarily reduced a portion of the fund's expenses.
(c) February 13, 1995 (commencement of operations) to September 30, 1995.
(d) January 1, 1999 (commencement of share class) to September 30, 1999.
(e) Not annualized.
(f) Annualized.
</TABLE>
<PAGE>
STATE STREET RESEARCH AURORA FUND
-------------------------------------------------------------------------------
REPORT ON SPECIAL MEETING OF SHAREHOLDERS
-------------------------------------------------------------------------------
A Special Meeting of Shareholders of the State Street Research Aurora Fund
("Fund"), a series of State Street Research Capital Trust, was convened on
February 25, 2000 ("Meeting"). The meeting has been adjourned for the Class B
and Class B(1) shares. The results of the Meeting for Class A shares are set
forth below.
VOTES (MILLIONS OF SHARES)
----------------------------
ACTION ON PROPOSAL FOR AGAINST ABSTAIN
-------------------------------------------------------------------------------
CLASS A SHARES
The Fund's current Rule 12b-1 Distribution Plan
was amended to increase the amount that
may be expended for the distribution of
Class A shares ................................ 3.0 0.9 0.1
<PAGE>
<TABLE>
STATE STREET RESEARCH AURORA FUND
---------------------------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH CAPITAL TRUST
---------------------------------------------------------------------------------------------------
<S> <C> <C>
FUND INFORMATION OFFICERS TRUSTEES
STATE STREET RESEARCH GERARD P. MAUS GERARD P. MAUS
AURORA FUND Chairman of the Board, Interim Chief Operating Officer,
One Financial Center President, Chief Executive Chief Financial Officer,
Boston, MA 02111 Officer and Treasurer Chief Administrative Officer
and Director, State Street
INVESTMENT ADVISER PETER C. BENNETT Research & Management Company
State Street Research & Vice President
Management Company BRUCE R. BOND
One Financial Center CATHY DUDLEY Former Chairman of the Board,
Boston, MA 02111 Vice President Chief Executive Officer and
President, PictureTel Corporation
DISTRIBUTOR LAWRENCE J. HAVERTY, JR.
State Street Research Vice President STEVE A. GARBAN
Investment Services, Inc. Former Senior Vice President
One Financial Center RUDOLPH K. KLUIBER for Finance and Operations and
Boston, MA 02111 Vice President Treasurer, The Pennsylvania
State University
SHAREHOLDER SERVICES TUCKER WALSH
State Street Research Vice President DEAN O. MORTON
Service Center Former Executive Vice
P.O. Box 8408 JAMES M. WEISS President, Chief Operating
Boston, MA 02266-8408 Vice President Officer and Director,
1-87-SSR-FUNDS (toll free) Hewlett-Packard Company
JOSEPH W. CANAVAN
CUSTODIAN Assistant Treasurer SUSAN M. PHILLIPS
State Street Bank and Dean, School of Business
Trust Company DOUGLAS A. ROMICH and Public Management,
225 Franklin Street Assistant Treasurer George Washington University;
Boston, MA 02110 former Member of the Board
FRANCIS J. MCNAMARA, III of Governors of the Federal
LEGAL COUNSEL Secretary and General Counsel Reserve System and Chairman
Goodwin, Procter & Hoar LLP and Commissioner of the
Exchange Place DARMAN A. WING Commodity Futures Trading
Boston, MA 02109 Assistant Secretary and Commission
Assistant General Counsel
TOBY ROSENBLATT
AMY L. SIMMONS President,
Assistant Secretary Founders Investments Ltd.;
President,
The Glen Ellen Company
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
</TABLE>
<PAGE>
STATE STREET RESEARCH AURORA FUND -------------------
One Financial Center Bulk Rate
Boston, MA 02111 U.S. Postage
PAID
Canton, MA
Permit #313
-------------------
QUESTIONS? COMMENTS?
E-MAIL us at:
[email protected]
INTERNET site:
www.ssrfunds.com
CALL us toll free at 1-87-SSR-FUNDS (1-877-773-8637 or
[hearing-impaired 1-800-676-7876]
[Chinese and Spanish-speaking 1-888-638-3193]
WRITE us at:
State Street Research
Service Center
P.O. Box 8408
Boston, MA 02266-8408
[logo] STATE STREET RESEARCH
(C)2000 State Street Research Investment Services, Inc., One Financial Center,
Boston, MA 02111
This report is prepared for the general information of current shareholders.
This publication must be preceded or accompanied by a current State Street
Research Aurora Fund prospectus.
When used after June 30, 2000, 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 awards recognize 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: (exp0501)SSR-LD AR-1760-0500
