<PAGE>
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STATE STREET RESEARCH
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INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
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ANNUAL REPORT
February 28, 1999
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WHAT'S INSIDE
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INVESTMENT UPDATE
About the Fund,
economy and markets
FUND INFORMATION
Facts and figures
PLUS, COMPLETE PORTFOLIO HOLDINGS
AND FINANCIAL STATEMENTS
[DALBAR LOGO]
For Excellence
in
Shareholder Service
STATE STREET RESEARCH FUNDS
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
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INVESTMENT UPDATE
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INVESTMENT ENVIRONMENT
THE ECONOMY
o The last three months saw a continuation of robust economic growth in the
United States. Inflation remained very low, but strong growth figures pushed
up long-term interest rates from their recent lows. Even so, the U.S. housing
market remained solid, consumer confidence was high, and retail sales were
strong.
o While international markets generally matter less to the individual companies
that the Fund tends to invest in, events overseas have important implications
for the U.S. economy. The economic turmoil in Asia and Latin America has
benefited our economy by lowering prices paid for imports, which has helped
keep inflation and interest rates low. However, demand for U.S. products from
abroad has declined which has hurt exporting companies and placed downward
pressure on corporate earnings.
THE MARKETS
o The S&P 500 gained 6.76% over the three months ended February 28, 1999.(1)
The Dow Jones Industrial Average flirted with the 10,000 mark early in
January, but backed off. Much of the market's gains were concentrated in a
handful of large, high- profile consumer companies and technology upstarts.
o The Russell 2000 Value Index, a measure of small capitalization value stocks,
returned -6.09% for the three months ended February 28, 1999.(1) Small
capitalization stocks continued to be out of favor, as investors paid premium
prices for the perceived stability of larger stocks.
THE FUND
SINCE THE FUND'S INCEPTION
o Since the Fund's inception on November 30, 1998, Class A shares returned
-5.09% vs. -6.09% for the Russell 2000 Value Index.
o Our quantitative stock selection process helped us to discover positive
contributors, including Safeguard Scientifics, a venture capital firm that
provides capital to technology companies and brings them public. Another
strong performer was RichFood Holdings, a food company which successfully
expanded its retail operations after many years of specializing in
wholesaling.
o Performance was hurt by First American Financial and LandAmerica Financial
Group, providers of real estate title insurance services, as investors
worried that the housing market was peaking. The stock price of United
Stationers, wholesaler of office products, fell on concerns about slower
sales growth.
CURRENT STRATEGY
o The Fund will continue to look for stocks with attractive valuations and
growth prospects, using a quantitative approach.
February 28, 1999
(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 (a
small company index) that show below average growth. The indices do not take
transaction charges into consideration. It is not possible to invest
directly in the indices.
(2) -5.30% for Class B(1) shares; -5.30% for Class B shares; -5.30% for Class C
shares; -5.09% 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 gain distributions and income dividends at net asset value. Class S
shares, offered without a sales charge, are available through certain
employee benefit plans and special programs.
(4) Performance reflects maximum 5.75% Class A share front-end sales charge or
5% Class B(1) and Class B shares or 1% Class C share contingent deferred
sales charges, where applicable.
(5) Aggregate total returns; not annualized.
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 February 28, 1999)
- --------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
(at maximum applicable sales charge)(3)(4)(5)
- -------------------------------------------------------------
LIFE OF FUND
(since 11/30/98)
Class A -10.55%
- -------------------------------------------------------------
Class B(1) -10.04%
- -------------------------------------------------------------
Class B -10.04%
- -------------------------------------------------------------
Class C - 6.25%
- -------------------------------------------------------------
Class S - 5.09%
- -------------------------------------------------------------
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 ALASKA AIR GROUP Airline 1.1%
2 FELCOR LODGING Real estate investment trust 1.0%
3 TECUMSEH PRODUCTS Refrigeration products 1.0%
4 INFORMIX Database software 1.0%
5 HOSPITALITY PROPERTIES Real estate investment trust 1.0%
6 SFX ENTERTAINMENT Event producer 1.0%
7 NEW PLAN EXCEL REALTY Real estate investment trust 1.0%
8 ZALE Jewelry stores 1.0%
9 BALL Containers 1.0%
10 HSB GROUP Insurance, engineering 0.9%
These securities represent an aggregate of 10.0% 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)
REAL ESTATE INVESTMENT TRUSTS 12.8%
BANKS & SAVINGS & LOANS 9.1%
INSURANCE 6.4%
ELECTRIAL 6.3%
RETAIL 5.0%
Total: 39.6%
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
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INVESTMENT PORTFOLIO
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February 28, 1999
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS 97.4%
AUTOMOBILES & TRANSPORTATION 6.1%
AIR TRANSPORT 2.1%
Alaska Air Group Inc.* ........................... 1,000 $ 50,687
America West Holdings Corp. Cl. B* ............... 1,700 28,900
Amtran Inc.* ..................................... 300 6,638
Mesa Air Group, Inc.* ............................ 1,000 6,813
Transport World Airlines, Inc.* .................. 1,500 8,906
------------
101,944
------------
AUTOMOTIVE PARTS 1.6%
A.O. Smith Corp. ................................. 600 12,788
Arvin Industries Inc. ............................ 900 32,625
MascoTech, Inc. .................................. 1,500 22,687
Standard Motor Products, Inc. Cl. A .............. 300 6,431
------------
74,531
------------
MISCELLANEOUS TRANSPORTATION 0.6%
Avondale Industries Inc.* ........................ 300 9,262
Greyhound Lines Inc.* ............................ 2,600 16,575
------------
25,837
------------
RECREATIONAL VEHICLES & BOATS 0.3%
Thor Industries, Inc.* ........................... 300 7,425
Winnebago Industries, Inc. ....................... 600 8,250
------------
15,675
------------
TIRES & RUBBER 0.1%
Standard Products Co. ............................ 400 6,000
------------
TRUCKERS 1.4%
Consolidated Freightways Corp.* .................. 600 8,700
J.B. Hunt Transport Services Inc.* ............... 800 18,800
Landstar Systems Inc.* ........................... 400 15,087
Roadway Express Inc. ............................. 500 7,688
Yellow Corp. ..................................... 1,000 17,875
------------
68,150
------------
Total Automobiles & Transportation ............... 292,137
------------
CONSUMER DISCRETIONARY 12.9%
ADVERTISING AGENCIES 0.4%
ADVO Inc.* ....................................... 1,000 20,000
------------
COMMERCIAL SERVICES 1.2%
Borg Warner Security Corp.* ...................... 400 7,275
Midas, Inc. ...................................... 500 15,812
Novacare Employee Services, Inc.* ................ 1,300 7,922
United Stationers Inc.* .......................... 1,600 29,300
------------
60,309
------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 1.2%
GC Companies, Inc.* .............................. 200 6,875
SFX Entertainment, Inc. Cl. A* ................... 800 48,900
------------
55,775
------------
CONSUMER PRODUCTS 0.7%
Gibson Greetings, Inc. ........................... 700 5,797
L.S. Starrett Co. Cl. A .......................... 300 8,944
Toro Co. ......................................... 600 17,925
------------
32,666
------------
CONSUMER SERVICES 0.1%
Amerco* .......................................... 300 6,675
------------
HOUSEHOLD FURNISHINGS 1.0%
Bassett Furniture Industries Inc. ................ 300 6,450
Enesco Group Inc. ................................ 700 11,594
Haverty Furniture Companies, Inc.* ............... 400 9,000
Mikasa, Inc.* .................................... 700 6,869
Springs Industries, Inc. ......................... 400 13,300
------------
47,213
------------
LEISURE TIME 0.7%
Bally Total Fitness Holding Corp.* ............... 700 15,750
Musicland Stores Inc.* ........................... 1,500 17,719
------------
33,469
------------
PHOTOGRAPHY 0.2%
CPI Corp. ........................................ 400 8,750
------------
RESTAURANTS 0.5%
Advantica Restaurant Group Inc.* ................. 1,200 6,000
Bob Evans Farms, Inc. ............................ 900 19,406
------------
25,406
------------
RETAIL 5.0%
Ames Department Stores Inc.* ..................... 700 21,000
Blair Corp. ...................................... 400 7,675
Burlington Coat Factory Warehouse Corp. .......... 500 6,438
Cato Corp. Cl. A ................................. 600 5,700
Charming Shoppes, Inc. ........................... 3,900 13,162
Elder-Beerman Stores Corp.* ...................... 500 3,953
Fingerhut Companies, Inc. ........................ 1,500 36,844
Handleman Co. .................................... 1,400 18,112
Hanover Direct Inc.* ............................. 3,200 10,000
Homebase Inc.* ................................... 1,400 7,263
Michaels Stores Inc.* ............................ 900 15,412
Shopko Stores, Inc.* ............................. 800 25,200
Spiegel, Inc. Cl. A .............................. 2,000 14,250
Syms Corp. ....................................... 800 6,350
Zale Corp.* ...................................... 1,400 46,375
------------
237,734
------------
SHOES 0.3%
Brown Group Inc. ................................. 400 6,250
Justin Industries Inc.* .......................... 600 6,413
------------
12,663
------------
TEXTILE APPAREL MANUFACTURERS 1.6%
Guess Inc.* ...................................... 2,200 15,125
Kellwood Co. ..................................... 1,000 25,562
Oshkosh B' Gosh, Inc. Cl. A ...................... 300 5,700
Oxford Industries, Inc. .......................... 300 6,975
Russell Corp. .................................... 1,100 21,450
------------
74,812
------------
Total Consumer Discretionary ..................... 615,472
------------
CONSUMER STAPLES 3.8%
DRUG & GROCERY STORE CHAINS 1.6%
Great Atlantic & Pacific Tea Inc. ................ 500 15,781
Ingles Markets Inc. Cl. A* ....................... 700 8,356
Longs Drug Stores Corp. .......................... 1,200 43,425
Southland Corp.* ................................. 4,400 7,288
------------
74,850
------------
FOODS 1.4%
Chiquita Brands International Inc. ............... 1,300 11,212
International Multifoods Corp. ................... 600 12,975
RichFood Holdings, Inc. .......................... 1,500 35,625
Riviana Foods, Inc. .............................. 400 8,600
------------
68,412
------------
TOBACCO 0.8%
Universal Corp. .................................. 1,300 35,344
------------
Total Consumer Staples ........................... 178,606
------------
FINANCIAL SERVICES 31.7%
BANKS & SAVINGS & LOAN 9.1%
Andover Bancorp Inc. ............................. 300 9,000
BancorpSouth Inc. ................................ 1,600 26,900
BancWest Corp. ................................... 900 35,269
Bank Plus Corp.* ................................. 2,000 8,750
Bay View Capital Corp. ........................... 800 15,950
Brenton Banks Inc. ............................... 500 7,813
Brookline Bancorp Inc. ........................... 700 8,138
Chemical Financial Corp. ......................... 375 11,578
Community Trust Bancorp Inc.* .................... 400 9,362
Farmers Capital Bank Corp.* ...................... 200 6,688
First Citizens Bancshares Inc. Cl. A* ............ 200 15,975
First Commonwealth Financial Corp.* .............. 600 12,937
First Indiana Corp.* ............................. 400 7,775
First Midwest Bancorp Inc. ....................... 1,000 36,562
First Western Bancorp Inc. ....................... 500 15,500
FirstFed Financial Corp.* ........................ 900 15,244
Jefferson Savings Bancorp, Inc.* ................. 600 8,363
Local Financial Corp.* ........................... 1,000 10,125
Mahoning National Bancorp Inc.* .................. 300 8,175
Michigan Finance Corp.* .......................... 200 6,100
MidAmerica Bancorp* .............................. 300 8,231
One Valley Bancorp, Inc. ......................... 1,100 35,750
PBOC Holdings, Inc.* ............................. 800 7,700
Peoples Holding Co. .............................. 300 10,012
Riggs National Corp. ............................. 700 12,950
The Trust Co. of New Jersey* ..................... 600 14,550
Trustco Bank Corp.* .............................. 1,100 29,700
UMB Financial Corp.* ............................. 700 30,712
USBancorp, Inc. .................................. 400 7,050
------------
432,859
------------
INSURANCE 6.4%
AmerUs Life Holdings Inc. ........................ 700 14,700
Argonaut Group Inc. .............................. 600 14,888
Arthur J. Gallagher & Co.* ....................... 600 28,650
Chicago Title Corp.* ............................. 600 21,037
Commerce Group Inc.* ............................. 800 21,400
Crawford & Co. Cl. B ............................. 1,000 11,375
Foremost Corp. ................................... 800 15,400
Harleysville Group Inc.* ......................... 400 8,200
Hilb Rogal & Hamilton Co.* ....................... 400 6,925
HSB Group, Inc. .................................. 1,200 44,400
Kansas City Life Insurance Co. ................... 100 8,275
Liberty Corp.* ................................... 300 15,131
Midland Co.* ..................................... 300 7,163
National Western Life Insurance Co. Cl. A* ....... 100 10,600
NYMAGIC, Inc. .................................... 400 5,925
PMA Capital Corp. Cl. A .......................... 400 7,975
Selective Insurance Group Inc.* .................. 800 14,575
State Auto Financial Corp.* ...................... 700 8,181
TIG Holdings Inc. ................................ 1,900 30,400
United Fire Casualty Co.* ........................ 200 5,775
Zenith National Insurance Corp.* ................. 300 6,919
------------
307,894
------------
MISCELLANEOUS FINANCIAL 1.0%
Advest Group Inc. ................................ 300 5,963
Fidelity National Financial Inc.* ................ 880 17,600
LandAmerica Financial Group Inc.* ................ 700 25,156
United Community Financial Corp. ................. 2,000 875
------------
49,594
------------
REAL ESTATE INVESTMENT TRUSTS 12.8%
American Health Properties Inc. .................. 700 13,344
Anthracite Capital Inc. .......................... 1,100 8,044
Bradley Real Estate Inc. ......................... 800 15,300
Cabot Industrial Trust ........................... 800 15,200
Capital Automotive REIT .......................... 600 7,125
CBL & Associates Properties Inc. ................. 1,000 24,937
Commercial Net Lease Realty Inc.* ................ 1,100 13,612
CRIIMI MAE, Inc.* ................................ 2,100 6,169
Dynex Capital Inc.* .............................. 1,700 5,313
Entertainment Properties Trust ................... 400 6,850
Essex Property Trust, Inc. ....................... 500 14,125
FelCor Lodging Trust Inc.* ....................... 2,100 49,612
Franchise Finance Corp. of America ............... 2,000 44,000
Health Care REIT, Inc.* .......................... 1,100 25,506
Hospitality Properties Trust ..................... 1,900 48,925
Imperial Credit Commercial Mortgage Investment Cor 1,600 14,500
IRT Property Co.* ................................ 800 7,250
Irvine Apartment Communities Inc.* ............... 600 19,725
LaSalle Hotel Properties Trust* .................. 600 7,163
Laser Mortgage Management Inc.* .................. 1,400 6,563
LTC Properties, Inc. ............................. 900 11,250
MGI Properties, Inc. ............................. 600 16,837
National Health Investors, Inc. .................. 900 22,950
New Plan Excel Realty Trust Inc. ................. 2,300 47,725
Omega Healthcare Investors, Inc. ................. 800 18,500
Pacific Gulf Properties, Inc. .................... 800 16,100
Parkway Properties, Inc. ......................... 300 7,913
Pennsylvania Real Estate Investment Trust ........ 400 7,625
Prentiss Properties Trust ........................ 1,100 22,000
Prime Group Realty Trust ......................... 500 6,875
Storage Trust Realty* ............................ 400 8,600
Storage USA, Inc. ................................ 800 22,650
Thornburg Mortgage Asset Corp.* .................. 900 8,494
TriNet Corporate Realty Trust, Inc. .............. 900 22,669
Westfield America Inc.* .......................... 900 15,862
------------
609,313
------------
RENTAL & LEASING SERVICES: COMMERCIAL 1.1%
Amplicon Inc. .................................... 500 6,250
Avis Rent A Car, Inc.* ........................... 800 18,350
Leasing Solutions Inc.* .......................... 2,100 7,613
Xtra Corp. ....................................... 500 19,937
------------
52,150
------------
SECURITIES BROKERAGE & SERVICES 1.3%
Dain Rauscher Corp.* ............................. 400 12,650
Everen Capital Corp.* ............................ 300 6,450
First American Financial Corp. ................... 1,500 35,156
Freedom Securities Corp. ......................... 500 7,625
------------
61,881
------------
Total Financial Services ......................... 1,513,691
------------
HEALTH CARE 3.9%
DRUGS & BIOTECHNOLOGY 1.6%
Amerisource Health Corp. Cl. A* .................. 200 14,925
Bindley Western Industries Inc. .................. 1,000 26,313
Priority Healthcare Corp. Cl. B* ................. 448 17,444
West Pharmaceutical Services Inc.* ............... 500 16,531
------------
75,213
------------
HEALTH CARE FACILITIES 0.8%
Laboratory Corporation of America Holdings* ...... 6,100 11,056
Mariner Post Acute Network Inc.* ................. 1,900 4,156
National Healthcare Corp.* ....................... 500 5,188
Quest Diagnostics, Inc.* ......................... 900 19,237
------------
39,637
------------
HEALTH CARE SERVICES 0.9%
Coventry Health Care Inc.* ....................... 2,200 23,581
Magellan Health Services Inc.* ................... 900 6,131
Mid Atlantic Medical Services, Inc. .............. 1,800 14,063
------------
43,775
------------
HOSPITAL SUPPLY 0.6%
Bio Rad Laboratories, Inc. Cl. A* ................ 400 8,000
Datascope Corp.* ................................. 400 10,450
Owens & Minor Inc. ............................... 500 6,375
Sunrise Medical, Inc.* ........................... 600 4,350
------------
29,175
------------
Total Health Care ................................ 187,800
------------
INTEGRATED OILS 0.8%
INTEGRATED DOMESTIC 0.6%
Equitable Resources, Inc. ........................ 500 12,937
Holly Corp. ...................................... 100 1,256
Pennzoil-Quaker State Co. ........................ 984 12,239
------------
26,432
------------
INTEGRATED INTERNATIONAL 0.2%
Tesoro Petroleum Corp.* .......................... 1,200 9,600
------------
Total Integrated Oils ............................ 36,032
------------
MATERIALS & PROCESSING 12.4%
AGRICULTURE 0.2%
Agribrands International, Inc.* .................. 300 9,300
------------
BUILDING & CONSTRUCTION 0.4%
Ameron International Corp. ....................... 200 7,850
Thomas Industries, Inc.* ......................... 500 8,531
------------
16,381
------------
CHEMICALS 3.3%
A. Schulman, Inc. ................................ 1,200 19,800
Carbide/Graphite Group, Inc.* .................... 600 7,275
Chemed Corp. ..................................... 200 5,912
Dexter Corp. ..................................... 900 24,975
Ethyl Corp. ...................................... 2,800 13,650
Geon Co. ......................................... 700 15,969
H.B. Fuller Co. .................................. 600 25,425
M.A. Hanna Co. ................................... 1,900 20,900
NCH Corp. ........................................ 100 5,050
NL Industries, Inc. .............................. 600 5,813
Penford Corp. .................................... 500 7,125
Stepan Chemical Co.* ............................. 300 7,087
------------
158,981
------------
CONTAINERS & PACKAGING 0.2%
Apogee Enterprises, Inc. ......................... 1,300 11,375
------------
DIVERSIFIED MANUFACTURING 1.5%
ACX Technologies Inc.* ........................... 600 7,463
Ball Corp. ....................................... 1,100 46,062
Maxxam Inc.* ..................................... 200 11,700
Primex Technologies, Inc. ........................ 200 8,312
------------
73,537
------------
ENGINEERING & CONTRACTING SERVICES 0.6%
Aqua Alliance Inc. Cl. A* ........................ 8,200 11,788
Jacobs Engineering Group, Inc.* .................. 400 15,825
------------
27,613
------------
FOREST PRODUCTS 1.4%
Longview Fibre Co. ............................... 2,400 27,150
Potlatch Corp. ................................... 1,200 41,625
------------
68,775
------------
MISCELLANEOUS MATERIALS & PROCESSING 0.6%
American Business Products Inc. .................. 700 12,644
Quanex Corp. ..................................... 400 7,000
Roanoke Electric Steel Corp. ..................... 600 8,137
------------
27,781
------------
NON-FERROUS METALS 0.9%
A.M. Castle & Co.* ............................... 400 5,450
ASARCO Inc. ...................................... 1,400 19,775
Brush Wellman, Inc. .............................. 500 7,188
Metals USA, Inc.* ................................ 900 8,212
------------
40,625
------------
OFFICE SUPPLIES 0.1%
Hunt Corp. ....................................... 600 6,113
------------
PAPER & FOREST PRODUCTS 0.5%
Chesapeake Corp. ................................. 800 25,200
------------
REAL ESTATE & CONSTRUCTION 0.5%
Castle & Cooke Inc.* ............................. 500 7,750
Webb Corp. ....................................... 600 13,500
------------
21,250
------------
STEEL 1.8%
Alaska Steel Holding Corp. ....................... 1,400 30,537
Armco, Inc.* ..................................... 4,100 20,500
Rouge Industries, Inc. Cl. A ..................... 1,000 9,938
Ryerson Tull, Inc. ............................... 900 16,425
WHX Corp.* ....................................... 800 6,950
------------
84,350
------------
TEXTILE & PRODUCTS 0.4%
Cone Mills Corp.* ................................ 1,800 8,775
Foamex International Inc.* ....................... 700 6,738
Galey & Lord Inc.* ............................... 700 3,281
------------
18,794
------------
Total Materials & Processing ..................... 590,075
------------
OTHER 1.5%
MULTI-SECTOR 1.5%
Commercial Intertech Corp. ....................... 400 4,900
Eastern Enterprises .............................. 800 30,750
Gencorp Inc. ..................................... 1,000 20,062
Sequa Corp. Cl. A* ............................... 200 9,413
Valhi, Inc.* ..................................... 600 6,900
------------
72,025
------------
Total Other ...................................... 72,025
------------
OTHER ENERGY 2.2%
GAS PIPELINES 0.4%
Aquila Gas Pipeline Corp. ........................ 900 7,875
North Carolina Natural Gas Corp. ................. 200 6,400
Transmontaigne, Inc.* ............................ 600 6,525
------------
20,800
------------
MISCELLANEOUS ENERGY 0.2%
Arch Coal, Inc. .................................. 900 9,844
------------
OFFSHORE DRILLING 0.4%
Seacor Smit, Inc.* ............................... 500 19,688
------------
OIL & GAS PRODUCERS 0.6%
Benton Oil & Gas Co.* ............................ 2,100 6,431
Frontier Oil Corp.* .............................. 1,400 7,350
Santa Fe Energy Resources, Inc. .................. 2,900 15,225
------------
29,006
------------
OIL WELL EQUIPMENT & SERVICES 0.6%
IRI International Corp.* ......................... 1,800 5,625
Oceaneering International, Inc.* ................. 600 6,000
RPC, Inc. ........................................ 1,000 6,125
Zapata Corp.* .................................... 1,000 9,625
------------
27,375
------------
Total Other Energy ............................... 106,713
------------
PRODUCER DURABLES 5.5%
AEROSPACE 0.1%
Ladish Inc.* ..................................... 800 5,650
------------
ELECTRICAL EQUIPMENT & COMPONENTS 0.7%
Ametek Aerospace Products Inc. ................... 1,500 25,406
Genlyte Group Inc.* .............................. 400 7,238
------------
32,644
------------
HOMEBUILDING 1.7%
M.D.C. Holdings Inc.* ............................ 800 14,250
NVR Inc.* ........................................ 400 17,200
Pulte Corp. ...................................... 1,200 28,875
Ryland Group, Inc. ............................... 600 15,300
Skyline Corp. .................................... 200 5,850
------------
81,475
------------
INDUSTRIAL PRODUCTS 0.3%
Mine Safety Appliances Co.* ...................... 100 6,475
Standex International Corp. ...................... 300 7,106
------------
13,581
------------
MACHINERY 1.7%
Briggs & Stratton Corp. .......................... 200 9,763
Nacco Industries, Inc. Cl. A ..................... 200 17,600
Stewart & Stevenson Services, Inc. ............... 800 6,700
Tecumseh Products Co. Cl. A* ..................... 1,000 49,250
------------
83,313
------------
MISCELLANEOUS EQUIPMENT 0.3%
Allied Products Corp.* ........................... 1,100 5,431
Sauer, Inc.* ..................................... 900 6,694
------------
12,125
------------
OFFICE FURNITURE & BUSINESS EQUIPMENT 0.7%
Anacomp Inc.* .................................... 600 8,550
Kimball International Inc. Cl. B* ................ 1,600 26,000
------------
34,550
------------
Total Producer Durables .......................... 263,338
------------
TECHNOLOGY 5.7%
COMMUNICATIONS TECHNOLOGY 0.4%
Anixter International, Inc.* ..................... 1,000 12,562
Network Equipment Technologies, Inc.* ............ 800 7,150
------------
19,712
------------
COMPUTER SOFTWARE 1.0%
Informix Corp.* .................................. 5,600 49,000
------------
COMPUTER TECHNOLOGY 1.8%
DecisionOne Holdings Corp.* ...................... 1,100 2,681
Intergraph Corp.* ................................ 1,300 7,191
Komag Inc.* ...................................... 2,200 15,400
Merisel, Inc.* ................................... 2,900 4,894
Safeguard Scientifics, Inc.* ..................... 1,100 41,112
Telxon Corp. ..................................... 600 3,825
Verio Inc.* ...................................... 400 11,350
------------
86,453
------------
ELECTRONICS 1.7%
Alliant Technology Systems, Inc.* ................ 400 31,675
Avid Technology, Inc.* ........................... 700 20,519
Cubic Corp.* ..................................... 400 7,350
Gerber Scientific, Inc. .......................... 600 11,175
Newport News Shipbuilding, Inc. .................. 400 11,575
------------
82,294
------------
ELECTRONICS: SEMI-CONDUCTORS/COMPONENTS 0.8%
MEMC Electronic Materials, Inc.* ................. 900 6,525
Oak Technology, Inc.* ............................ 2,100 6,891
VLSI Technology, Inc.* ........................... 1,400 21,700
------------
35,116
------------
Total Technology ................................. 272,575
------------
UTILITIES 10.9%
ELECTRICAL 6.3%
Central Hudson Gas & Electric Corp. .............. 700 25,375
CMP Group Inc. ................................... 1,600 27,000
Commonwealth Energy Systems* ..................... 700 25,288
Eastern Utilities Associates ..................... 600 17,063
El Paso Electric Co.* ............................ 1,600 11,500
Hawaiian Electric Industries, Inc. ............... 1,100 38,362
Madison Gas & Electric Co.* ...................... 600 12,075
Nevada Power Co. ................................. 1,700 40,694
Orange & Rockland Utilities, Inc. ................ 500 28,062
Rochester Gas & Electric Corp. ................... 1,500 39,187
TNP Enterprises, Inc.* ........................... 400 11,700
United Illuminating Co.* ......................... 600 26,625
------------
302,931
------------
GAS DISTRIBUTION 4.3%
AGL Resources Inc.* .............................. 2,000 38,125
Colonial Gas Co.* ................................ 200 6,862
Connecticut Energy Corp.* ........................ 300 7,819
Laclede Gas Co.* ................................. 600 13,800
Peoples Energy Corp. ............................. 1,200 40,725
South Jersey Industries, Inc.* ................... 300 7,294
Southwest Gas Corp.* ............................. 1,200 34,500
UGI Corp. ........................................ 400 8,125
Washington Gas Light Co. ......................... 1,600 38,300
Yankee Energy Systems, Inc. ...................... 300 7,331
------------
202,881
------------
WATER 0.3%
Aquarion Co. ..................................... 200 6,763
California Water Service Group ................... 300 7,350
------------
14,113
------------
Total Utilities .................................. 519,925
------------
Total Common Stocks and Investments
(Cost $4,928,204) - 97.4% ...................... 4,648,389
Cash and Other Assets, Less Liabilities - 2.6% ... 124,076
------------
Net Assets - 100.0% .............................. $ 4,772,465
============
Federal Income Tax Information:
At February 28, 1999, the net unrealized depreciation of
investments based on cost for Federal income tax purposes of
$4,928,204 was as follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost ............ $ 216,445
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value ............ (496,260)
-----------
$ (279,815)
===========
- -----------------------------------------------------------------------------
*Nonincome-producing securities.
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- ------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- ------------------------------------------------------------------------------
February 28, 1999
ASSETS
Investments, at value (Cost $4,928,204) (Note 1) ............ $4,648,389
Cash ........................................................ 84,078
Receivable from Distributor (Note 3) ........................ 102,250
Dividends and interest receivable ........................... 6,205
Other assets ................................................ 16,000
----------
4,856,922
LIABILITIES
Accrued custodian fee ....................................... 23,420
Accrued transfer agent and shareholder services
(Note 2) .................................................. 15,900
Accrued audit fee ........................................... 15,586
Accrued management fee (Note 2) ............................. 6,613
Accrued distribution and service fees (Note 5) .............. 2,680
Accrued trustees' fees (Note 2) ............................. 2,480
Other accrued expenses ...................................... 17,778
----------
84,457
----------
NET ASSETS $4,772,465
==========
Net Assets consist of:
Undistributed net investment income ....................... $ 23,322
Unrealized depreciation of investments .................... (279,815)
Accumulated net realized gain ............................. 235
Paid-in capital ........................................... 5,028,723
----------
$4,772,465
==========
Net Asset Value and redemption price per share of
Class A shares ($504,239 / 56,370 shares) ................. $8.95
=====
Maximum Offering Price per share of Class A shares
($8.95 / .9425) ........................................... $9.50
=====
Net Asset Value and offering price per share of
Class B(1) shares ($473,558 / 53,038 shares)* ............. $8.93
=====
Net Asset Value and offering price per share of
Class B shares ($473,558 / 53,038 shares)* ................ $8.93
=====
Net Asset Value and offering price per share of
Class C shares ($473,558 / 53,038 shares)* ................ $8.93
=====
Net Asset Value, offering price and redemption
price per share of Class S shares
($2,847,552 / 318,149 shares) ............................. $8.95
=====
- ----------------------------------------------------------------------------
* 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 INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- ------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- ------------------------------------------------------------------------------
For the period November 30, 1998
(commencement of operations) to February 28, 1999
INVESTMENT INCOME
Dividends ....................................................... $ 35,531
Interest ........................................................ 3,739
---------
39,270
EXPENSES
Custodian fee ................................................... 37,080
Legal fees ...................................................... 16,390
Transfer agent and shareholder services (Note 2) ................ 15,900
Audit fee ....................................................... 15,586
Management fee (Note 2) ......................................... 9,722
Registration fees ............................................... 9,000
Reports to shareholders ......................................... 8,700
Trustees' fees (Note 2) ......................................... 3,480
Service fee-Class A (Note 5) .................................... 305
Distribution and service fees-Class B(1) (Note 5) ............... 1,213
Distribution and service fees-Class B (Note 5) .................. 1,213
Distribution and service fees-Class C (Note 5) .................. 1,213
Miscellaneous .................................................. 300
---------
120,102
Expenses borne by the Distributor (Note 3) ...................... (102,250)
---------
17,852
---------
Net investment income ........................................... 21,418
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investments (Notes 1 and 4) ................ 87
Net unrealized depreciation of investments ...................... (279,815)
---------
Net loss on investments ......................................... (279,728)
---------
Net decrease in net assets resulting from operations ............ $(258,310)
=========
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- -----------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------
For the period November 30, 1998
(commencement of operations) to February 28, 1999
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income ......................................... $ 21,418
Net realized gain on investments .............................. 87
Net unrealized depreciation of investments .................... (279,815)
------------
Net decrease resulting from operations ........................ (258,310)
------------
Net increase from fund share transactions (Note 6) ............ 5,030,775
------------
Total increase in net assets .................................. 4,772,465
NET ASSETS
Beginning of period ........................................... --
------------
End of period (including undistributed net
investment income of $23,322) ............................... $ 4,772,465
============
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- -----------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- -----------------------------------------------------------------------------
February 28, 1999
NOTE 1
State Street Research IntelliQuant Portfolios: Small-Cap Value (the "Fund"), is
a series of State Street Research Financial Trust (the "Trust"), which was
organized as a Massachusetts business trust in November, 1986 and is registered
under the Investment Company Act of 1940, as amended, as an open- end management
investment company. The Fund commenced operations in November, 1998. The Trust
consists presently of five separate funds: State Street Research IntelliQuant
Portfolios: Small-Cap Value, State Street Research Government Income, State
Street Research Strategic Portfolios: Moderate, State Street Research Strategic
Portfolios: Conservative and State Street Research Strategic Portfolios:
Aggressive.
The investment objective of the Fund is to provide high total return, consisting
principally of capital appreciation. Under normal market conditions, the fund
invests primarily in small company value stocks. These may include common and
preferred stocks, convertible securities and warrants. In managing the Fund's
portfolio, the investment manager uses a disciplined quantitative investment
strategy.
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. Class B(1) and Class B shares pay annual distribution and
service fees of 1.00% and automatically convert into Class A shares (which pay
lower ongoing expenses) at the end of eight years. Class B (1) shares are
subject to a contingent deferred sales charge on certain redemptions made within
six years of purchase. Class B shares are 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 Plan of Distribution,
related specifically to that class. The Trustees declare separate dividends on
each class of shares.
The following significant accounting policies are consistently followed by the
Fund in preparing its financial statements, and such policies are in conformity
with generally accepted accounting principles for investment companies.
A. INVESTMENT VALUATION
Values for listed securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange. Over-the-
counter securities quoted on the National Association of Securities Dealers
Automated Quotation ("NASDAQ") system are valued at the closing price supplied
through such system. In the absence of recorded sales and for those over-the-
counter securities not quoted on the NASDAQ system, valuations are at the mean
of the closing bid and asked quotations. Short-term securities maturing within
sixty days are valued at amortized cost. Other securities, if any, are valued at
their fair value as determined in accordance with established methods
consistently applied.
B. SECURITY TRANSACTIONS
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis
of identified cost of securities delivered.
C. NET INVESTMENT INCOME
Interest income is accrued daily as earned. Dividend income is accrued on the
ex-dividend date. The Fund is charged for expenses directly attributable to
it, while indirect expenses are allocated among all funds in the Trust.
D. DIVIDENDS
Dividends from net investment income, if any, are declared and paid or
reinvested annually. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles.
E. FEDERAL INCOME TAXES
No provision for Federal income taxes is necessary because the Fund intends to
qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods.
F. 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.
G. SECURITIES LENDING
The Fund may seek additional income by lending portfolio securities to
qualified institutions. The Fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the Fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the Fund will bear the
loss. During the period November 30, 1998 (commencement of operations) to
February 28, 1999, there were no loaned securities.
NOTE 2
The Trust and the Adviser have entered into an agreement under which the
Adviser earns monthly fees at an annual rate of 0.80% 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 period November 30, 1998 (commencement of
operations) to February 28, 1999, the fees pursuant to such agreement amounted
to $9,722.
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. During the period November 30, 1998 (commencement of
operations) to February 28, 1999, the amount of such expenses was $63.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$3,480 during the period November 30, 1998 (commencement of operations) to
February 28, 1999.
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 period November 30, 1998 (commencement of operations) to
February 28, 1999, the amount of such expenses assumed by the Distributor and
its affiliates was $102,250.
NOTE 4
For the period November 30, 1998 (commencement of operations) to February 28,
1999, purchases and sales of securities, exclusive of short-term obligations,
aggregated $4,959,061 and $24,287, respectively.
NOTE 5
The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the "Plan")
under the Investment Company Act of 1940, as amended. Under the Plan, the Fund
pays annual service fees to the Distributor at a rate of 0.25% of average daily
net assets for Class A, Class B(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 compensate or 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 period November 30, 1998
(commencement of operations) to February 28, 1999, fees pursuant to such plan
amounted to $305, $1,213, $1,213 and $1,213 for Class A, Class B(1), Class B and
Class C shares, respectively.
NOTE 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share. At February 28, 1999,
Metropolitan owned 53,022 shares of each of Class A, Class B(1), Class B and
Class C and 318,133 Class S shares of the Fund.
Share transactions were as follows:
NOVEMBER 30, 1998
(COMMENCEMENT OF
OPERATIONS) TO
FEBRUARY 28, 1999
------------------------
CLASS A SHARES AMOUNT
- ------------------------------------------------------------------------------
Shares sold .................................... 56,370 $ 530,175
------- ------------
Net increase ................................... 56,370 $ 530,175
======= ============
CLASS B(1) SHARES AMOUNT
- ------------------------------------------------------------------------------
Shares sold .................................... 53,038 $ 500,150
------- ------------
Net increase ................................... 53,038 $ 500,150
======= ============
CLASS B SHARES AMOUNT
- ------------------------------------------------------------------------------
Shares sold .................................... 53,038 $ 500,150
------- ------------
Net increase ................................... 53,038 $ 500,150
======= ============
CLASS C SHARES AMOUNT
- ------------------------------------------------------------------------------
Shares sold .................................... 53,038 $ 500,150
------- ------------
Net increase ................................... 53,038 $ 500,150
======= ============
CLASS S SHARES AMOUNT
- ------------------------------------------------------------------------------
Shares sold .................................... 318,149 $ 3,000,150
------- ------------
Net increase ................................... 318,149 $ 3,000,150
======= ============
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
For a share outstanding from November 30, 1998 (commencement of operations) to
February 28, 1999(a)
<TABLE>
<CAPTION>
CLASS A CLASS B(1) CLASS B CLASS C CLASS S
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD ($) 9.43 9.43 9.43 9.43 9.43
---- ---- ---- ---- ----
Net investment income ($)* 0.04 0.02 0.02 0.02 0.05
Net realized and unrealized loss
on investments ($) (0.52) (0.52) (0.52) (0.52) (0.53)
---- ---- ---- ---- ----
TOTAL FROM INVESTMENT OPERATIONS ($) (0.48) (0.50) (0.50) (0.50) (0.48)
---- ---- ---- ---- ----
NET ASSET VALUE, END OF PERIOD ($) 8.95 8.93 8.93 8.93 8.95
==== ==== ==== ==== ====
Total return(b) (%) (5.09)(c) (5.30)(c) (5.30)(c) (5.30)(c) (5.09)(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
($ thousands) 504 474 474 474 2,848
Ratio of operating expenses to
average net assets (%)* 1.40(d) 2.15(d) 2.15(d) 2.15(d) 1.15(d)
Ratio of net investment income to
average net assets (%)* 1.83(d) 1.09(d) 1.09(d) 1.09(d) 2.09(d)
Portfolio turnover rate (%) 0.66 0.66 0.66 0.66 0.66
*Reflects voluntary reduction of
expenses per share of these
amounts (Note 3) ($) 0.19 0.19 0.19 0.19 0.19
- ------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total return would be lower if the Distributor
and its affiliates had not voluntarily assumed a portion of the Fund's expenses.
(c) Not annualized
(d) Annualized
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
TO THE TRUSTEES OF STATE STREET RESEARCH FINANCIAL TRUST
AND THE SHAREHOLDERS OF STATE STREET RESEARCH
INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
In our opinion, the accompanying statement of assets and liabilities,
including the investment portfolio, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in
all material respects, the financial position of State Street Research
IntelliQuant Portfolios: Small-Cap Value (a series of State Street Research
Financial Trust, hereafter referred to as the "Trust") at February 28, 1999,
and the results of its operations, the changes in its net assets and the
financial highlights for the period from November 30, 1998 (commencement of
operations) to February 28, 1999, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of
the Trust's management; our responsibility is to express an opinion on these
financial statements based on our audit. We conducted our audit of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audit, which included confirmation of securities at February 28, 1999 by
correspondence with the custodian, provides a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
April 9, 1999
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH FINANCIAL TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FUND INFORMATION OFFICERS TRUSTEES
<S> <C> <C>
STATE STREET RESEARCH RALPH F. VERNI RALPH F. VERNI
INTELLIQUANT PORTFOLIOS: Chairman of the Board, Chairman of the Board,
SMALL-CAP VALUE President and President, Chief Executive
One Financial Center Chief Executive Officer Officer and Director,
Boston, MA 02111 State Street Research &
PETER C. BENNETT Management Company
INVESTMENT ADVISER Vice President
State Street Research & STEVE A. GARBAN
Management Company JOHN H. KALLIS Former Senior Vice President
One Financial Center Vice President for Finance and Operations and
Boston, MA 02111 Treasurer, The Pennsylvania
E.K. EASTON RAGSDALE, JR. State University
DISTRIBUTOR Vice President
State Street Research MALCOLM T. HOPKINS
Investment Services, Inc. THOMAS A. SHIVELY Former Vice Chairman of the
One Financial Center Vice President Board and Chief Financial
Boston, MA 02111 Officer, St. Regis Corp.
JAMES M. WEISS
SHAREHOLDER SERVICES Vice President DEAN O. MORTON
State Street Research Former Executive Vice President
Service Center GERARD P. MAUS Chief Operating Officer
P.O. Box 8408 Treasurer and Director, Hewlett-Packard
Boston, MA 02266-8408 Company
1-800-562-0032 JOSEPH W. CANAVAN
Assistant Treasurer SUSAN M. PHILLIPS
CUSTODIAN Dean, School of Business and
State Street Bank and DOUGLAS A. ROMICH Public Management, George
Trust Company Assistant Treasurer Washington University; former
225 Franklin Street Member of the Board of Governors
Boston, MA 02110 FRANCIS J. MCNAMARA, III of the Federal Reserve System and
Secretary and General Counsel Chairman and Commissioner of
LEGAL COUNSEL the Commodity Futures Trading
Goodwin, Procter & Hoar LLP DARMAN A. WING Commission
Exchange Place Assistant Secretary and
Boston, MA 02109 Assistant General Counsel TOBY ROSENBLATT
President,
INDEPENDENT ACCOUNTANTS AMY L. SIMMONS The Glen Ellen Company
PricewaterhouseCoopers LLP Assistant Secretary Vice President,
160 Federal Street Founders Investments Ltd.
Boston, MA 02110
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
</TABLE>
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
One Financial Center -------------------
Boston, MA 02111 Bulk Rate
U.S. Postage
PAID
Permit #20
Holliston, MA 01746
-------------------
QUESTIONS? COMMENTS?
Call us at 1-800-562-0032 or
[hearing-impaired 1-800-676-7876]
WRITE us at:
State Street Research
Service Center
P.O. Box 8408
Boston, MA 02266-8408
E-MAIL us at:
[email protected]
INTERNET site:
www.ssrfunds.com
[logo] STATE STREET RESEARCH
This report is prepared for the general information of current shareholders.
When used as supplemental sales literature, this publication must be preceded or
accompanied by a current State Street Research IntelliQuant Portfolios:
Small-Cap Value prospectus. The prospectus contains more complete information,
including sales charges and expenses. Please read the prospectus carefully
before investing.
If used in soliciting sales, 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: (exp0400)SSR-LD
IQ-562F-0499
