<PAGE>
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STATE STREET RESEARCH
- -------------------------------------------------------------------------------
INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
----------------------------------------
SEMIANNUAL REPORT
August 31, 1999
--------------------
WHAT'S INSIDE
--------------------
INVESTMENT UPDATE
About the Fund,
economy and markets
FUND INFORMATION
Facts and figures
PLUS, COMPLETE PORTFOLIO HOLDINGS
AND FINANCIAL STATEMENTS
----------------------
DALBAR
HONORS COMMITMENT TO:
INVESTORS
1998
----------------------
For Excellence
[Logo] STATE STREET RESEARCH in
Shareholder Service
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------
INVESTMENT UPDATE
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INVESTMENT ENVIRONMENT
THE ECONOMY
o The U.S. economy continued to surprise market watchers. Although the pace of
growth slowed in the second quarter, no real slowdown has materialized.
o Retail, home and auto sales have remained strong, while consumer spending
continued to climb.
o Inflation edged upward, mostly on the strength of higher energy prices.
THE MARKETS
o The S&P 500, a broad measure of common stock performance, gained 7.32% for
the six months ended August 31, 1999(1). The gap between large company
growth stocks and the rest of the market narrowed early in the period.
However, value-oriented cyclical stocks, which surged in April, gave back
most of their gains by the end of the period.
o The Federal Reserve Board's hike in a key short-term interest rate and
investor speculation in high-flying Internet stocks raised volatility during
the last half of the period.
o The U.S. bond market stumbled on interest rate fears. The yield on the
30-year U.S. Treasury benchmark rose about 6.0%. High yield-bonds rebounded
although the default rate edged upward.
THE FUND
OVER THE PAST SIX MONTHS
o For the six months ended August 31, 1999, Class A shares returned 9.25%
(does not reflect sales charge)(2) vs. 8.73 for the Russell 2000 Value
Index.(1)
o Our stock selection proved to be the biggest positive contributor to the
Fund's success in the third quarter. We avoided many benchmark stocks that
did not fare well during this time period as our approach emphasizes value.
o Our underweight in the construction and real property industry and our
overweight in the financial services industry helped performance of the
fund. On the other hand, our underweights in the wireless telecom and
semiconductor industries had a negative effect on performance.
CURRENT STRATEGY
o The Fund will continue to look for stocks with attractive valuations and
growth prospects, using a quantitative approach.
August 31, 1999
(1) The S&P 500 (officially the "Standard and Poor's 500 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 above average value. The indices do not take transaction charges into
consideration. It is not possible to invest directly in the indices.
(2) 8.84 for Class B(1) shares; 8.84 for Class B shares; 8.84 for Class C
shares; 9.42 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) or Class B share 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 August 31, 1999)
- --------------------------------------------------------------------------------
AGGREGATE TOTAL RETURN
(at maximum applicable sales charge)(3)(4)(5)
- -----------------------------------------------
LIFE OF FUND
(since 11/30/98)
- -----------------------------------------------
Class A -2.27%
- -----------------------------------------------
Class B(1) -1.93%
- -----------------------------------------------
Class B -1.93%
- -----------------------------------------------
Class C 2.07%
- -----------------------------------------------
Class S 3.85%
- -----------------------------------------------
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 SAFEGUARD SCIENTIFICS Technology 1.4%
2 TECUMSEH PRODUCTS Refrigeration products 1.1%
3 ALASKA STEEL Iron/ Steel producers 1.1%
4 WICOR Utilities 1.1%
5 NEW PLAN EXCEL REALTY TRUST REITs 1.1%
6 POTLATCH Paper and related products 1.0%
7 WASHINGTON GAS LIGHT Utilities 1.0%
8 HAWAIIAN ELECTRIC INDUSTRIES Utilities 1.0%
9 SMITHFIELD FOODS Consumer meat products 1.0%
10 J PEOPLES ENERGY Utilities 1.0%
These securities represent an aggregate of 10.8% 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) [Graphic Omitted]
REAL ESTATE
INVESTMENT TRUSTS 11.5%
BANKS & SAVINGS
& LOANS 9.0%
INSURANCE 7.0%
GAS DISTRIBUTION 6.9%
ELECTRICAL 5.0%
Total: 39.4%
<PAGE>
<TABLE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- ------------------------------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
- ------------------------------------------------------------------------------------------------------
August 31, 1999 (Unaudited)
- ------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS 99.9%
AUTOMOBILES & TRANSPORTATION 5.8%
AIR TRANSPORT 1.3%
Air Express International Corp. ................................... 1,200 $ 29,325
America West Holdings Corp. Cl. B* ................................ 900 17,550
Amtran Inc.* ...................................................... 300 6,000
Mesa Air Group, Inc.* ............................................. 1,100 7,562
Transport World Airlines, Inc.* ................................... 1,700 6,694
----------
67,131
----------
AUTOMOTIVE PARTS 2.4%
A.O. Smith Corp. .................................................. 600 16,275
Arvin Industries Inc. ............................................. 800 28,600
MascoTech, Inc. ................................................... 1,000 17,250
Sauer, Inc. ....................................................... 900 11,250
SPX Corp.* ........................................................ 500 42,375
Standard Motor Products, Inc. Cl. A ............................... 300 6,750
----------
122,500
----------
RECREATIONAL VEHICLES & BOATS 1.0%
Polaris Industries Inc. ........................................... 1,000 35,937
Thor Industries, Inc. ............................................. 300 8,063
Winnebago Industries, Inc. ........................................ 400 9,575
----------
53,575
----------
TIRES & RUBBER 0.4%
Standard Products Co. ............................................. 600 20,775
----------
TRUCKERS 0.7%
Consolidated Freightways Corp.* ................................... 700 7,569
Landstar Systems Inc.* ............................................ 200 7,400
Roadway Express Inc. .............................................. 400 8,425
Yellow Corp.* ..................................................... 900 14,287
----------
37,681
----------
Total Automobiles & Transportation ................................ 301,662
----------
CONSUMER DISCRETIONARY 12.3%
ADVERTISING AGENCIES 0.2%
ADVO Inc.* ........................................................ 400 7,850
----------
COMMERCIAL SERVICES 0.9%
Bell & Howell Co.* ................................................ 500 16,750
Burns International Services Corp.* ............................... 400 6,275
Midas, Inc. ....................................................... 600 14,175
Novacare Employee Services, Inc.* ................................. 3,200 8,000
----------
45,200
----------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 0.1%
GC Companies, Inc.* ............................................... 200 6,700
----------
CONSUMER ELECTRONICS 0.5%
Harman International Industries, Inc. ............................. 600 25,500
----------
CONSUMER PRODUCTS 0.8%
Block Drug Co. Inc. Cl. A ......................................... 400 16,075
Gibson Greetings, Inc.* ........................................... 1,400 5,513
L.S. Starrett Co. Cl. A ........................................... 300 7,331
Toro Co. .......................................................... 400 14,700
----------
43,619
----------
CONSUMER SERVICES 0.4%
Amerco* ........................................................... 400 10,050
Dollar Thrifty Automotive Group, Inc.* ............................ 700 13,169
----------
23,219
----------
HOUSEHOLD FURNISHINGS 1.6%
Bassett Furniture Industries Inc. ................................. 400 8,150
Enesco Group Inc. ................................................. 400 6,900
La-Z-Boy Inc. ..................................................... 1,900 41,681
Mikasa, Inc. ...................................................... 800 9,700
Springs Industries, Inc. .......................................... 400 15,025
----------
81,456
----------
LEISURE TIME 0.9%
Bally Total Fitness Holding Corp.* ................................ 1,200 38,475
Musicland Stores Inc.* ............................................ 900 7,650
----------
46,125
----------
PHOTOGRAPHY 0.2%
CPI Corp. ......................................................... 300 9,750
----------
RESTAURANTS 1.1%
Advantica Restaurant Group Inc.* .................................. 2,600 7,963
Bob Evans Farms, Inc. ............................................. 1,700 34,637
Ryan's Family Steak Houses, Inc.* ................................. 1,500 14,531
----------
57,131
----------
RETAIL 4.8%
Ames Department Stores Inc.* ...................................... 1,000 29,375
Blair Corp. ....................................................... 300 6,150
Brown Shoe Co. Inc. ............................................... 800 13,900
Burlington Coat Factory Warehouse Corp. ........................... 500 8,250
Cato Corp. Cl. A .................................................. 800 10,750
Charming Shoppes, Inc.* ........................................... 2,800 15,575
Fisher Scientific International Inc.* ............................. 1,200 21,600
Footstar Inc.* .................................................... 900 29,250
Handleman Co.* .................................................... 800 10,600
Hanover Direct Inc.* .............................................. 3,100 5,231
Homebase Inc.* .................................................... 1,400 6,125
Micro Warehouse Inc.* ............................................. 1,000 12,250
Shopko Stores, Inc.* .............................................. 900 25,762
Spiegel, Inc. Cl. A* .............................................. 1,000 8,938
Syms Corp.* ....................................................... 1,100 8,938
Zale Corp.* ....................................................... 1,100 38,156
----------
250,850
----------
TEXTILE APPAREL MANUFACTURERS 0.8%
Guess Inc.* ....................................................... 600 7,912
Kellwood Co. ...................................................... 600 14,325
Oxford Industries, Inc. ........................................... 300 6,488
Russell Corp. ..................................................... 900 15,075
----------
43,800
----------
Total Consumer Discretionary ...................................... 641,200
----------
CONSUMER STAPLES 3.6%
BEVERAGES 0.2%
Coca-Cola Bottling Co. ............................................ 200 11,525
----------
DRUG & GROCERY STORE CHAINS 0.8%
7-Eleven Inc.* .................................................... 3,900 8,044
Grand Union Co.* .................................................. 800 10,350
Great Atlantic & Pacific Tea Inc. ................................. 500 17,562
Ingles Markets Inc. Cl. A ......................................... 600 8,063
----------
44,019
----------
FOODS 1.8%
Fleming Companies, Inc. ........................................... 1,600 19,300
International Multifoods Corp. .................................... 400 9,075
Riviana Foods, Inc. ............................................... 500 9,562
Smithfield Foods Inc.* ............................................ 1,800 52,875
----------
90,812
----------
TOBACCO 0.8%
Universal Corp. ................................................... 1,400 39,725
----------
Total Consumer Staples ............................................ 186,081
----------
FINANCIAL SERVICES 30.3%
BANKS & SAVINGS & LOAN 9.0%
Andover Bancorp Inc. .............................................. 300 9,450
Bancwest Corp. .................................................... 900 37,631
Bank Plus Corp.* .................................................. 1,700 7,756
Brenton Banks Inc. ................................................ 560 7,735
Chemical Financial Corp. .......................................... 475 14,844
Community Trust Bancorp, Inc. ..................................... 340 7,650
Farmers Capital Bank Corp. ........................................ 300 10,613
First Bancorp ..................................................... 800 16,500
First Citizens Bancshares Inc. Cl. A .............................. 200 15,650
First Indiana Corp. ............................................... 400 9,200
Firstfed Financial Corp.* ......................................... 900 13,725
Hancock Holding Co. ............................................... 400 15,250
Jefferson Savings Bancorp, Inc.* .................................. 600 7,088
Local Financial Corp.* ............................................ 900 8,606
Mahoning National Bancorp Inc. .................................... 200 7,900
Michigan Finance Corp. ............................................ 315 10,198
MidAmerica Bancorp ................................................ 400 9,400
Old Kent Financial Corp. .......................................... 195 7,703
Old National Bancorp .............................................. 1,700 51,000
One Valley Bancorp, Inc. .......................................... 1,300 49,725
Peoples Holding Co. ............................................... 300 8,175
Riggs National Corp. .............................................. 900 16,762
Saint Paul Bancorp, Inc. .......................................... 1,300 28,275
Sky Financial Group, Inc. ......................................... 363 8,833
The Trust Co. Of New Jersey ....................................... 400 8,875
Trustco Bank Corp. ................................................ 1,200 35,700
UMB Financial Corp. ............................................... 800 34,000
USBancorp, Inc. ................................................... 600 8,831
----------
467,075
----------
INSURANCE 7.0%
Acceptance Insurance Cos. Inc.* ................................... 600 7,950
AmerUs Life Holdings Inc. ......................................... 600 14,475
Argonaut Group Inc. ............................................... 700 17,675
Arthur J. Gallagher & Co. ......................................... 600 32,775
Chicago Title Corp. ............................................... 500 22,656
Commerce Group Inc. ............................................... 700 15,575
Crawford & Co. Cl. B .............................................. 1,100 13,681
Foremost Corp. .................................................... 800 19,000
Harleysville Group Inc. ........................................... 400 7,775
Hilb, Rogal & Hamilton Co. ........................................ 400 9,650
HSB Group, Inc. ................................................... 1,100 40,906
Kansas City Life Insurance Co. .................................... 200 8,163
Liberty Corp. ..................................................... 600 28,837
Midland Co. ....................................................... 400 9,400
National Western Life Insurance Co. Cl. A* ........................ 100 9,050
NYMAGIC, Inc. ..................................................... 600 8,288
PMA Capital Corp. Cl. A ........................................... 400 7,925
Selective Insurance Group Inc. .................................... 900 16,031
State Auto Financial Corp. ........................................ 700 8,750
The MONY Group Inc. ............................................... 1,400 39,200
United Fire Casualty Co. .......................................... 300 6,919
Vesta Insurance Group, Inc. ....................................... 1,900 9,144
Zenith National Insurance Corp. ................................... 400 8,625
----------
362,450
----------
MISCELLANEOUS FINANCIAL 0.1%
Advest Group Inc.* ................................................ 400 7,650
----------
REAL ESTATE INVESTMENT TRUSTS 11.5%
American Health Properties, Inc. .................................. 900 17,775
Amli Residential Properties Trust ................................. 400 8,300
Anthracite Capital, Inc. .......................................... 1,400 9,450
Bradley Real Estate, Inc. ......................................... 800 15,300
Cabot Industrial Trust ............................................ 800 16,150
Capital Automotive REIT ........................................... 700 8,750
CBL & Associates Properties, Inc. ................................. 700 17,413
Commercial Net Lease Realty Inc. .................................. 1,300 15,031
CRIIMI MAE, Inc. .................................................. 2,800 6,300
Entertainment Properties Trust .................................... 500 7,656
FelCor Lodging Trust Inc. ......................................... 2,500 44,844
Franchise Finance Corp. of America ................................ 2,300 49,881
Gables Residential Trust .......................................... 700 16,756
Health Care Property Investors, Inc. .............................. 900 23,400
Health Care REIT, Inc. ............................................ 1,200 24,150
Healthcare Realty Trust, Inc. ..................................... 1,300 26,406
Imperial Credit Commercial Mortgage Investment Corp. .............. 800 8,750
IRT Property Co. .................................................. 900 8,831
LaSalle Hotel Properties Trust .................................... 600 8,663
LTC Properties, Inc. .............................................. 700 7,788
MGI Properties, Inc. .............................................. 600 5,550
National Health Investors, Inc. ................................... 800 14,200
New Plan Excel Realty Trust Inc. .................................. 2,900 54,919
Omega Healthcare Investors, Inc. .................................. 700 13,956
Pacific Gulf Properties, Inc. ..................................... 800 17,500
Parkway Properties, Inc. .......................................... 300 9,900
Pennsylvania REIT ................................................. 400 7,975
Prentiss Properties Trust ......................................... 1,200 27,225
Prime Group Realty Trust .......................................... 500 8,281
Storage USA, Inc. ................................................. 900 26,044
Summit Properties Inc. ............................................ 900 17,888
Thornburg Mortgage Asset Corp. .................................... 900 8,269
TriNet Corporate Realty Trust, Inc. ............................... 1,000 24,437
Ventas, Inc. ...................................................... 1,700 6,481
Westfield America, Inc. ........................................... 1,100 15,950
----------
600,169
----------
RENTAL & LEASING SERVICES: COMMERCIAL 0.9%
Amplicon Inc. ..................................................... 600 7,200
Avis Rent A Car, Inc.* ............................................ 600 13,200
Leasing Solutions Inc.* ........................................... 3,400 2,550
UniCapital Corp.* ................................................. 1,500 5,531
Xtra Corp.* ....................................................... 400 18,125
----------
46,606
----------
SECURITIES BROKERAGE & SERVICES 1.8%
Advanta Corp. Cl. A ............................................... 500 9,844
Dain Rauscher Corp. ............................................... 600 29,775
Everen Capital Corp. .............................................. 600 18,225
First American Financial Corp. .................................... 1,800 26,775
Freedom Securities Corp. .......................................... 500 7,031
----------
91,650
----------
Total Financial Services .......................................... 1,575,600
----------
HEALTH CARE 3.2%
DRUGS & BIOTECHNOLOGY 0.5%
Amerisource Health Corp. Cl. A* ................................... 500 12,906
Bindley Western Industries Inc. ................................... 800 13,400
----------
26,306
----------
HEALTH CARE FACILITIES 0.8%
Laboratory Corp. of America Holdings* ............................. 3,200 9,200
National Healthcare Corp.* ........................................ 1,100 7,013
Quest Diagnostics, Inc.* .......................................... 1,000 26,437
----------
42,650
----------
HEALTH CARE SERVICES 1.1%
Apria Healthcare Group Inc.* ...................................... 1,600 27,000
Coventry Health Care Inc.* ........................................ 1,600 16,100
Mid Atlantic Medical Services, Inc.* .............................. 1,800 15,188
----------
58,288
----------
HOSPITAL SUPPLY 0.8%
Bio Rad Laboratories, Inc. Cl. A* ................................. 300 7,950
Owens & Minor Inc. ................................................ 800 8,850
Sunrise Medical, Inc.* ............................................ 1,300 9,100
West Pharmaceutical Services Inc. ................................. 400 15,050
----------
40,950
----------
Total Health Care ................................................. 168,194
----------
INTEGRATED OILS 0.2%
INTEGRATED INTERNATIONAL 0.2%
Tesoro Petroleum Corp.* ........................................... 600 10,837
----------
Total Integrated Oils ............................................. 10,837
----------
MATERIALS & PROCESSING 13.3%
AGRICULTURE 0.5%
Agribrands International, Inc.* ................................... 400 19,450
Zapata Corp.* ..................................................... 1,000 5,938
----------
25,388
----------
BUILDING & CONSTRUCTION 0.2%
Ameron International Corp. ........................................ 200 9,150
----------
CHEMICALS 3.7%
A. Schulman, Inc. ................................................. 1,000 17,937
Albemarle Corp. ................................................... 800 13,850
Carbide/Graphite Group, Inc.* ..................................... 600 7,950
Chemed Corp. ...................................................... 300 9,113
Ethyl Corp. ....................................................... 1,500 7,969
Geon Co. .......................................................... 1,000 29,875
Georgia Gulf Corp. ................................................ 1,100 20,006
H.B. Fuller Co. ................................................... 400 24,100
NCH Corp. ......................................................... 200 8,900
NL Industries, Inc. ............................................... 800 9,650
Penford Corp. ..................................................... 500 7,375
Stepan Chemical Co. ............................................... 300 7,369
Witco Corp. ....................................................... 1,900 30,756
----------
194,850
----------
CONTAINERS & PACKAGING 0.5%
Apogee Enterprises, Inc. .......................................... 700 5,775
Gaylord Container Corp. Cl. A* .................................... 2,200 17,738
----------
23,513
----------
DIVERSIFIED MANUFACTURING 0.4%
Barnes Group Inc. ................................................. 800 15,850
Maxxam Inc.* ...................................................... 100 5,700
----------
21,550
----------
FOREST PRODUCTS 1.5%
Longview Fibre Co. ................................................ 2,000 25,875
Potlatch Corp. .................................................... 1,400 54,075
----------
79,950
----------
MISCELLANEOUS MATERIALS & PROCESSING 1.7%
American Business Products Inc. ................................... 600 9,000
General Cable Corp. ............................................... 1,100 15,950
Quanex Corp. ...................................................... 600 15,600
Roanoke Electric Steel Corp. ...................................... 500 8,500
Ryerson Tull, Inc. ................................................ 400 7,575
USEC Inc. ......................................................... 3,000 32,437
----------
89,062
----------
NON-FERROUS METALS 1.1%
A.M. Castle & Co. ................................................. 500 7,250
ASARCO Inc. ....................................................... 1,600 33,400
Brush Wellman, Inc. ............................................... 500 8,500
Metals USA, Inc.* ................................................. 700 7,437
----------
56,587
----------
OFFICE SUPPLIES 0.2%
Hunt Corp. ........................................................ 1,100 9,006
----------
PAPER & FOREST PRODUCTS 0.5%
Chesapeake Corp. .................................................. 800 27,050
----------
REAL ESTATE & CONSTRUCTION 0.2%
Webb Corp. ........................................................ 400 8,700
----------
STEEL 1.8%
Alaska Steel Holding Corp. ........................................ 2,700 56,700
Armco, Inc. ....................................................... 4,600 31,625
Rouge Industries, Inc. Cl. A ...................................... 900 6,525
----------
94,850
----------
TEXTILE & PRODUCTS 1.0%
Burlington Industries Inc.* ....................................... 1,900 10,806
Cone Mills Corp.* ................................................. 1,500 8,813
Foamex International Inc.* ........................................ 1,600 13,150
Wellman, Inc. ..................................................... 1,100 18,494
----------
51,263
----------
Total Materials & Processing ...................................... 690,919
----------
OTHER 1.8%
MULTI-SECTOR 1.8%
Commercial Intertech Corp. ........................................ 500 6,250
Foster Wheeler Corp. .............................................. 1,600 20,700
Gencorp Inc. ...................................................... 1,000 21,500
Justin Industries Inc. ............................................ 600 8,568
Sequa Corp. Cl. A* ................................................ 400 27,050
Valhi, Inc. ....................................................... 700 7,919
----------
Total Other ....................................................... 91,987
----------
OTHER ENERGY 4.1%
GAS PIPELINES 0.4%
Equitable Resources, Inc. ......................................... 400 14,700
TransMontaigne, Inc.* ............................................. 700 8,400
----------
23,100
----------
OIL & GAS PRODUCERS 1.5%
Cross Timbers Oil Co. ............................................. 100 1,238
Frontier Oil Corp.* ............................................... 1,200 9,600
Pogo Producing Co. ................................................ 800 16,700
Santa Fe Snyder Corp.* ............................................ 5,100 49,725
----------
77,263
----------
OIL WELL EQUIPMENT & SERVICES 2.2%
Helmerich & Payne Inc. ............................................ 1,700 46,856
Oceaneering International, Inc.* .................................. 500 10,031
Pool Energy Services Co.* ......................................... 1,000 26,375
RPC, Inc. ......................................................... 1,000 7,625
Seacor Smit, Inc.* ................................................ 400 20,775
----------
111,662
----------
Total Other Energy ................................................ 212,025
----------
PRODUCER DURABLES 6.5%
AEROSPACE 0.1%
Ladish Inc.* ...................................................... 1,100 7,700
----------
ELECTRICAL EQUIPMENT & COMPONENTS 1.1%
Ametek Aerospace Products Inc. .................................... 1,100 22,894
Genlyte Group Inc.* ............................................... 400 9,800
Mark IV Industries Inc. ........................................... 1,200 23,775
----------
56,469
----------
ELECTRONICS: INDUSTRIAL 0.9%
Tektronix, Inc. ................................................... 1,400 46,550
----------
HOMEBUILDING 1.2%
M.D.C. Holdings Inc. .............................................. 800 15,050
Pulte Corp. ....................................................... 1,100 25,437
Ryland Group, Inc. ................................................ 600 14,438
Skyline Corp. ..................................................... 300 8,325
----------
63,250
----------
INDUSTRIAL PRODUCTS 0.3%
Mine Safety Appliances Co. ........................................ 100 6,400
Standex International Corp. ....................................... 300 6,863
----------
13,263
----------
MACHINERY 2.1%
Milacron Inc. ..................................................... 1,400 25,200
Nacco Industries, Inc. Cl. A ...................................... 200 15,575
Stewart & Stevenson Services, Inc. ................................ 1,100 13,062
Tecumseh Products Co. Cl. A ....................................... 1,000 57,000
----------
110,837
----------
MISCELLANEOUS EQUIPMENT 0.3%
Allied Products Corp. ............................................. 2,900 13,413
----------
OFFICE FURNITURE & BUSINESS EQUIPMENT 0.5%
Anacomp Inc.* ..................................................... 500 8,375
Kimball International Inc. Cl. B .................................. 1,000 19,312
----------
27,687
----------
Total Producer Durables ........................................... 339,169
----------
TECHNOLOGY 6.7%
COMMUNICATIONS TECHNOLOGY 0.5%
Anixter International, Inc.* ...................................... 900 18,956
Network Equipment Technologies, Inc.* ............................. 900 7,875
----------
26,831
----------
COMPUTER TECHNOLOGY 2.9%
Data General Corp.* ............................................... 1,900 35,031
Intergraph Corp.* ................................................. 1,100 6,119
Komag Inc.* ....................................................... 2,600 8,288
S3 Inc.* .......................................................... 1,900 19,000
Safeguard Scientifics, Inc.* ...................................... 1,100 73,975
Telxon Corp. ...................................................... 1,100 9,212
----------
151,625
----------
ELECTRONICS 1.7%
Alliant Technology Systems, Inc.* ................................. 300 21,900
Avid Technology, Inc.* ............................................ 500 6,313
Cubic Corp. ....................................................... 400 9,600
Gerber Scientific, Inc. ........................................... 800 16,350
Newport News Shipbuilding, Inc. ................................... 900 28,294
Primex Technologies, Inc. ......................................... 400 8,350
----------
90,807
----------
ELECTRONICS: SEMI-CONDUCTORS/COMPONENTS 1.6%
Cirrus Logic, Inc.* ............................................... 1,900 21,256
International RectifierCorp.* ..................................... 2,100 33,862
MEMC Electronic Materials, Inc.* .................................. 700 13,913
Oak Technology, Inc.* ............................................. 2,400 11,400
----------
80,431
----------
Total Technology .................................................. 349,694
----------
UTILITIES 12.1%
ELECTRICAL 5.0%
Carolina Power & Light Co. ........................................ 161 5,856
Central Hudson Gas & Electric Corp. ............................... 700 29,575
CMP Group Inc. .................................................... 1,100 29,219
Commonwealth Energy Systems ....................................... 700 31,743
Eastern Utilities Associates ...................................... 600 17,963
El Paso Electric Co.* ............................................. 1,900 17,456
Hawaiian Electric Industries, Inc. ................................ 1,500 53,344
Madison Gas & Electric Co. ........................................ 400 7,900
RGS Energy Group Inc.* ............................................ 1,000 25,875
TNP Enterprises, Inc. ............................................. 500 18,687
United Illuminating Co. ........................................... 400 20,000
----------
257,618
----------
GAS DISTRIBUTION 6.9%
AGL Resources Inc. ................................................ 2,800 50,575
Colonial Gas Co. .................................................. 200 7,525
CTG Resources Inc. ................................................ 200 7,163
Laclede Gas Co. ................................................... 700 15,181
Peoples Energy Corp. .............................................. 1,400 51,012
SEMCO Energy, Inc. ................................................ 600 8,700
South Jersey Industries, Inc. ..................................... 300 8,550
Southern Union Co.* ............................................... 840 17,588
Southwest Gas Corp. ............................................... 1,000 27,875
UGI Corp. ......................................................... 1,400 32,112
Washington Gas Light Co. .......................................... 2,000 53,375
Western Gas Resources Inc. ........................................ 500 8,531
WICOR, Inc. ....................................................... 1,900 55,575
Yankee Energy Systems, Inc. ....................................... 400 16,400
----------
360,162
----------
WATER 0.2%
California Water Service Group .................................... 300 8,963
----------
Total Utilities ................................................... 626,743
----------
Total Common Stocks and Investments
(Cost $5,178,683) - 99.9% ....................................... 5,194,111
Cash and Other Assets, Less Liabilities - 0.1% .................... 2,647
----------
Net Assets - 100.0% ............................................... $5,196,758
==========
Federal Income Tax Information:
At August 31, 1999, the net unrealized appreciation of
investments based on cost for Federal income tax purposes of
$5,178,683 was as follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost ................. $ 405,605
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value ................. (390,177)
----------
$ 15,428
==========
- ------------------------------------------------------------------------------------------------------
*Nonincome-producing securities.
</TABLE>
The accompanying notes are in integral part of the financial statements.
<PAGE>
<TABLE>
- -------------------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------------------
August 31, 1999 (Unaudited)
ASSETS
<S> <C>
Investments, at value (Cost $5,178,683) (Note 1) .......................... $5,194,111
Cash ...................................................................... 77,056
Receivable from Distributor (Note 3) ...................................... 56,096
Dividends and interest receivable ......................................... 7,903
----------
5,335,166
LIABILITIES
Accrued transfer agent and shareholder services
(Note 2) ................................................................ 46,587
Accrued trustees' fees (Note 2) ........................................... 8,818
Accrued management fee (Note 2) ........................................... 7,364
Accrued distribution and service fees (Note 5) ............................ 2,984
Other accrued expenses .................................................... 72,655
----------
138,408
----------
NET ASSETS $5,196,758
==========
Net Assets consist of:
Undistributed net investment income ..................................... $ 39,540
Unrealized appreciation of investments .................................. 15,428
Accumulated net realized gain ........................................... 106,530
Paid-in capital ......................................................... 5,035,260
----------
$5,196,758
==========
Net Asset Value and redemption price per share of
Class A shares ($555,291 / 57,075 shares) ............................... $ 9.73
======
Maximum Offering Price per share of Class A shares ($9.73 / .9425) ........ $10.32
======
Net Asset Value and offering price per share of Class B(1) shares
($514,058 / 53,038 shares)* ............................................. $ 9.69
======
Net Asset Value and offering price per share of Class B shares
($514,058 / 53,038 shares)* ............................................. $ 9.69
======
Net Asset Value and offering price per share of Class C shares
($514,058 / 53,038 shares)* ............................................. $ 9.69
======
Net Asset Value, offering price and redemption
price per share of Class S shares
($3,099,293 / 318,149 shares) ........................................... $ 9.74
======
- -------------------------------------------------------------------------------------------
*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 in integral part of the financial statements.
</TABLE>
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
For the six months ended August 31, 1999 (Unaudited)
INVESTMENT INCOME
Dividends ...................................................... $ 76,667
Interest ....................................................... 1,873
---------
78,540
EXPENSES
Custodian fee .................................................. 70,664
Transfer agent and shareholder services (Note 2) ............... 46,618
Management fee (Note 2) ........................................ 21,038
Reports to shareholders ........................................ 14,041
Trustees' fees (Note 2) ........................................ 10,238
Legal fees ..................................................... 4,774
Audit fee ...................................................... 2,921
Service fee-Class A (Note 5) ................................... 704
Distribution and service fees-Class B(1) (Note 5) .............. 2,605
Distribution and service fees-Class B (Note 5) ................. 2,605
Distribution and service fees-Class C (Note 5) ................. 2,605
Miscellaneous .................................................. 1,069
---------
179,882
Expenses borne by the Distributor (Note 3) ..................... (141,090)
Fees paid indirectly (Note 2) .................................. (31)
---------
38,761
---------
Net investment income .......................................... 39,779
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments (Notes 1 and 4) ............... 106,295
Net unrealized appreciation of investments ..................... 295,243
---------
Net gain on investments ........................................ 401,538
---------
Net increase in net assets resulting from operations ........... $ 441,317
=========
The accompanying notes are in integral part of the financial statements.
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
NOVEMBER 30,
1998
(COMMENCEMENT
OF SIX MONTHS
OPERATIONS TO) ENDED
FEBRUARY 28, AUGUST 31, 1999
1999 (UNAUDITED)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income ........................ $ 21,418 $ 39,779
Net realized gain on investments ............. 87 106,295
Net unrealized appreciation
(depreciation) of investments .............. (279,815) 295,243
---------- ----------
Net increase (decrease) resulting
from operations ............................ (258,310) 441,317
---------- ----------
Dividends from net investment income:
Class A .................................... -- (2,626)
Class B(1) ................................. -- (1,518)
Class B .................................... -- (1,518)
Class C .................................... -- (1,518)
Class S .................................... -- (16,381)
---------- ----------
-- (23,561)
---------- ----------
Net increase from fund share
transactions (Note 6) ...................... 5,030,775 6,537
---------- ----------
Total increase in net assets ................. 4,772,465 424,293
NET ASSETS
Beginning of period .......................... -- 4,772,465
---------- ----------
End of period (including
undistributed net investment income
of $23,322 and $39,540,
respectively) .............................. $4,772,465 $5,196,758
========== ==========
The accompanying notes are in integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
August 31, 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 Trust consists presently of six
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 Income Plus,
State Street Research Strategic Portfolios: Aggressive and State Street
Research International Equity Fund.
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 being
offered only to current shareholders through reinvestment of dividends and
distributions or through exchanges from existing Class B accounts of State
Street Research funds. 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 six months ended August 31, 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 six months ended August 31, 1999, the fees
pursuant to such agreement amounted to $21,038.
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 six months ended August 31, 1999, the amount of
such expenses was $1,910.
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 August 31, 1999 the
Fund's transfer agent fees were reduced by $31 under this agreement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$10,238 during the six months ended August 31, 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 six months ended August 31, 1999, the amount of such expenses
assumed by the Distributor and its affiliates was $141,090.
NOTE 4
For the six months ended August 31, 1999, purchases and sales of securities,
exclusive of short-term obligations, aggregated $2,384,891 and $2,245,172,
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 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 six months ended August
31, 1999, fees pursuant to such plans amounted to $704, $2,605, $2,605 and
$2,605 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 August 31, 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.
NOVEMBER 30, 1998
(COMMENCEMENT OF SIX MONTHS ENDED
OPERATIONS) TO AUGUST 31, 1999
FEBRUARY 28, 1999 (UNAUDITED)
------------------- ------------------
CLASS A SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
Shares sold ......................... 56,370 $ 530,175 1,071 $10,137
Issued upon reinvestment of dividend -- -- 19 180
Shares repurchased .................. -- -- (385) (3,780)
------ ---------- ----- -------
Net increase ........................ 56,370 $ 530,175 705 $ 6,537
====== ========== ===== =======
CLASS B(1) SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
Shares sold ......................... 53,038 $ 500,150 -- $ --
------ ---------- ----- -------
Net increase ........................ 53,038 $ 500,150 -- $ --
====== ========== ===== =======
CLASS B SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
Shares sold ......................... 53,038 $ 500,150 -- $ --
------ ---------- ----- -------
Net increase ........................ 53,038 $ 500,150 -- $ --
====== ========== ===== =======
CLASS C SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
Shares sold ......................... 53,038 $ 500,150 -- $ --
------ ---------- ----- -------
Net increase ........................ 53,038 $ 500,150 -- $ --
====== ========== ===== =======
CLASS S SHARES AMOUNT SHARES AMOUNT
- --------------------------------------------------------------------------------
Shares sold ......................... 318,149 $3,000,150 -- $ --
------ ---------- ----- -------
Net increase ........................ 318,149 $3,000,150 -- $ --
====== ========== ===== =======
<PAGE>
<TABLE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- -------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------------------------------------------------------
August 31, 1999
For a share outstanding throughout each period:
<CAPTION>
CLASS A CLASS B(1)
----------------------------------------- ------------------------------------------
NOVEMBER 30, 1998 NOVEMBER 30, 1998
(COMMENCEMENT OF SIX MONTHS ENDED (COMMENCEMENT OF SIX MONTHS ENDED
OPERATIONS TO AUGUST 31, 1999 OPERATIONS TO AUGUST 31, 1999
FEBRUARY 28, 1999(A) (UNAUDITED)(A) FEBRUARY 28, 1999(A) (UNAUDITED)(A)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD($) 9.43 8.95 9.43 8.93
----- ----- ----- -----
Net investment income($)* 0.04 0.08 0.02 0.04
Net realized and
unrealized gain
(loss) on investments($) (0.52) 0.75 (0.52) 0.75
----- ----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS($) (0.48) 0.83 (0.50) 0.79
----- ----- ----- -----
Dividend from net investment
income($) -- (0.05) -- (0.03)
----- ----- ----- -----
TOTAL DISTRIBUTIONS($) -- (0.05) -- (0.03)
----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD($) 8.95 9.73 8.93 9.69
===== ===== ===== =====
Total return(b)(%) (5.09)(c) 9.25(c) (5.30)(c) 8.84(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
($ thousands) 504 555 474 514
Ratio of operating expenses
to average net assets(%)* 1.40(d) 1.40(d) 2.15(d) 2.15(d)
Ratio of operating expenses
to average net assets after
expense reductions(%)* 1.40(d) 1.40(d) 2.15(d) 2.15(d)
Ratio of net investment income
to average net assets(%)* 1.83(d) 1.59(d) 1.09(d) 0.84(d)
Portfolio turnover rate(%) 0.66 44.64 0.66 44.64
*Reflects voluntary reduction of
expenses per share of these
amounts (Note 3)($) 0.19 0.26 0.19 0.26
</TABLE>
<TABLE>
<CAPTION>
CLASS B CLASS C
----------------------------------------- -------------------------------------------
NOVEMBER 30, 1998 NOVEMBER 30, 1998
(COMMENCEMENT OF SIX MONTHS ENDED (COMMENCEMENT OF SIX MONTHS ENDED
OPERATIONS TO AUGUST 31, 1999 OPERATIONS TO AUGUST 31, 1999
FEBRUARY 28, 1999(A ) (UNAUDITED)(A) FEBRUARY 28, 1999(A) (UNAUDITED)(A)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD($) 9.43 8.93 9.43 8.93
----- ----- ----- -----
Net investment income($)* 0.02 0.04 0.02 0.04
Net realized and
unrealized gain
(loss) on investments($) (0.52) 0.75 (0.52) 0.75
----- ----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS($) (0.50) 0.79 (0.50) 0.79
----- ----- ----- -----
Dividend from net investment
income($) -- (0.03) -- (0.03)
----- ----- ----- -----
TOTAL DISTRIBUTIONS($) -- (0.03) -- (0.03)
----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD($) 8.93 9.69 8.93 9.69
===== ===== ===== =====
Total return(b)(%) (5.30)(c) 8.84(c) (5.30)(c) 8.84(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
($ thousands) 474 514 474 514
Ratio of operating expenses
to average net assets(%)* 2.15(d) 2.15(d) 2.15(d) 2.15(d)
Ratio of operating expenses
to average net assets after
expense reductions(%)* 2.15(d) 2.15(d) 2.15(d) 2.15(d)
Ratio of net investment income
to average net assets(%)* 1.09(d) 0.84(d) 1.09(d) 0.84(d)
Portfolio turnover rate(%) 0.66 44.64 0.66 44.64
*Reflects voluntary reduction of
expenses per share of these
amounts (Note 3)($) 0.19 0.26 0.19 0.26
- ---------------------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total return would be lower if the Distributor and its
affiliates had not voluntarily assumed a portion of the Fund's expenses.
(c) Not annualized
(d) Annualized
</TABLE>
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
- --------------------------------------------------------------------------------
CLASS S
--------------------------------------
NOVEMBER 30, 1998
(COMMENCEMENT OF SIX MONTHS ENDED
OPERATIONS TO AUGUST 31, 1999
FEBRUARY 28, 1999(A) (UNAUDITED)(A)
- --------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF
PERIOD($) 9.43 8.95
---- ----
Net investment income($)* 0.05 0.09
Net realized and unrealized gain
(loss) on investments($) (0.53) 0.75
---- ----
TOTAL FROM INVESTMENT OPERATIONS($) (0.48) 0.84
---- ----
Dividend from net investment income($) -- (0.05)
---- ----
TOTAL DISTRIBUTIONS($) -- (0.05)
---- ----
NET ASSET VALUE, END OF PERIOD($) 8.95 9.74
==== ====
Total return(b)(%) (5.09)(c) 9.42(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
($ thousands) 2,848 3,099
Ratio of operating expenses to average
net assets(%)* 1.15(d) 1.15(d)
Ratio of operating expenses to average
net assets after expense reductions(%)* 1.15(d) 1.15(d)
Ratio of net investment income to
average net assets(%)* 2.09(d) 1.84(d)
Portfolio turnover rate(%) 0.66 44.64
*Reflects voluntary reduction of
expenses per share of these amounts
(Note 3)($) 0.19 0.26
- ------------------------------------------------------------------------------
(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
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------
REPORT ON SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders of the State Street Research IntelliQuant
Portfolios: Small-Cap Value ("Fund"), along with shareholders of other series
of State Street Research Financial Trust ("Trust"), was convened on April 6,
1999 ("Meeting"), and continued thereafter. The results of the Meeting are set
forth below.
VOTES (MILLIONS
OF SHARES)
(COMBINED FOR ALL
SERIES OF THE
TRUST)
-----------------
ACTION ON PROPOSAL FOR WITHHELD
- --------------------------------------------------------------------------------
The following persons were elected as Trustees:
Bruce R. Bond ............................................. 40.9 0.7
Steve A. Garban ........................................... 40.9 0.7
Malcolm T. Hopkins ........................................ 40.9 0.7
Susan M. Phillips ......................................... 40.9 0.7
<PAGE>
<TABLE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
- --------------------------------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH FINANCIAL TRUST
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
FUND INFORMATION OFFICERS TRUSTEES
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 & BRUCE R. BOND
Management Company JOHN R. BORZILLERI, M.D. Former Chairman of the Board
One Financial Center Vice President Chief Executive Officer and
Boston, MA 02111 President, PictureTel Corporation
JOHN H. KALLIS
DISTRIBUTOR Vice President STEVE A. GARBAN
State Street Research Former Senior Vice President
Investment Services, Inc. THOMAS P. MOORE, JR. for Finance and Operations and
One Financial Center Vice President Treasurer, The Pennsylvania
Boston, MA 02111 State University
E.K. EASTON RAGSDALE, JR.
SHAREHOLDER SERVICES Vice President MALCOLM T. HOPKINS
State Street Research Former Vice Chairman of the
Service Center THOMAS A. SHIVELY Board and Chief Financial
P.O. Box 8408 Vice President Officer, St. Regis Corp.
Boston, MA 02266-8408
1-800-562-0032 JAMES M. WEISS DEAN O. MORTON
Vice President Former Executive Vice President
CUSTODIAN Chief Operating Officer
State Street Bank and GERARD P. MAUS and Director, Hewlett-Packard
Trust Company Treasurer Company
225 Franklin Street
Boston, MA 02110 JOSEPH W. CANAVAN SUSAN M. PHILLIPS
Assistant Treasurer Dean, School of Business and
LEGAL COUNSEL Public Management, George
Goodwin, Procter & Hoar LLP DOUGLAS A. ROMICH Washington University; former
Exchange Place Assistant Treasurer Member of the Board of Governors
Boston, MA 02109 of the Federal Reserve System and
FRANCIS J. MCNAMARA, III Chairman and Commissioner of
Secretary and General Counsel the Commodity Futures Trading
Commission
DARMAN A. WING
Assistant Secretary and TOBY ROSENBLATT
Assistant General Counsel President,
The Glen Ellen Company
AMY L. SIMMONS President,
Assistant Secretary Founders Investments Ltd.
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
STATE STREET RESEARCH
[Logo]
LASTING VALUE
- -------------
LEADING IDEAS
QUESTIONS? COMMENTS?
CALL us at 1-800-562-0032
[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
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.
This report must be accompanied or preceded by a current State
Street Research IntelliQuant Portfolios: Small-Cap Value prospectus. When used
after December 31, 1999, 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: (exp1000) SSR-LD IQ-320G-1099
