<PAGE>
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STATE STREET RESEARCH
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INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
--------------------------------------------
SEMIANNUAL REPORT
August 31, 2000
---------------------
WHAT'S INSIDE
---------------------
INVESTMENT UPDATE
About the fund,
economy and markets
FUND INFORMATION
Facts and figures
PLUS, COMPLETE PORTFOLIO HOLDINGS
AND FINANCIAL STATEMENTS
-------------------
[DALBAR LOGO]
-------------------
For Excellence
[Logo] STATE STREET RESEARCH in
Service
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
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INVESTMENT UPDATE
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INVESTMENT ENVIRONMENT
THE ECONOMY
o The U.S. economy is slowing, but predictions of a broad slowdown may still be
premature. Second quarter GDP -- a broad measure of economic growth--grew at
an annual rate of 5.2%, higher than the first quarter growth of 4.8%.
o In an effort to stave off inflation, the Federal Reserve Board raised
short-term interest rates twice during the six-month period. The federal
funds rate now stands at 6.5%.
o Corporate profit growth has slowed, but new home sales and consumer spending
remained strong. The savings rate slid to a record low 0.1% toward the end of
the period, and consumer debt rose.
THE MARKETS
o After losing ground in the spring, the stock market strengthened during
August. The Dow Jones Industrials closed above 11,000 for the first time
since April and the S&P 500 rose above 1,500 as investors rotated into
old-economy value stocks.(1) The Nasdaq sank into bear territory in March and
remained volatile throughout the period.
o The 10-year Treasury bond replaced the 30-year bond as the official
bellwether of the U.S. bond market. The yield on the 10-year Treasury bond
fell from 6.4% to almost 6.0% during the six-month period. Municipal and
corporate bonds rose, but high yield bonds lagged.
THE FUND
OVER THE PAST SIX MONTHS
o For the six months ended August 31, 2000, Class A shares of State Street
Research IntelliQuant Portfolios: Small-Cap Value returned 9.45% (does not
reflect sales charge). The fund underperformed the Russell 2000 Value Index,
which returned 10.57%.(1)
o A relatively high exposure to the medical services and property and casualty
insurance sectors helped boost performance.
o The fund was hurt by its underweighted exposure to oil service, construction
and real estate stocks, which gained significant ground during the period.
The market's focus on momentum-driven stocks, where the fund was also
underweighted, was another negative for fund performance.
CURRENT STRATEGY
o Our strategy remains the same: apply a consistent, disciplined quantitative
approach to stock selection.
o In June, we rebalanced our sector weightings to match our benchmark, which
had redefined its categories during the period.
o With interest rates drifting lower and an economy that seems to be
moderating, we believe the environment has become more favorable for
small-cap value stocks.
August 31, 2000
(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 below average growth. The indices do not take transaction charges into
consideration. It is not possible to invest directly in the indices.
(2) 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.
(3) Performance reflects maximum 5.75% Class A share front-end sales charge.
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, 2000)
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(at maximum applicable sales charge)(2)(3)
-----------------------------------------------------------
LIFE OF FUND
(since 11/30/98) 1 YEAR
-----------------------------------------------------------
Class A -0.23% -3.95%
-----------------------------------------------------------
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 CIRRUS LOGIC Electronics 1.6%
2 VENATOR GROUP Retail 1.4%
3 PIER 1 IMPORTS Household furnishing 1.4%
4 IDACORP Electric utility 1.4%
5 STANCORP Financial services 1.3%
6 INVESTORS Financial services 1.3%
7 CYTEC Chemicals and materials manufacturing 1.3%
8 WASHINGTON GAS Gas distribution 1.2%
9 RYDER Transportation management 1.1%
10 CELL GENESYS Development of gene therapies 1.1%
These securities represent an aggregate of 13.1% of the portfolio. Because of
active management, there is no guarantee that the Fund currently invests, or
will continue to invest, in the securities listed in this table or in the text
above.
TOP 5 INDUSTRIES
(by percentage of net assets)
REAL ESTATE INVESTMENT TRUSTS 10.6%
BANKS & SAVINGS & LOANS 10.4%
RETAIL 6.4%
ELECTRICAL 5.2%
INSURANCE 5.1%
Total: 37.7%
<PAGE>
<TABLE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
------------------------------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
------------------------------------------------------------------------------------------------------
August 31, 2000 (Unaudited)
<CAPTION>
------------------------------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS 96.9%
AUTOMOBILES & TRANSPORTATION 4.7%
AIR TRANSPORT 0.4%
Frontier Airlines Inc.* ............................................... 700 $ 11,988
Mesa Air Group, Inc.* ................................................. 1,700 9,456
----------
21,444
----------
AUTOMOTIVE PARTS 1.5%
American Axle & Manufacturing Holdings Inc.* .......................... 700 10,062
ArvinMeritor Inc. ..................................................... 600 9,900
Lear Corp.* ........................................................... 1,300 28,031
Superior Industries International Inc. ................................ 900 29,194
----------
77,187
----------
MISCELLANEOUS TRANSPORTATION 0.6%
Circle International Group Inc. ....................................... 800 28,650
----------
RECREATIONAL VEHICLES & BOATS 0.2%
Winnebago Industries, Inc. ............................................ 800 10,250
----------
TRUCKERS 2.0%
American Freightways Corp.* ........................................... 700 11,506
Arkansas Best Corp.* .................................................. 1,000 15,063
Landstar Systems Inc.* ................................................ 400 20,400
Roadway Express Inc. .................................................. 500 11,500
US Freightways Corp. .................................................. 1,500 46,781
----------
105,250
----------
Total Automobiles & Transportation .................................... 242,781
----------
CONSUMER DISCRETIONARY 16.0%
ADVERTISING AGENCIES 1.1%
ADVO Inc.* ............................................................ 900 36,844
RH Donnelley Corp.* ................................................... 1,000 21,000
----------
57,844
----------
CASINOS/GAMBLING, HOTEL/MOTEL 0.5%
Aztar Corp.* .......................................................... 1,300 18,931
Boyd Gaming Corp.* .................................................... 1,900 8,788
----------
27,719
----------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 0.4%
Gaylord Entertainment Co.* ............................................ 800 20,900
----------
CONSUMER ELECTRONICS 1.1%
Harman International Industries, Inc. ................................. 600 46,050
Universal Electronics Inc.* ........................................... 400 9,481
----------
55,531
----------
CONSUMER PRODUCTS 0.9%
Block Drug Co. Inc. Cl. A ............................................. 415 16,807
Fedders Corp. ......................................................... 1,900 9,856
Herbalife International Inc. .......................................... 1,000 9,688
National Presto Industries Inc. ....................................... 300 9,131
----------
45,482
----------
CONSUMER SERVICES 0.7%
APAC Telecommunications Corp. ......................................... 800 6,350
Dollar Thrifty Automotive Group, Inc.* ................................ 1,000 22,625
Insurance Auto Auctions Inc. .......................................... 400 6,600
----------
35,575
----------
HOUSEHOLD FURNISHINGS 0.3%
Springs Industries, Inc. .............................................. 600 17,925
----------
LEISURE TIME 1.2%
Callaway Golf Co. ..................................................... 3,900 56,306
Sturm Ruger & Company Inc. ............................................ 1,100 9,144
----------
65,450
----------
PHOTOGRAPHY 0.9%
CPI Corp. ............................................................. 400 9,750
Polaroid Corp. ........................................................ 2,100 35,700
----------
45,450
----------
PRINTING & PUBLISHING 0.6%
Hollinger International, Inc. Cl. A ................................... 1,300 21,287
Information Holdings Inc.* ............................................ 300 9,638
----------
30,925
----------
RESTAURANTS 0.2%
Lone Star Steakhouse & Saloon Inc.* ................................... 1,000 8,438
----------
RETAIL 6.4%
Cato Corp. Cl. A ...................................................... 900 11,137
Charming Shoppes, Inc.* ............................................... 3,700 20,119
Chicos FAS Inc.* ...................................................... 400 15,600
Dress Barn Inc.* ...................................................... 500 10,656
Fisher Scientific International Inc.* ................................. 1,500 32,906
Genesco Inc.* ......................................................... 600 9,713
Handleman Co.* ........................................................ 900 11,137
Intertan, Inc.* ....................................................... 800 11,100
Lands End Inc.* ....................................................... 500 12,219
Lawson Products Inc. .................................................. 400 10,100
Pier 1 Imports Inc. ................................................... 6,100 71,675
Russ Berrie & Company Inc. ............................................ 500 10,250
Spiegel, Inc. Cl. A ................................................... 1,200 8,175
Ultimate Electronics Inc.* ............................................ 400 14,025
Venator Group Inc.* ................................................... 5,300 74,200
Wilsons The Leather Experts Inc.* ..................................... 600 12,225
----------
335,237
----------
SHOES 0.9%
Reebok International Ltd.* ............................................ 2,400 46,050
----------
TEXTILE APPAREL MANUFACTURERS 0.8%
Guess Inc.* ........................................................... 600 13,613
Phillips-Van Heusen Corp. ............................................. 1,200 10,950
Russell Corp. ......................................................... 900 17,156
----------
41,719
----------
Total Consumer Discretionary .......................................... 834,245
----------
CONSUMER STAPLES 3.8%
BEVERAGES 0.3%
Farmer Brothers Co. ................................................... 100 17,231
----------
FOODS 3.3%
Fleming Companies, Inc. ............................................... 1,400 21,612
NBTY Inc.* ............................................................ 2,700 19,069
Pilgrims Pride Corp. Cl. B ............................................ 1,300 8,856
Riviana Foods, Inc. ................................................... 500 8,563
Seaboard Corp. ........................................................ 100 19,500
Smithfield Foods Inc.* ................................................ 1,900 50,469
Universal Foods Co.* .................................................. 2,200 45,100
----------
173,169
----------
TOBACCO 0.2%
Schweitzer-Mauduit International, Inc. ................................ 700 10,189
----------
Total Consumer Staples ................................................ 200,589
----------
FINANCIAL SERVICES 31.6%
BANKS & SAVINGS & LOAN 10.4%
Andover Bancorp Inc. .................................................. 300 8,775
Bancorpsouth Inc. ..................................................... 1,900 27,787
Cathay Bancorp Inc. ................................................... 500 24,937
Chittenden Corp. ...................................................... 1,100 30,112
CPB Inc. .............................................................. 400 10,350
Downey Financial Corp. ................................................ 1,000 33,500
East West Bancorp Inc. ................................................ 700 11,944
First Citizens Bancshares Inc. Cl. A .................................. 200 13,163
First Commonwealth Financial Corp. .................................... 2,400 22,950
First Federal Capital Corp. ........................................... 900 10,406
First Merchants Corp. ................................................. 500 11,156
First United Bancshares Inc. .......................................... 1,300 21,125
GBC Bancorp ........................................................... 300 11,363
Greater Bay Bancorp ................................................... 600 37,200
Imperial Bancorp* ..................................................... 1,200 26,100
Investors Financial Services Co. ...................................... 1,100 67,719
MAF Bancorp Inc. ...................................................... 1,000 21,500
MidAmerica Bancorp .................................................... 409 10,634
Premier National Bancorp Inc. ......................................... 800 16,200
Riggs National Corp. .................................................. 800 9,550
Silicon Valley Bancshares* ............................................ 1,000 57,625
UCBH Holdings Inc. .................................................... 400 12,100
United National Bancorp ............................................... 600 10,500
Wells Fargo & Co. ..................................................... 538 23,219
Westcorp .............................................................. 920 12,018
----------
541,933
----------
FINANCIAL DATA PROCESSING SERVICES & SYSTEMS 0.2%
National Processing, Inc.* ............................................ 900 10,631
----------
INSURANCE 5.1%
Alfa Corp. ............................................................ 1,800 34,087
American National Insurance Co. ....................................... 300 18,450
AmerUs Life Holdings Inc. ............................................. 400 9,875
CNA Surety Corp. ...................................................... 800 9,250
Commerce Group Inc. ................................................... 1,100 28,600
Delphi Financial Group Inc.* .......................................... 500 20,687
FBL Financial Group Inc. .............................................. 600 8,850
Kansas City Life Insurance Co. ........................................ 300 10,013
Midland Co. ........................................................... 400 10,300
National Western Life Insurance Co. Cl. A* ............................ 100 6,981
SCPIE Holdings Inc. ................................................... 500 10,875
Selective Insurance Group Inc. ........................................ 1,000 17,938
Stancorp Financial Group Inc. ......................................... 1,700 68,000
State Auto Financial Corp. ............................................ 900 11,306
----------
265,212
----------
MISCELLANEOUS FINANCIAL 1.0%
Finova Group Inc. ..................................................... 2,200 15,262
Southwest Securities Group Inc. ....................................... 550 18,253
The Student Loan Corp. ................................................ 200 9,538
WFS Financial Inc. .................................................... 600 8,888
----------
51,941
----------
REAL ESTATE INVESTMENT TRUSTS 10.6%
Arden Realty Inc. ..................................................... 1,100 28,050
Brandywine Realty Trust ............................................... 500 10,250
BRE Properties Inc. Cl. A ............................................. 800 23,350
Cabot Industrial Trust ................................................ 900 17,663
Camden Property Trust ................................................. 700 20,956
Centerpoint Properties Trust .......................................... 500 21,906
Chelsea GCA Realty Inc. ............................................... 500 16,781
Developers Diversified Realty Corp. ................................... 1,200 17,400
Essex Property Trust, Inc. ............................................ 500 24,594
FelCor Lodging Trust Inc. ............................................. 900 20,025
First Industrial Realty Trust Inc. .................................... 700 20,781
Franchise Finance Corp. of America .................................... 1,000 22,500
Health Care Property Investors, Inc. .................................. 802 21,103
Highwoods Properties Inc. ............................................. 1,000 24,062
Home Properties of New York Inc. ...................................... 600 17,812
Hospitality Properties Trust .......................................... 900 20,925
HRPT Properties Trust ................................................. 2,100 14,306
IndyMac Bancorp Inc.* ................................................. 900 15,188
Koger Equity Inc. ..................................................... 1,000 17,125
Mid America Apartment Communities Inc. ................................ 800 19,350
New Plan Excel Realty Trust Inc. ...................................... 1,600 22,100
Prentiss Properties Trust ............................................. 800 19,450
Reckson Associates Realty Co. ......................................... 900 21,881
Storage USA, Inc. ..................................................... 600 18,075
Summit Properties Inc. ................................................ 900 20,925
Sun Communities Inc. .................................................. 500 15,469
United Dominion Realty Trust Inc. ..................................... 1,900 20,544
Weingarten Realty Investors ........................................... 500 20,250
----------
552,821
----------
RENTAL & LEASING SERVICES: COMMERCIAL 1.7%
Rollins Truck Leasing Corp. ........................................... 1,400 9,450
Ryder Systems Inc. .................................................... 3,100 59,481
XTRA Corp.* ........................................................... 500 22,188
----------
91,119
----------
SECURITIES BROKERAGE & SERVICES 2.6%
Advanta Corp. Cl. A ................................................... 800 10,400
Dain Rauscher Corp. ................................................... 500 40,219
Morgan Keegan Inc. .................................................... 600 12,038
Phoenix Investment Partners Ltd. ...................................... 1,600 23,800
Raymond James Financial Inc. .......................................... 1,400 39,900
Tucker Anthony Sutro Corp. ............................................ 500 11,781
----------
138,138
----------
Total Financial Services .............................................. 1,651,795
----------
HEALTH CARE 4.6%
DRUGS & BIOTECHNOLOGY 3.4%
Ariad Pharmaceuticals Inc. ............................................ 800 10,100
Cell Genesys Inc. ..................................................... 1,900 58,544
Genome Therapeutics Corp. ............................................. 700 17,588
Neurocrine Biosciences Inc. ........................................... 700 28,962
Ribozyme Pharmaceuticals Inc. ......................................... 400 11,550
Sciclone Pharmaceuticals Inc. ......................................... 900 10,631
Titan Pharmaceuticals Inc. ............................................ 700 32,856
Vivus Inc. ............................................................ 1,600 8,300
----------
178,531
----------
HEALTH CARE SERVICES 0.4%
Hooper Holmes Inc. .................................................... 2,000 23,375
----------
HOSPITAL SUPPLY 0.8%
Cooper Companies Inc. ................................................. 500 16,438
Cygnus Inc. ........................................................... 800 9,750
Polymedica Corp. ...................................................... 400 14,200
----------
40,388
----------
Total Health Care ..................................................... 242,294
----------
MATERIALS & PROCESSING 12.5%
BUILDING & CONSTRUCTION 1.0%
Emcor Group Inc. ...................................................... 400 9,681
Lennox International Inc. ............................................. 1,500 20,719
Texas Industries Inc. ................................................. 700 23,887
----------
54,287
----------
CHEMICALS 3.9%
Calgon Carbon Corp. ................................................... 1,300 11,050
Cytec Industries, Inc. ................................................ 2,000 66,750
Georgia Gulf Corp. .................................................... 1,000 13,000
Lubrizol Corp. ........................................................ 2,300 49,881
NL Industries, Inc. ................................................... 1,100 25,644
Uniroyal Technology Corp. ............................................. 900 15,187
W.R. Grace & Co. ...................................................... 2,900 23,019
----------
204,531
----------
CONTAINERS & PACKAGING 0.8%
Greif Brothers Corp. Cl. A ............................................ 700 20,213
Mobile Mini Inc. ...................................................... 400 7,475
U.S. Can Corp.* ....................................................... 600 11,475
----------
39,163
----------
DIVERSIFIED MANUFACTURING 0.4%
Olin Corp. ............................................................ 1,200 19,800
----------
FOREST PRODUCTS 1.3%
Pope & Talbot Inc. .................................................... 600 11,925
Rayonier Inc. ......................................................... 1,300 54,031
----------
65,956
----------
MISCELLANEOUS MATERIALS & PROCESSING 3.4%
Commercial Metals Co. ................................................. 700 19,556
CompX International Inc. Cl. A* ....................................... 500 11,344
Lone Star Technologies Inc. ........................................... 1,100 55,275
Maverick Tube Corp.* .................................................. 800 22,450
NS Group Inc.* ........................................................ 500 8,812
Penn Engineering & Manufacturing Corp. ................................ 300 9,994
Shaw Group Inc.* ...................................................... 700 38,981
Valmont Industries Inc. ............................................... 500 9,469
----------
175,881
----------
NON-FERROUS METALS 0.2%
Century Aluminum Co. .................................................. 800 10,450
----------
REAL ESTATE & CONSTRUCTION 0.6%
Crestline Capital Corp. ............................................... 600 11,813
Forest City Enterprises Inc. Cl A ..................................... 600 21,000
----------
32,813
----------
STEEL 0.6%
Worthington Industries Inc. ........................................... 3,200 33,400
----------
TEXTILE & PRODUCTS 0.3%
Wellman, Inc. ......................................................... 1,300 15,681
----------
Total Materials & Processing .......................................... 651,962
----------
OTHER 2.1%
MULTI-SECTOR 2.1%
Carlisle Companies Inc. ............................................... 800 36,650
Carter Wallace Inc. ................................................... 600 15,975
Gentek, Inc. .......................................................... 700 10,675
Lancaster Colony Corp. ................................................ 2,100 48,431
----------
Total Other ........................................................... 111,731
----------
OTHER ENERGY 1.9%
OFFSHORE DRILLING 0.2%
Forcenergy Inc. ....................................................... 500 12,094
----------
OIL & GAS PRODUCERS 1.7%
Callon Petroleum Co.* ................................................. 300 4,594
Clayton Williams Energy Inc.* ......................................... 300 12,112
Comstock Resources Inc. ............................................... 1,200 11,925
Nuevo Energy Co.* ..................................................... 600 11,513
St. Mary Land & Exploration Co.* ...................................... 600 24,825
Vintage Petroleum Inc. ................................................ 1,000 21,000
----------
85,969
----------
Total Other Energy .................................................... 98,063
----------
PRODUCER DURABLES 6.7%
ELECTRICAL EQUIPMENT & COMPONENTS 1.5%
American Superconductor Corp. ......................................... 700 29,706
American Technical Ceramics Corp. ..................................... 400 9,150
Mark IV Industries Inc. ............................................... 1,600 35,800
----------
74,656
----------
INDUSTRIAL PRODUCTS 0.7%
Mine Safety Appliances Co. ............................................ 400 8,200
Standex International Corp. ........................................... 600 11,137
Watts Industries Inc. Cl A ............................................ 800 9,000
X Rite Inc. ........................................................... 900 8,663
----------
37,000
----------
MACHINE TOOLS 0.4%
Lincoln Electric Holdings Inc. ........................................ 1,400 20,475
----------
MACHINERY 2.5%
AGCO Corp. ............................................................ 2,900 30,450
Applied Industrial Technologies, Inc. ................................. 600 10,163
Milacron Inc. ......................................................... 1,500 23,156
Semitool Inc. ......................................................... 600 7,538
Stewart & Stevenson Services, Inc. .................................... 1,500 24,187
Tecumseh Products Co. Cl. A ........................................... 600 23,850
Thomas Industries Inc.* ............................................... 600 12,112
----------
131,456
----------
PRODUCTION TECHNOLOGY EQUIPMENT 1.6%
Kulicke & Soffa Industries Inc.* ...................................... 2,600 47,287
Silicon Valley Group Inc.* ............................................ 1,300 36,238
----------
83,525
----------
Total Producer Durables ............................................... 347,112
----------
TECHNOLOGY 4.3%
COMMUNICATIONS TECHNOLOGY 1.0%
Analysts International Corp. .......................................... 1,000 8,313
Anixter International, Inc.* .......................................... 700 24,500
E.MedSoft.com ......................................................... 1,200 4,650
EPlus Inc. ............................................................ 400 7,825
Lightspan Inc. ........................................................ 1,500 5,320
VelocityHSI Inc. ...................................................... 160 560
----------
51,168
----------
COMPUTER SOFTWARE 0.2%
Blaze Software Inc. ................................................... 700 13,213
----------
COMPUTER TECHNOLOGY 0.7%
Imation Corp.* ........................................................ 1,300 28,925
Intergraph Corp.* ..................................................... 1,500 9,000
----------
37,925
----------
ELECTRONICS 0.8%
Cubic Corp. ........................................................... 500 10,750
Pioneer-Standard Electronics Inc. ..................................... 1,500 20,531
Primex Technologies, Inc. ............................................. 400 9,700
----------
40,981
----------
ELECTRONICS: SEMI-CONDUCTORS/COMPONEN TS 1.6%
Cirrus Logic, Inc.* ................................................... 2,700 81,675
----------
Total Technology ...................................................... 224,962
----------
UTILITIES 8.7%
MISCELLANEOUS UTILITIES 0.5%
Vectren Corp. ......................................................... 1,400 26,600
----------
ELECTRICAL 5.2%
Avista Corp. .......................................................... 2,200 40,563
CMP Group Inc. ........................................................ 1,300 38,205
Hawaiian Electric Industries, Inc. .................................... 1,700 55,675
IDACORP Inc. .......................................................... 1,800 70,987
Otter Tail Power Co. .................................................. 1,000 20,875
UIL Holding Corp. ..................................................... 500 25,156
Unisource Energy Corp. ................................................ 1,400 21,788
----------
273,249
--------------
GAS DISTRIBUTION 2.7%
CTG Resources Inc. .................................................. 200 8,100
Energy North Inc. ..................................................... 200 11,975
Providence Energy Corp. ............................................... 200 8,475
Southwestern Energy Co. ............................................... 1,200 9,300
UGI Corp. ............................................................. 900 20,531
Washington Gas Light Co. .............................................. 2,400 60,750
Western Gas Resources Inc. ............................................ 900 19,744
----------
138,875
----------
TELECOMMUNICATIONS 0.1%
American Telesource International Inc. ................................ 1,500 4,500
----------
WATER 0.2%
SJW Corp. ............................................................. 100 11,950
----------
Total Utilities ....................................................... 455,174
----------
Total Common Stocks (Cost $4,856,523) ................................. 5,060,708
----------
SHORT-TERM INVESTMENTS 0.6%
State Street Navigator Securities Lending Prime Portfolio ............. 28,400 28,400
----------
Total Short Term Investments (Cost $28,400) ..................................... 28,400
----------
------------------------------------------------------------------------------------------------------
PRINCIPAL MATURITY
AMOUNT DATE
------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER 3.5%
American Express Credit Corp., 6.53% ........... $182,000 9/05/2000 $ 82,000
----------
Total Commercial Paper (Cost $182,000) .................................................. 182,000
----------
Total Investments (Cost $5,066,922) -- 101.0% ........................................... 5,271,108
----------
Cash and Other Assets, Less Liabilities -- (1.0%) ....................................... (50,808)
----------
Net Assets - 100.0% ..................................................................... $5,220,300
==========
Federal Income Tax Information:
At August 31, 2000, the net unrealized appreciation of investments based on cost for
Federal income tax purposes of $5,066,922 was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an
excess of value over tax cost ......................................................... $ 475,966
Aggregate gross unrealized depreciation for all investments in which there is an
excess of tax cost over value ......................................................... (271,780)
-----------
$ 204,186
==========
------------------------------------------------------------------------------------------------------
* Nonincome-producing securities.
</TABLE>
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
-------------------------------------------------------------------------------
August 31, 2000 (Unaudited)
ASSETS
Investments, at value (Cost $5,066,922) (Note 1) ................. $5,271,108
Cash ............................................................. 141
Receivable from Distributor (Note 3) ............................. 35,073
Dividends and interest receivable ................................ 9,397
Receivable for fund shares sold .................................. 50
Other assets ..................................................... 12,239
----------
5,328,008
LIABILITIES
Payable for collateral received on securities loaned ............. 28,400
Accrued trustees' fees (Note 2) .................................. 8,158
Accrued management fee (Note 2) .................................. 3,717
Other accrued expenses ........................................... 67,433
----------
107,708
----------
NET ASSETS $5,220,300
==========
Net Assets consist of:
Undistributed net investment income ............................ $ 40,700
Unrealized appreciation of investments ......................... 204,186
Accumulated net realized loss .................................. (180,537)
Paid-in capital ................................................ 5,155,951
----------
$5,220,300
==========
Net Asset Value and redemption price per share of
Class A shares ($5,220,300 / 548,619 shares) ................... $ 9.52
======
Maximum Offering Price per share of Class A shares ($9.52 / .9425) $10.10
======
-------------------------------------------------------------------------------
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 six months ended August 31, 2000 (Unaudited)
INVESTMENT INCOME
Dividends ....................................................... $ 65,323
Interest (Note 1) ............................................... 6,821
---------
72,144
EXPENSES
Custodian fee ................................................... 40,350
Transfer agent and shareholder services (Note 2) ................ 29,038
Management fee (Note 2) ......................................... 20,387
Reports to shareholders ......................................... 13,569
Audit fee ....................................................... 11,135
Legal fees ...................................................... 7,611
Trustees' fees (Note 2) ......................................... 7,353
Service and distribution fees-Class A (Note 5) .................. 7,238
Miscellaneous .................................................. 2,730
---------
139,411
Fees paid indirectly (Note 2) ................................... (1,029)
Expenses borne by the Distributor (Note 3) ...................... (101,838)
---------
36,544
---------
Net investment income ........................................... 35,600
---------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized loss on investments (Notes 1 and 4) ................ (131,510)
Net unrealized appreciation of investments ...................... 545,463
---------
Net gain on investments ......................................... 413,953
---------
Net increase in net assets resulting from operations ............ $ 449,553
=========
-------------------------------------------------------------------------------
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
-------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
YEAR ENDED AUGUST 31, 2000
FEBRUARY 29, 2000 (UNAUDITED)
-------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income .................. $ 83,565 $ 35,600
Net realized gain (loss) on
investments .......................... 63,457 (131,510)
Net unrealized appreciation
(depreciation) of investments ........ (61,462) 545,463
---------- ----------
Net increase resulting from operations . 85,560 449,553
---------- ----------
Dividends from net investment income:
Class A .............................. (11,220) --
Class B(1) ........................... (6,291) --
Class B .............................. (6,291) --
Class C .............................. (6,291) --
Class S .............................. (70,467) --
---------- ----------
(100,560) --
---------- ----------
Distribution from capital gains:
Class A .............................. (4,466) (74,769)
Class B(1) ........................... (4,135) --
Class B .............................. (4,135) --
Class C .............................. (4,135) --
Class S .............................. (24,802) --
---------- ----------
(41,673) (74,769)
---------- ----------
Net increase from fund share
transactions (Note 7) ................ 50,400 79,324
---------- ----------
Total increase (decrease) in
net assets ........................... (6,273) 454,108
NET ASSETS
Beginning of period .................... 4,772,465 4,766,192
---------- ----------
End of period (including undistributed
net investment income of $5,100 and
$40,700, respectively) ............... $4,766,192 $5,220,300
========== ==========
The accompanying notes are an integral part of the financial statements.
<PAGE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
-------------------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
-------------------------------------------------------------------------------
August 31, 2000
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 seven separate funds: State
Street Research IntelliQuant Portfolios: Small-Cap Value, State Street Research
Health Sciences Fund, State Street Research Concentrated Growth Fund, State
Street Research Government Income Fund, State Street Research Strategic Income
Plus Fund, 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. Effective December 29, 1999, the Fund
discontinued offering Class B(1), Class B, Class C and Class S shares. Only
Class A shares are presently available for purchase. Class A shares are subject
to an initial sales charge of up to 5.75%. From March 1, 2000 to April 30, 2000,
Class A shares paid a service fee equal to 0.25% of average daily net assets.
Beginning May 1, 2000, Class A shares pay an annual distribution and service fee
equal to 0.30% 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 MetLife, Inc.
("MetLife"), and special programs. No sales charge is imposed at the time of
purchase or redemption of Class S shares. Class S shares do not pay any
distribution or service fees. The Fund's expenses are borne pro-rata by each
class, except that each class bears expenses, and has exclusive voting rights
with respect to provisions of the plans of distribution, related specifically to
that class. The Trustees declare separate dividends on each class of shares.
The following significant 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 has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods.
In order to meet certain excise tax distribution requirements under Section 4982
of the Internal Revenue Code, the Fund is required to measure and distribute
annually, if necessary, net capital gains realized during a twelve-month period
ending October 31. In this connection, the Fund is permitted to defer into its
next fiscal year any net capital losses incurred between each November 1 and the
end of its fiscal year. From November 1, 1999 through February 29, 2000, the
Fund incurred net capital losses of approximately $49,000 and it intends to
defer and treat such losses as arising in the fiscal year ended February 28,
2001.
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. At August 31,
2000, the value of the securities loaned and the value of collateral were
$28,238 and $28,400, respectively. During the six months ended August 31, 2000,
income from securities lending amounted to $1,037 and is included in interest
income.
NOTE 2
The Trust and the Adviser have entered into an agreement under which the Adviser
earns monthly fees 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, 2000, the fees pursuant to
such agreement amounted to $20,387.
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 MetLife, 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, 2000, the amount of
such expenses was $12,328.
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, 2000 the Fund's
transfer agent fees were reduced by $1,029 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$7,353 during the six months ended August 31, 2000.
NOTE 3
The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees or expenses relating to the Fund. During
the six months ended August 31, 2000, the amount of such expenses assumed by the
Distributor and its affiliates was $101,838.
NOTE 4
For the six months ended August 31, 2000, purchases and sales of securities,
exclusive of short-term obligations, aggregated $4,751,335 and $4,806,549,
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,
beginning May 1, 2000, the Fund pays annual distribution fees of 0.05% of
average daily net assets for Class A shares. The Fund pays annual distribution
fees of 0.75% of average daily net assets for Class B(1), Class B and Class C
shares. The Distributor uses such payments for personal services and/or the
maintenance or servicing of shareholder accounts, to reimburse securities
dealers for distribution and marketing services, to furnish ongoing assistance
to investors and to defray a portion of its distribution and marketing expenses.
For the six months ended August 31, 2000, fees pursuant to such plans amounted
to $7,238 for Class A.
NOTE 6
On October 18, 2000, the Fund was liquidated and the proceeds of such
liquidation were distributed to the shareholders of the Fund.
NOTE 7
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share. At August 31, 2000, MetLife
owned 543,654 shares of Class A of the Fund.
These transactions break down by share class as follows.
SIX MONTHS ENDED
YEAR ENDED AUGUST 31, 2000
FEBRUARY 29, 2000 (UNAUDITED)
----------------------- -----------------
CLASS A SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------
Shares sold ...................... 482,991 $ 4,548,236 735 $ 6,750
Issued upon reinvestment of:
Dividends from net investment
income ....................... 147 1,319 8,614 74,769
Distribution from capital gains 510 4,466 -- --
Shares redeemed .................. (506) (4,857) (242) (2,195)
------- ----------- ----- -------
Net increase ..................... 483,142 $ 4,549,164 9,107 $79,324
======= =========== ===== =======
CLASS B(1) SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------
Issued upon reinvestment of
distribution from capital gains .. 472 $ 4,135 -- $ --
Shares redeemed .................. (53,510) (504,081) -- --
------- ----------- ----- -------
Net decrease ..................... (53,038) $ (499,946) -- $ --
======= =========== ===== =======
CLASS B SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------
Issued upon reinvestment of
distribution from capital gains .. 472 $ 4,135 -- $ --
Shares redeemed .................. (53,510) (504,081) -- --
------- ----------- ----- -------
Net decrease ..................... (53,038) $ (499,946) -- $ --
======= =========== ===== =======
CLASS C SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------
Issued upon reinvestment of
distribution from capital gains .. 472 $ 4,135 -- $ --
Shares redeemed .................. (53,510) (504,081) -- --
------- ----------- ----- -------
Net decrease ..................... (53,038) $ (499,946) -- $ --
======= =========== ===== =======
CLASS S SHARES AMOUNT SHARES AMOUNT
-------------------------------------------------------------------------------
Issued upon reinvestment of
distribution from capital gains .. 2,832 $ 24,802 -- $ --
Shares redeemed .................. (320,981) (3,023,728) -- --
------- ----------- ----- -------
Net decrease ..................... (318,149) $(2,998,926) -- $ --
======= =========== ===== =======
<PAGE>
<TABLE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
-----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
-----------------------------------------------------------------------------------------------------------------------------------
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
OPERATIONS) TO YEAR ENDED AUGUST 31, 2000 OPERATIONS) TO MARCH 1, 1999 TO
FEBRUARY 28, 1999(A) FEBRURY 29, 2000(A) (UNAUDITED)(A) FEBRUARY 28, 1999(A) DECEMBER 29, 1999(A)
--------------------------------------------------------------------------------------- ---------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD ($) 9.43 8.95 8.83 9.43 8.93
----- ----- ----- ----- -----
Net investment income ($)* 0.04 0.12 0.07 0.02 0.08
Net realized and unrealized
gain (loss) on investments ($) (0.52) 0.04 0.76 (0.52) 0.17
----- ----- ----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) (0.48) 0.16 0.83 (0.50) 0.25
----- ----- ----- ----- -----
Dividend from net investment
income ($) -- (0.20) -- -- (0.12)
Distributions from capital
gains ($) -- (0.08) (0.14) -- (0.08)
----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) -- (0.28) (0.14) -- (0.20)
----- ----- ----- ----- -----
NET ASSET VALUE, END OF
PERIOD ($) 8.95 8.83 9.52 8.93 8.98
===== ===== ===== ===== =====
Total return(b) (%) (5.09)(c) 1.72 9.45(c) (5.30)(c) 2.80(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
($ thousands) 504 4,766 5,220 474 480
Ratio of operating expenses to
average net assets (%)* 1.40(d) 1.40 1.47(d) 2.15(d) 2.15(d)
Ratio of operating expenses to
average net assets after
expense reductions (%)* 1.40(d) 1.40 1.43(d) 2.15(d) 2.15(d)
Ratio of net investment income to
average net assets (%)* 1.83(d) 1.56 1.40(d) 1.09(d) 1.01(d)
Portfolio turnover rate (%) 0.66 95.91 98.57 0.66 95.91
* Reflects voluntary reduction of
expenses per share of these
amounts (Note 3) ($) 0.19 0.16 0.19 0.19 0.43
-----------------------------------------------------------------------------------------------------------------------------------
(a) Per share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total return would be lower if the Distributor and its
affiliates had not voluntarily assumed a portion of the Fund's expenses.
(c) Not annualized
(d) Annualized
</TABLE>
<PAGE>
<TABLE>
STATE STREET RESEARCH INTELLIQUANT PORTFOLIOS: SMALL-CAP VALUE
-----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (cont'd)
-----------------------------------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period:
<CAPTION>
CLASS B CLASS C
------------------------------------------------ ------------------------------------------------
NOVEMBER 30, 1998 NOVEMBER 30, 1998
(COMMENCEMENT OF (COMMENCEMENT OF
OPERATIONS) TO MARCH 1, 1999 TO OPERATIONS) TO MARCH 1, 1999 TO
FEBRUARY 28, 1999(A) DECEMBER 29, 1999(A) FEBRUARY 28, 1999(A) DECEMBER 29, 1999(A)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD ($) 9.43 8.93 9.43 8.93
----- ----- ----- -----
Net investment income ($)* 0.02 0.08 0.02 0.08
Net realized and unrealized
gain (loss) on investments ($) (0.52) 0.17 (0.52) 0.17
----- ----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) (0.50) 0.25 (0.50) 0.25
----- ----- ----- -----
Dividend from net investment
income ($) -- (0.12) -- (0.12)
Distribution from capital gains ($) -- (0.08) -- (0.08)
----- ----- ----- -----
TOTAL DISTRIBUTIONS ($) -- (0.20) -- (0.20)
----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD ($) 8.93 8.98 8.93 8.98
===== ===== ===== =====
Total return(b) (%) (5.30)(c) 2.80(c) (5.30)(c) 2.80(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($
thousands) 474 480 474 480
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) 1.01(d) 1.09(d) 1.01(d)
Portfolio turnover rate (%) 0.66 95.91 0.66 95.91
* Reflects voluntary reduction
of expenses per share
of these amounts (Note 3) ($) 0.19 0.43 0.19 0.44
<CAPTION>
CLASS S
-------------------------------------------
NOVEMBER 30, 1998
(COMMENCEMENT OF
OPERATIONS TO MARCH 1, 1999 TO
FEBRUARY 28, 1999(A) DECEMBER 29, 1999(A)
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 9.43 8.95
----- -----
Net investment income ($)* 0.05 0.16
Net realized and unrealized gain (loss) on investments ($) (0.53) 0.17
----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) (0.48) 0.33
----- -----
Dividend from net investment income ($) -- (0.22)
Distribution from capital gains ($) -- (0.08)
----- -----
TOTAL DISTRIBUTIONS ($) -- (0.30)
----- -----
NET ASSET VALUE, END OF PERIOD ($) 8.95 8.98
===== =====
Total return(b) (%) (5.09)(c) 3.62(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period ($ thousands) 2,848 2,880
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) 2.01(d)
Portfolio turnover rate (%) 0.66 95.91
*Reflects voluntary reduction of expenses per share of these amounts (Note 3) ($) 0.19 0.44
------------------------------------------------------------------------------------------------------------------------------
(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
--------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH FINANCIAL TRUST
--------------------------------------------------------------------------------
<TABLE>
---------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
FUND INFORMATION OFFICERS TRUSTEES
STATE STREET RESEARCH GERARD P. MAUS GERARD P. MAUS
INTELLIQUANT PORTFOLIOS: Chairman of the Board, Chief Financial Officer,
SMALL-CAP VALUE President, Chief Executive Chief Administrative Officer,
One Financial Center Officer and Treasurer Director and Interim Chief
Boston, MA 02111 Operating Officer,
JOHN R. BORZILLERI, M.D. State Street Research &
INVESTMENT ADVISER Vice President Management Company
State Street Research &
Management Company BRUCE A. EBEL BRUCE R. BOND
One Financial Center Vice President Former Chairman of the Board
Boston, MA 02111 Chief Executive Officer and
JOHN H. KALLIS President, PictureTel Corporation
DISTRIBUTOR Vice President
State Street Research STEVE A. GARBAN
Investment Services, Inc. THOMAS P. MOORE, JR. 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
SHAREHOLDER SERVICES Vice President
State Street Research DEAN O. MORTON
Service Center THOMAS A. SHIVELY Former Executive Vice President
P.O. Box 8408 Vice President Chief Operating Officer
Boston, MA 02266-8408 and Director, Hewlett-Packard
1-87-SSR-FUNDS (1-877-773-8637) JAMES M. WEISS Company
Vice President
CUSTODIAN SUSAN M. PHILLIPS
State Street Bank and KENNARD WOODWORTH, JR. Dean, School of Business and
Trust Company Vice President Public Management, George
225 Franklin Street Washington University; former
Boston, MA 02110 DOUGLAS A. ROMICH Member of the Board of Governors
Assistant Treasurer of the Federal Reserve System and
LEGAL COUNSEL Chairman and Commissioner of
Goodwin, Procter & Hoar LLP FRANCIS J. MCNAMARA, III the Commodity Futures Trading
Exchange Place Secretary and General Counsel Commission
Boston, MA 02109
DARMAN A. WING TOBY ROSENBLATT
Assistant Secretary and President,
Assistant General Counsel Founders Investments Ltd.
President,
SUSAN E. BREEN The Glen Ellen Company
Assistant Secretary
MICHAEL S. SCOTT MORTON
AMY L. SIMMONS Jay W. Forrester Professor of
Assistant Secretary 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
QUESTIONS? COMMENTS?
E-MAIL us at:
[email protected]
INTERNET site:
www.StateStreetResearch.com
CALL us toll-free at 1-87-SSR-FUNDS (1-877-773-8637) or
[hearing-impaired 1-800-676-7876]
[Chinese and Spanish-speaking 1-888-638-3193]
WRITE us at:
State Street Research
Service Center
P.O. Box 8408
Boston, MA 02266-8408
[logo] STATE STREET RESEARCH
(c) 2000 State Street Research Investment Services, Inc.,
One Financial Center, Boston, MA 02111
This report is prepared for the general information of current shareholders.
This publication must be preceded or accompanied by a current State Street
Research IntelliQuant Portfolios: Small-Cap Value prospectus.
When used after December 31, 2000, this report must be accompanied by a current
Quarterly Performance Update.
Portfolio changes should not be considered recommendations for action by
individual investors.
The Dalbar awards recognize quality shareholder service and should not be
considered a rating of fund performance. The survey included mutual fund
complexes that volunteered or were otherwise selected to participate and was not
industry-wide.
CONTROL NUMBER: (exp1001) SSR-LD IQ-2487-1000
<PAGE>
[logo] STATE STREET RESEARCH
HEALTH SCIENCES FUND
--------------------------------------------------------------------------------
Semiannual Report to Shareholders
August 31, 2000
In this Report [graphic omitted] Investment
Update
plus
The Fund at a Glance
Fund Portfolio and Financials
<PAGE>
--------------------------------------------------------------------------------
Contents
2 6 MONTH REVIEW
A look at the fund and its market environment over the past 6 months
4 THE FUND IN DETAIL
Portfolio holdings, financials and notes
--------------------------------------------------------------------------------
FROM THE CHAIRMAN
The headlines scream volatility. Stocks experienced a rocky six months,
punctuated by a sharp upturn in August. Many so-called new economy stocks have
given way to a rebound of decidedly old economy stalwarts.
The uncertainty of the investment markets over the past six months reminds us
all that some long-established investment principles still make sense:
diversification, for example, is still a good way to cushion your portfolio
against sharp swings in one sector or asset class. If you have a diversified
portfolio, chances are you felt the downdraft in technology. But you may also
have exposure to some of the market's stronger performers-- health care, energy
and the bond market--all of which have delivered attractive returns in 2000.
If you're uncertain about how much diversification you need and whether the
diversification you have is right for you, talk to your financial professional.
Together, you can build a portfolio of State Street Research funds for any
market environment.
Sincerely,
/s/ Gerard P. Maus
Gerard P. Maus
Chief Executive Officer
State Street Research Funds
[graphic omitted]
--------------------------------------------------------------------------------
6 MONTH REVIEW
--------------------------------------------------------------------------------
HOW STATE STREET RESEARCH
HEALTH SCIENCES FUND PERFORMED
It was a strong period for State Street Research Health Sciences Fund. The fund
returned 51.93% for the six months ending August 31, 2000(1). That put it ahead
of the S&P 500 Index,which returned 11.72% for that same period, and the Lipper
Health/Biotechnology Funds Average, which returned 13.00%(2),(3).
REASONS FOR THE FUND'S PERFORMANCE
Astute stock selection accounted for a significant portion of the fund's
outperformance. Pharmaceutical powerhouse Pharmacia, one of the world's top drug
companies, helped produce positive results. The company has strong fundamentals,
no patent expirations on the horizon and attractive valuation. ALZA and PE
Biosystems Group, the leading supplier of machines needed for much of the
current work in genetics and genomics, were also strong contributors to
performance. However, some of our disappointments were also in the
pharmaceutical group, including Pfizer and SangStat Medical.
CHANGES IN THE PORTFOLIO
During the period, we trimmed our investments in large pharmaceutical companies
and shifted some of the proceeds into mid-cap specialty pharmaceutical
companies, where fundamentals have been strong, and generic drug companies,
where business prospects have improved because many drug patents are due to
expire in the next few years.
LOOKING AHEAD
In the near term, we expect the approaching presidential election to cause some
turmoil in the health care sector. Pharmaceuticals, in particular, may be
volatile because the potential for implementation of a Medicare drug benefit
could put pressure on drug prices. We will continue to emphasize pharmaceutical
stocks on a selective basis and maintain our exposure to HMOs and medical
service companies that have good business prospects.
Because financial markets and mutual fund strategies are constantly evolving,
it's possible that the fund's holdings, market stance, outlook for various
industries or securities, and other matters discussed in this report have
changed since this information was prepared. Portfolio changes should not be
considered recommendations for action by individual investors.
CLASS A SHARES(1)
51.93%
"ASTUTE STOCK SELECTION ACCOUNTED FOR MUCH OF HEALTH SCIENCES FUND'S GAINS."
[Photo of Dr. John Borzilleri]
DR. JOHN BORZILLERI
Portfolio Manager,
State Street Research
S&P 500 Index(2)
11.72%
<PAGE>
--------------------------------------------------------------------------------
[graphic omitted] THE FUND AT A GLANCE as of 8/31/00
--------------------------------------------------------------------------------
STATE STREET RESEARCH HEALTH SCIENCES FUND FOCUSES ON LONG-TERM GROWTH OF
CAPITAL.
--------------------------------------------------------------------------------
ALZA
ALZA Corporation is a mid-cap pharmaceutical company that designs
controlled-dosage drug delivery systems, which range from skin patches to
low-current electric devices that administer drugs through the skin. Recently,
the company successfully launched a new treatment for Attention Deficit Disorder
in children. The stock price has risen from $30 to $75 per share since the
beginning of the year.
[graphic /\ omitted]
HITS & MISSES
[graphic \/ omitted]
SANGSTAT MEDICAL
SangStat Medical is a pharmaceutical company that develops drugs to improve the
outcome of organ transplants. Among its products is a generic version of
Cyclosporin, which is administered to kidney transplant patients. Recently,
another generic manufacturer appeared unexpectedly and took a significant
portion of SangStat's market share. As a result, the company's revenue growth
hasn't lived up to expectations, and we liquidated most of our position in the
stock.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TOTAL NET ASSETS: $2.2 MILLION
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
TOP 10 HOLDINGS PERFORMANCE
--------------------------------------------------------------------------------
% OF
FUND
ISSUER/SECURITY ASSETS AGGREGATE TOTAL RETURN AS OF 8/31/00
1 Pharmacia 9.5% (does not reflect sales charge)(1),(4)
2 American Home Products 5.4% --------------------------------------
3 Schering-Plough 4.3% LIFE OF FUND
4 Genzyme 4.1% SHARE CLASS (12/21/99)
5 ALZA 3.4% Class A 61.20%
6 Baxter International 3.0%
7 Novoste 2.9% AGGREGATE TOTAL RETURN AS OF 9/30/00
8 Pfizer 2.6% (at maximum applicable sales charge)(1),(4),(5)
9 Aradigm 2.4% --------------------------------------
10 Amgen 2.4% Life of Fund
TOTAL 40.0% Share Class (12/21/99)
Class A 59.86%
See page 7 for more detail
--------------------------------------------------------------------------------
TOP 5 INDUSTRIES
--------------------------------------------------------------------------------
% OF FUND ASSETS % OF FUND ASSETS
AUGUST 31, 2000 FEBRUARY 29, 2000
Drugs and Biotechnology 76.9% Drugs and Biotechnology 73.5%
Hospital Supply 9.1% Hospital Supply 8.6%
Health Care Services 3.9% Multi Sector 5.2%
Electronics 2.2% Industrial Products 4.1%
Insurance 1.8% Health Care Services 2.6%
--------------------------------------------------------------------------------
TICKER SYMBOLS*
--------------------------------------------------------------------------------
STATE STREET RESEARCH HEALTH SCIENCES FUND
CLASS A: SHSAX CLASS B(1): SHSPX CLASS B: SHSBX CLASS C: SHSCX CLASS S: SHSSX
--------------------------------------------------------------------------------
(1) Aggregate returns are not annualized.
(2) 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 index does not take
transaction charges into consideration. It is not possible to invest
directly in the index.
(3) The Lipper Health/Biotechnology Funds Average represents competitive groups
of mutual funds maintained by Lipper Inc., an independent provider of mutual
fund data. In September 1999, Lipper introduced a new portfolio-based
classification system for all open-end U.S. diversified equity funds.
(4) Keep in mind that past performance is no guarantee of future results. The
fund's share price and return will fluctuate and you may have a gain or loss
when you sell your shares. Because this fund is focused on one market
sector, it may involve more risk than broadly diversified funds, since its
entire portfolio will be impacted by the performance of the healthcare
industry.
(5) Performance reflects a maximum 5.75% Class A front-end sales charge.
* Proposed
<PAGE>
[graphic omitted]
--------------------------------------------------------------------------------
THE FUND IN DETAIL
--------------------------------------------------------------------------------
The following pages describe the fund in detail as of the date of this report.
They provide a "snapshot" of the fund's holdings at one moment in time (the
report date), describe the financial dimensions of its operations for the six
months leading up to the report date, and give a summary of operations on a
per-share basis. There's also an overview of the fund and its business
structure, as well as information on the accounting policies the fund uses in
arriving at the figures it presents here.
[Photo of Custom Tower, Boston]
Together, the words and numbers in this section offer a comprehensive picture of
the fund and its recent activities. In fact, the text and notes on pages 5 to 13
are an integral part of the financial statements, which wouldn't be complete
without them.
For more information about the fund's strategies, risks and expenses, check the
fund's prospectus; you'll need to read it before making any investments. The
prospectus also has more details on the fund's share classes and its policies
for shareholder accounts. To get a copy of any State Street Research prospectus,
see the back cover of this report.
Keep in mind that in annual reports, the portfolio holdings and financial
statements are AUDITED, while in semiannual reports they are UNAUDITED.
<PAGE>
ABOUT THE FUND
--------------------------------------------------------------------------------
BUSINESS STRUCTURE
State Street Research Health Sciences Fund is a mutual fund. A mutual fund
allows shareholders to pool their assets for investment in a portfolio of
securities. This fund is a series of State Street Research Financial Trust, a
Massachusetts business trust, and is an open-end management investment company.
Four entities administer the fund's main business functions:
o THE BOARD OF TRUSTEES oversee the fund with its shareholders' interests in
mind and have ultimate responsibility for the fund's activities (see back
pages of report for trustee information).
o THE INVESTMENT MANAGER, State Street Research & Management Company, is
responsible for the fund's investment and business activities, and receives
the management fee as compensation.
o THE DISTRIBUTOR, State Street Research Investment Services, Inc., sells
shares of the fund, handles investor inquiries and transaction orders, and
provides other shareholder services.
o THE CUSTODIAN, State Street Bank and Trust Company, holds fund securities,
provides data on their market value, and handles related services.
The investment manager and the distributor are subsidiaries of MetLife, Inc.
State Street Bank and Trust Company is not affiliated with MetLife (the
similarity between its name and the names of the investment manager and
distributor is coincidental). A majority of the trustees consists of people who
are not affiliated with MetLife or any of its subsidiaries. The distributor pays
a portion of its fees to MetLife for services it provides, including maintaining
the accounts of some investors who hold shares through their firm's employee
benefit plans and other sponsored arrangements.
GOAL AND STRATEGY
The fund seeks to provide long-term growth of capital. Under normal market
conditions, the fund invests at least 65% of total assets in securities of
companies in health sciences and related industries. These may include common
and preferred stocks, convertible securities, warrants and depositary receipts.
SHARE CLASSES
The fund generally offers four share classes, each with its own sales charge and
expense structure. As of August 31, 2000, only Class A shares are presently
available for purchase. Effective October 13, 2000, Class B(1), Class B, Class
C, and Class S will also be available for purchase. The fund also generally
offers an additional class of shares (Class B) but only to current Class B
shareholders through reinvestment of dividends and distributions or through
exchanges from existing Class B accounts of other State Street Research funds.
Class A shares are subject to an initial sales charge of up to 5.75%. From March
1, 2000 to April 30, 2000, Class A shares paid a service fee equal to 0.25% of
average daily net assets. Beginning May 1, 2000, Class A shares pay an annual
distribution and service fee equal to 0.30% of average daily net assets. Class
B(1) and 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) and B shares are subject to a contingent
deferred sales charge on certain redemptions made within six years and five
years of purchase, respectively. Class C shares are subject to a contingent
deferred sales charge of 1.00% on any shares redeemed within one year of their
purchase, and also pay annual distribution and services fees of 1.00%. Class S
shares are only offered through certain retirement accounts, advisory accounts
of the investment manager 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 services fees.
The text and notes are an integral part of the financial statements.
<PAGE>
THE FUND'S ACCOUNTING POLICIES
--------------------------------------------------------------------------------
In keeping with accounting principles generally accepted in the United States,
the fund has used the following policies in preparing the portfolio holdings and
financial statements in this report:
The fund values all portfolio securities as of the date of this report (or, if
that day wasn't a business day, the most recent business day). The fund uses the
following methods for determining the values of various types of securities:
o LISTED SECURITIES - The fund uses the price of the last sale on a national
securities exchange that was quoted before the close of the New York Stock
Exchange.
o OVER-THE-COUNTER SECURITIES - The fund uses the closing prices quoted on the
Nasdaq system. If a security hasn't traded that day, or if it is not quoted
on the Nasdaq system, the value is set at halfway between the closing bid
and asked quotations.
o SECURITIES MATURING WITHIN 60 DAYS - The fund adjusts the value of these
securities daily, moving them closer to the amount due on maturity as the
maturity date approaches.
The fund accounts for each purchase and sale of portfolio securities on the
trade date. In calculating realized gains or losses, the fund takes as its cost
basis the identified cost of securities sold.
The fund records investment income from portfolio securities as follows:
o INTEREST - The fund accrues interest daily as it earns it.
o CASH DIVIDENDS - The fund accrues these on the ex-dividend date.
The fund may seek additional income by lending portfolio securities to qualified
institutions. The fund will receive cash or securities as collateral in the
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 or losses. If the
borrower fails to return the securities and the collateral has declined in
value, the fund could lose money. The fund accounts for income from the lending
of its securities by including it in interest income.
The fund distributes its net earnings to its shareholders.The fund calculates
these distributions using federal income tax regulations. As a result, they may
be different than if the fund used generally accepted accounting principles. The
fund distributes its earnings on the following schedule:
o DIVIDENDS FROM NET INVESTMENT INCOME - The fund ordinarily declares and pays
these annually, if any, and may make an additional distribution if tax
regulations make it necessary.
o NET REALIZED CAPITAL GAINS - The fund distributes these annually, if any,
and may make an additional distribution if tax regulations make it
necessary.
If the fund has no earnings to distribute, it won't make a distribution.
The fund does not intend to pay federal income tax. This is because it intends
to elect to be exempt from taxes under Subchapter M of the Internal Revenue
Code, in part because it makes distributions as described above.
The fund pays expenses as follows:
o EXPENSES ATTRIBUTED TO THE FUND - The fund pays these directly. Examples of
these expenses include the management fee, transfer agent fee, custodian fee
and distribution and service fees
o EXPENSES ATTRIBUTED TO THE TRUST OF WHICH THE FUND IS A SERIES - These
expenses are divided up among all funds in the trust. Each fund pays a
proportional share. Examples of these include the legal fees and trustee's
fees.
The fund has used certain estimates and assumptions in preparing this report.
Although they are necessary in order to follow generally accepted accounting
principles, these estimates and assumptions affect several key areas, including
the reported amounts of assets and liabilities, and income and expenses. Actual
results could differ from those estimates.
The fund's securities and investment practices carry certain risks.
The text and notes are an integral part of the financial statements.
<PAGE>
PORTFOLIO HOLDINGS August 31, 2000 (unaudited)
--------------------------------------------------------------------------------
The listings that begin on this page detail the fund's investment holdings as of
the report date. We have grouped the holdings by asset class and by smaller
sub-groups as well. For example, we have grouped this fund's stocks by sector of
the economy, and then by specific industry within each sector.
The solid colored circles (1) show the fund's ten largest holdings, with the
number in the circle showing where the holding ranks in the top ten.
--------------------------------------------------------------------------------
Notes about specific elements of the financials are called out in boxes such as
this.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Key to symbols
* Denotes a security which has not paid a dividend during the last year.
o Denotes an American Depositary Receipt, a form of ownership of foreign
securities that is traded in the United States and denominated in U.S.
dollars.
--------------------------------------------------------------------------------
MARKET
ISSUER SHARES VALUE
--------------------------------------------------------------------------
COMMON STOCKS 94.8% OF NET ASSETS
FINANCIAL SERVICES 1.8% OF NET ASSETS
--------------------------------------------------------------------------
INSURANCE 1.8%
Cigna Corp. 400 $38,900
-----------
Total Financial Services 38,900
-----------
HEALTH CARE 89.9% OF NET ASSETS
--------------------------------------------------------------------------
DRUGS & BIOTECHNOLOGY 76.9%
3 Dimensional Pharmaceutical Inc.* 400 15,550
Abbott Laboratories Inc. 1,100 48,125
Allergan Inc. 600 43,875
Allos Therapeutics Inc.* 2,900 34,075
(5) ALZA Corp.* 1,000 75,625
PHARMACEUTICALS
(2) American Home Products Corp. 2,200 119,212
PHARMACEUTICALS, CONSUMER
HEALTH CARE AND AGRICULTURAL
PRODUCTS
(10) Amgen Inc.* 700 53,069
BIOTECHNOLOGY
Andrx Corp.* 600 52,200
Applied Molecular Evolution* 200 6,438
Arena Pharmaceuticals Inc.* 100 4,625
(6) Baxter International Inc. 800 66,600
MEDICAL PRODUCTS
Biogen Inc.* 500 34,563
BioMarin Pharmaceutical Inc.* 900 15,188
Biovail Corp.* 700 44,844
CV Therapeutics Inc.* 300 22,500
Deltagen Inc.* 1,000 28,875
Dyax Corp.* 600 21,000
Esperion Therapeutics Inc.* 700 11,244
(4) Genzyme Corp.* 1,200 90,075
THERAPEUTIC AND
DIAGNOSTICS PRODUCTS
ICN Pharmaceuticals Inc. 900 25,481
ILEX Oncology Inc.* 700 23,100
Intermune Pharmaceuticals Inc.* 800 30,450
IVAX Corp.* 1,400 48,475
Large Scale Biology Corp.* 600 18,544
Matrix Pharmaceuticals Inc.* 1,600 23,400
Medimmune Inc.* 500 42,063
Mylan Laboratories Inc. 1,700 45,156
Pain Therapeutics Inc.* 200 3,850
(8) Pfizer Inc. 1,350 58,387
PHARMACEUTICALS
(1) Pharmacia Corp. 3,623 212,172
PHARMACEUTICALS
QLT PhotoTherapeutics Inc.* 600 44,437
SangStat Medical Corp.* 1,100 22,275
(3) Schering-Plough Corp. 2,400 96,300
PHARMACEUTICALS
Sepracor Inc.* 200 22,000
Teva Pharmaceutical Industries
Ltd.o 800 48,500
Transkaryotic Therapies Inc.* 600 26,025
Triangle Pharmaceuticals Inc.* 2,200 19,800
Versicor Inc.* 1,500 17,531
Watson Pharmaceuticals Inc.* 700 43,181
XOMA Ltd.* 4,300 52,137
-----------
1,710,947
-----------
HEALTH CARE SERVICES 3.9%
Caremark RX Inc.* 4,800 47,100
Decode Genetics Inc.* 200 5,525
Wellpoint Health Networks Inc.
Cl. A* 400 34,525
-----------
87,150
-----------
HOSPITAL SUPPLY 9.1%
(9) Aradigm Corp.* 3,000 53,625
MEDICAL EQUIPMENT &
SUPPLIES
Aspect Medical Systems Inc.* 1,300 25,025
Guidant Corp.* 400 26,925
Illumina Inc.* 100 4,475
(7) Novoste Corp.* 1,200 64,800
MEDICAL EQUIPMENT &
SUPPLIES
Tripath Imaging Inc.* 3,300 27,225
-----------
202,075
-----------
Total Health Care 2,000,172
-----------
TECHNOLOGY 3.1% OF NET ASSETS
----------------------------------------------------------
Electronics 2.2%
PE Biosystems Group Corp. 500 49,187
-----------
ELECTRONICS: SEMICONDUCTORS/
COMPONENTS 0.9%
Caliper Technologies Corp.* 300 18,638
-----------
Total Technology 67,825
-----------
TOTAL COMMON STOCKS 2,106,897(+)
-----------
-------------------------------------------------------------
(+) The fund paid a total of $1,578,759 for these securities.
-------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
COUPON MATURITY AMOUNT OF MARKET
ISSUER RATE DATE PRINCIPAL VALUE
------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER 4.8% OF NET ASSETS
<S> <C> <C> <C> <C>
American Express Credit Corp. 6.50% 9/1/2000 $107,000 $ 107,000
Total Commercial Paper 107,000(+)
----------
-----------------------------------------------------------
(+) The fund paid a total of $107,000 for these securities.
-----------------------------------------------------------
<CAPTION>
% OF
NET ASSETS
-----------------------------------------------------------------------------------------------------------------------
SUMMARY OF PORTFOLIO ASSETS
<S> <C> <C>
Total Investments 99.6% $2,213,897(++)
Cash and Other Assets, Less Liabilities 0.4% 9,980
------ ----------
Net Assets 100.0% $2,223,877
====== ==========
--------------------------------------------------------------
(++) The fund paid a total of $1,685,759 for these securities.
--------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION
At August 31, 2000, the net unrealized appreciation of investments
based on cost for Federal income tax purposes of $1,688,334
was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $541,451
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (15,888)
--------
$525,563
========
--------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
Statement of
ASSETS AND LIABILITIES August 31, 2000 (unaudited)
--------------------------------------------------------------------------------
This is the fund's balance sheet as of the report date. It shows the fund's
total assets, its liabilities and, by subtraction, its net assets. It also shows
the share price for each share class as of the report date.
ASSETS
Investments, at market value $2,213,897(+)
Cash 52,122
Receivable for securities sold 28,858
Receivable for fund shares sold 1,785
Dividends and interest receivable 783
Other assets 36,626
----------
2,334,071
LIABILITIES
Payable for securities purchased 56,889
Accrued trustees' fees 3,248
Accrued management fee 1,652
Accrued distribution and service fees 559
Accrued transfer agent and shareholder services 387
Other accrued expenses 47,459
----------
110,194
NET ASSETS $2,223,877
==========
Net Assets consist of:
Unrealized appreciation of investments $ 528,138
Accumulated net realized gain 191,560
Paid-in capital 1,504,179
----------
$2,223,877(++)
==========
-------------------------------------------------------------
(+) The fund paid a total of $1,685,759 for these securities.
-------------------------------------------------------------
-------------------------------------------------------------
(++) NET ASSET VALUE (NAV) OF EACH SHARE CLASS
Except where noted, the NAV is the offering and the
redemption price for each class.
NET ASSETS / NUMBER OF SHARES = NAV
A $2,223,877 141,654 $15.70*
*Maximum offering price per share $16.66 ($15.70 / 0.9425)
-------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
STATEMENT OF
OPERATIONS For the six months ended August 31, 2000 (unaudited)
-------------------------------------------------------------------------------
This shows what the fund earned and lost over the report period, and what its
expenses were.
INVESTMENT INCOME
Dividends, net of foreign taxes $ 4,165(+)
Interest 1,911
--------
6,076
Expenses
Custodian fee 33,570
Audit fee 25,707
Reports to shareholders 6,982
Management fee 6,864(++)
Trustees' fees 3,248(+++)
Distribution and service fees-Class A 2,581(++++)
Legal fees 1,120
Transfer agent and shareholder services 387(+++++)
Registration fees 168
Miscellaneous 2,441
--------
83,068
Expenses borne by the Distributor (69,047)
--------
14,021
--------
Net investment loss (7,945)
--------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain on investments 196,884(++++++)
Net unrealized appreciation of investments 194,080
--------
Net gain on investments 390,964
Net increase in net assets resulting
from operations $383,019
========
---------------------------------------
(+) The fund paid foreign taxes of $82.
---------------------------------------
-------------------------------------------------------
(++) The management fee is 0.75% of average net assets.
-------------------------------------------------------
-----------------------------------------------------------
(+++) Paid only to trustees who aren't currently affiliated
with the adviser (the fund doesn't pay trustees fees
to affiliated trustees).
-----------------------------------------------------------
--------------------------------------------------------------
(++++) Payments made to the distributor under the fund's 12b-1
plans. The fees cover personal services and the
maintenance of shareholder accounts. The fees also cover
distribution and marketing expenditures for the sale of
fund shares.
--------------------------------------------------------------
----------------------------------------------------------------
(+++++) Includes a total of $284 paid to the distributor for the
services it provided and to MetLife for similar services
it provided, including maintaining the accounts of some
investors who hold shares through that firm's employee
benefit plans and other sponsored arrangements.
----------------------------------------------------------------
----------------------------------------------------------------
(++++++) To earn this, the fund sold $1,587,764 of securities.
During this same period, the fund also bought $1,729,670
worth of securities. These figures don't include
short-term obligations or U.S. government securities.
----------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
STATEMENT OF
CHANGES IN NET ASSETS
-------------------------------------------------------------------------------
This shows how the fund's size changed over the report period, including changes
that resulted from investment performance as well as those that resulted from
shareholders.
DECEMBER 21, 1999
(COMMENCEMENT OF SIX MONTHS ENDED
OPERATIONS) TO AUGUST 31, 2000
FEBRUARY 29, 2000 (UNAUDITED)
---------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment loss $ (320) $ (7,945)
Net realized gain on investments 37,931 196,884
Net unrealized appreciation of investments 334,058 194,080
-----------------------------
Net increase resulting from operations 371,669 383,019
-----------------------------
Dividend from net investment income Class A -- (260)
-----------------------------
Distribution from capital gains Class A -- (43,255)
-----------------------------
SHARE TRANSACTIONS:
Proceeds from sale of shares 1,282,387 237,017
Cost of shares redeemed -- (6,700)
-----------
Net increase from fund share transactions 1,282,387 230,317(+)
-----------
Total increase of net assets 1,654,056 569,821
NET ASSETS
Beginning of period -- 1,654,056
-----------------------------
End of period $ 1,654,056 $ 2,223,877(++)
=============================
NUMBER OF SHARES:
Sold 124,073 18,094
Redeemed -- (513)
-----------
Net increase in fund shares 124,073 17,581
--------------------------------------------------------------------------------
(+) The trustees have the authority to issue an unlimited number of fund shares,
with a $.001 par value per share. MetLife owned 102,896 Class A shares.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
(++) Includes undistributed net investment income of $273 and $0, respectively.
--------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
These provide a summary of each share class's financial performance.
<TABLE>
<CAPTION>
CLASS A
-------------------------------------------------
December 21, 1999 Six months ended
(Commencement of Operations) August 31, 2000
Per Share Data to February 29, 2000(a) (unaudited)(a)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 10.00 13.33
----- -----
Net investment loss ($)* (0.00) (0.06)
Net realized and unrealized gain
on investments ($) 3.33 2.75
----- -----
TOTAL FROM INVESTMENT OPERATIONS ($) 3.33 2.69
----- -----
Dividend from net investment income ($) -- (0.00)
Distribution from capital gains ($) -- (0.32)
----- -----
TOTAL DISTRIBUTIONS ($) -- (0.32)
----- -----
NET ASSET VALUE, END OF PERIOD ($) 13.33 15.70
===== =====
Total return (%)(b) 33.30(c) 20.93(c)
RATIOS/SUPPLEMENTAL DATA
-----------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 1,654 2,224
Expense ratio (%)* 1.50(d) 1.50(d)
Ratio of net investment loss to
average net assets (%)* (0.13)(d) (0.87)(d)
Portfolio turnover rate (%) 44.48 92.40
* Reflects voluntary reduction of expenses
per share of these amounts ($) 0.18 0.51
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) Not annualized.
(d) Annualized.
</TABLE>
The text and notes are an integral part of the financial statements.
<PAGE>
BOARD OF TRUSTEES
GERARD P. MAUS
Chief Financial Officer, Chief Administrative Officer,
Director and Interim Chief Operating Officer,
State Street Research & Management Company
BRUCE R. BOND
Former Chairman of the Board,
Chief Executive Officer and President,
PictureTel Corporation
STEVE A. GARBAN
Former Senior Vice President
for Finance and Operations and Treasurer,
The Pennsylvania State University
DEAN O. MORTON
Former Executive Vice President,
Chief Operating Officer and Director,
Hewlett-Packard Company
SUSAN M. PHILLIPS
Dean, School of Business and Public Management,
George Washington University; former Member of the
Board of Governors of the Federal Reserve System and
Chairman and Commissioner of the Commodity
Futures Trading Commission
TOBY ROSENBLATT
President, Founders Investments Ltd.
President, The Glen Ellen Company
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of Management,
Sloan School of Management,
Massachusetts Institute of Technology
<PAGE>
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-------------
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---------------
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-------------------------------------------------------------------------------
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For more information on the products and services mentioned in OverView, our
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State Street Research
SPECTRUM OF FUNDS
--------------------------------------------------------------------------------
Income Growth & Income Growth
--------------------------------------------------------------------------------
CONSERVATIVE AGGRESSIVE
--------------------------------------------------------------------------------
High Income Fund Argo Fund Global Resources Fund
Strategic Income Fund Investment Trust Emerging Growth Fund
New York Tax-Free Fund Alpha Fund Health Sciences Fund
Tax-Exempt Fund Strategic Growth Mid-Cap Growth Fund(1)
Government Income Fund & Income Fund Aurora Fund
Money Market Fund(2) Stratetic Income Concentrated
Plus Fund International Fund
International Equity Fund
Concentrated Growth Fund
Growth Fund
Galileo Fund
Legacy Fund
CONTACT INFORMATION FOR
INVESTOR SERVICES
--------------------------------------------------------------------------------
NEW ACCOUNTS, MUTUAL FUND PURCHASES, EXCHANGES AND ACCOUNT INFORMATION
[graphic omitted]
INTERNET
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E-MAIL
[email protected]
PHONE
1-87-SSR-FUNDS (1-877-773-8637), 7 days a week, 24 hours a day
Hearing impaired: 1-800-676-7876
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FAX
1-617-737-9722 (request confirmation number first from the Service Center
by calling 1-87-SSR-FUNDS or 1-877-773-8637)
MAIL
State Street Research Service Center
P.O. Box 8408, Boston, MA 02266-8408
STATE STREET RESEARCH
FYI
--------------------------------------------------------------------------------
Did you know that you can give a State Street Research mutual fund as a gift?
Call a service center representative at 1-87-SSR-FUNDS (1-877-773-8637), Monday
through Friday, 8am-6pm Eastern Time, to learn more.
---------------------
[DALBAR GRAPHIC]
DALBAR
HONORS COMMITMENT TO:
INVESTORS
1999
---------------------
for Excellence in Service
1 Formerly State Street Research Capital Fund.
2 An investment in the fund is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. Although the fund seeks
to preserve the value of your investment at $1.00 per share, it is possible
to lose money by investing in the fund.
This report must be accompanied or preceded by a current State Street Research
Health Sciences Fund prospectus. When used after December 31, 2000, this
report must be accompanied by a current Quarterly Performance Update.
To obtain a prospectus on any State Street Research fund call 1-87-SSR-FUNDS
(1-877-773-8637). The prospectus contains more complete information, including
sales charges and expenses. Please read the prospectus carefully before
investing or sending money.
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.
(c) 2000 State Street Research Investment Services, Inc.,
One Financial Center, Boston, MA 02111
Control Number:(exp1001)SSR-LD HS-2486-1000
<PAGE>
[logo] STATE STREET RESEARCH
CONCENTRATED GROWTH FUND
--------------------------------------------------------------------------------
SEMIANNUAL REPORT TO SHAREHOLDERS
August 31, 2000
In this Report [graphic omitted] Investment
Update
plus
The Fund at a Glance
Fund Portfolio and Financials
<PAGE>
--------------------------------------------------------------------------------
Contents
2 REVIEW SINCE INCEPTION (6/15/00)
A look at the fund and its market environment
4 THE FUND IN DETAIL
Portfolio holdings, financials and notes
--------------------------------------------------------------------------------
FROM THE CHAIRMAN
THE HEADLINES SCREAM VOLATILITY. Stocks experienced a rocky six months,
punctuated by a sharp upturn in August. Many so-called new economy stocks have
given way to a rebound of decidedly old economy stalwarts.
[Photo of Gerard P. Maus]
GERARD P. MAUS
The uncertainty of the investment markets over the past six months reminds us
all that some long-established investment principles still make sense:
diversification, for example, is still a good way to cushion your portfolio
against sharp swings in one sector or asset class. If you have a diversified
portfolio, chances are you felt the downdraft in technology. But you may also
have exposure to some of the market's stronger performers--health care, energy
and the bond market--all of which have delivered attractive returns in 2000.
If you're uncertain about how much diversification you need and whether the
diversification you have is right for you, talk to your financial professional.
Together, you can build a portfolio of State Street Research funds for any
market environment.
Sincerely,
/s/ Gerard P. Maus
Gerard P. Maus
Chief Executive Officer
State Street Research Funds
--------------------------------------------------------------------------------
REVIEW SINCE INCEPTION (6/15/00)
--------------------------------------------------------------------------------
HOW STATE STREET RESEARCH
CONCENTRATED GROWTH FUND PERFORMED
It was a strong beginning for State Street Research Concentrated Growth Fund.
Since its inception on June 15, 2000, the fund returned 4.04% for the two and a
half month period ending August 31, 2000.(1) That was lower than the Russell
1000 Growth Index, which returned 7.40% for the same period.(2)
REASONS FOR THE FUND'S PERFORMANCE
In constructing the portfolio, we have focused on six basic themes: global
financial services, alternative energy, digital content and delivery, business
process outsourcing, health care innovation and world-class retailing. Of the
six, our investments in global financial services, alternative energy and
digital content and delivery helped performance. However, the fund's investments
in American Tower and Nextlink, a wireless communications company, were
disappointing as short-term factors brought down their stock prices.
Within the six themes, our strategy is to concentrate on 25 to 35 growth stocks
that we believe have the potential for exceptional growth. For example, we
believe that alternative energy could benefit as power suppliers look for other
sources of generating capacity to meet the growing demand for electricity,
fueled by telecommunications and the Internet. We expect strong earnings growth
in the health care sector as more Baby Boomers enter their fifties.
LOOKING AHEAD
Although we expect more volatility, we believe the U.S. market continues to be
an attractive place for long-term investors. The Fed appears to have brought the
economy in for a "soft landing," with little evidence of recession in sight. In
general, we expect slower corporate earnings growth will still be sufficient to
generate modest returns for the market. We will continue to look for companies
that we believe have a sustainable competitive advantage that can drive their
earnings growth and help them outperform the overall market.
Because financial markets and mutual fund strategies are constantly evolving,
it's possible that the fund's holdings, market stance, outlook for various
industries or securities, and other matters discussed in this report have
changed since this information was prepared. Portfolio changes should not be
considered recommendations for action by individual investors.
CLASS A SHARES(1)
4.04%
"We expect strong earnings growth in the health care sector."
[photo of Bruce Ebel]
BRUCE EBEL
Portfolio Manager,
State Street Research Concentrated Growth Fund
[photo of Kennard "Pete" Woodworth]
KENNARD "PETE" WOODWORTH
Portfolio Manager,
State Street Research Concentrated Growth Fund
RUSSELL 1000
Growth Index(2)
7.40%
<PAGE>
--------------------------------------------------------------------------------
[graphic omitted] THE FUND AT A GLANCE as of 8/31/00
--------------------------------------------------------------------------------
STATE STREET RESEARCH CONCENTRATED GROWTH FUND FOCUSES ON LONG-TERM GROWTH OF
CAPITAL.
--------------------------------------------------------------------------------
TOTAL NET ASSETS: $5.5 MILLION
--------------------------------------------------------------------------------
------------------------------------- -------------------------------------
TOP 10 HOLDINGS PERFORMANCE
------------------------------------- -------------------------------------
% OF AGGREGATE TOTAL RETURNS AS OF 8/31/00
FUND (does not reflect sales charge)(1)
ISSUER/SECURITY ASSETS -------------------------------------
1 Solectron 5.3% LIFE OF FUND
2 Nortel Networks 5.3% SHARE CLASS (6/15/00)
3 Intel 4.6% Class A 10.39%
4 Anadarko Petroleum 4.5% Class B(1) 10.29%
5 Pharmacia 4.3% Class B 10.18%
6 Citigroup 4.2% Class C 10.18%
7 Pfizer 4.0% Class S 10.39%
8 PE Biosystems 3.7%
9 i2 Technologies 3.5% AGGREGATE TOTAL RETURNS AS OF 9/30/00
10 Mercury Interactive 3.3% (at maximum applicable sales charge)
TOTAL 42.7% (1)(4)
-------------------------------------
See page 7 for more detail LIFE OF FUND
SHARE CLASS (6/15/00)
Class A 1.35%
Class B(1) 2.32%
Class B 2.32%
Class C 6.32%
Class S 7.53%
TOP 5 INDUSTRIES
% OF FUND ASSETS
AUGUST 31, 2000
Communications
Technology 15.8%
Drugs & Biotechnology 14.5%
Electronics 11.7%
Computer Software 10.2%
Electronics:
Semi-Conductors & Components 6.1%
TICKER SYMBOLS*
STATE STREET RESEARCH CONCENTRATED GROWTH FUND
------------------------------------------------------------------------------
CLASS A: SACGX CLASS B(1): SPCGX CLASS B: STCGX CLASS C: SSRGX CLASS S: SCGSX
------------------------------------------------------------------------------
CITIGROUP
Citigroup is the world's largest financial services company and one of the
fund's largest holdings. As it takes advantage of industry consolidation to
pursue domestic and global growth, the company continues to gain market share
and increase the stability of its long-term earnings potential. In addition,
Citigroup's strong management team is headed by one of the most respected
veterans in the financial services industry. The stock price rose from $50 per
share to $60 per share during the period.
[graphic /\ omitted]
HITS & MISSES
[graphic \/ omitted]
AMERICAN TOWER
American Tower owns, leases and operates broadcast and communications towers in
the U.S., Canada and Mexico. The stock price declined 12% amid concerns that
potential delays in the launch of new services would slow expected revenue
growth. Nevertheless, we are still optimistic about the company's long-term
prospects and we continue to own the stock.
--------------------------------------------------------------------------------
(1) Aggregate returns are not annualized.
(2) The Russell 1000(R) Growth Index contains only those stocks within the
complete Russell 1000 Index that show above average growth. The index does
not take transaction charges into consideration. It is not possible to
invest directly in the index.
(3) Keep in mind that past performance is no guarantee of future results. The
fund's share price and return will fluctuate and you may have a gain or loss
when you sell your shares. Returns are aggregate; not annualized.
(4) Performance reflects a maximum 5.75% Class A front-end sales charge.
* Proposed
<PAGE>
[graphic omitted]
--------------------------------------------------------------------------------
THE FUND IN DETAIL
--------------------------------------------------------------------------------
The following pages describe the fund in detail as of the date of this report.
They provide a "snapshot" of the fund's holdings at one moment in time (the
report date), describe the financial dimensions of its operations leading up to
the report date, and give a summary of operations on a per-share basis. There's
also an overview of the fund and its business structure, as well as information
on the accounting policies the fund uses in arriving at the figures it presents
here.
[Photo of Custom Tower, Boston]
Together, the words and numbers in this section offer a comprehensive picture of
the fund and its recent activities. In fact, the text and notes on pages 5 to 14
are an integral part of the financial statements, which wouldn't be complete
without them.
For more information about the fund's strategies, risks and expenses, check the
fund's prospectus; you'll need to read it before making any investments. The
prospectus also has more details on the fund's share classes and its policies
for shareholder accounts. To get a copy of any State Street Research prospectus,
see the back cover of this report.
Keep in mind that in annual reports, the portfolio holdings and financial
statements are AUDITED, while in semiannual reports they are UNAUDITED.
<PAGE>
ABOUT THE FUND
--------------------------------------------------------------------------------
BUSINESS STRUCTURE
State Street Research Concentrated Growth Fund is a mutual fund. A mutual fund
allows shareholders to pool their assets for investment in a portfolio of
securities. This fund is a series of State Street Research Financial Trust, a
Massachusetts business trust, and is an open-end management investment company.
Four entities administer the fund's main business functions:
o THE BOARD OF TRUSTEES oversee the fund with its shareholders' interests in
mind and have ultimate responsibility for the fund's activities (see inside
back pages of report for trustee information).
o THE INVESTMENT MANAGER, State Street Research & Management Company, is
responsible for the fund's investment and business activities, and receives
the management fee as compensation.
o THE DISTRIBUTOR, State Street Research Investment Services, Inc., sells
shares of the fund, handles investor inquiries and transaction orders, and
provides other shareholder services.
o THE CUSTODIAN, State Street Bank and Trust Company, holds fund securities,
provides data on their market value, and handles related services.
The investment manager and the distributor are subsidiaries of MetLife, Inc.
State Street Bank and Trust Company is not affiliated with MetLife (the
similarity between its name and the names of the investment manager and
distributor is coincidental). A majority of the trustees consists of people who
are not affiliated with MetLife or any of its subsidiaries. The distributor pays
a portion of its fees to MetLife for services it provides, including maintaining
the accounts of some investors who hold shares through their firm's employee
benefit plans and other sponsored arrangements.
GOAL AND STRATEGY
The fund seeks to provide long-term growth of capital. Under normal market
conditions, the fund invests at least 65% of total assets in a concentrated
portfolio of larger size companies that appear to offer potential for long-term
growth. The fund intends to concentrate its investments in a smaller number of
companies than many other funds. The fund invests primarily in common stocks,
but may also invest in preferred stocks and convertible securities.
SHARE CLASSES
The fund generally offers four share classes, each with its own sales charge and
expense structure. The fund also offers an additional class of shares (Class B)
but only to current Class B shareholders through reinvestment of dividends and
distributions or through exchanges from existing Class B accounts of other State
Street Research funds.
Class A shares are subject to an initial sales charge of up to 5.75%. Class A
shares pay an annual distribution and service fee equal to 0.30% of average
daily net assets. Class B(1) and 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) and B shares are subject
to a contingent deferred sales charge on certain redemptions made within six
years and five years of purchase, respectively. Class C shares are subject to a
contingent deferred sales charge of 1.00% on any shares redeemed within one year
of their purchase, and also pay annual distribution and service fees of 1.00%.
Class S shares are only offered through certain retirement accounts, advisory
accounts of the investment manager, 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 text and notes are an integral part of the financial statements.
<PAGE>
THE FUND'S ACCOUNTING POLICIES
--------------------------------------------------------------------------------
In keeping with accounting principles generally accepted in the United States,
the fund has used the following policies in preparing the portfolio holdings and
financial statements in this report:
The fund values all portfolio securities as of the date of this report (or, if
that day wasn't a business day, the most recent business day). The fund uses the
following methods for determining the values of various types of securities:
o LISTED SECURITIES - The fund uses the price of the last sale on a national
securities exchange that was quoted before the close of the New York Stock
Exchange.
o OVER-THE-COUNTER SECURITIES - The fund uses the closing prices quoted on the
Nasdaq system. If a security hasn't traded that day, or if it is not quoted
on the Nasdaq system, the value is set at halfway between the closing bid
and asked quotations.
o SECURITIES MATURING WITHIN 60 DAYS - The fund adjusts the value of these
securities daily, moving them closer to the amount due on maturity as the
maturity date approaches.
The fund accounts for each purchase and sale of portfolio securities on the
trade date. In calculating realized gains or losses, the fund takes as its cost
basis the identified cost of securities sold.
The fund records investment income from portfolio securities as follows:
o INTEREST - The fund accrues interest daily as it earns it.
o CASH DIVIDENDS - The fund accrues these on the ex-dividend date.
The fund may seek additional income by lending portfolio securities to qualified
institutions. The fund will receive cash or securities as collateral in the
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 or losses. If the
borrower fails to return the securities and the collateral has declined in
value, the fund could lose money. The fund accounts for income from the lending
of its securities by including it in interest income.
The fund distributes its net earnings to its shareholders. The fund calculates
these distributions using federal income tax regulations. As a result, they may
be different than if the fund used generally accepted accounting principles. The
fund distributes its earnings on the following schedule:
o DIVIDENDS FROM NET INVESTMENT INCOME - The fund ordinarily declares and pays
these annually, if any, and may make an additional distribution if tax
regulations make it necessary.
o NET REALIZED CAPITAL GAINS - The fund distributes these annually, if any,
and may make an additional distribution if tax regulations make it
necessary.
If the fund has no earnings to distribute, it won't make a distribution.
The fund does not intend to pay federal income tax. This is because it intends
to elect to be exempt from taxes under Subchapter M of the Internal Revenue
Code, in part because it makes distributions as described above.
The fund pays expenses as follows:
o EXPENSES ATTRIBUTED TO THE FUND - The fund pays these directly. Examples of
these expenses include the management fee, transfer agent fee, custodian fee
and distribution and service fees.
o EXPENSES ATTRIBUTED TO THE TRUST OF WHICH THE FUND IS A SERIES - These
expenses are divided up among all funds in the trust. Each fund pays a
proportional share. Examples of these expenses include the legal fees and
trustees' fees.
The fund has used certain estimates and assumptions in preparing this report.
Although they are necessary in order to follow generally accepted accounting
principles, these estimates and assumptions affect several key areas, including
the reported amounts of assets and liabilities, and income and expenses. Actual
results could differ from those estimates.
The fund's securities and investment practices carry certain risks.
The text and notes are an integral part of the financial statements.
<PAGE>
PORTFOLIO HOLDINGS August 31, 2000 (unaudited)
--------------------------------------------------------------------------------
The listings that begin on this page detail the fund's investment holdings as of
the report date. We have grouped the holdings by asset class and by smaller
sub-groups as well. For example, we have grouped this fund's stocks by sector of
the economy, and then by specific industry within each sector.
The solid colored circles (1) show the fund's ten largest holdings, with the
number in the circle showing where the holding ranks in the top ten.
-------------------------------------------------------------------------------
Notes about specific elements of the financials are called out in boxes such as
this.
-------------------------------------------------------------------------------
Key to symbols
* Denotes a security which has not paid a dividend during the last year.
MARKET
ISSUER SHARES VALUE
------------------------------------------------------------------------
COMMON STOCKS 92.1% OF NET ASSETS
CONSUMER DISCRETIONARY
7.8% OF NET ASSETS
------------------------------------------------------------------------
COMMUNICATIONS, MEDIA & ENTERTAINMENT 3.6%
Gemstar International Group Ltd.* 1,020 $ 92,055
U.S.A. Networks Inc.* 4,570 109,965
-----------
202,020
-----------
RETAIL 4.2%
Bed Bath & Beyond Inc.* 7,040 123,640
Home Depot Inc. 2,220 106,699
-----------
230,339
-----------
Total Consumer Discretionary 432,359
-----------
FINANCIAL SERVICES 7.7% OF NET ASSETS
------------------------------------------------------------------------
INSURANCE 2.9%
American International Group Inc. 1,810 161,316
-----------
MISCELLANEOUS FINANCIAL 4.8%
(6) Citigroup, Inc. 3,990 232,916
FINANCIAL SERVICES
S1 Corp.* 1,630 28,423
-----------
261,339
-----------
Total Financial Services 422,655
-----------
HEALTH CARE 16.9% OF NET ASSETS
------------------------------------------------------------------------
DRUGS & BIOTECHNOLOGY 14.5%
Genentech, Inc.* 880 167,640
Medimmune Inc.* 2,050 172,456
(7) Pfizer Inc. 5,070 219,278
PHARMACEUTICALS
(5) Pharmacia Corp. 4,040 236,592
PHARMACEUTICALS -----------
795,966
-----------
HOSPITAL SUPPLY 2.4%
Guidant Corp.* 1,970 132,606
-----------
Total Health Care 928,572
-----------
OTHER ENERGY 4.5% OF NET ASSETS
------------------------------------------------------------------------
OIL & GAS PRODUCERS 4.5%
(4) Anadarko Petroleum Corp. 3,740 245,980
OIL & GAS EXPLORATION -----------
Total Other Energy 245,980
-----------
PRODUCER DURABLES 4.0% OF NET ASSETS
------------------------------------------------------------------------
OFFICE FURNITURE & BUSINESS EQUIPMENT 1.5%
Lexmark International Group Inc. Cl. A* 1,190 80,697
-----------
TELECOMMUNICATIONS EQUIPMENT 2.5%
American Tower Corp. Cl. A* 3,830 139,077
-----------
Total Producer Durables 219,774
-----------
TECHNOLOGY 47.4% OF NET ASSETS
------------------------------------------------------------------------
COMMUNICATIONS TECHNOLOGY 15.8%
General Motors Corp. Cl. H* 5,390 178,544
Inktomi Corp.* 570 74,314
JDS Uniphase Corp.* 460 57,263
Juniper Networks Inc.* 720 153,900
(2) Nortel Networks Corp. 3,560 290,362
ELECTRICAL EQUIPMENT & COMPONENTS
Sycamore Networks Inc.* 860 118,250
-----------
872,633
-----------
COMPUTER SOFTWARE 10.2%
(9) i2 Technologies Inc.* 1,150 194,566
COMPUTER SOFTWARE
(10) Mercury Interactive Corp.* 1,500 183,281
Computer Software
Veritas Software Co.* 1,520 183,255
-----------
561,102
-----------
COMPUTER TECHNOLOGY 3.6%
EMC Corp.* 1,490 146,020
Network Appliance Inc.* 450 52,650
-----------
198,670
-----------
ELECTRONICS 11.7%
Kopin Corp.* 4,500 150,469
(8) PE Biosystems Group Corp. 2,050 201,669
SCIENTIFIC AND TECHNICAL INSTRUMENTS
(1) Solectron Corp.* 6,460 292,718
ELECTRONICS MANUFACTURING SERVICES
644,856
-----------
ELECTRONICS: SEMICONDUCTORS/COMPONENTS 6.1%
(3) Intel Corp. 3,390 253,826
SEMICONDUCTOR & COMPONENTS
PMC Sierra Inc.* 350 82,600
-----------
336,426
-----------
Total Technology 2,613,687
-----------
UTILITIES 3.8% OF NET ASSETS
------------------------------------------------------------------------
TELECOMMUNICATIONS 3.8%
Nextel Communications Inc. Cl. A* 1,540 85,374
Nextlink Communications Inc. Cl. A* 3,550 124,472
-----------
209,846
-----------
Total Utilities 209,846
-----------
TOTAL COMMON STOCKS 5,072,873(+)
-----------
-------------------------------------------------------------
(+) The fund paid a total of $4,630,787 for these securities.
-------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
<TABLE>
<CAPTION>
COUPON MATURITY AMOUNT OF MARKET
ISSUER RATE DATE PRINCIPAL VALUE
------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER 7.7% OF NET ASSETS
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
American Express Credit Corp. 6.53% 9/5/2000 $130,000 $130,000
Ford Motor Credit Co. 6.52% 9/5/2000 137,000 137,000
Pacific Gas and Electric Co. 6.55% 9/7/2000 155,000 154,831
--------
TOTAL COMMERCIAL PAPER 421,831(+)
--------
-----------------------------------------------------------
(+) The fund paid a total of $421,831 for these securities.
-----------------------------------------------------------
<CAPTION>
% OF
NET ASSETS
------------------------------------------------------------------------------------------------------------------------
SUMMARY OF PORTFOLIO ASSETS
Investments 99.8% $5,494,704
Cash and Other Assets, Less Liabilities 0.2% 12,512
----- ----------
Net Assets 100.0% $5,507,216(++)
===== ==========
--------------------------------------------------------------
(++) The fund paid a total of $5,052,618 for these securities.
--------------------------------------------------------------
</TABLE>
FEDERAL INCOME TAX INFORMATION
At August 31, 2000, the net unrealized appreciation of
investments based on cost for Federal income tax purposes
of $5,052,618 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $513,823
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (71,737)
--------
$442,086
========
The text and notes are an integral part of the financial statements.
<PAGE>
STATEMENT OF
ASSETS AND LIABILITIES August 31, 2000 (unaudited)
--------------------------------------------------------------------------------
This is the fund's balance sheet as of the report date. It shows the fund's
total assets, its liabilities and, by subtraction, its net assets. It also shows
the share price for each share class as of the report date.
ASSETS
Investments, at market value $5,494,704(+)
Cash 16,823
Receivable for fund shares sold 178,335
Receivable for securities sold 79,500
Interest receivable 97
Other assets 106,140
----------
5,875,599
LIABILITIES
Payable for securities purchased 325,933
Accrued transfer agent and shareholder services 7,150
Accrued management fee 3,151
Accrued distribution and service fees 2,532
Accrued trustees' fees 2,200
Other accrued expenses 27,417
----------
368,383
----------
NET ASSETS $5,507,216
==========
Net Assets consist of:
Unrealized appreciation of investments $ 442,086
Accumulated net realized loss (18,614)
Paid-in capital 5,083,744
----------
$5,507,216(++)
===========
-------------------------------------------------------------
(+) The fund paid a total of $5,052,618 for these securities.
-------------------------------------------------------------
-------------------------------------------------------------
(++) NET ASSET VALUE (NAV) OF EACH SHARE CLASS
Except where noted, the NAV is the offering and the
redemption price for each class.
NET ASSETS / NUMBER OF SHARES = NAV
A $1,822,873 175,030 $10.41*
B(1) $1,694,158 162,846 $10.40**
B $973,759 93,676 $10.39**
C $501,463 48,244 $10.39**
S $514,963 49,449 $10.41
* Maximum offering price per share $11.05 ($10.41 / 0.9425)
** 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 text and notes are an integral part of the financial statements.
<PAGE>
STATEMENT OF
OPERATIONS For the period June 15, 2000 (commencement of operations)
to August 31, 2000 (unaudited)
-------------------------------------------------------------------------------
This shows what the fund earned and lost over the report period, and what its
expenses were.
INVESTMENT INCOME
Dividends $1,218
Interest 5,470
--------
6,688
EXPENSES
Custodian fee 22,000
Transfer agent and shareholder services 7,150(+)
Management fee 5,730(++)
Reports to shareholders 5,500
Registration fees 5,500
Audit fee 4,675
Trustees' fees 2,200(+++)
Legal fees 2,200
Distribution and service fees-Class A 524(++++)
Distribution and service fees-Class B(1) 1,795(++++)
Distribution and service fees-Class B 1,337(++++)
Distribution and service fees-Class C 918(++++)
Miscellaneous 825
--------
60,354
Expenses borne by the Distributor (47,691)
--------
12,663
--------
Net investment loss (5,975)
--------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized loss on investments (18,614)(+++++)
Net unrealized appreciation of investments 442,086
--------
Net gain on investments 423,472
--------
Net increase in net assets resulting from operations $417,497
========
--------------------------------------------------------------------------------
(+) Includes a total of $198 paid to the distributor for the services it
provided and to MetLife for similar services it provided, including
maintaining the accounts of some investors who hold shares through that
firm's employee benefit plans and other sponsored arrangements.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
(++) The management fee is 0.85% of average net assets.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
(+++) Paid only to trustees who aren't currently affiliated with the adviser
(the fund doesn't pay trustees fees to affiliated trustees).
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
(++++) Payments made to the distributor under the fund's 12b-1 plans. The fees
cover personal services and the maintenance of shareholder accounts. The
fees also cover distribution and marketing expenditures for the sale of
fund shares.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
(+++++) To earn this, the fund sold $634,793 of securities. During this same
period, the fund also bought $5,284,194 worth of securities. These
figures don't include short-term obligations or U.S. government
securities.
--------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
STATEMENT OF
CHANGES IN
NET ASSETS For the period June 15, 2000 (commencement of operations)
to August 31, 2000 (unaudited)
--------------------------------------------------------------------------------
This shows how the fund's size changed over the report period, including changes
that resulted from investment performance as well as those that resulted from
shareholders.
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment loss $(5,975)
Net realized loss on investments (18,614)
Net unrealized appreciation of investments 442,086
----------
Net increase resulting from operations 417,497
----------
Net increase from fund share transactions 5,089,719(+)
----------
Total increase in net assets 5,507,216
----------
NET ASSETS
Beginning of period --
----------
End of period $5,507,216
==========
--------------------------------------------------------------------------------
(+) These transactions break down by share class as follows:
June 15, 2000
(commencement of operations)
to August 31, 2000 (unaudited)
------------------------------
CLASS A SHARES AMOUNT
----------------------------------------------------------------------------
Shares sold 176,924 $1,717,631*
Shares redeemed (1,894) (18,582)
-----------------------------------
NET INCREASE 175,030 $1,699,049
===================================
CLASS B(1) SHARES AMOUNT
----------------------------------------------------------------------------
Shares sold 162,846 $1,565,419**
-----------------------------------
NET INCREASE 162,846 $1,565,419
===================================
CLASS B SHARES AMOUNT
----------------------------------------------------------------------------
Shares sold 93,762 $899,484**
Shares redeemed (86) (800)
-----------------------------------
NET INCREASE 93,676 $898,684
===================================
CLASS C SHARES AMOUNT
----------------------------------------------------------------------------
Shares sold 48,244 $457,373
-----------------------------------
NET INCREASE 48,244 $457,373
===================================
CLASS S SHARES AMOUNT
----------------------------------------------------------------------------
Shares sold 49,606 $470,732
Shares redeemed (156) (1,538)
-----------------------------------
NET INCREASE 49,449 $469,194
===================================
The trustees have the authority to issue an unlimited number of fund
shares, with a $0.001 par value per share. MetLife owned 42,418 shares
of each Class A, Class B(1), Class B, Class C and Class S of the fund.
* Includes $3,840 and $11,325 in sales charges collected by the
distributor and MetLife.
** Like all broker-dealers, MetLife received commissions that were
calculated as a percentage of these sales but the commissions of $22,563
and $1,119 for Class B(1) and Class B were paid by the distributor, not
the fund.
--------------------------------------------------------------------------------
The text and notes are an integral part of the financial statements.
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
These provide a summary of each share class's financial performance for the
period June 15, 2000 (commencement of operations) to August 31, 2000
(unaudited)(a).
<TABLE>
<CAPTION>
PER SHARE DATA CLASS A CLASS B(1) CLASS B CLASS C CLASS S
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ($) 9.43 9.43 9.43 9.43 9.43
---- ---- ---- ---- ----
Net investment loss ($)* (0.01) (0.02) (0.02) (0.02) (0.00)
Net realized and unrealized gain on investments 0.99 0.99 0.98 0.98 0.98
---- ---- ---- ---- ----
TOTAL FROM INVESTMENT OPERATIONS ($) 0.98 0.97 0.96 0.96 0.98
---- ---- ---- ---- ----
NET ASSET VALUE, END OF PERIOD ($) 10.41 10.40 10.39 10.39 10.41
===== ===== ===== ===== =====
Total return (%)(b) 10.39(c) 10.29(c) 10.18(c) 10.18(c) 10.39(c)
RATIOS/SUPPLEMENTAL DATA
-------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 1,823 1,694 974 501 515
Expense ratio (%)* 1.50(d) 2.20(d) 2.20(d) 2.20(d) 1.20(d)
Ratio of net investment loss to
average net assets (%)* (0.54)(d) (1.24)(d) (1.22)(d) (1.14)(d) (0.15)(d)
Portfolio turnover rate (%) 19.95 19.95 19.95 19.95 19.95
*Reflects voluntary reduction of
expenses per share of these amounts 0.12 0.13 0.14 0.16 0.16
(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 reduced the fund's expenses.
(c) Not annualized.
(d) Annualized.
The text and notes are an integral part of the financial statements.
<PAGE>
BOARD OF TRUSTEES
GERARD P. MAUS
Chief Financial Officer, Chief Administrative Officer,
Director and Interim Chief Operating Officer,
State Street Research & Management Company
BRUCE R. BOND
Former Chairman of the Board,
Chief Executive Officer and President,
PictureTel Corporation
STEVE A. GARBAN
Former Senior Vice President
for Finance and Operations and Treasurer,
The Pennsylvania State University
DEAN O. MORTON
Former Executive Vice President,
Chief Operating Officer and Director,
Hewlett-Packard Company
SUSAN M. PHILLIPS
Dean, School of Business and Public Management,
George Washington University; former Member of the
Board of Governors of the Federal Reserve System and Chairman
and Commissioner of the Commodity Futures Trading Commission
TOBY ROSENBLATT
President, Founders Investments Ltd.
President, The Glen Ellen Company
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of Management,
Sloan School of Management,
Massachusetts Institute of Technology
The text and notes are an integral part of the financial statements.
<PAGE>
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Call a service center representative at 1-87-SSR-FUNDS (1-877-773-8637), Monday
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[DALBAR GRAPHIC]
DALBAR
HONORS COMMITMENT TO:
INVESTORS
1999
---------------------
for Excellence in Service
(1) Formerly State Street Research Capital Fund.
(2) An investment in the fund is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other government agency. Although the
fund seeks to preserve the value of your investment at $1.00 per share, it
is possible to lose money by investing in the fund.
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This report must be accompanied or preceded by a current State Street Research
Concentrated Growth Fund prospectus. When used after December 31, 2000, this
report must be accompanied by a current Quarterly Performance Update.
To obtain a prospectus on any State Street Research fund call 1-87-SSR-FUNDS
(1-877-773-8637). The prospectus contains more complete information, including
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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.
(c) 2000 State Street Research Investment Services, Inc.,
One Financial Center, Boston, MA 02111
Control Number:(exp1001)SSR-LD CG-2488-1000
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