[State Street logo] State Street Research
State Street Research
Investment Trust
Semiannual Report [picture of man climbing looking at
June 30, 1995 the sky and stars]
What's Inside
New and Improved:
A new design that's
easier to read
Investment Update:
About the Fund,
economy and markets
Fund Information:
Facts and figures
Plus, Complete Portfolio Holdings
and Financial Statements
<PAGE>
Investment Update
Investment Environment
The Economy
(bullet) Most signs point to a slowing economy. Consumer spending has fallen,
home and auto sales are down, and job growth has eased.
(bullet) The Federal Reserve cut interest rates by one-quarter point on July
6, 1995.
(bullet) Inflation remains low, and a slower economy actually reduces the
risk of rising inflation.
The Markets
(bullet) So far, 1995 has been the best year for stocks since 1991. The S&P
500 was up 20.19% through the first six months of 1995.(1) Small-company
stocks started slowly but have come on strong, with the Russell 2000 Index up
14.42%.(1)
(bullet) Bonds have had an outstanding 1995 as well. The Lehman Brothers
Aggregate Bond Index gained 11.44% through the first six months of 1995.(1)
The Fund
Over the past six months
(bullet) Class A shares of the Fund provided a total return of +17.21% (not
including sales charge) for the 6 months ended June 30, 1995.(2) The average
total return for 460 funds in Lipper Analytical Services' growth and income
fund category was +16.75% over the same period (does not reflect sales
charge).
(bullet) Steven P. Somes became sole portfolio manager for the Fund on May 1,
1995. Previously, he was co-manager.
(bullet) The Fund's portfolio is somewhat more conservatively positioned,
with an increased emphasis on income. In line with this strategy, we added
some convertible bonds to the portfolio.
Current strategy
(bullet) The Trust's two largest sector positions are in "consumer staples"
stocks, at 19.7% of the portfolio, and science and technology stocks, at
17.7%. We believe both areas offer solid potential for consistent and
sustainable earnings growth. Consumer staples refer to drugs, food and
beverages, and hospital supplies--goods that people use on a regular basis,
even if the economy slows. Technology stocks have been strong performers, as
computers and electronics play a growing role for businesses and consumers.
(bullet) The Trust is diversified in a broad range of industries. Most of the
holdings are stocks of large, well-known companies. Although we are adding
more income potential, the portfolio remains growth oriented.
(1) The Standard & Poor's 500 Composite Index (S&P 500) includes 500 widely
traded common stocks and is a commonly used measure of U.S. stock market
performance. The Russell 2000 Index includes 2,000 small company stocks and
is a commonly used measure of small-stock performance. The Lehman Brothers
Aggregate Bond Index is a commonly used measure of bond market performance.
The indices are unmanaged and do not take sales charges into consideration.
Direct investment in the indices is not possible; results are for
illustrative purposes only.
(2) +16.71% for Class B shares; +17.30% for Class C shares; + 16.66% for Class
D shares.
(3) All returns represent past performance, which is no guarantee of
future results. The investment return and principal value of an investment
made in the Trust will fluctuate and shares, when redeemed, may be worth more
or less than their original cost. All returns assume reinvestment of capital
gain distributions and income dividends. During the periods prior to 1990
that shares of the Trust were not offered to the general public, the Trust
was not subject to the cash inflows or higher redemptions or expenses that
have occurred since 1990, when the Trust commenced a continuous public
offering.
(4) Performance for a class includes periods prior to the adoption of class
designations in 1993. Performance reflects up to maximum 4.5% front-end or 5%
contingent deferred sales charges. "C" shares, offered without a sales
charge, are available only to certain employee benefit plans and
institutions. Performance prior to class designations in 1993 does not
reflect annual 12b-1 fees of .25% for "A" shares and 1% for "B" and "D"
shares, which will reduce subsequent performance.
Fund Information (all data are for periods ended June 30, 1995)
SEC Average Annual Compound
Rates of Return
(at maximum applicable sales charge)(3),(4)
<TABLE>
<CAPTION>
10 5
Years Years 1 Year
<S> <C> <C> <C>
Class A +11.93% +8.32% +14.08%
Class B +12.27% +8.71% +13.51%
Class C +12.53% +9.48% +19.84%
Class D +12.28% +9.01% +17.57%
</TABLE>
Cumulative Total Returns
(do not reflect sales charge)(3)
<TABLE>
<CAPTION>
10 5
Years Years 1 Year
<S> <C> <C> <C>
Class A +223.20% +56.17% +19.45%
Class B +218.25% +53.78% +18.51%
Class C +225.55% +57.31% +19.84%
Class D +218.51% +53.90% +18.57%
</TABLE>
Top 10 Stock Positions
(by percentage of net assets)
1 AT&T Telephone giant 2.6%
2 Hewlett-Packard Electronics company 2.6%
3 Abbott Laboratories Medical equipment supplier 2.4%
4 Philip Morris Tobacco giant 2.4%
5 Procter & Gamble Personal-care products giant 2.4%
6 General Electric Electrical equipment leader 2.3%
7 Wal-Mart National retailer 2.1%
8 Monsanto Chemical company 2.1%
9 Chemical Banking National bank 2.0%
10 SBC Communications Cellular phone service 2.0%
These securities represent an aggregate of 22.9% of the portfolio. Because of
active management, there is no guarantee that the Fund currently invests, or
will continue to invest, in the securities listed.
Top 5 Industries
(by percentage of net assets)
Electronics 7.8%
Retail 6.6%
Telephone 6.5%
Oil 6.1%
Chemicals 5.9%
Total net assets: 32.9%
<PAGE>
Investment Portfolio
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Value
Shares (Note 1)
------ -------------
<S> <C> <C>
Common Stocks 91.1%
Basic Industries 14.4%
Chemical 5.9%
Atlantic Richfield Co. 94,800 $ 2,464,800
E.I. du Pont de Nemours & Co. 274,900 18,899,375
Monsanto Co. 225,200 20,296,150
Rohm & Haas Co. 287,000 15,749,125
-------------
57,409,450
-------------
Diversified 1.5%
Corning, Inc. 458,300 15,009,325
-------------
Electrical Equipment 2.3%
General Electric Co. 400,000 22,550,000
-------------
Forest Product 0.9%
Georgia-Pacific Corp. 101,500 8,805,125
-------------
Machinery 1.7%
Caterpillar, Inc. 165,200 10,614,100
Fluor Corp. 110,000 5,720,000
-------------
16,334,100
-------------
Metal & Mining 0.9%
Nucor Corp. 166,600 8,913,100
-------------
Railroad 1.2%
CSX Corp. 152,300 11,441,537
-------------
Total Basic Industries 140,462,637
-------------
Consumer Cyclical 15.3%
Automotive 1.5%
Chrysler Corp. 104,000 4,979,000
General Motors Corp. 90,000 4,218,750
Magna International, Inc. Cl. A 124,300 5,484,737
-------------
14,682,487
-------------
Hotel & Restaurant 2.8%
Circus Circus Enterprises, Inc.* 162,800 5,738,700
Harrah's Entertainment, Inc. 259,600 10,124,400
Mirage Resorts, Inc.* 357,350 10,943,844
-------------
26,806,944
-------------
Recreation 4.4%
Comcast Corp. Cl. A 523,650 9,720,253
Walt Disney Co. 211,400 14,367,937
Mattel, Inc. 477,312 12,410,112
Tele-Communications, Inc. Cl. A* 274,100 6,424,219
-------------
42,922,521
-------------
Retail Trade 6.6%
Home Depot, Inc. 364,000 $ 14,787,500
J.C. Penney, Inc. 309,800 14,870,400
Tandy Corp. 113,000 5,861,875
Toys "R" Us, Inc.* 290,363 8,493,118
Wal-Mart Stores, Inc. 778,800 20,811,500
-------------
64,824,393
-------------
Total Consumer Cyclical 149,236,345
-------------
Consumer Staple 19.7%
Business Service 0.8%
First Financial Management Corp. 91,100 7,789,050
-------------
Drug 4.9%
American Home Products Corp. 123,000 9,517,125
Eli Lilly & Co. 125,300 13,749,400
Merck & Co., Inc. 280,600 14,960,150
Warner-Lambert Co. 173,200 9,836,050
-------------
48,062,725
-------------
Food & Beverage 3.0%
Darden Restaurants, Inc.* 300,224 3,264,936
General Mills, Inc. 300,224 15,424,008
PepsiCo., Inc. 220,700 10,069,438
-------------
28,758,382
-------------
Hospital Supply 5.2%
Abbott Laboratories 582,592 23,675,976
Columbia/HCA Healthcare Corp.* 212,200 9,177,650
Healthsource, Inc.* 56,400 1,974,000
Medtronic, Inc. 33,100 2,552,837
United Healthcare Corp. 317,200 13,124,150
-------------
50,504,613
-------------
Personal Care 3.4%
Gillette Co. 231,800 10,344,075
Procter & Gamble Co. 320,300 23,021,563
-------------
33,365,638
-------------
Tobacco 2.4%
Philip Morris Companies, Inc. 317,000 23,576,875
-------------
Total Consumer Staple 192,057,283
-------------
Energy 7.1%
Oil 6.1%
Exxon Corp. 264,400 18,673,250
Mobil Corp. 26,300 2,524,800
Phillips Petroleum Co. 457,900 15,282,412
Shell Transport & Trading PLC 200,000 14,475,000
Total Cl. B ADR 288,600 8,730,150
-------------
59,685,612
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
Investment Portfolio (cont'd)
Value
Shares (Note 1)
------ -------------
Oil Service 1.0%
Schlumberger Ltd. 158,312 $ 9,835,133
-------------
Total Energy 69,520,745
-------------
Finance 9.0%
Bank 3.7%
H.F. Ahmanson & Co. 75,400 1,658,800
BankAmerica Corp. 282,000 14,840,250
Chemical Banking Corp. 417,500 19,726,875
-------------
36,225,925
-------------
Financial Service 1.9%
Federal National Mortgage Association 197,200 18,610,750
-------------
Insurance 3.4%
AMBAC, Inc. 88,400 3,547,050
American General Corp. 423,642 14,297,918
Chubb Corp. 24,700 1,979,087
General Re Corp. 100,603 13,468,227
-------------
33,292,282
-------------
Total Finance 88,128,957
-------------
Science & Technology 17.7%
Aerospace 1.6%
Boeing Co. 248,300 15,549,788
-------------
Computer Software & Service 4.1%
General Motors Corp. Cl. E 258,700 11,253,450
Informix Corp.* 252,000 6,394,500
Microsoft Corp.* 180,000 16,267,500
Parametric Technology Corp.* 118,600 5,900,350
-------------
39,815,800
-------------
Electronic 7.8%
General Motors Corp Cl. H 79,000 3,120,500
L.M. Ericsson Telephone Co. Cl. B ADR* 754,400 15,088,000
Hewlett-Packard Co. 342,000 25,479,000
Intel Corp. 196,200 12,421,913
Motorola, Inc. 140,000 9,397,500
Perkin-Elmer Corp. 315,600 11,203,800
-------------
76,710,713
-------------
Office Equipment 4.2%
Diebold, Inc. 230,800 10,039,800
International Business Machines Corp. 145,000 13,920,000
Xerox Corp. 144,900 16,989,525
-------------
40,949,325
-------------
Total Science & Technology 173,025,626
-------------
Utility 7.9%
Electric 1.4%
Entergy Corp. 150,000 3,618,750
FPL Group, Inc. 252,000 9,733,500
-------------
13,352,250
-------------
Telephone 6.5%
AT&T Corp. 483,050 25,662,031
AirTouch Communications, Inc.* 513,000 14,620,500
SBC Communications, Inc. 400,000 19,050,000
Tele Danmark Cl. B ADR* 148,100 4,146,800
-------------
63,479,331
-------------
Total Utility 76,831,581
-------------
Total Common Stocks (Cost $529,027,318) 889,263,174
-------------
</TABLE>
<TABLE>
<CAPTION>
Principal Maturity
Amount Date
---------- ---------
<S> <C> <C> <C>
CONVERTIBLE BONDS 2.5%
Equitable Company, Inc. Cv.
Sub. Deb., 6.125% $13,500,000 12/15/2024 14,242,500
Price Co. Cv. Sub. Deb., 5.50% 920,000 2/28/2012 862,500
Time Warner, Inc. Cv. Sub.
Deb., 8.75% 8,900,000 1/10/2015 9,267,125
------------
Total Convertible Bonds (Cost $23,275,326) 24,372,125
------------
COMMERCIAL PAPER 6.2%
American Express Credit Corp.,
5.85% 140,000 7/03/1995 140,000
American Express Credit Corp.,
5.95% 14,056,000 7/07/1995 14,056,000
American Express Credit Corp.,
5.80% 681,000 7/07/1995 681,000
Cargill, Inc., 5.94% 16,202,000 7/17/1995 16,159,227
Deere & Co., 5.90% 14,070,000 7/03/1995 14,070,000
Household Finance Corp., 5.75% 850,000 7/03/1995 850,000
Wal-Mart Stores, Inc., 5.94% 14,576,000 7/12/1995 14,549,633
------------
Total Commercial Paper (Cost $60,505,860) 60,505,860
------------
Total Investments (Cost $612,808,504)--99.8% 974,141,159
Cash and Other Assets, Less Liabilities--0.2% 2,002,273
------------
Net Assets--100% $976,143,432
============
</TABLE>
The accompanying notes are in integral part of the financial statements.
3
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
Federal Income Tax Information:
At June 30, 1995, the net unrealized
appreciation of investments based on cost
for Federal income tax purposes of
$609,477,369 was as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an
excess of value over tax cost $365,912,617
Aggregate gross unrealized depreciation for
all investments in which there is an
excess of tax cost over value (1,248,827)
-------------
$364,663,790
=============
</TABLE>
* Nonincome-producing securities.
ADR stands for American Depositary Receipt, representing ownership of
foreign securities.
Statement of Assets and Liabilities
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
Assets
Investments, at value (Cost $612,808,504) (Note 1) $974,141,159
Cash 93
Receivable for fund shares sold 2,602,567
Dividends and interest receivable 1,983,054
Receivable for securities sold 707,982
Other assets 62,328
-------------
979,497,183
Liabilities
Dividends payable 1,496,248
Accrued management fee (Note 2) 767,383
Accrued transfer agent and shareholder services
(Note 2) 447,109
Payable for fund shares redeemed 331,897
Accrued distribution fee (Note 4) 159,910
Accrued trustees' fee (Note 2) 14,228
Other accrued expenses 136,976
-------------
3,353,751
-------------
Net Assets $976,143,432
=============
Net Assets consist of:
Undistributed net investment income $ 1,620,938
Unrealized appreciation of investments 361,332,655
Accumulated net realized gain 45,146,863
Shares of beneficial interest (Note 5) 568,042,976
-------------
$976,143,432
=============
Net Asset Value and redemption price per share of
Class A shares ($109,443,189 (divided by) 12,135,184
shares of beneficial interest) $9.02
=============
Maximum Offering Price per share of Class A shares
($9.02 (divided by) .955) $9.45
=============
Net Asset Value and offering price per share of
Class B shares ($143,486,127 (divided by) 15,958,337
shares of beneficial interest)* $8.99
=============
Net Asset Value, offering price and redemption
price per share of Class C shares ($708,953,597
(divided by) 78,429,757 shares of beneficial
interest) $9.04
=============
Net Asset Value and offering price per share of
Class D shares ($14,260,519 (divided by) 1,582,636
shares of beneficial interest)* $9.01
=============
</TABLE>
* Redemption price per share for Class B and Class D is equal to net asset
value less any applicable contingent deferred sales charge.
The accompanying notes are in integral part of the financial statements.
4
<PAGE>
Statement of Operations
For the six months ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends, net of foreign taxes of $86,726 $ 9,619,328
Interest 1,253,940
----------
10,873,268
Expenses
Management fee (Note 2) 1,493,066
Transfer agent and shareholder services (Note 2) 937,859
Custodian fee 88,964
Reports to shareholders 66,889
Distribution fee--Class A (Note 4) 125,431
Distribution fee--Class B (Note 4) 640,402
Distribution fee--Class D (Note 4) 64,068
Registration fees 24,496
Audit fee 21,528
Trustees' fees (Note 2) 16,300
Legal fees 2,475
Miscellaneous 25,530
----------
3,507,008
----------
Net investment income 7,366,260
----------
Realized and Unrealized Gain on Investments
Net realized gain on investments (Notes 1 and 3) 45,151,499
Net unrealized appreciation of investments 91,302,497
----------
Net gain on investments 136,453,996
----------
Net increase in net assets resulting from operations $143,820,256
==========
</TABLE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
Six months
ended
June 30, Year ended
1995 December 31,
(Unaudited) 1994
------------ ----------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations:
Net investment income $ 7,366,260 $ 12,228,203
Net realized gain on investments* 45,151,499 49,707,504
Net unrealized appreciation (depreciation) of
investments 91,302,497 (94,920,371)
------------ ----------------
Net increase (decrease) resulting from operations 143,820,256 (32,984,664)
------------ ----------------
Dividends from net investment income:
Class A (599,377) (1,272,332)
Class B (295,704) (750,337)
Class C (4,731,011) (11,201,630)
Class D (29,256) (80,517)
------------ ----------------
(5,655,348) (13,304,816)
------------ ----------------
Distribution from net realized gains:
Class A -- (5,538,217)
Class B -- (6,856,781)
Class C -- (38,926,766)
Class D -- (710,178)
------------ ----------------
-- (52,031,942)
------------ ----------------
Net increase (decrease) from fund share transactions
(Note 5) (6,717,655) 55,383,109
------------ ----------------
Total increase (decrease) in net assets 131,447,253 (42,938,313)
Net Assets
Beginning of period 844,696,179 887,634,492
------------ ----------------
End of period (including undistributed
(overdistributed) net investment income of
$1,620,938 and $(89,974), respectively) $976,143,432 $844,696,179
============ ================
* Net realized gain for Federal income tax purposes
(Note 1) $ 45,307,935 $ 52,031,942
============ ================
</TABLE>
The accompanying notes are in integral part of the financial statements.
5
<PAGE>
Notes to Unaudited Financial Statements
June 30, 1995
Note 1
State Street Research Investment Trust, formerly State Street Investment
Trust (the "Trust"), is a series of State Street Research Master Investment
Trust, formerly State Street Master Investment Trust (the "Master Trust"),
which is a Massachusetts business trust registered under the Investment
Company Act of 1940, as amended, as an open-end management investment
company. The Trust was organized in February, 1989 as a successor to State
Street Investment Corporation, a Massachusetts corporation. The Trust is
presently the only series of the Master Trust.
The Trust offers four classes of shares. Class A shares are subject to an
initial sales charge of up to 4.5% and pay a service fee equal to 0.25% of
average daily net assets. Class B shares are subject to a contingent deferred
sales charge on certain redemptions made within five years of purchase and
pay annual distribution and service fees of 1.00%. Class B shares
automatically convert into Class A shares (which pay lower on-going
expenses) at the end of eight years after the issuance of the Class B shares.
Class C shares are only offered to certain employee benefit plans and large
institutions. No sales charge is imposed at the time of purchase or
redemption of Class C shares. Class C shares do not pay any distribution or
service fees. Class D shares are subject to a contingent deferred sales
charge of 1.00% on any shares redeemed within one year of their purchase.
Class D shares also pay annual distribution and service fees of 1.00%. The
Trust's expenses are borne pro-rata by each class, except that each class
bears expenses, and has exclusive voting rights with respect to provisions of
the Plan of Distribution, related specifically to that class. The Trustees
declare separate dividends on each class of shares.
The following significant accounting policies are consistently followed by
the Trust in preparing its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
A. Investments in Securities
Values for listed securities represent the last sale on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("NASDAQ") system are valued at the closing price
supplied through such system. In the absence of recorded sales and for those
over-the-counter securities not quoted on the NASDAQ system, valuations are
at the mean of the closing bid and asked quotations, except for securities
that may be restricted as to public resale, which are valued in accordance
with methods adopted by the Trustees. Security transactions are accounted for
on the trade date (date the order to buy or sell is executed), and dividends
declared but not received are accrued on the ex-dividend date. Interest
income is determined on the accrual basis. Realized gains and losses from
security transactions are reported on the basis of identified cost of
securities delivered.
B. Federal Income Taxes
No provision for Federal income taxes is necessary since the Trust has
elected to qualify under Subchapter M of the Internal Revenue Code and its
policy to distribute all of its taxable income, including net realized
capital gains, within the prescribed time periods. It is also the intention
of the Trust to distribute an amount sufficient to avoid imposition of any
Federal Excise Tax under Section 4982 of the Internal Revenue Code.
C. Dividends
Dividends from net investment income are declared and paid or reinvested
quarterly. Net realized capital gains are distributed annually.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles. The difference is due to the disposition of securities
that have different bases for financial reporting and tax purposes.
Note 2
The Trust and State Street Research & Management Company (the "Adviser"), an
indirect wholly-owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"), have entered into a contract under which the Adviser
receives a quarterly fee equal to 1/8 of one percent of the average market
value of the net assets up to and including $200,000,000, 3/32 of one percent
of the average net assets in excess of $200,000,000 up to and including
$300,000,000, 3/40 of one percent of the average net assets in excess of
$300,000,000 up to and including $500,000,000, and 1/16 of one percent of the
average net assets in excess of $500,000,000. In consideration of these fees,
the Adviser furnishes the Trust with management, investment advisory,
statistical and research facilities and services. The Adviser also pays all
salaries, rent and certain other expenses of management. The fees of the
Trustees not currently affiliated with the Adviser amounted to $16,300 during
the six months ended June 30, 1995.
State Street Research Shareholder Services, a division of State Street
Research Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), an indirect wholly-owned subsidiary of Metropolitan, provides
certain shareholder services to the Trust such as responding to inquiries and
instructions from investors with respect to the purchase and redemption of
shares of the Trust. In addition, Metropolitan receives a fee for maintenance
of the accounts of certain shareholders who are participants in sponsored
arrangements, employee benefit plans and similar programs or plans, through
or under which shares of the Trust may be purchased. During the six months
ended June 30, 1995, the amount of such shareholder servicing and account
maintenance expenses was $201,113.
Note 3
For the six months ended June 30, 1995, exclusive of short-term investments
and U.S. Government obligations, purchases and sales of securities aggregated
$168,826,859 and $223,583,240, respectively.
6
<PAGE>
Notes (cont'd)
Note 4
The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the
"Plan") under the Investment Company Act of 1940, as amended. Under the Plan,
the Trust pays annual service fees to the Distributor at a rate of 0.25% of
average daily net assets for Class A, Class B and Class D shares. In
addition, the Trust pays annual distribution fees of 0.75% of average daily
net assets for Class B and Class D shares. The Distributor uses such payments
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 June 30, 1995,
fees pursuant to such plan amounted to $125,431, $640,402 and $64,068 for
Class A, Class B and Class D, respectively.
The Trust has been informed that the Distributor and MetLife Securities,
Inc., a wholly-owned subsidiary of Metropolitan, earned initial sales charges
aggregating $55,026 and $316,246, respectively, on sales of Class A shares of
the Trust during the six months ended June 30, 1995, and that MetLife
Securities, Inc. earned commissions aggregating $420,586 on sales of Class B
shares, and that the Distributor collected contingent deferred sales charges
of $190,547 and $1,437 on redemptions of Class B and Class D shares,
respectively, during the same period.
Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share.
At June 30, 1995, the Adviser owned one share of each of Class A, Class B and
Class D of the Trust.
Share transactions were as follows:
<TABLE>
<CAPTION>
Six months ended
June 30, 1995 Year ended
(Unaudited) December 31, 1994
-------------------------- ----------------------------
Class A Shares Amount Shares Amount
------------------------------------- ---------- ------------ ---------- --------------
<S> <C> <C> <C> <C>
Shares sold 1,761,154 $ 14,786,360 5,058,036 $ 43,158,666
Issued upon reinvestment of:
Distribution from net realized gains -- -- 689,290 5,332,960
Dividends from net investment income 32,548 293,525 148,378 1,198,639
Shares redeemed (1,558,405) (12,993,509) (2,660,200) (22,577,181)
---------- ------------ ---------- --------------
Net increase 235,297 $ 2,086,376 3,235,504 $ 27,113,084
========== ============ ========== ==============
Class B Shares Amount Shares Amount
------------------------------------- ---------- ------------ ---------- --------------
Shares sold 2,578,467 $ 23,549,134 7,020,541 $ 59,229,510
Issued upon reinvestment of:
Distribution from net realized gains -- -- 790,804 6,423,523
Dividends from net investment income 15,302 136,383 86,049 686,769
Shares redeemed (1,309,653) (10,928,164) (1,661,453) (14,012,746)
---------- ------------ ---------- --------------
Net increase 1,284,116 $ 12,757,353 6,235,941 $ 52,327,056
========== ============ ========== ==============
Class C Shares Amount Shares Amount
------------------------------------- ---------- ------------ ---------- --------------
Shares sold 690,161 $ 5,204,649 1,069,053 $ 9,148,062
Issued upon reinvestment of:
Distribution from net realized gains -- -- 2,393,999 18,573,534
Dividends from net investment income 423,617 3,411,014 516,825 4,193,817
Shares redeemed (3,555,510) (30,791,644) (6,952,977) (59,288,131)
---------- ------------ ---------- --------------
Net decrease (2,441,732) $(22,175,981) (2,973,100) $(27,372,718)
========== ============ ========== ==============
Class D Shares Amount Shares Amount
------------------------------------- ---------- ------------ ---------- --------------
Shares sold 302,552 $ 2,544,768 724,455 $ 6,158,619
Issued upon reinvestment of:
Distribution from net realized gains -- -- 46,426 357,840
Dividends from net investment income 1,934 17,203 6,305 50,765
Shares redeemed (234,748) (1,947,374) (385,261) (3,251,537)
---------- ------------ ---------- --------------
Net increase 69,738 $ 614,597 391,925 $ 3,315,687
========== ============ ========== ==============
</TABLE>
7
<PAGE>
Financial Highlights
For a share outstanding throughout each period:
<TABLE>
<CAPTION>
Class A Class B
----------------------------------------- ------------------------------------------
Six months Six months
ended ended
June 30, Year ended June 30, Year ended
1995 December 31, 1995 December 31,
(Unaudited) 1994 1993* (Unaudited) 1994 1993**
------------------------------------- ------------ -------------- ------- ------------ -------------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $7.74 $8.69 $8.75 $7.72 $8.66 $9.15
Net investment income .07 .11 .10 .03 .06 .06
Net realized and unrealized gain
(loss)
on investments 1.26 (.44) .81 1.26 (.44) .39
Dividends from net investment income (.05) (.12) (.13) (.02) (.06) (.10)
Distributions from realized capital
gains -- (.50) (.84) -- (.50) (.84)
------------ -------------- ------- ------------ -------------- --------
Net asset value, end of period $9.02 $7.74 $8.69 $8.99 $7.72 $8.66
============ ============== ======= ============ ============== ========
Total return 17.21%+++ (3.84)%+ 10.53%+++ 16.71%+++ (4.43)%+ 4.95%+++
Net assets at end of period (000s) $109,443 $92,137 $75,259 $143,486 $113,301 $73,110
Ratio of operating expenses to
average net assets 0.84%++ 0.89% 0.75%++ 1.59%++ 1.64% 1.51%++
Ratio of net investment income to
average net assets 1.55%++ 1.26% 1.27%++ 0.80%++ 0.51% 0.48%++
Portfolio turnover rate 19.31% 33.08% 43.57% 19.31% 33.08% 43.57%
</TABLE>
<TABLE>
<CAPTION>
Class C Class D
-------------------------------------------------------------- ------------------------------------
Year ended December 31
----------------------------------------------
Six months Six months
ended ended
June 30, June 30, Year ended
1995 1995 December 31,
(Unaudited) 1994 1993 1992 1991 1990 (Unaudited) 1994 1993**
-------------------- ------------ ------- ------ ------ ------ ------ ----------- ------------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $7.76 $8.70 $8.80 $9.04 $7.67 $8.65 $7.74 $8.68 $9.15
Net investment
income .08 .13 .15 .16 .19 .22 .03 .05 .06
Net realized and
unrealized gain
(loss) on
investments 1.26 (.43) .74 .40 1.96 (.31) 1.26 (.43) .40
Dividends from net
investment income (.06) (.14) (.15) (.16) (.20) (.23) (.02) (.06) (.09)
Distributions from
realized capital
gains -- (.50) (.84) (.64) (.58) (.66) -- (.50) (.84)
------------ ------- ------ ------ ------ ------ ----------- ------------- -----
Net asset value, end
of period $9.04 $7.76 $8.70 $8.80 $9.04 $7.67 $9.01 $7.74 $8.68
============ ======= ====== ====== ====== ====== =========== ============= =====
Total return 17.30%+++ (3.47)%+ 10.20%+ 6.28%+ 28.08%+ (0.95)%+ 16.66%+++ (4.45)%+ 5.10%+++
Net assets at end of
period (000s) $708,954 $627,551 $729,536 $726,671 $657,762 $519,475 $14,261 $11,707 $9,729
Ratio of operating
expenses to average
net assets 0.59%++ 0.65% 0.49% 0.51% 0.50% 0.50% 1.59%++ 1.64% 1.51%++
Ratio of net
investment income
to average net
assets 1.81%++ 1.54% 1.63% 1.92% 2.24% 2.64% 0.80%++ 0.51% 0.51%++
Portfolio turnover
rate 19.31% 33.08% 43.57% 23.99% 16.28% 10.07% 19.31% 33.08% 43.57%
</TABLE>
++ Annualized
* February 17, 1993 (commencement of share class designations) to December
31, 1993.
** March 15, 1993 (commencement of share class designations) to December 31,
1993.
+ Total return figures do not reflect any front-end or contingent deferred
sales charges.
+++Represents aggregate return for the period without annualization and does
not reflect any front-end or contingent deferred sales charges.
8
<PAGE>
Fund Information, Officers and Trustees of State Street Research Master
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9
<PAGE>
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