APA: Citing an annual report over multiple years
I don't work in APA much, but in the several papers I have had published the journal has had particular requirements for special cases like that. Step one would be to reach out to the editor of your chosen publication. 
In the mean time I would probably cite them separately.


  Smith, J. (2002) Annual Report
   Smith, J. (2003) Annual Report
   Smith, J. (2004) Annual Report
   etc. 


with the in text citation (Smith, 2002, 2003, 2004 ... ). I find it preferable to include too much detail and be asked to scale back than vice versa.