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State Street Institutional Funds

Filed: 4 Dec 19, 11:13am
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORMN-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:811-08257

 

 

STATE STREET INSTITUTIONAL FUNDS

(Exact name of registrant as specified in charter)

 

 

One Iron Street

Boston, Massachusetts 02210

(Address of principal executive offices)(Zip code)

 

 

 

(Name and Address of Agent for Service)  Copy to:

Sean O’Malley, Esq.

Senior Vice President and Deputy General Counsel

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

  

Timothy W. Diggins, Esq.

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

 

 

Registrant’s telephone number, including area code:800-242-0134

Date of fiscal year end: September 30

Date of reporting period: September 30, 2019

 

 

 


Table of Contents
Item 1.

Shareholder Report.


Table of Contents

Annual Report

September 30, 2019

 

State Street Institutional Funds

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.ssga.com/geam), and you will be notified by mail each time a report is posted, and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund by calling800-242-0134.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 800-242-0134. Your election to receive reports in paper will apply to all funds held in your account, if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with a Fund.

 

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Table of Contents

State Street Institutional Funds

Annual Report

September 30, 2019

Table of Contents

 

     Page 
Notes to Performance     1 
Manager Reviews and Schedules of Investments    

State Street Institutional U.S. Equity Fund

     2 

State Street Institutional Premier Growth Equity Fund

     11 

State Street InstitutionalSmall-Cap Equity Fund

     17 

State Street Institutional International Equity Fund

     29 

State Street Active Core Bond Fund

     36 
Financial Statements    

Financial Highlights

     56 

Statements of Assets and Liabilities

     62 

Statements of Operations

     64 

Statements of Changes in Net Assets

     66 
Notes to Financial Statements     68 
Report of Independent Registered Public Accounting Firm     79 
Other Information     80 

This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.


Table of Contents

State Street Institutional Funds

Notes to Performance — September 30, 2019 (Unaudited)

 

 

Total return performance shown in this report for the State Street Institutional Funds (the “Trust”) and each of its series portfolios (each, a “Fund” and collectively, the “Funds”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods of less than one year are not annualized. Please call toll-free (800)242-0134 or visit the Funds’ website at http://www.ssga.com/geam for the most recentmonth-end performance data.

An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.

The S&P 500® Index of stocks (“S&P 500 Index”) is an unmanaged market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure oflarge-cap U.S. stock market performance.

The Russell 1000® Growth Index measures the performance of thelarge-cap growth segment of the U.S. equity universe. It includes companies in the Russell 1000® Index with higherprice-to-book ratios and higher forecasted growth values. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.

The Russell 2000® Index is a market capitalization-weighted index consisting of 2,000 of the smallest U.S.-domiciled publicly traded common stocks that are included in the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest U.S.-domiciled companies.

The Morgan Stanley Capital International Europe, Australasia, and Far East Index (“MSCI® EAFE® Index”) is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The MSCI® EAFE® Index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors.

The Morgan Stanley Capital International All Country World IndexEx-U.S. (“MSCI® ACWIEx-U.S. Index”) is a market capitalization-weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI® ACWIEx-U.S. Index includes both developed and emerging markets.

The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market value-weighted index of taxable investment grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The Bloomberg Barclays U.S. Aggregate Bond Index is designed to represent performance of the U.S. investment-grade fixed rate bond market.

The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, index returns do not reflect the actual cost of investing in the instruments that comprise an index.

 

 

State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street Institutional Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) for investment advisory and administrative services.

 

Notes to Performance  1 


Table of Contents

State Street Institutional U.S. Equity Fund

Management Discussion of Fund Performance — September 30, 2019 (Unaudited)

 

 

The State Street Institutional U.S. Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the S&P 500 Index (the “Index”).

For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 4.43% and for the Fund’s Service Class was 4.23%, and the Index was 4.25%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Strong stock selection especially in consumer staples and financial stocks, and on the negative side underperformance in healthcare names, were the primary drivers of Fund performance during the Reporting Period relative to the Index. In consumer staples, Mondelez International and Pepsico both had strong returns during the Reporting Period. Mondelez, the snack producer and owner of brands such as Kraft, Nabisco, and Belvita among many others, has produced strong organic sales growth globally and especially in emerging markets. Likewise, Pepsico has delivered solid growth on strong execution globally. In financials, two capital market companies were the biggest drivers of outperformance: S&P Global and CME Group. S&P Global is a financial information services and ratings company that has beat earnings estimations and raised guidance on global growth and margin expansion. CME Group operates a derivatives exchange which benefits from market volatility providing a countercyclical hedge to the Fund. In healthcare, a number of the Fund’s holdings underperformed, including UnitedHealth Group and Gilead Sciences. UnitedHealth Group has lagged as U.S. political rhetoric has highlighted ideas such as Medicare for All, which would be expected to be a negative for UnitedHealth’s business. Gilead’s issues have been more stock-specific as the new management team builds credibility around their growth plan. We believe that Gilead may benefit going forward from stabilization in its hepatitis drug as well a pipeline of new drugs.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Microsoft, Applied Materials, and Visa. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Schlumberger, Amazon.com, and UnitedHealth Group.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

2 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional U.S. Equity Fund

Performance Summary — September 30, 2019 (Unaudited)

 

 

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of U.S. companies, such as common and preferred stocks.

Top Ten Largest Holdings

as of September 30, 2019 (as a % of Fair Value)(a)(b)

 

Microsoft Corp.

  4.90

Apple Inc.

  3.91

Amazon.com Inc.

  3.54

JPMorgan Chase & Co.

  3.01

Alphabet Inc., Class A

  2.62

Visa Inc., Class A

  2.61

Merck & Company Inc.

  2.37

Allergan PLC

  1.94

PepsiCo Inc.

  1.90

Applied Materials Inc.

  1.80

Sector Allocation as of September 30, 2019

Portfolio Composition as a % of Fair Value of $425,987 (in thousands) as of September 30, 2019(a)(b)

 

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Average Annual Total Return for the periods ended September 30, 2019

Investment Class Shares (Inception date: 11/25/97)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Institutional U.S. Equity Fund

  4.43  9.51  11.69 $30,210 

S&P 500 Index

  4.25  10.84  13.24 $34,674 

Service Class Shares (Inception date: 1/3/01)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Institutional U.S. Equity Fund

  4.23  9.24  11.49 $29,682 

S&P 500 Index

  4.25  10.84  13.24 $34,674 

 

 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares.

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

State Street Institutional U.S. Equity Fund  3 


Table of Contents

State Street Institutional U.S. Equity Fund

Performance Summary, continued — September 30, 2019 (Unaudited)

 

 

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4 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional U.S. Equity Fund

Understanding Your Fund’s Expenses — September 30, 2019 (Unaudited)

 

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entiresix-month period ended September 30, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,061.20   $1,023.20 

Expenses Paid During Period*

  $1.91   $1.88 

Service Class

        

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,059.70   $1,022.00 

Expenses Paid During Period*

  $3.20   $3.14 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.37%** for Investment Class shares and 0.62% for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period).

 

 **

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

State Street Institutional U.S. Equity Fund  5 


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      
Common Stock - 96.5%†

 

Aerospace & Defense - 1.2%

 

Hexcel Corp.

   15,783      1,296,258 

Raytheon Co.

   11,036      2,165,153 

The Boeing Co.

   4,013      1,526,826 
      

 

 

 
     4,988,237 
      

 

 

 

Air Freight & Logistics - 0.4%

 

FedEx Corp.

   2,895      421,425 

United Parcel Service Inc., Class B

   10,576      1,267,216 
      

 

 

 
     1,688,641 
      

 

 

 

Airlines - 0.2%

 

Alaska Air Group Inc.

   10,127      657,343 

JetBlue Airways Corp. (a)

   15,049      252,071 
      

 

 

 
     909,414 
      

 

 

 

Application Software - 1.9%

 

Adobe Inc. (a)(b)

   5,659      1,563,299 

Intuit Inc.

   3,991      1,061,366 

salesforce.com Inc. (a)

   36,525      5,421,771 
      

 

 

 
     8,046,436 
      

 

 

 

Asset Management & Custody Banks - 0.3%

 

The Blackstone Group Inc., Class A

   29,266      1,429,351 
      

 

 

 

Auto Parts & Equipment - 0.3%

 

Aptiv PLC

   15,625      1,365,938 
      

 

 

 

Automotive Retail - 0.5%

 

O’Reilly Automotive Inc. (a)

   5,243      2,089,388 
      

 

 

 

Biotechnology - 3.1%

 

Alexion Pharmaceuticals Inc. (a)(b)

   16,124      1,579,184 

BioMarin Pharmaceutical Inc. (a)

   18,719      1,261,661 

Gilead Sciences Inc.

   120,846      7,659,219 

Vertex Pharmaceuticals Inc. (a)

   13,678      2,317,327 
      

 

 

 
     12,817,391 
      

 

 

 

Building Products - 0.2%

 

Allegion PLC

   7,276      754,157 
      

 

 

 

Cable & Satellite - 1.9%

 

Charter Communications Inc., Class A (a)

   11,051      4,554,338 

Comcast Corp., Class A

   72,124      3,251,350 
      

 

 

 
     7,805,688 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Commodity Chemicals - 0.1%

 

Dow Inc. (a)

   9,718      463,063 
      

 

 

 

Communications Equipment - 0.7%

 

Cisco Systems Inc.

   57,167      2,824,621 
      

 

 

 

Construction Materials - 0.1%

 

Vulcan Materials Co.

   2,764      418,027 
      

 

 

 

Data Processing & Outsourced Services - 3.8%

 

Fidelity National Information Services Inc.

   6,659      884,049 

Mastercard Inc., Class A

   14,638      3,975,242 

Visa Inc., Class A

   64,708      11,130,423 
      

 

 

 
     15,989,714 
      

 

 

 

Diversified Banks - 3.1%

 

JPMorgan Chase & Co.

   109,044      12,833,388 
      

 

 

 

Electric Utilities - 1.5%

 

American Electric Power Company Inc. (b)

   13,139      1,230,993 

Duke Energy Corp.

   5,420      519,561 

Edison International

   6,874      518,437 

Exelon Corp.

   28,760      1,389,396 

NextEra Energy Inc.

   11,642      2,712,469 
      

 

 

 
     6,370,856 
      

 

 

 

Electrical Components & Equipment - 0.4%

 

Emerson Electric Co.

   26,994      1,804,819 
      

 

 

 

Electronic Components - 2.5%

 

Amphenol Corp., Class A

   49,752      4,801,068 

Corning Inc.

   197,097      5,621,206 
      

 

 

 
     10,422,274 
      

 

 

 

Environmental & Facilities Services - 0.6%

 

Republic Services Inc.

   9,313      806,040 

Waste Management Inc.

   13,914      1,600,110 
      

 

 

 
     2,406,150 
      

 

 

 

Fertilizers & Agricultural Chemicals - 0.2%

 

Corteva Inc. (a)

   24,367      682,276 
      

 

 

 

Financial Exchanges & Data - 3.5%

 

CME Group Inc.

   30,367      6,417,762 

MSCI Inc.

   5,610      1,221,578 

S&P Global Inc.

   24,139      5,913,572 

Tradeweb Markets Inc., Class A

   25,299      935,557 
      

 

 

 
     14,488,469 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

6 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Footwear - 0.7%

 

NIKE Inc., Class B

   32,943      3,094,007 
      

 

 

 

General Merchandise Stores - 0.4%

 

Dollar Tree Inc. (a)

   14,145      1,614,793 
      

 

 

 

Gold - 0.1%

 

Newmont Goldcorp Corp.

   12,152      460,804 
      

 

 

 

Healthcare Equipment - 2.4%

 

ABIOMED Inc. (a)

   6,091      1,083,528 

Becton Dickinson and Co.

   7,266      1,838,007 

Boston Scientific Corp. (a)

   112,018      4,558,013 

Medtronic PLC

   23,208      2,520,853 
      

 

 

 
     10,000,401 
      

 

 

 

Healthcare Services - 1.0%

 

Cigna Corp. (a)

   15,786      2,396,157 

DaVita Inc. (a)

   7,646      436,357 

Quest Diagnostics Inc.

   12,242      1,310,261 
      

 

 

 
     4,142,775 
      

 

 

 

Home Improvement Retail - 0.6%

 

The Home Depot Inc.

   10,814      2,509,064 
      

 

 

 

Hotels, Resorts & Cruise Lines - 0.3%

 

Marriott International Inc., Class A

   8,777      1,091,596 
      

 

 

 

Household Products - 1.1%

 

The Procter & Gamble Co.

   37,464      4,659,772 
      

 

 

 

Hypermarkets & Super Centers - 0.3%

 

Walmart Inc.

   12,241      1,452,762 
      

 

 

 

Industrial Conglomerates - 1.2%

 

Honeywell International Inc.

   18,569      3,141,875 

Roper Technologies Inc.

   5,643      2,012,294 
      

 

 

 
     5,154,169 
      

 

 

 

Industrial Gases - 0.5%

 

Air Products & Chemicals Inc.

   7,851      1,741,823 

Linde PLC

   2,646      512,583 
      

 

 

 
     2,254,406 
      

 

 

 

Industrial Machinery - 2.3%

 

Ingersoll-Rand PLC

   44,531      5,486,665 

Xylem Inc.

   54,576      4,345,341 
      

 

 

 
     9,832,006 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Insurance Brokers - 0.3%

 

Marsh & McLennan Companies Inc.

   13,485      1,349,174 
      

 

 

 

Integrated Oil & Gas - 2.5%

 

Chevron Corp.

   59,541      7,061,562 

Exxon Mobil Corp.

   48,634      3,434,047 
      

 

 

 
     10,495,609 
      

 

 

 

Integrated Telecommunication Services - 0.7%

 

AT&T Inc.

   25,645      970,407 

Verizon Communications Inc.

   32,969      1,990,009 
      

 

 

 
     2,960,416 
      

 

 

 

Interactive Home Entertainment - 0.3%

 

Activision Blizzard Inc.

   10,716      567,091 

Electronic Arts Inc. (a)

   5,404      528,619 
      

 

 

 
     1,095,710 
      

 

 

 

Interactive Media & Services - 5.8%

 

Alphabet Inc., Class A (a)

   9,151      11,174,652 

Alphabet Inc., Class C (a)

   4,743      5,781,717 

Facebook Inc., Class A (a)

   41,931      7,467,073 
      

 

 

 
     24,423,442 
      

 

 

 

Internet & Direct Marketing Retail - 4.3%

 

Amazon.com Inc. (a)

   8,694      15,092,001 

Booking Holdings Inc. (a)

   1,396      2,739,804 
      

 

 

 
     17,831,805 
      

 

 

 

Investment Banking & Brokerage - 0.1%

 

The Charles Schwab Corp.

   14,404      602,519 
      

 

 

 

IT Consulting & Other Services - 0.7%

 

Accenture PLC, Class A

   6,942      1,335,294 

International Business Machines Corp.

   10,470      1,522,547 
      

 

 

 
     2,857,841 
      

 

 

 

Life & Health Insurance - 0.3%

 

Prudential Financial Inc.

   12,711      1,143,354 
      

 

 

 

Life Sciences Tools & Services - 0.8%

 

Illumina Inc. (a)

   6,635      2,018,500 

IQVIA Holdings Inc. (a)

   5,872      877,159 

Thermo Fisher Scientific Inc.

   1,824      531,277 
      

 

 

 
     3,426,936 
      

 

 

 

Managed Healthcare - 1.9%

 

Humana Inc.

   4,828      1,234,375 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional U.S. Equity Fund  7 


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

UnitedHealth Group Inc.

   31,726      6,894,694 
      

 

 

 
     8,129,069 
      

 

 

 

Movies & Entertainment - 2.1%

 

Netflix Inc. (a)

   6,505      1,740,868 

The Walt Disney Co.

   53,942      7,029,722 
      

 

 

 
     8,770,590 
      

 

 

 

Multi-Line Insurance - 0.5%

 

American International Group Inc. (b)

   20,748      1,155,664 

The Hartford Financial Services Group Inc.

   16,219      983,033 
      

 

 

 
     2,138,697 
      

 

 

 

Multi-Sector Holdings - 1.1%

 

Berkshire Hathaway Inc., Class B (a)

   22,584      4,697,924 
      

 

 

 

Multi-Utilities - 1.9%

 

CMS Energy Corp.

   10,133      648,005 

Dominion Energy Inc.

   11,345      919,399 

Sempra Energy

   41,991      6,198,292 
      

 

 

 
     7,765,696 
      

 

 

 

Oil & Gas Equipment & Services - 0.9%

 

Schlumberger Ltd.

   104,344      3,565,435 
      

 

 

 

Oil & Gas Exploration & Production - 0.8%

 

Concho Resources Inc.

   1,968      133,627 

ConocoPhillips

   21,850      1,245,013 

Diamondback Energy Inc.

   14,082      1,266,113 

EOG Resources Inc.

   7,715      572,607 
      

 

 

 
     3,217,360 
      

 

 

 

Oil & Gas Refining & Marketing - 0.3%

 

Marathon Petroleum Corp.

   21,414      1,300,901 
      

 

 

 

Packaged Foods & Meats - 1.6%

 

Mondelez International Inc., Class A

   121,064      6,697,261 
      

 

 

 

Personal Products - 0.7%

 

The Estee Lauder Companies Inc., Class A

   15,777      3,138,834 
      

 

 

 

Pharmaceuticals - 5.7%

 

Allergan PLC

   48,989      8,244,359 

Bristol-Myers Squibb Co.

   46,446      2,355,277 

Elanco Animal Health Inc. (a)

   54,953      1,461,200 

Merck & Company Inc.

   119,835      10,087,710 
   Number
of Shares
     Fair
Value
$
 

Mylan N.V. (a)

   80,919      1,600,578 
      

 

 

 
     23,749,124 
      

 

 

 

Property & Casualty Insurance - 0.6%

 

Chubb Ltd.

   10,867      1,754,368 

The Progressive Corp.

   8,251      637,390 
      

 

 

 
     2,391,758 
      

 

 

 

Railroads - 0.5%

 

Union Pacific Corp.

   12,659      2,050,505 
      

 

 

 

Regional Banks - 2.3%

 

First Republic Bank (b)

   64,453      6,232,605 

Regions Financial Corp.

   101,999      1,613,624 

SVB Financial Group (a)

   8,859      1,851,088 
      

 

 

 
     9,697,317 
      

 

 

 

Restaurants - 1.1%

 

McDonald’s Corp.

   20,887      4,484,648 
      

 

 

 

Semiconductor Equipment - 2.6%

 

Applied Materials Inc.

   153,573      7,663,293 

ASML Holding N.V. (b)

   11,200      2,782,304 

Lam Research Corp.

   2,706      625,383 
      

 

 

 
     11,070,980 
      

 

 

 

Semiconductors - 1.7%

 

Broadcom Inc.

   5,936      1,638,752 

Intel Corp.

   37,170      1,915,370 

NVIDIA Corp.

   14,719      2,562,136 

QUALCOMM Inc.

   12,316      939,464 
      

 

 

 
     7,055,722 
      

 

 

 

Soft Drinks - 1.9%

 

PepsiCo Inc.

   59,024      8,092,190 
      

 

 

 

Specialized REITs - 2.1%

 

American Tower Corp.

   9,908      2,190,956 

Equinix Inc.

   4,891      2,821,129 

Extra Space Storage Inc.

   33,402      3,902,022 
      

 

 

 
     8,914,107 
      

 

 

 

Specialty Chemicals - 0.6%

 

Albemarle Corp. (b)

   6,031      419,275 

DuPont de Nemours Inc.

   16,573      1,181,820 

PPG Industries Inc.

   9,068      1,074,649 
      

 

 

 
     2,675,744 
      

 

 

 

Specialty Stores - 0.3%

 

Ulta Salon Cosmetics & Fragrance Inc. (a)

   4,664      1,169,032 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

8 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Systems Software - 5.9%

 

Microsoft Corp.

   150,118      20,870,905 

Oracle Corp.

   47,960      2,639,239 

ServiceNow Inc. (a)

   5,000      1,269,250 
      

 

 

 
     24,779,394 
      

 

 

 

Technology Hardware, Storage & Peripherals - 4.0%

 

Apple Inc.

   74,268      16,633,804 
      

 

 

 

Tobacco - 0.5%

 

Philip Morris International Inc.

   26,147      1,985,342 
      

 

 

 

Trading Companies & Distributors - 1.2%

 

United Rentals Inc. (a)

   41,101      5,122,829 
      

 

 

 

Trucking - 0.3%

 

Lyft Inc., Class A (a)

   35,394      1,445,491 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Wireless Telecommunication Services - 0.2%

 

T-Mobile US Inc. (a)

   11,236      885,060 
      

 

 

 
Total Common Stock
(Cost $317,516,335)

 

     404,676,473 
      

 

 

 
Short-Term Investments - 5.1%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92%
(Cost $21,310,507) (c)(d)

   21,310,507      21,310,507 
      

 

 

 
Total Investments
(Cost $338,826,842)

 

     425,986,980 
Liabilities in Excess of Other Assets,net - (1.6)%

 

     (6,642,975
      

 

 

 
NET ASSETS - 100.0%

 

     419,344,005 
      

 

 

 
 

Other Information:

The Fund had the following long futures contracts open at September 30, 2019:

 

Description  Expiration
date
   Number of
Contracts
   Notional
Amount
   Value   Unrealized
Depreciation
 

S&P 500 Emini Index Futures

   December 2019    42   $6,308,712   $6,254,850   $(53,862
          

 

 

 

During the period ended September 30, 2019, average notional value related to long and short futures contracts was $3,145,230 or 0.8% of net assets and $601,255 or 0.1% of net assets, respectively.

The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:

 

Fund  Investments  Level 1  Level 2   Level 3   Total 
State Street Institutional U.S. Equity Fund  

Investments in Securities

       
  

Common Stock

  $404,676,473  $   $   $404,676,473 
  

Short-Term Investments

   21,310,507           21,310,507 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $425,986,980  $   $   $425,986,980 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

       
  

Long Futures Contracts - Unrealized Depreciation

  $(53,862 $   $   $(53,862
    

 

 

  

 

 

   

 

 

   

 

 

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

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Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments, continued — September 30, 2019

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
9/30/19
  Value at
9/30/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  21,393,075  $21,393,075  $78,662,033  $78,744,601  $  $   21,310,507  $21,310,507  $210,932 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

10 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional Premier Growth Equity Fund

Management Discussion of Fund Performance — September 30, 2019 (Unaudited)

 

 

The State Street Institutional Premier Growth Equity Fund (the “Fund”) seeks to provide long-term capital growth and future income. The Fund’s benchmarks are the S&P 500 Index and the Russell 1000 Growth Index (the “Indices”).

For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 3.57% and for the Fund’s Service Class was 3.32%, and the S&P 500 Index and the Russell 1000 Growth Index returned 4.25% and 3.71%, respectively. The Fund and Indices returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Indices are unmanaged and do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Underperformance in healthcare stocks, weakness in equipment rental company United Rentals, and on the positive side, outperformance in technology stocks were the primary drivers of Fund performance during the Reporting Period relative to the Indices. In healthcare, Fund holdings in biotech (e.g. Alexion), healthcare providers (UnitedHealth Group), and pharmaceuticals (e.g Allergan) lagged the market. Alexion is a company that has executed well on earnings and drug approvals, but the market has been worried about potential future competition and patent expirations, as well as political rhetoric around drug pricing. Likewise, UnitedHealth Group has been adversely impacted by policy debates including proposals for Medicare for All, which would be expected to hurt its business. While Allergan lagged late last year, it has been an outperformer this year, benefitting from a proposed acquisition by AbbVie. United Rentals, an equipment rental company, is a more cyclical stock that has suffered from fears of a slowing economy. The company’s fundamentals have remained relatively healthy with continued solidend-market demand and an attractive valuation, but a slowdown in construction would be expected to have a negative impact. On the positive side, the Fund outperformed in the technology sector, which is by far the biggest sector in the Russell 1000 Growth Index. Here, the Fund was helped by a diverse set of holdings including semiconductor equipment suppliers Applied Materials and Nvidia, software companies ServiceNow and Microsoft, and the credit card and payment networks company Visa. As a group, we believe these companies may offer strong long-term sustainable growth potential based on innovative technology and strong business models.

The Fund used index futures in order to efficiently manage cash flows due to subscriptions and redemptions during the Reporting Period. The Fund’s use of index futures slightly contributed to Fund performance relative to the Indices.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Microsoft, American Tower, and Applied Materials. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Alexion Pharmaceuticals, Amazon.com, and United Rentals.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

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Table of Contents

State Street Institutional Premier Growth Equity Fund

Performance Summary — September 30, 2019 (Unaudited)

 

 

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily in a limited number of large and medium-sized companies (meaning companies with market capitalizations of $2 billion or more) that the portfolio manager believes have above-average growth histories and/or growth potential.

Top Ten Largest Holdings

as of September 30, 2019 (as a % of Fair Value) (a)(b)

 

Microsoft Corp.

  9.06

Apple Inc.

  6.59

Alphabet Inc., Class C

  5.16

Visa Inc., Class A

  4.90

Amazon.com Inc.

  4.82

Facebook Inc., Class A

  3.80

salesforce.com Inc.

  3.75

Applied Materials Inc.

  3.49

PepsiCo Inc.

  3.25

Allergan PLC

  3.25

Sector Allocation as of September 30, 2019

Portfolio Composition as a % of Fair Value of $201,848 (in thousands) as of September 30, 2019(a)(b)

 

LOGO

Average Annual Total Return for the periods ended September 30, 2019

Investment Class Shares (Inception date: 10/29/99)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Institutional Premier Growth Equity

  3.57  11.49  13.76 $36,297 

S&P 500 Index

  4.25  10.84  13.24 $34,674 

Russell 1000 Growth Index

  3.71  13.39  14.94 $40,235 

Service Class Shares (Inception date: 1/3/01)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Institutional Premier Growth Equity

  3.32  11.21  13.48 $35,424 

S&P 500 Index

  4.25  10.84  13.24 $34,674 

Russell 1000 Growth Index

  3.71  13.39  14.94 $40,235 
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares.

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

12 State Street Institutional Premier Growth Equity Fund


Table of Contents

State Street Institutional Premier Growth Equity Fund

Performance Summary, continued — September 30, 2019 (Unaudited)

 

 

LOGO

 

 

 

 

See Notes to Performance beginning on page 1 for further information. Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

State Street Institutional Premier Growth Equity Fund  13 


Table of Contents

State Street Institutional Premier Growth Equity Fund

Understanding Your Fund’s Expenses — September 30, 2019 (Unaudited)

 

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entiresix-month period ended September 30, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,057.30   $1,023.10 

Expenses Paid During Period*

  $2.01   $1.98 

Service Class

        

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,056.70   $1,021.80 

Expenses Paid During Period*

  $3.35   $3.29 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.39%** for Investment Class shares and 0.65%** for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period).

 

 **

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

14 State Street Institutional Premier Growth Equity Fund


Table of Contents

State Street Institutional Premier Growth Equity Fund

Schedule of Investments — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      
Common Stock - 97.9%†

 

Application Software - 3.8%

 

salesforce.com Inc. (a)

   51,009      7,571,776 
      

 

 

 

Biotechnology - 4.5%

 

Alexion Pharmaceuticals Inc. (a)

   48,423      4,742,549 

Vertex Pharmaceuticals Inc. (a)

   25,186      4,267,012 
      

 

 

 
     9,009,561 
      

 

 

 

Cable & Satellite - 2.7%

 

Charter Communications Inc., Class A (a)

   13,010      5,361,681 
      

 

 

 

Data Processing & Outsourced Services - 8.0%

 

Fidelity National Information Services Inc.

   22,131      2,938,112 

Mastercard Inc., Class A (b)

   12,075      3,279,208 

Visa Inc., Class A

   57,542      9,897,799 
      

 

 

 
     16,115,119 
      

 

 

 

Electronic Components - 2.0%

 

Corning Inc.

   141,618      4,038,945 
      

 

 

 

Financial Exchanges & Data - 5.3%

 

CME Group Inc.

   25,069      5,298,082 

S&P Global Inc.

   22,408      5,489,512 
      

 

 

 
     10,787,594 
      

 

 

 

Healthcare Equipment - 5.6%

 

Abbott Laboratories

   26,107      2,184,372 

Boston Scientific Corp. (a)

   131,023      5,331,326 

Intuitive Surgical Inc. (a)

   6,902      3,726,597 
      

 

 

 
     11,242,295 
      

 

 

 

Interactive Media & Services - 10.8%

 

Alphabet Inc., Class A (a)

   3,052      3,726,919 

Alphabet Inc., Class C (a)

   8,546      10,417,574 

Facebook Inc., Class A (a)

   43,084      7,672,399 
      

 

 

 
     21,816,892 
      

 

 

 

Internet & Direct Marketing Retail - 8.5%

 

Alibaba Group Holding Ltd. ADR (a)

   20,733      3,467,180 

Amazon.com Inc. (a)

   5,600      9,721,096 

Booking Holdings Inc. (a)

   2,009      3,942,883 
      

 

 

 
     17,131,159 
      

 

 

 

Investment Banking & Brokerage - 0.8%

 

The Charles Schwab Corp.

   39,578      1,655,548 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Managed Healthcare - 2.9%

 

UnitedHealth Group Inc.

   27,073      5,883,504 
      

 

 

 

Movies & Entertainment - 2.6%

 

The Walt Disney Co.

   41,018      5,345,466 
      

 

 

 

Oil & Gas Equipment & Services - 0.8%

 

Schlumberger Ltd.

   45,192      1,544,211 
      

 

 

 

Pharmaceuticals - 4.4%

 

Allergan PLC

   38,916      6,549,174 

Elanco Animal Health Inc. (a)

   91,239      2,426,045 
      

 

 

 
     8,975,219 
      

 

 

 

Regional Banks - 1.7%

 

First Republic Bank

   36,100      3,490,870 
      

 

 

 

Semiconductor Equipment - 5.0%

 

Applied Materials Inc.

   141,070      7,039,393 

ASML Holding N.V.

   12,195      3,029,482 
      

 

 

 
     10,068,875 
      

 

 

 

Semiconductors - 0.6%

 

NVIDIA Corp.

   7,270      1,265,489 
      

 

 

 

Soft Drinks - 3.3%

 

PepsiCo Inc.

   47,893      6,566,130 
      

 

 

 

Specialized REITs - 1.9%

 

American Tower Corp.

   17,759      3,927,048 
      

 

 

 

Specialty Chemicals - 1.0%

 

Albemarle Corp.

   29,124      2,024,700 
      

 

 

 

Systems Software - 11.3%

 

Microsoft Corp.

   131,556      18,290,231 

ServiceNow Inc. (a)

   17,377      4,411,151 
      

 

 

 
     22,701,382 
      

 

 

 

Technology Hardware, Storage & Peripherals - 6.6%

 

Apple Inc.

   59,355      13,293,739 
      

 

 

 

Trading Companies & Distributors - 3.0%

 

United Rentals Inc. (a)

   49,303      6,145,126 
      

 

 

 

Trucking - 0.8%

 

Lyft Inc., Class A (a)

   41,719      1,703,804 
      

 

 

 
Total Common Stock
(Cost $127,374,799)

 

     197,666,133 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional Premier Growth Equity Fund  15 


Table of Contents

State Street Institutional Premier Growth Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      
Exchange Traded & Mutual Funds - 1.1%

 

Consumer Discretionary Select Sector SPDR Fund
(Cost $2,178,003) (b)(d)

   18,198      2,196,499 
      

 

 

 
Total Investments in Securities
(Cost $129,552,802)

 

     199,862,632 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 
Short-Term Investments - 1.0%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92%
(Cost $1,985,510) (b)(c)(d)

   1,985,510      1,985,510 
      

 

 

 
Total Investments
(Cost $131,538,312)

 

     201,848,142 
Liabilities in Excess of Other Assets,net - (0.0)%*

 

     (95,865
      

 

 

 
NET ASSETS - 100.0%

 

     201,752,277 
      

 

 

 

 

 

Other Information:

The Fund had the following short futures contracts open at September 30, 2019:

 

Description  Expiration
date
   Number of
Contracts
   Notional
Amount
   Value   Unrealized
Appreciation
 

S&P 500 Emini Index Futures

   December 2019    22   $(3,307,731)   $(3,276,350)   $31,381 
          

 

 

 

During the period ended September 30, 2019, average notional value related to long and short futures contracts was $2,627,140 or 1.3% of net assets and $980,478 or 0.5% of net assets, respectively.

The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:

 

Fund  Investments  Level 1   Level 2   Level 3   Total 
State Street Institutional Premier Growth Equity Fund  

Investments in Securities

        
  

Common Stock

  $197,666,133   $   $   $197,666,133 
  

Exchange Traded & Mutual Funds

   2,196,499            2,196,499 
  

Short-Term Investments

   1,985,510            1,985,510 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $201,848,142   $   $   $201,848,142 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

        
  

Short Futures Contracts - Unrealized Appreciation

  $31,381   $   $   $31,381 
    

 

 

   

 

 

   

 

 

   

 

 

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
9/30/19
  Value at
9/30/19
  Dividend
Income
 

Consumer Discretionary Select Sector SPDR Fund

    $  $2,178,003  $  $  $18,496   18,198  $2,196,499  $5,326 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  16,568,746   16,568,746   46,885,313   61,468,549         1,985,510   1,985,510   189,881 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

TOTAL

  $16,568,746  $49,063,316  $61,468,549  $  $18,496   $4,182,009  $195,207 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

16 State Street Institutional Premier Growth Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Management Discussion of Fund Performance — September 30, 2019 (Unaudited)

 

 

The State Street InstitutionalSmall-Cap Equity Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the Russell 2000 Index (the “Index”).

For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was-6.21% and for the Fund’s Service Class was -6.44%, and the Index was -8.89%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Stock selection by Champlain Investment Partners, SouthernSun Asset Management and Palisade Capital were the primary drivers of Fund performance during the Reporting Period relative to the Index. Champlain, which uses themes across the portfolio to drive investment decisions has invested in personalized healthcare and cloud services, primarily authentication and enterprise software. These themes drove substantial performance over the last 12 months as money has flowed in to those spaces. SouthernSun on the other hand has invested inold-line agribusiness companies including poultry farms. Due to the African Swine Flu’s impact on the global food chain, this has been a positive contributing position for SouthernSun and the Fund overall. Lastly, Palisade has had an overweight to the healthcare sector with a bias to companies serving the elderly rather than general medicines (which has been under pressure). Stock selection here has driven positive excess returns versus the sector and contributed to the overall success of the Fund.

The Fund used Russell 2000 futures in order to hedge the cash in the fund to accommodate inflows and outflows. The cash in the liquidity sleeve is fully hedged providing no positive or negative return relative to the Index.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

State Street InstitutionalSmall-Cap Equity Fund  17 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Performance Summary — September 30, 2019 (Unaudited)

 

 

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of small-cap companies, such as common and preferred stocks. The Fund uses a multi sub-adviser investment strategy that combines growth, value and core investment management styles, which allows the Fund the potential to benefit from both value and growth cycles in the marketplace.

Top Ten Largest Holdings

as of September 30, 2019 (as a % of Fair Value)(a)(b)

 

Dycom Industries Inc.

  1.19

Darling Ingredients Inc.

  1.12

The Brink’s Co.

  1.06

The Timken Co.

  1.04

IDACORP Inc.

  0.98

Ritchie Bros Auctioneers Inc.

  0.98

Koppers Holdings Inc.

  0.96

Extended Stay America Inc.

  0.95

Belden Inc.

  0.95

Clean Harbors Inc.

  0.93

Sector Allocation as of September 30, 2019

Portfolio Composition as a % of Fair Value of $1,258,884 (in thousands) as of September 30, 2019(a)(b)

 

LOGO

Average Annual Total Return for the periods ended September 30, 2019

Investment Class Shares (Inception date: 8/3/98)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street InstitutionalSmall-Cap Equity Fund

  -6.21  8.71  12.37 $32,107 

Russell 2000 Index

  -8.89  8.19  11.19 $28,894 

Service Class Shares (Inception date: 9/30/05)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street InstitutionalSmall-Cap Equity Fund

  -6.44  8.45  12.09 $31,307 

Russell 2000 Index

  -8.89  8.19  11.19 $28,894 

 

 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares.

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

18 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Performance Summary, continued — September 30, 2019 (Unaudited)

 

 

LOGO

 

 

 

 

See Notes to Performance beginning on page 1 for further information. Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

State Street InstitutionalSmall-Cap Equity Fund  19 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Understanding Your Fund’s Expenses — September 30, 2019 (Unaudited)

 

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entiresix-month period ended September 30, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,020.40   $1,020.70 

Expenses Paid During Period*

  $4.46   $4.46 

Service Class

        

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,019.20   $1,019.40 

Expenses Paid During Period*

  $5.72   $5.72 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.88% for Investment Class shares and 1.13% for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period).

 

 

20 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      
Common Stock - 94.8%†

 

Aerospace & Defense - 0.7%

 

Teledyne Technologies Inc. (a)

   25,313      8,150,533 
      

 

 

 

Agricultural & Farm Machinery - 0.8%

 

AGCO Corp.

   138,469      10,482,103 
      

 

 

 

Agricultural Products - 1.1%

 

Darling Ingredients Inc. (a)

   733,148      14,025,121 
      

 

 

 

Air Freight & Logistics - 0.2%

 

Echo Global Logistics Inc. (a)

   35,300      799,545 

Forward Air Corp.

   16,296      1,038,381 

Hub Group Inc., Class A (a)

   15,492      720,378 
      

 

 

 
     2,558,304 
      

 

 

 

Airlines - 0.0%*

 

Hawaiian Holdings Inc.

   15,300      401,778 
      

 

 

 

Apparel Retail - 0.8%

 

American Eagle Outfitters Inc.

   134,865      2,187,510 

Burlington Stores Inc. (a)

   19,045      3,805,572 

Chico’s FAS Inc.

   198,548      800,149 

The Buckle Inc.

   147,052      3,029,271 
      

 

 

 
     9,822,502 
      

 

 

 

Apparel, Accessories & Luxury Goods - 0.3%

 

G-III Apparel Group Ltd. (a)

   142,143      3,663,025 
      

 

 

 

Application Software - 5.7%

 

ACI Worldwide Inc. (a)

   240,554      7,535,354 

Altair Engineering Inc., Class A (a)

   55,373      1,917,013 

Blackbaud Inc.

   120,884      10,920,660 

Blackline Inc. (a)

   199,347      9,530,780 

Cloudera Inc. (a)

   68,046      602,888 

Cornerstone OnDemand Inc. (a)

   95,769      5,250,057 

Digital Turbine Inc. (a)

   81,922      527,987 

Envestnet Inc. (a)

   68,500      3,883,950 

LogMeIn Inc.

   52,860      3,750,946 

New Relic Inc. (a)

   83,110      5,107,109 

Paylocity Holding Corp. (a)

   12,301      1,200,332 

Q2 Holdings Inc. (a)

   90,500      7,137,735 

RealPage Inc. (a)

   70,110      4,407,115 

Upland Software Inc. (a)

   20,923      729,376 

Verint Systems Inc. (a)

   32,003      1,369,088 

Yext Inc. (a)

   397,000      6,308,330 

Zix Corp. (a)

   188,176      1,362,394 
      

 

 

 
     71,541,114 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Asset Management & Custody Banks - 0.2%

 

Brightsphere Investment Group Inc.

   50,679      502,229 

Cohen & Steers Inc.

   24,718      1,357,760 
      

 

 

 
     1,859,989 
      

 

 

 

Auto Parts & Equipment - 0.5%

 

Dana Inc.

   29,304      423,150 

Gentherm Inc. (a)

   9,411      386,651 

LCI Industries

   19,571      1,797,596 

Modine Manufacturing Co. (a)

   81,064      921,698 

Standard Motor Products Inc.

   56,185      2,727,782 
      

 

 

 
     6,256,877 
      

 

 

 

Automobile Manufacturers - 0.9%

 

Thor Industries Inc.

   184,685      10,460,558 

Winnebago Industries Inc.

   16,993      651,682 
      

 

 

 
     11,112,240 
      

 

 

 

Automotive Retail - 1.7%

 

America’sCar-Mart Inc. (a)

   25,356      2,325,145 

Group 1 Automotive Inc.

   86,748      8,007,708 

Lithia Motors Inc., Class A

   4,123      545,803 

Monro Inc.

   33,328      2,633,245 

Murphy USA Inc. (a)

   86,395      7,369,494 
      

 

 

 
     20,881,395 
      

 

 

 

Biotechnology - 0.7%

 

Heron Therapeutics Inc. (a)

   116,184      2,149,404 

Repligen Corp. (a)

   89,156      6,837,374 
      

 

 

 
     8,986,778 
      

 

 

 

Brewers - 0.2%

 

The Boston Beer Company Inc., Class A (a)

   6,000      2,184,480 
      

 

 

 

Building Products - 0.7%

 

American Woodmark Corp. (a)

   16,008      1,423,271 

Apogee Enterprises Inc.

   24,622      960,012 

Builders FirstSource Inc. (a)

   42,616      876,824 

Continental Building Products Inc. (a)

   22,075      602,427 

CSW Industrials Inc.

   19,500      1,346,085 

Masonite International Corp. (a)

   7,116      412,728 

Patrick Industries Inc. (a)

   15,041      644,958 

Universal Forest Products Inc.

   61,669      2,459,360 
      

 

 

 
     8,725,665 
      

 

 

 

Coal & Consumable Fuels - 0.0%*

 

CONSOL Energy Inc. (a)

   18,585      290,484 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  21 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Commodity Chemicals - 1.0%

 

AdvanSix Inc. (a)

   31,206      802,619 

Koppers Holdings Inc. (a)

   414,901      12,119,258 
      

 

 

 
     12,921,877 
      

 

 

 

Communications Equipment - 0.7%

 

Extreme Networks Inc. (a)

   356,575      2,594,083 

Infinera Corp. (a)

   80,093      436,507 

Lumentum Holdings Inc. (a)

   36,776      1,969,723 

NETGEAR Inc. (a)

   33,604      1,082,721 

NetScout Systems Inc. (a)

   31,686      730,679 

Plantronics Inc.

   56,073      2,092,644 
      

 

 

 
     8,906,357 
      

 

 

 

Computer & Electronics Retail - 0.0%*

 

Rent-A-Center Inc.

   21,636      557,992 
      

 

 

 

Construction & Engineering - 2.1%

 

Aegion Corp. (a)

   413,281      8,835,948 

Dycom Industries Inc. (a)

   294,251      15,021,513 

EMCOR Group Inc.

   11,132      958,688 

Great Lakes Dredge & Dock Corp. (a)

   91,144      952,455 

MasTec Inc. (a)

   13,695      889,216 
      

 

 

 
     26,657,820 
      

 

 

 

Construction Machinery & Heavy Trucks - 1.3%

 

Alamo Group Inc.

   20,131      2,369,822 

Astec Industries Inc.

   47,632      1,481,355 

The Greenbrier Companies Inc.

   40,549      1,221,336 

Trinity Industries Inc.

   494,396      9,729,713 

Wabash National Corp.

   80,237      1,164,239 
      

 

 

 
     15,966,465 
      

 

 

 

Construction Materials - 0.2%

 

Eagle Materials Inc.

   14,731      1,325,938 

Summit Materials Inc., Class A (a)

   60,781      1,349,338 
      

 

 

 
     2,675,276 
      

 

 

 

Consumer Electronics - 0.0%*

 

Turtle Beach Corp. (a)

   37,760      440,659 
      

 

 

 

Consumer Finance - 0.2%

 

Curo Group Holdings Corp. (a)

   37,132      493,113 

Enova International Inc. (a)

   73,034      1,515,456 

Green Dot Corp., Class A (a)

   9,945      251,111 
      

 

 

 
     2,259,680 
      

 

 

 

Data Processing & Outsourced Services - 2.0%

 

Broadridge Financial Solutions Inc.

   63,372      7,885,378 
   Number
of Shares
     Fair
Value
$
 

Cass Information Systems Inc.

   7,276      392,831 

CoreLogic Inc. (a)

   152,085      7,036,973 

CSG Systems International Inc.

   64,822      3,350,001 

EVERTEC Inc.

   45,140      1,409,271 

I3 Verticals Inc. Class A (a)

   30,896      621,627 

MAXIMUS Inc.

   13,339      1,030,571 

NIC Inc.

   179,169      3,699,840 
      

 

 

 
     25,426,492 
      

 

 

 

Distillers & Vintners - 0.4%

 

MGP Ingredients Inc.

   89,740      4,458,283 
      

 

 

 

Distributors - 0.6%

 

Core-Mark Holding Company Inc.

   23,689      760,772 

LKQ Corp. (a)

   208,618      6,561,036 
      

 

 

 
     7,321,808 
      

 

 

 

Diversified Metals & Mining - 0.5%

 

Compass Minerals International Inc.

   76,808      4,338,884 

Materion Corp.

   22,120      1,357,283 
      

 

 

 
     5,696,167 
      

 

 

 

Diversified REITs - 0.2%

 

American Assets Trust Inc.

   39,292      1,836,508 

Essential Properties Realty Trust Inc.

   49,520      1,134,503 
      

 

 

 
     2,971,011 
      

 

 

 

Diversified Support Services - 1.4%

 

Healthcare Services Group Inc.

   171,800      4,173,022 

Ritchie Bros Auctioneers Inc.

   308,217      12,297,858 

UniFirst Corp.

   8,506      1,659,691 
      

 

 

 
     18,130,571 
      

 

 

 

Education Services - 0.3%

 

K12 Inc. (a)

   152,087      4,015,097 
      

 

 

 

Electric Utilities - 1.1%

 

ALLETE Inc.

   17,609      1,539,203 

IDACORP Inc.

   109,252      12,309,423 
      

 

 

 
     13,848,626 
      

 

 

 

Electrical Components & Equipment - 0.5%

 

Atkore International Group Inc. (a)

   31,190      946,616 

EnerSys

   6,959      458,876 

Generac Holdings Inc. (a)

   26,826      2,101,549 

GrafTech International Ltd.

   64,066      820,045 

Regal Beloit Corp.

   25,855      1,883,537 
      

 

 

 
     6,210,623 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

22 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Electronic Components - 1.4%

 

Belden Inc.

   224,417      11,970,403 

Littelfuse Inc.

   34,714      6,155,139 
      

 

 

 
     18,125,542 
      

 

 

 

Electronic Equipment & Instruments - 0.9%

 

Itron Inc. (a)

   11,878      878,497 

National Instruments Corp.

   67,827      2,848,056 

Novanta Inc. (a)

   11,230      917,715 

Zebra Technologies Corp., Class A (a)

   29,219      6,029,925 
      

 

 

 
     10,674,193 
      

 

 

 

Electronic Manufacturing Services - 0.6%

 

Fabrinet (a)

   16,330      854,059 

KEMET Corp.

   41,745      758,924 

Methode Electronics Inc.

   58,198      1,957,781 

Plexus Corp. (a)

   29,863      1,866,736 

Sanmina Corp. (a)

   26,060      836,786 

TTM Technologies Inc. (a)

   135,071      1,647,191 
      

 

 

 
     7,921,477 
      

 

 

 

Environmental & Facilities Services - 0.9%

 

Clean Harbors Inc. (a)

   151,259      11,677,195 
      

 

 

 

Food Distributors - 0.6%

 

Performance Food Group Co. (a)

   162,725      7,486,977 
      

 

 

 

Food Retail - 0.1%

 

Casey’s General Stores Inc.

   5,287      852,053 

Sprouts Farmers Market Inc. (a)

   41,709      806,652 
      

 

 

 
     1,658,705 
      

 

 

 

Footwear - 0.7%

 

Deckers Outdoor Corp. (a)

   26,952      3,971,647 

Wolverine World Wide Inc.

   169,500      4,790,070 
      

 

 

 
     8,761,717 
      

 

 

 

Gas Utilities - 0.4%

 

Chesapeake Utilities Corp.

   8,407      801,355 

South Jersey Industries Inc.

   59,714      1,965,188 

Spire Inc.

   21,877      1,908,549 
      

 

 

 
     4,675,092 
      

 

 

 

Health Care REITs - 0.3%

 

CareTrust REIT Inc.

   63,594      1,494,777 

National Health Investors Inc.

   10,298      848,452 

Physicians Realty Trust

   96,823      1,718,608 
      

 

 

 
     4,061,837 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Healthcare Distributors - 0.1%

 

Covetrus Inc. (a)

   130,543      1,552,156 
      

 

 

 

Healthcare Equipment - 4.6%

 

AtriCure Inc. (a)

   47,280      1,179,163 

Cantel Medical Corp.

   63,640      4,760,272 

Cardiovascular Systems Inc. (a)

   132,535      6,298,063 

CONMED Corp.

   88,500      8,509,275 

Hill-Rom Holdings Inc.

   106,724      11,230,567 

Integer Holdings Corp. (a)

   9,690      732,177 

Integra LifeSciences Holdings Corp. (a)

   164,500      9,881,515 

IntriCon Corp. (a)

   93,630      1,820,167 

LeMaitre Vascular Inc.

   36,852      1,259,601 

LivaNova PLC (a)

   12,903      952,112 

Masimo Corp. (a)

   22,000      3,273,380 

NuVasive Inc. (a)

   67,500      4,278,150 

Orthofix Medical Inc. (a)

   32,945      1,746,744 

Penumbra Inc. (a)

   17,500      2,353,575 
      

 

 

 
     58,274,761 
      

 

 

 

Healthcare Facilities - 0.6%

 

Acadia Healthcare Company Inc. (a)

   170,110      5,287,019 

Hanger Inc. (a)

   28,307      576,897 

Select Medical Holdings Corp. (a)

   52,430      868,765 

Tenet Healthcare Corp. (a)

   17,090      378,031 

The Ensign Group Inc.

   14,947      708,936 
      

 

 

 
     7,819,648 
      

 

 

 

Healthcare Services - 1.1%

 

Amedisys Inc. (a)

   6,995      916,415 

AMN Healthcare Services Inc. (a)

   55,115      3,172,419 

BioTelemetry Inc. (a)

   83,545      3,402,788 

Chemed Corp.

   3,414      1,425,584 

MEDNAX Inc. (a)

   177,860      4,023,193 

R1 RCM Inc. (a)

   66,358      592,577 
      

 

 

 
     13,532,976 
      

 

 

 

Healthcare Supplies - 0.8%

 

Avanos Medical Inc. (a)

   185,500      6,948,830 

Endologix Inc. (a)

   140,007      555,828 

Lantheus Holdings Inc. (a)

   53,446      1,339,624 

Quidel Corp. (a)

   18,167      1,114,545 
      

 

 

 
     9,958,827 
      

 

 

 

Healthcare Technology - 1.9%

 

Computer Programs & Systems Inc.

   24,355      550,667 

HMS Holdings Corp. (a)

   223,728      7,710,785 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  23 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Inspire Medical Systems Inc. (a)

   20,300      1,238,706 

Medidata Solutions Inc. (a)

   72,000      6,588,000 

NextGen Healthcare Inc. (a)

   38,603      604,909 

Omnicell Inc. (a)

   22,708      1,641,107 

Teladoc Health Inc. (a)

   79,500      5,383,740 
      

 

 

 
     23,717,914 
      

 

 

 

Home Building - 0.7%

 

Cavco Industries Inc. (a)

   5,551      1,066,292 

LGI Homes Inc. (a)

   23,187      1,931,941 

Meritage Homes Corp. (a)

   8,437      593,543 

Skyline Champion Corp. (a)

   70,306      2,115,507 

TopBuild Corp. (a)

   27,869      2,687,408 
      

 

 

 
     8,394,691 
      

 

 

 

Home Furnishing Retail - 0.9%

 

Aaron’s Inc.

   146,279      9,399,888 

RH (a)

   10,700      1,827,881 

Sleep Number Corp. (a)

   14,434      596,413 
      

 

 

 
     11,824,182 
      

 

 

 

Hotel & Resort REITs - 0.5%

 

Pebblebrook Hotel Trust

   54,737      1,522,783 

RLJ Lodging Trust

   273,204      4,641,736 
      

 

 

 
     6,164,519 
      

 

 

 

Hotels, Resorts & Cruise Lines - 1.0%

 

Extended Stay America Inc.

   820,176      12,007,377 

Hilton Grand Vacations Inc. (a)

   13,385      428,320 
      

 

 

 
     12,435,697 
      

 

 

 

Household Appliances - 0.3%

 

Helen of Troy Ltd. (a)

   23,330      3,678,208 
      

 

 

 

Human Resource & Employment Services - 0.5%

 

ASGN Inc. (a)

   17,322      1,088,861 

Barrett Business Services Inc.

   8,439      749,552 

Heidrick & Struggles International Inc.

   18,818      513,731 

Insperity Inc.

   23,190      2,286,998 

Kforce Inc.

   37,402      1,415,105 

Korn Ferry

   19,102      738,101 
      

 

 

 
     6,792,348 
      

 

 

 

Hypermarkets & Super Centers - 0.1%

 

BJ’s Wholesale Club Holdings Inc. (a)

   37,715      975,687 
      

 

 

 

Industrial Machinery - 7.5%

 

Actuant Corp., Class A

   401,518      8,809,305 
   Number
of Shares
     Fair
Value
$
 

Altra Industrial Motion Corp.

   238,308      6,599,940 

Barnes Group Inc.

   207,556      10,697,436 

Crane Co.

   125,461      10,115,920 

Evoqua Water Technologies Corp. (a)

   107,730      1,833,565 

Franklin Electric Company Inc.

   17,100      817,551 

Harsco Corp. (a)

   22,669      429,804 

Hillenbrand Inc.

   19,645      606,638 

John Bean Technologies Corp.

   85,500      8,501,265 

Kennametal Inc.

   24,884      764,934 

LB Foster Co., Class A (a)

   47,544      1,030,279 

Lydall Inc. (a)

   45,000      1,120,950 

Mueller Industries Inc.

   175,101      5,021,897 

Standex International Corp.

   51,000      3,719,940 

The Timken Co.

   300,785      13,087,155 

TriMas Corp. (a)

   76,000      2,329,400 

Watts Water Technologies Inc., Class A

   54,646      5,121,970 

Welbilt Inc. (a)

   501,500      8,455,290 

Woodward Inc.

   45,352      4,890,306 
      

 

 

 
     93,953,545 
      

 

 

 

Industrial REITs - 0.8%

 

EastGroup Properties Inc.

   51,404      6,426,528 

Innovative Industrial Properties Inc.

   9,913      915,664 

Monmouth Real Estate Investment Corp.

   119,114      1,716,432 

Rexford Industrial Realty Inc.

   20,138      886,475 
      

 

 

 
     9,945,099 
      

 

 

 

Interactive Home Entertainment - 0.1%

 

Glu Mobile Inc. (a)

   116,167      579,673 
      

 

 

 

Internet & Direct Marketing Retail - 0.1%

 

1-800-Flowers.com Inc., Class A (a)

   49,101      726,449 
      

 

 

 

Investment Banking & Brokerage - 0.9%

 

Evercore Inc., Class A

   9,609      769,681 

Greenhill & Company Inc.

   43,935      576,427 

Houlihan Lokey Inc.

   31,217      1,407,887 

Piper Jaffray Cos.

   24,982      1,885,641 

Raymond James Financial Inc.

   65,758      5,422,405 

Stifel Financial Corp.

   30,262      1,736,433 
      

 

 

 
     11,798,474 
      

 

 

 

IT Consulting & Other Services - 0.1%

 

Perficient Inc. (a)

   23,471      905,511 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

24 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Leisure Facilities - 0.1%

 

SeaWorld Entertainment Inc. (a)

   22,670      596,674 
      

 

 

 

Leisure Products - 0.9%

 

Callaway Golf Co.

   46,871      909,766 

Malibu Boats Inc., Class A (a)

   24,055      738,008 

MasterCraft Boat Holdings Inc. (a)

   38,903      580,627 

Polaris Inc.

   102,716      9,040,035 
      

 

 

 
     11,268,436 
      

 

 

 

Life & Health Insurance - 0.1%

 

Trupanion Inc. (a)

   51,737      1,315,155 
      

 

 

 

Life Sciences Tools & Services - 2.0%

 

Bruker Corp.

   131,128      5,760,453 

ICON PLC (a)

   55,017      8,106,205 

Medpace Holdings Inc. (a)

   17,363      1,459,187 

PRA Health Sciences Inc. (a)

   13,871      1,376,419 

Syneos Health Inc. (a)

   145,754      7,755,570 
      

 

 

 
     24,457,834 
      

 

 

 

Managed Healthcare - 0.0%*

 

Magellan Health Inc. (a)

   8,542      530,458 
      

 

 

 

Mortgage REITs - 0.1%

 

Blackstone Mortgage Trust Inc., Class A

   24,371      873,700 
      

 

 

 

Multi-Line Insurance - 0.5%

 

Horace Mann Educators Corp.

   105,094      4,869,005 

National General Holdings Corp.

   34,632      797,229 
      

 

 

 
     5,666,234 
      

 

 

 

Multi-Utilities - 0.2%

 

Black Hills Corp.

   24,041      1,844,666 
      

 

 

 

Office REITs - 1.1%

 

Brandywine Realty Trust

   59,347      899,107 

Corporate Office Properties Trust

   64,619      1,924,354 

Cousins Properties Inc.

   233,475      8,776,325 

Easterly Government Properties Inc.

   110,864      2,361,403 
      

 

 

 
     13,961,189 
      

 

 

 

Office Services & Supplies - 1.2%

 

Herman Miller Inc.

   23,764      1,095,283 

HNI Corp.

   38,417      1,363,804 

Knoll Inc.

   31,122      788,943 
   Number
of Shares
     Fair
Value
$
 

MSA Safety Inc.

   97,430      10,630,587 

Steelcase Inc., Class A

   82,498      1,517,963 
      

 

 

 
     15,396,580 
      

 

 

 

Oil & Gas Drilling - 0.0%*

 

Nabors Industries Ltd.

   278,943      521,623 
      

 

 

 

Oil & Gas Equipment & Services - 0.5%

 

Apergy Corp. (a)

   6,162      166,682 

Natural Gas Services Group Inc. (a)

   47,463      608,001 

Oil States International Inc. (a)

   344,848      4,586,478 

ProPetro Holding Corp. (a)

   114,606      1,041,769 
      

 

 

 
     6,402,930 
      

 

 

 

Oil & Gas Exploration & Production - 1.2%

 

Callon Petroleum Co. (a)

   294,314      1,277,323 

Carrizo Oil & Gas Inc. (a)

   296,871      2,548,638 

Encana Corp.

   1,268,894      5,836,912 

Gulfport Energy Corp. (a)

   94,670      256,556 

PDC Energy Inc. (a)

   51,950      1,441,613 

Range Resources Corp.

   233,698      892,726 

SM Energy Co.

   315,347      3,055,712 
      

 

 

 
     15,309,480 
      

 

 

 

Oil & Gas Refining & Marketing - 0.1%

 

Delek US Holdings Inc.

   31,480      1,142,724 
      

 

 

 

Packaged Foods & Meats - 3.7%

 

B&G Foods Inc.

   208,000      3,933,280 

Freshpet Inc. (a)

   85,500      4,255,335 

Hostess Brands Inc. (a)

   600,000      8,391,000 

J&J Snack Foods Corp.

   8,500      1,632,000 

John B Sanfilippo & Son Inc.

   9,168      885,629 

Lancaster Colony Corp.

   35,000      4,852,750 

Sanderson Farms Inc.

   76,278      11,543,150 

The Simply Good Foods Co. (a)

   185,000      5,363,150 

TreeHouse Foods Inc. (a)

   111,500      6,182,675 
      

 

 

 
     47,038,969 
      

 

 

 

Paper Products - 0.1%

 

Neenah Inc.

   19,973      1,300,642 
      

 

 

 

Personal Products - 0.4%

 

elf Beauty Inc. (a)

   232,000      4,062,320 

Medifast Inc.

   6,845      709,347 
      

 

 

 
     4,771,667 
      

 

 

 

Pharmaceuticals - 1.6%

 

ANI Pharmaceuticals Inc. (a)

   15,638      1,139,698 

Assertio Therapeutics Inc. (a)

   85,500      109,440 

Catalent Inc. (a)

   139,075      6,628,315 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  25 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Collegium Pharmaceutical Inc. (a)

   42,265      485,202 

Endo International PLC (a)

   46,616      149,637 

Horizon Therapeutics PLC (a)

   59,654      1,624,378 

Prestige Consumer Healthcare Inc. (a)

   241,381      8,373,507 

Supernus Pharmaceuticals Inc. (a)

   64,387      1,769,355 
      

 

 

 
     20,279,532 
      

 

 

 

Property & Casualty Insurance - 1.9%

 

AMERISAFE Inc.

   72,061      4,763,953 

Argo Group International Holdings Ltd.

   125,202      8,794,188 

James River Group Holdings Ltd.

   68,000      3,484,320 

Palomar Holdings Inc. (a)

   20,225      797,270 

RLI Corp.

   61,408      5,705,417 

Selective Insurance Group Inc.

   7,911      594,828 
      

 

 

 
     24,139,976 
      

 

 

 

Publishing - 0.9%

 

John Wiley & Sons Inc., Class A

   263,431      11,575,158 
      

 

 

 

Regional Banks - 8.5%

 

1st Source Corp.

   37,889      1,732,664 

Atlantic Union Bankshares Corp.

   50,093      1,865,714 

BankUnited Inc.

   25,962      872,842 

Banner Corp.

   40,262      2,261,517 

Bryn Mawr Bank Corp.

   67,000      2,446,170 

Camden National Corp.

   26,049      1,128,443 

Columbia Banking System Inc.

   43,755      1,614,559 

Community Bank System Inc.

   65,000      4,009,850 

Cullen/Frost Bankers Inc.

   54,882      4,859,801 

CVB Financial Corp.

   159,500      3,328,765 

Enterprise Financial Services Corp.

   45,716      1,862,927 

Equity Bancshares Inc., Class A (a)

   62,890      1,686,081 

First Interstate BancSystem Inc., Class A

   45,452      1,828,988 

Franklin Financial Network Inc.

   31,346      946,963 

Fulton Financial Corp.

   309,618      5,009,619 

German American Bancorp Inc.

   76,000      2,435,800 

Hancock Whitney Corp.

   31,918      1,222,300 

Home BancShares Inc.

   66,359      1,247,217 

IBERIABANK Corp.

   86,311      6,519,933 

Independent Bank Corp.

   78,000      5,822,700 
   Number
of Shares
     Fair
Value
$
 

Investors Bancorp Inc.

   79,469      902,768 

Lakeland Financial Corp.

   18,773      825,637 

Origin Bancorp Inc.

   50,600      1,707,244 

Pinnacle Financial Partners Inc.

   15,443      876,390 

Prosperity Bancshares Inc.

   146,687      10,360,503 

Renasant Corp.

   216,026      7,563,070 

Sandy Spring Bancorp Inc.

   40,928      1,379,683 

Simmons First National Corp., Class A

   45,210      1,125,729 

Stock Yards Bancorp Inc.

   63,500      2,329,815 

TCF Financial Corp.

   32,764      1,247,325 

UMB Financial Corp.

   107,500      6,942,350 

United Community Banks Inc.

   61,961      1,756,594 

Valley National Bancorp

   41,717      453,464 

Washington Trust Bancorp Inc.

   53,500      2,584,585 

Westamerica Bancorporation

   93,831      5,834,412 

Western Alliance Bancorp

   139,661      6,435,579 

Wintrust Financial Corp.

   33,431      2,160,646 
      

 

 

 
     107,188,647 
      

 

 

 

Research & Consulting Services - 0.4%

 

Resources Connection Inc.

   280,998      4,774,156 
      

 

 

 

Residential REITs - 0.1%

 

NexPoint Residential Trust Inc.

   26,264      1,228,105 
      

 

 

 

Restaurants - 0.9%

 

Bloomin’ Brands Inc.

   18,400      348,312 

Brinker International Inc.

   21,567      920,264 

Cracker Barrel Old Country Store Inc.

   16,527      2,688,117 

Dave & Buster’s Entertainment Inc.

   12,707      494,938 

Ruth’s Hospitality Group Inc.

   63,420      1,294,719 

Texas Roadhouse Inc.

   62,764      3,296,365 

The Cheesecake Factory Inc.

   64,746      2,698,613 
      

 

 

 
     11,741,328 
      

 

 

 

Retail REITs - 0.1%

 

Retail Opportunity Investments Corp.

   99,442      1,812,828 
      

 

 

 

Security & Alarm Services - 1.1%

 

The Brink’s Co.

   161,276      13,377,844 
      

 

 

 

Semiconductor Equipment - 0.4%

 

Brooks Automation Inc.

   21,360      790,961 

Ichor Holdings Ltd. (a)

   77,202      1,866,744 

Rudolph Technologies Inc. (a)

   105,277      2,775,102 
      

 

 

 
     5,432,807 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

26 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      

Semiconductors - 0.6%

 

Diodes Inc. (a)

   21,838      876,795 

Semtech Corp. (a)

   121,608      5,911,365 

SMART Global Holdings Inc. (a)

   26,183      667,143 
      

 

 

 
     7,455,303 
      

 

 

 

Soft Drinks - 0.3%

 

Cott Corp.

   279,809      3,489,218 
      

 

 

 

Specialized Consumer Services - 0.0%*

 

WW International Inc. (a)

   14,744      557,618 
      

 

 

 

Specialized REITs - 0.7%

 

CoreSite Realty Corp.

   31,792      3,873,855 

National Storage Affiliates Trust

   37,703      1,258,149 

PotlatchDeltic Corp.

   47,787      1,963,329 

QTS Realty Trust Inc., Class A

   18,931      973,243 

The GEO Group Inc.

   45,261      784,826 
      

 

 

 
     8,853,402 
      

 

 

 

Specialty Chemicals - 4.1%

 

Chase Corp.

   15,500      1,695,545 

Ferro Corp. (a)

   84,586      1,003,190 

HB Fuller Co.

   131,381      6,117,099 

Ingevity Corp. (a)

   86,069      7,302,094 

Innospec Inc.

   45,500      4,055,870 

Minerals Technologies Inc.

   22,362      1,187,199 

PolyOne Corp.

   195,123      6,370,766 

Quaker Chemical Corp.

   30,920      4,889,689 

Sensient Technologies Corp.

   169,807      11,657,250 

Stepan Co.

   76,118      7,388,013 
      

 

 

 
     51,666,715 
      

 

 

 

Specialty Stores - 0.7%

 

Hudson Ltd., Class A (a)

   38,994      478,456 

MarineMax Inc. (a)

   35,403      548,038 

National Vision Holdings Inc. (a)

   102,000      2,455,140 

Sally Beauty Holdings Inc. (a)

   356,695      5,311,189 
      

 

 

 
     8,792,823 
      

 

 

 

Steel - 0.4%

 

Carpenter Technology Corp.

   32,914      1,700,337 

Commercial Metals Co.

   177,567      3,086,115 
      

 

 

 
     4,786,452 
      

 

 

 

Systems Software - 0.9%

 

Progress Software Corp.

   26,817      1,020,655 

Qualys Inc. (a)

   40,000      3,022,800 
   Number
of Shares
     Fair
Value
$
 

SailPoint Technologies Holding Inc. (a)

   139,000      2,597,910 

Talend S.A. ADR (a)

   47,500      1,614,050 

Tenable Holdings Inc. (a)

   160,500      3,591,990 
      

 

 

 
     11,847,405 
      

 

 

 

Technology Distributors - 0.3%

 

Insight Enterprises Inc. (a)

   15,970      889,369 

SYNNEX Corp.

   7,731      872,830 

Tech Data Corp. (a)

   12,998      1,354,912 
      

 

 

 
     3,117,111 
      

 

 

 

Technology Hardware, Storage & Peripherals - 0.7%

 

Pure Storage Inc., Class A (a)

   489,000      8,283,660 
      

 

 

 

Thrifts & Mortgage Finance - 0.8%

 

Axos Financial Inc. (a)

   42,493      1,174,931 

Essent Group Ltd.

   23,750      1,132,163 

Flagstar Bancorp Inc.

   10,286      384,182 

HomeStreet Inc. (a)

   47,559      1,299,312 

Kearny Financial Corp.

   31,336      408,621 

NMI Holdings Inc., Class A (a)

   43,164      1,133,487 

WSFS Financial Corp.

   108,247      4,773,693 
      

 

 

 
     10,306,389 
      

 

 

 

Tires & Rubber - 0.1%

 

Cooper Tire & Rubber Co.

   63,991      1,671,445 
      

 

 

 

Trading Companies & Distributors - 0.9%

 

Applied Industrial Technologies Inc.

   133,980      7,610,064 

BMC Stock Holdings Inc. (a)

   38,160      999,029 

Foundation Building Materials Inc. (a)

   31,898      494,100 

GMS Inc. (a)

   24,961      716,880 

Herc Holdings Inc. (a)

   25,828      1,201,260 
      

 

 

 
     11,021,333 
      

 

 

 

Trucking - 0.7%

 

ArcBest Corp.

   17,654      537,564 

Avis Budget Group Inc. (a)

   22,600      638,676 

Marten Transport Ltd.

   63,839      1,326,575 

Old Dominion Freight Line Inc.

   26,814      4,557,576 

Saia Inc. (a)

   23,399      2,192,486 
      

 

 

 
     9,252,877 
      

 

 

 
Total Common Stock
(Cost $975,457,558)

 

     1,192,531,385 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  27 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      
Short-Term Investments - 5.3%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92%
(Cost $66,352,770) (b)(c)(d)

   66,352,770      66,352,770 
      

 

 

 
Total Investments
(Cost $1,041,810,328)

 

     1,258,884,155 
Liabilities in Excess of Other Assets, net - (0.1)%

 

     (1,049,039
      

 

 

 
NET ASSETS - 100.0%

 

     1,257,835,116 
      

 

 

 

 

Other Information:

The Fund had the following long futures contracts open at September 30, 2019:

 

Description  Expiration
date
   Number of
Contracts
   Notional
Amount
   Value   Unrealized
Depreciation
 

E-mini Russell 2000 Index Futures

   December 2019    205   $16,214,240   $15,631,250   $(582,990
          

 

 

 

During the period ended September 30, 2019, average notional value related to long futures contracts was $18,483,021 or 1.5% of net assets.

The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:

 

Fund  Investments  Level 1  Level 2   Level 3   Total 
State Street InstitutionalSmall-Cap Equity Fund  

Investments in Securities

       
  

Common Stock

  $1,192,531,385  $   $   $1,192,531,385 
  

Short-Term Investments

   66,352,770           66,352,770 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $1,258,884,155  $   $   $1,258,884,155 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

       
  

Long Futures Contracts - Unrealized Depreciation

  $(582,990 $   $   $(582,990
    

 

 

  

 

 

   

 

 

   

 

 

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
9/30/19
  Value at
9/30/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  96,806,112  $96,806,112  $391,610,787  $422,064,129  $  $   66,352,770  $66,352,770  $1,507,813 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

28 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street Institutional International Equity Fund

Management Discussion of Fund Performance — September 30, 2019 (Unaudited)

 

 

The State Street Institutional International Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the MSCI EAFE Index (the “Index”).

For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 3.18% and for the Fund’s Service Class was 3.03%, and the Index was -1.34%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Strong stock selection especially in healthcare and financial stocks, and on the negative side, underperformance in energy names were the primary drivers of Fund performance during the Reporting Period relative to the Index. In healthcare, a number of holdings in both the healthcare equipment and pharmaceutical segments outperformed. The most prominent of these was Japanese equipment supplier Hoya Corp. Hoya has had a stable and profitable eyeglass business, but its recent strength has been driven by its sales to the semiconductor manufacturing industry where it supplies a key component inhigh-end chip manufacturing. In financials, the Fund was helped by a diverse group of companies including an Indian bank (ICICI), a UK based exchange (London Stock Exchange), a Canadian asset manager (Brookfield Asset Manager), and insurance companies in both Hong Kong and Japan (AIA and Tokio Marine). The Fund was helped by an underweight relative to the Index in the lagging energy sector, but the Fund’s holdings in the sector lagged hurting performance. Norwegian oil and gas producer Equinor was particularly weak during the Reporting Period, as it was negatively impacted by weak natural gas prices and higher than expected tax payments.

On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Nestle, Hoya Corp, and ICICI Bank. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Equinor, Seven Generations Energy, and Mitsubishi UFJ Financial Group.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

State Street Institutional International Equity Fund  29 


Table of Contents

State Street Institutional International Equity Fund

Performance Summary — September 30, 2019 (Unaudited)

 

 

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily (meaning at least 65% of its total assets) in companies located in both developed and emerging market countries outside the United States.

Top Ten Largest Holdings

as of September 30, 2019 (as a % of Fair Value)(a)(b)

 

Nestle S.A.

  4.52

Novartis AG

  3.60

Roche Holding AG

  3.41

AstraZeneca PLC

  3.32

Hoya Corp.

  3.01

AIA Group Ltd.

  2.94

Safran S.A.

  2.84

SAP SE

  2.72

Air Liquide S.A.

  2.65

Shiseido Company Ltd.

  2.55

Regional Allocation as of September 30, 2019

Portfolio Composition as a % of Fair Value of $84,929 (in thousands) as of September 30, 2019(a)(b)

 

LOGO

Average Annual Total Return for the periods ended September 30, 2019

Investment Class Shares (Inception date: 11/25/97)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Institutional International Equity Fund

  3.18  3.19  4.17 $15,041 

MSCI EAFE Index

  -1.34  3.27  4.90 $16,140 

Service Class Shares (Inception date: 1/3/01)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Institutional International Equity Fund

  3.03  2.96  3.91 $14,671 

MSCI EAFE Index

  -1.34  3.27  4.90 $16,140 
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares.

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

30 State Street Institutional International Equity Fund


Table of Contents

State Street Institutional International Equity Fund

Performance Summary, continued — September 30, 2019 (Unaudited)

 

 

LOGO

 

 

 

 

See Notes to Performance beginning on page 1 for further information.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

State Street Institutional International Equity Fund  31 


Table of Contents

State Street Institutional International Equity Fund

Understanding Your Fund’s Expenses — September 30, 2019 (Unaudited)

 

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entiresix-month period ended September 30, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,059.20   $1,022.30 

Expenses Paid During Period*

  $2.84   $2.79 

Service Class

        

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,058.50   $1,021.10 

Expenses Paid During Period*

  $4.13   $4.05 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.55%** for Investment Class shares and 0.80% for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period).

 

 **

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

32 State Street Institutional International Equity Fund


Table of Contents

State Street Institutional International Equity Fund

Schedule of Investments — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      
Common Stock - 97.6% †

 

Australia - 1.8%

 

BHP Group PLC

   73,761      1,574,676 
      

 

 

 

Belgium - 1.6%

 

Anheuser-Busch InBev S.A.

   14,829      1,413,282 
      

 

 

 

Brazil - 1.1%

 

Itau Unibanco Holding S.A. ADR (b)

   110,092      925,874 
      

 

 

 

Canada - 1.1%

 

Brookfield Asset Management Inc., Class A

   17,758      943,561 
      

 

 

 

China - 0.5%

 

New Oriental Education & Technology Group Inc. ADR (a)(b)

   3,942      436,616 
      

 

 

 

France - 15.7%

 

Air Liquide S.A.

   15,834      2,254,447 

Airbus SE

   13,253      1,722,251 

AXA S.A.

   66,102      1,688,469 

BNP Paribas S.A.

   32,944      1,604,347 

Safran S.A.

   15,316      2,411,954 

Schneider Electric SE

   24,411      2,142,336 

Vivendi S.A.

   62,586      1,718,063 
      

 

 

 
     13,541,867 
      

 

 

 

Germany - 4.7%

 

Fresenius SE & Company KGaA

   8,105      379,023 

HeidelbergCement AG

   19,404      1,402,949 

SAP SE

   19,623      2,307,876 
      

 

 

 
     4,089,848 
      

 

 

 

Hong Kong - 2.9%

 

AIA Group Ltd.

   264,802      2,501,287 
      

 

 

 

India - 1.1%

 

ICICI Bank Ltd.

   150,271      919,622 
      

 

 

 

Ireland - 2.1%

 

Kerry Group PLC, Class A

   15,236      1,782,284 
      

 

 

 

Japan - 29.7%

 

Daikin Industries Ltd.

   13,600      1,784,390 

Disco Corp.

   6,900      1,306,260 

FANUC Corp.

   6,249      1,176,078 

Hoya Corp.

   31,300      2,554,103 

Kao Corp.

   20,700      1,529,205 

Keyence Corp.

   3,200      1,980,847 

Komatsu Ltd.

   59,400      1,360,305 
   Number
of Shares
     Fair
Value
$
 

Mitsubishi UFJ Financial Group Inc.

   337,400      1,712,053 

Mitsui Fudosan Company Ltd.

   63,325      1,569,722 

Murata Manufacturing Company Ltd.

   31,937      1,532,208 

Nidec Corp.

   11,474      1,541,545 

Secom Company Ltd.

   15,000      1,368,217 

Shiseido Company Ltd.

   27,100      2,163,737 

SoftBank Group Corp.

   26,802      1,051,496 

Subaru Corp.

   20,700      582,262 

Suzuki Motor Corp.

   24,400      1,035,603 

Tokio Marine Holdings Inc.

   25,349      1,355,465 
      

 

 

 
     25,603,496 
      

 

 

 

Netherlands - 4.2%

 

ASML Holding N.V.

   8,656      2,144,506 

ING Groep N.V.

   141,884      1,485,565 
      

 

 

 
     3,630,071 
      

 

 

 

Norway - 1.8%

 

Equinor ASA

   82,570      1,572,619 
      

 

 

 

Portugal - 1.7%

 

Galp Energia SGPS S.A.

   94,503      1,424,350 
      

 

 

 

Sweden - 3.1%

 

Assa Abloy AB, Class B

   87,740      1,955,202 

Hexagon AB, Class B

   14,396      694,898 
      

 

 

 
     2,650,100 
      

 

 

 

Switzerland - 13.0%

 

Givaudan S.A.

   512      1,429,482 

Nestle S.A.

   35,332      3,836,684 

Novartis AG

   35,231      3,057,605 

Roche Holding AG

   9,939      2,895,033 
      

 

 

 
     11,218,804 
      

 

 

 

Taiwan - 1.1%

 

Taiwan Semiconductor Manufacturing Company Ltd.

   112,548      986,738 
      

 

 

 

United Kingdom - 10.4%

 

AstraZeneca PLC

   31,498      2,818,355 

London Stock Exchange Group PLC

   17,396      1,566,622 

Prudential PLC

   84,210      1,530,636 

Smith & Nephew PLC

   41,483      1,001,431 

Smiths Group PLC

   51,590      998,117 

Vodafone Group PLC

   538,572      1,075,166 
      

 

 

 
     8,990,327 
      

 

 

 
Total Common Stock
(Cost $72,193,431)

 

     84,205,422 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional International Equity Fund  33 


Table of Contents

State Street Institutional International Equity Fund

Schedule of Investments, continued — September 30, 2019

 

   Number
of Shares
     Fair
Value
$
 
      
Short-Term Investments - 0.8%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92%
(Cost $723,844) (c)(d)

   723,844      723,844 
      

 

 

 
Total Investments
(Cost $72,917,275)

 

     84,929,266 
Other Assets and Liabilities, net - 1.6%

 

     1,358,623 
      

 

 

 
NET ASSETS - 100.0%

 

     86,287,889 
      

 

 

 
 

Other Information:

The Fund had the following short futures contracts open at September 30, 2019:

 

Description  Expiration
date
   Number of
Contracts
   Notional
Amount
   Value   Unrealized
Appreciation
 

MSCI EAFE Mini Futures

   December 2019    2   $(190,911  $(189,840  $1,071 
          

 

 

 

During the period ended September 30, 2019, average notional value related to long and short futures contracts was $4,331,817 or 5.0% of net assets and $14,603 or less than 0.05% of net assets, respectively.

The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:

 

Fund  Investments  Level 1   Level 2   Level 3   Total 
State Street Institutional International Equity Fund  

Investments in Securities

        
  

Common Stock

  $84,205,422   $   $   $84,205,422 
  

Short-Term Investments

   723,844            723,844 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $84,929,266   $   $   $84,929,266 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

        
  

Short Futures Contracts - Unrealized Appreciation

  $1,071   $   $   $1,071 
    

 

 

   

 

 

   

 

 

   

 

 

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

34 State Street Institutional International Equity Fund


Table of Contents

State Street Institutional International Equity Fund

Schedule of Investments, continued — September 30, 2019

 

The Fund was invested in the following sectors at September 30, 2019 (unaudited):

 

Sector  Percentage
(based on
Fair Value)
 

Pharmaceuticals

   10.33% 

Diversified Banks

   7.83% 

Packaged Foods & Meats

   6.62% 

Aerospace & Defense

   4.87% 

Life & Health Insurance

   4.75% 

Building Products

   4.40% 

Personal Products

   4.35% 

Electrical Components & Equipment

   4.34% 

Semiconductor Equipment

   4.06% 

Integrated Oil & Gas

   3.53% 

Electronic Equipment & Instruments

   3.15% 

Healthcare Supplies

   3.01% 

Application Software

   2.72% 

Industrial Gases

   2.65% 

Wireless Telecommunication Services

   2.50% 

Movies & Entertainment

   2.02% 

Multi-Line Insurance

   1.99% 

Automobile Manufacturers

   1.91% 

Diversified Metals & Mining

   1.85% 

Diversified Real Estate Activities

   1.85% 

Financial Exchanges & Data

   1.84% 
Sector  Percentage
(based on
Fair Value)
 

Electronic Components

   1.80% 

Specialty Chemicals

   1.68% 

Brewers

   1.66% 

Construction Materials

   1.65% 

Security & Alarm Services

   1.61% 

Construction Machinery & Heavy Trucks

   1.60% 

Property & Casualty Insurance

   1.60% 

Industrial Machinery

   1.39% 

Healthcare Equipment

   1.18% 

Industrial Conglomerates

   1.18% 

Semiconductors

   1.16% 

Asset Management & Custody Banks

   1.11% 

Education Services

   0.51% 

Healthcare Services

   0.45% 
  

 

 

 
   99.15% 
  

 

 

 

Short-Term Investments

  

Short-Term Investments

   0.85% 
  

 

 

 
   0.85% 
  

 

 

 
   100.00% 
  

 

 

 
 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
9/30/19
  Value at
9/30/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  54,039,876  $54,039,876  $32,190,356  $85,506,388  $  $   723,844  $723,844  $112,631 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional International Equity Fund  35 


Table of Contents

State Street Active Core Bond Fund

Management Discussion of Fund Performance — September 30, 2019 (Unaudited)

 

 

The State Street Active Core Bond Fund (the “Fund”) seeks to provide maximum income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).

For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 9.76% and for the Fund’s Service Class was 9.56%, and the Index was 10.30%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.

Duration and asset allocation, which each had a negative impact, and security selection, which had a positive impact, were the primary drivers of Fund performance during the Reporting Period relative to the Index.

Our view in the fourth quarter of 2018 was that long-term rates were nearing a cyclical peak. Over the course of the Reporting Period, theten-year government interest rate decreased from 3.06% to 1.66%. By the third quarter of 2019, we felt that long-term rates were nearing a cyclical low. As such, we established a short duration position relative to the Index during this period, negatively impacting the Fund’s performance relative to the Index.

Reflecting our view that the credit and economic cycle would persist, the Fund maintained an over-weight asset allocation to credit sectors during the Reporting Period. Credit spreads fluctuated significantly during the Reporting Period, especially during the fourth quarter of 2018 and the first quarter of 2019. Credit performance versus duration-equivalent treasuries was mixed over the Reporting Period, with investment-grade creditout-performing risk-free assets, while high-yield under-performed. As such, the Fund’s asset allocation to high yield generated negative excess returns relative to the Index.

Security selection in the investment-grade credit allocation generated positive excess returns as ourbottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities.

The Fund used treasury futures, interest swaps and index credit default swaps in order to actively manage duration and credit spread duration during the Reporting Period. The Fund’s use of treasury futures and interest rate swaps detracted from Fund performance relative to the Index, while its use of index credit default swaps contributed to Fund performance relative to the Index.

The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.

 

36 State Street Active Core Bond Fund


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State Street Active Core Bond Fund

Performance Summary — September 30, 2019 (Unaudited)

 

 

Investment Profile

A mutual fund designed for investors who seek maximum income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in bonds and other debt securities. The Fund invests primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments.

Quality Ratings

as of September 30, 2019 as a % of Fair Value(a)(b)

 

Moody’s / S&P / Rating*

  Percentage of
Fair Value
 

Aaa / AAA

   51.32

Aa / AA

   29.13

A / A

   7.49

Baa / BBB

   11.00

Ba / BB and lower

   0.50

NR / Other

   0.56

Sector Allocation

Portfolio Composition as a % of Fair Value of $160,692 (in thousands) as of September 30, 2019(a)(b)

 

LOGO

Average Annual Total Return for the periods ended September 30, 2019

Investment Class Shares (Inception date: 11/21/97)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Active Core Bond Fund

  9.76  3.45  4.29 $15,225 

Bloomberg Barclays U.S. Aggregate Bond Index

  10.30  3.38  3.75 $14,448 

Service Class Shares (Inception date: 9/30/05)

 

  One Year  Five Year  Ten Year  Ending Value
of a $10,000
Investment
 

State Street Active Core Bond Fund

  9.56  3.22  4.05 $14,870 

Bloomberg Barclays U.S. Aggregate Bond Index

  10.30  3.38  3.75 $14,448 
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares.

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

*

Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings.

 

State Street Active Core Bond Fund  37 


Table of Contents

State Street Active Core Bond Fund

Performance Summary, continued — September 30, 2019 (Unaudited)

 

 

LOGO

 

 

 

 

See Notes to Performance beginning on page 1 for further information.

Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

38 State Street Active Core Bond Fund


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State Street Active Core Bond Fund

Understanding Your Fund’s Expenses — September 30, 2019 (Unaudited)

 

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entiresix-month period ended September 30, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,049.50   $1,023.70 

Expenses Paid During Period*

  $1.39   $1.37 

Service Class

        

Actual Fund Return

    

Beginning Account Value

April 1, 2019

  $1,000.00   $1,000.00 

Ending Account Value

September 30, 2019

  $1,049.50   $1,022.40 

Expenses Paid During Period*

  $2.77   $2.74 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.27%** for Investment Class shares and 0.54%** for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period).

 

 **

May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data.

 

 

State Street Active Core Bond Fund  39 


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State Street Active Core Bond Fund

Schedule of Investments — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    
Bonds and Notes - 97.8%†

 

U.S. Treasuries - 24.1%

    

U.S. Treasury Bonds

    

2.25%, 08/15/46 (e)

   739,600    758,437 

3.00%, 08/15/48 (e)

   3,844,200    4,571,595 

U.S. Treasury Notes

    

1.38%, 12/15/19 (e)

   3,278,100    3,274,643 

1.50%, 11/30/19 (e)

   2,941,500    2,939,202 

1.63%, 06/30/21 - 02/15/26 (e)

   8,433,300    8,435,716 

2.25%, 03/31/20 (e)

   1,012,900    1,014,720 

2.50%, 01/31/24 (e)

   3,144,900    3,266,765 

2.63%, 02/15/29 (e)

   3,249,400    3,517,475 
    

 

 

 
     27,778,553 
    

 

 

 

Agency Mortgage Backed - 38.7%

 

Federal Home Loan Mortgage Corp.

    

3.00%, 03/01/43 (e)

   2,683,727    2,759,830 

4.50%, 06/01/33 - 02/01/35 (e)

   9,348    9,939 

5.00%, 07/01/35 (e)

   74,656    82,181 

5.50%, 05/01/20 - 04/01/39 (e)

   170,125    191,935 

6.00%, 02/01/29 - 11/01/37 (e)

   203,977    232,678 

6.50%, 08/01/29 - 10/01/33 (e)

   999    1,152 

7.00%, 06/01/29 - 08/01/36 (e)

   47,307    55,152 

7.50%, 01/01/30 - 09/01/33 (e)

   1,815    1,980 

8.00%, 11/01/30 (e)

   10,660    12,127 

8.50%, 04/01/30 (e)

   11,157    14,368 

9.50%, 04/01/21 (e)

   4    4 

Federal National Mortgage Assoc.

    

3.50%, 08/01/45 (e)

   109,059    113,315 

4.00%, 01/01/41 - 12/01/41 (e)

   1,637,678    1,750,786 

4.50%, 10/01/19 - 02/01/40 (e)

   1,049,539    1,137,337 

5.00%, 07/01/20 - 05/01/39 (e)

   235,638    259,588 

5.50%, 06/01/20 - 04/01/38 (e)

   350,599    394,183 

6.00%, 02/01/20 - 07/01/35 (e)

   419,349    478,411 

6.50%, 05/01/21 - 08/01/36 (e)

   48,239    52,948 

7.00%, 10/01/32 - 02/01/34 (e)

   6,467    7,019 

7.50%, 12/01/23 - 03/01/33 (e)

   32,622    37,187 

8.00%, 07/01/25 - 10/01/31 (e)

   7,996    8,840 

9.00%, 12/01/22 (e)

   302    313 

Federal National Mortgage Assoc. 1.25% + USD COF11
5.50%, 10/01/24 (e)(f)

   4,720    4,860 

Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR
4.47%, 04/01/37 (e)(f)

   2,245    2,309 

Federal National Mortgage Assoc. TBA

    

2.50%, TBA (g)

   6,000,000    6,051,660 

3.00%, TBA (g)

   2,479,725    2,534,105 

3.50%, TBA (g)(e)

   7,028,000    7,207,425 

4.00%, TBA (g)

   10,807,711    11,247,153 

4.00%, TBA (g)(e)

   4,288,000    4,448,800 
   Principal
Amount ($)
   Fair
Value
$
 

Government National Mortgage Assoc.

    

3.00%, 12/20/42 (e)

   1,681,163    1,737,993 

4.00%, 01/20/41 - 04/20/43 (e)

   1,694,984    1,803,295 

4.50%, 08/15/33 - 05/20/40 (e)

   302,442    325,080 

5.00%, 08/15/33 (e)

   23,181    25,528 

6.00%, 04/15/27 - 09/15/36 (e)

   146,709    167,506 

6.50%, 02/15/24 - 09/15/36 (e)

   63,299    69,914 

7.00%, 10/15/27 - 10/15/36 (e)

   30,005    34,037 

7.50%, 01/15/23 - 11/15/31 (e)

   2,750    2,814 

8.00%, 05/15/30 - 09/15/30 (e)

   233    247 

9.00%, 12/15/21 (e)

   144    149 

4.50%, TBA (g)

   1,277,000    1,334,388 
    

 

 

 
     44,598,536 
    

 

 

 

Agency Collateralized Mortgage Obligations - 1.2%

 

Federal Home Loan Mortgage Corp.

    

0.08%, 09/25/43 (e)(f)(h)

   605,954    1,593 

2.51%, 07/25/29 (e)

   290,000    298,474 

4.06%, 10/25/28 (e)(f)

   874,000    999,412 

Federal Home Loan Mortgage Corp. REMIC

    

3.50%, 09/15/29 - 11/15/30 (e)(h)

   248,398    11,438 

5.50%, 06/15/33 (e)(h)

   24,253    4,606 

7.50%, 07/15/27 (e)(h)

   2,692    414 

Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR
4.57%, 08/15/25 (e)(f)(h)

   86,313    3,792 

Federal Home Loan Mortgage Corp. STRIPS

    

1.47%, 08/01/27 (c)(e)(i)

   561    519 

8.00%, 02/01/23 - 07/01/24 (e)(h)

   1,595    197 

Federal National Mortgage Assoc. REMIC

    

0.51%, 12/25/22 (c)(e)(i)

   4    4 

1.09%, 12/25/42 (f)(h)

   111,287    4,051 

5.00%, 02/25/40 - 09/25/40 (e)(h)

   118,944    13,408 

8.00%, 05/25/22 (e)(h)

   1    5 

Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR
3.98%, 07/25/38 (e)(f)(h)

   44,817    6,466 

Federal National Mortgage Assoc. STRIPS

    

1.87%, 12/25/34 (c)(e)(i)

   10,744    9,316 

4.50%, 08/25/35 - 01/25/36 (e)(h)

   74,905    11,941 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

40 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

5.00%, 03/25/38 - 05/25/38 (e)(h)

   41,021    6,994 

5.50%, 12/25/33 (e)(h)

   10,751    2,177 

6.00%, 01/25/35 (e)(h)

   46,089    9,250 

7.50%, 11/25/23 (e)(h)

   6,335    658 

8.00%, 08/25/23 - 07/25/24 (e)(h)

   3,232    412 

8.50%, 07/25/22 (e)(h)

   41    3 

8.50%, 07/25/22 (e)(h)**

   1     

9.00%, 05/25/22 (e)(h)

   33    2 

Government National Mortgage Assoc. REMIC

    

4.50%, 05/20/38 - 08/16/39 (e)(h)

   74,702    2,148 

5.00%, 09/20/38 (e)(h)

   11,850    114 
    

 

 

 
     1,387,394 
    

 

 

 

Asset Backed - 2.6%

    

American Express Credit Account Master Trust 0.24% + 1 month USD LIBOR
2.26%, 04/15/24 (e)(f)

   490,000    490,074 

American Express Credit Account Master Trust2017-6
2.04%, 05/15/23 (e)

   838,658    839,467 

American Express Credit Account Master Trust2018-1
2.67%, 10/17/22 (e)

   495,000    496,206 

BA Credit Card Trust2018-A1
2.70%, 07/17/23 (e)

   432,000    436,667 

Chase Funding Trust2004-1

    

4.99%, 11/25/33 (e)(j)

   149,097    149,097 

Enterprise Fleet Financing2019-1 LLC

    

3.07%, 10/22/24 (e)(k)

   473,000    485,287 

Securitized Term Auto Receivables Trust2018-1A

    

3.30%, 11/25/22 (e)(k)

   118,000    120,163 
    

 

 

 
     3,016,961 
    

 

 

 

Corporate Notes - 27.2%

    

3M Co.
3.13%, 09/19/46 (e)

   62,000    60,175 

Abbott Laboratories

    

3.75%, 11/30/26 (e)

   123,000    133,873 

4.90%, 11/30/46 (e)

   46,000    59,276 

AbbVie Inc.

    

3.20%, 05/14/26 (e)

   24,000    24,417 

4.45%, 05/14/46 (e)

   27,000    27,932 

4.70%, 05/14/45 (e)

   9,000    9,621 

4.88%, 11/14/48 (e)

   7,000    7,722 
   Principal
Amount ($)
   Fair
Value
$
 

Aetna Inc.
3.50%, 11/15/24 (e)

   29,000    30,221 

Aircastle Ltd.
4.25%, 06/15/26 (e)

   78,000    80,040 

Alcon Finance Corp.
2.75%, 09/23/26 (e)(k)

   202,000    203,828 

Alexandria Real Estate Equities Inc.
4.70%, 07/01/30 (e)

   50,000    57,962 

Allegion PLC
3.50%, 10/01/29

   35,000    35,398 

Allergan Finance LLC

    

3.25%, 10/01/22 (e)

   29,000    29,619 

4.63%, 10/01/42 (e)

   4,000    4,171 

Allergan Funding SCS
3.45%, 03/15/22 (e)

   21,000    21,525 

Allergan Sales LLC
5.00%, 12/15/21 (e)(k)

   55,000    57,758 

Altria Group Inc.

    

2.95%, 05/02/23 (e)

   23,000    23,332 

3.80%, 02/14/24 (e)

   15,000    15,683 

4.25%, 08/09/42 (e)

   3,000    2,906 

4.50%, 05/02/43 (e)

   13,000    12,966 

4.80%, 02/14/29 (e)

   33,000    36,065 

5.95%, 02/14/49 (e)

   21,000    24,677 

Amazon.com Inc.

    

2.80%, 08/22/24 (e)

   40,000    41,591 

3.15%, 08/22/27 (e)

   31,000    32,957 

3.88%, 08/22/37 (e)

   8,000    9,192 

4.05%, 08/22/47 (e)

   12,000    14,434 

4.25%, 08/22/57 (e)

   16,000    19,892 

Ameren Corp.
2.50%, 09/15/24 (e)

   75,000    75,430 

American Express Co.
3.00%, 10/30/24 (e)

   117,000    120,821 

American International Group Inc.

    

4.25%, 03/15/29 (e)

   51,000    55,879 

4.50%, 07/16/44 (e)

   80,000    88,998 

American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter)
5.75%, 04/01/48 (e)(f)

   49,000    52,289 

American Tower Corp.

    

3.38%, 10/15/26 (e)

   12,000    12,484 

3.70%, 10/15/49

   67,000    66,806 

3.80%, 08/15/29 (e)

   31,000    33,073 

4.40%, 02/15/26 (e)

   28,000    30,685 

4.70%, 03/15/22

   100,000    105,820 

American Water Capital Corp.
2.95%, 09/01/27 (e)

   25,000    25,615 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  41 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Amgen Inc.

    

2.65%, 05/11/22 (e)

   86,000    87,079 

3.20%, 11/02/27 (e)

   26,000    27,165 

4.56%, 06/15/48 (e)

   24,000    27,701 

4.66%, 06/15/51 (e)

   7,000    8,153 

Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc.

    

3.65%, 02/01/26 (e)

   66,000    70,743 

4.70%, 02/01/36 (e)

   16,000    18,448 

4.90%, 02/01/46 (e)

   27,000    32,214 

Anheuser-Busch InBev Finance Inc.
2.65%, 02/01/21

   500,000    504,555 

Anheuser-Busch InBev Worldwide Inc.

    

4.00%, 04/13/28 (e)

   42,000    46,312 

4.38%, 04/15/38 (e)

   49,000    55,100 

4.60%, 04/15/48 (e)

   23,000    26,463 

4.75%, 04/15/58 (e)

   13,000    15,220 

5.55%, 01/23/49 (e)

   44,000    57,537 

Anthem Inc.
3.30%, 01/15/23 (e)

   27,000    27,870 

Apache Corp.

    

4.38%, 10/15/28 (e)

   9,000    9,254 

5.10%, 09/01/40 (e)

   41,000    41,075 

Apple Inc.

    

2.15%, 02/09/22

   150,000    151,161 

2.20%, 09/11/29 (e)

   92,000    90,514 

2.85%, 05/11/24 (e)

   126,000    130,690 

2.95%, 09/11/49 (e)

   20,000    19,624 

3.35%, 02/09/27 (e)

   15,000    16,048 

3.45%, 02/09/45 (e)

   37,000    39,261 

3.85%, 08/04/46 (e)

   53,000    59,812 

Applied Materials Inc.
4.35%, 04/01/47 (e)

   33,000    40,245 

Aptiv PLC
4.40%, 10/01/46 (e)

   23,000    22,960 

ArcelorMittal

    

3.60%, 07/16/24 (e)

   40,000    40,437 

4.25%, 07/16/29 (e)

   14,000    14,237 

6.75%, 03/01/41 (e)

   8,000    9,438 

Archer-Daniels-Midland Co.
2.50%, 08/11/26 (e)

   13,000    13,140 

Ascension Health
4.85%, 11/15/53 (e)

   17,000    23,007 

AstraZeneca PLC

    

3.50%, 08/17/23 (e)

   21,000    21,955 

4.00%, 01/17/29 (e)

   14,000    15,581 

4.38%, 08/17/48 (e)

   6,000    7,119 

AT&T Inc.

    

2.63%, 12/01/22

   500,000    505,850 
   Principal
Amount ($)
   Fair
Value
$
 

4.35%, 03/01/29 (e)

   54,000    59,716 

4.45%, 04/01/24 (e)

   24,000    25,973 

4.50%, 05/15/35 (e)

   36,000    39,441 

4.55%, 03/09/49 (e)

   31,000    33,503 

4.75%, 05/15/46 (e)

   45,000    50,005 

4.80%, 06/15/44 (e)

   24,000    26,597 

4.85%, 03/01/39 (e)

   38,000    43,077 

5.15%, 11/15/46 (e)

   5,000    5,795 

5.25%, 03/01/37 (e)

   28,000    32,923 

5.35%, 12/15/43 (e)

   18,000    21,212 

5.45%, 03/01/47 (e)

   31,000    37,416 

Avangrid Inc.
3.15%, 12/01/24 (e)

   45,000    46,447 

Bank of America Corp.

    

3.25%, 10/21/27 (e)

   4,000    4,161 

3.95%, 04/21/25 (e)

   89,000    94,286 

4.18%, 11/25/27 (e)

   130,000    139,805 

Bank of America Corp. (2.74% fixed rate until 01/23/21; 0.37% + 3 month USD LIBOR thereafter)
2.74%, 01/23/22 (f)

   100,000    100,581 

Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter)
3.12%, 01/20/23 (e)(f)

   31,000    31,611 

Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter)
3.37%, 01/23/26 (e)(f)

   19,000    19,762 

Bank of America Corp. (3.46% fixed rate until 03/15/24; 0.97% + 3 month USD LIBOR thereafter)
3.46%, 03/15/25 (e)(f)

   76,000    79,222 

Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter)
3.95%, 01/23/49 (e)(f)

   71,000    79,393 

Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter)
4.24%, 04/24/38 (e)(f)

   124,000    141,832 

Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter)
4.27%, 07/23/29 (e)(f)

   97,000    107,879 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

42 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Bank of America Corp. (4.33% fixed rate until 03/15/49; 1.52% + 3 month USD LIBOR thereafter)
4.33%, 03/15/50 (e)(f)

   31,000    36,502 

Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter)
4.44%, 01/20/48 (e)(f)

   62,000    73,704 

Bank of Montreal (4.34% fixed rate until 10/05/23; 1.28% + USD 5 year Swap Rate thereafter)
4.34%, 10/05/28 (e)(f)

   45,000    47,448 

Barclays PLC
4.84%, 05/09/28 (e)

   200,000    208,604 

Barrick North America Finance LLC
5.70%, 05/30/41 (e)

   5,000    6,306 

BAT Capital Corp.

    

2.76%, 08/15/22 (e)

   26,000    26,227 

3.56%, 08/15/27 (e)

   20,000    20,139 

4.39%, 08/15/37 (e)

   37,000    35,855 

4.54%, 08/15/47 (e)

   19,000    18,228 

BB&T Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter)
4.80%, 12/31/99 (e)(f)

   83,000    83,015 

Becton Dickinson and Co.

    

2.89%, 06/06/22 (e)

   27,000    27,410 

3.70%, 06/06/27 (e)

   26,000    27,524 

3.73%, 12/15/24 (e)

   4,000    4,232 

4.67%, 06/06/47 (e)

   4,000    4,740 

4.69%, 12/15/44 (e)

   3,000    3,490 

Berkshire Hathaway Energy Co.

    

3.25%, 04/15/28 (e)

   19,000    19,992 

3.80%, 07/15/48 (e)

   47,000    50,726 

6.13%, 04/01/36 (e)

   79,000    109,339 

Boardwalk Pipelines LP
4.80%, 05/03/29 (e)

   28,000    29,794 

Boston Scientific Corp.

    

4.00%, 03/01/28 (e)

   31,000    33,977 

4.70%, 03/01/49 (e)

   11,000    13,399 

BP Capital Markets America Inc.

    

3.02%, 01/16/27 (e)

   119,000    123,038 

3.22%, 11/28/23 (e)

   31,000    32,194 

Bristol-Myers Squibb Co.

    

3.20%, 06/15/26 (e)(k)

   64,000    67,106 

3.40%, 07/26/29 (e)(k)

   52,000    55,533 

4.13%, 06/15/39 (e)(k)

   23,000    26,101 

4.25%, 10/26/49 (e)(k)

   23,000    26,700 
   Principal
Amount ($)
   Fair
Value
$
 

Broadcom Corp./Broadcom Cayman Finance Ltd.

    

2.65%, 01/15/23 (e)

   6,000    5,998 

3.00%, 01/15/22 (e)

   46,000    46,458 

3.13%, 01/15/25 (e)

   7,000    6,948 

3.88%, 01/15/27 (e)

   6,000    6,028 

Brown-Forman Corp.
4.00%, 04/15/38 (e)

   6,000    6,822 

Buckeye Partners LP
5.60%, 10/15/44 (e)

   7,000    5,646 

Bunge Limited Finance Corp.
3.75%, 09/25/27 (e)

   12,000    12,345 

Burlington Northern Santa Fe LLC

    

4.15%, 12/15/48 (e)

   50,000    58,433 

4.55%, 09/01/44 (e)

   38,000    45,475 

Canadian Natural Resources Ltd.

    

3.85%, 06/01/27 (e)

   52,000    54,804 

4.95%, 06/01/47 (e)

   5,000    5,926 

Canadian Pacific Railway Co.
2.90%, 02/01/25 (e)

   13,000    13,354 

Capital One Financial Corp.
3.75%, 07/28/26 (e)

   175,000    181,781 

Cardinal Health Inc.

    

2.62%, 06/15/22 (e)

   13,000    13,078 

3.08%, 06/15/24 (e)

   12,000    12,146 

Caterpillar Inc.

    

2.60%, 09/19/29 (e)

   83,000    84,104 

3.25%, 09/19/49 (e)

   60,000    62,518 

3.80%, 08/15/42 (e)

   8,000    8,985 

CBS Corp.

    

2.90%, 01/15/27 (e)

   16,000    15,871 

3.70%, 06/01/28 (e)

   38,000    39,636 

Celgene Corp.

    

3.45%, 11/15/27 (e)

   15,000    15,912 

4.35%, 11/15/47 (e)

   4,000    4,679 

4.55%, 02/20/48 (e)

   79,000    95,059 

5.00%, 08/15/45 (e)

   33,000    41,248 

Cenovus Energy Inc.

    

4.25%, 04/15/27 (e)

   12,000    12,494 

5.25%, 06/15/37 (e)

   15,000    16,340 

5.40%, 06/15/47 (e)

   4,000    4,500 

Charter Communications Operating LLC/Charter Communications Operating Capital

    

3.58%, 07/23/20 (e)

   209,000    210,791 

4.46%, 07/23/22 (e)

   90,000    94,738 

4.91%, 07/23/25 (e)

   13,000    14,269 

5.05%, 03/30/29 (e)

   48,000    53,642 

5.75%, 04/01/48 (e)

   45,000    51,297 

6.38%, 10/23/35 (e)

   4,000    4,865 

6.48%, 10/23/45 (e)

   19,000    23,114 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  43 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Chevron Corp.

    

3.19%, 06/24/23 (e)

   47,000    49,024 

Chubb INA Holdings Inc.
4.35%, 11/03/45 (e)

   58,000    71,154 

Cigna Corp.

    

3.40%, 09/17/21 (e)

   21,000    21,464 

3.75%, 07/15/23 (e)

   71,000    74,301 

4.13%, 11/15/25 (e)

   34,000    36,563 

4.38%, 10/15/28 (e)

   14,000    15,340 

4.80%, 08/15/38 (e)

   12,000    13,485 

4.90%, 12/15/48 (e)

   12,000    13,773 

Cigna Holding Co.

    

3.25%, 04/15/25 (e)

   24,000    24,685 

3.88%, 10/15/47 (e)

   16,000    15,780 

Cisco Systems Inc.
5.90%, 02/15/39 (e)

   16,000    22,803 

Citigroup Inc.

    

2.70%, 10/27/22 (e)

   188,000    190,613 

4.40%, 06/10/25 (e)

   84,000    90,523 

4.65%, 07/23/48 (e)

   122,000    149,297 

4.75%, 05/18/46 (e)

   51,000    59,514 

5.50%, 09/13/25 (e)

   81,000    91,924 

Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter)
2.88%, 07/24/23 (e)(f)

   65,000    65,858 

Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter)
3.88%, 01/24/39 (e)(f)

   39,000    42,529 

Citigroup Inc. (5.88% fixed rate until 03/27/20; 4.06% + 3 month USD LIBOR thereafter)
5.88%, 12/29/49 (e)(f)

   289,000    291,780 

CMS Energy Corp.
4.88%, 03/01/44 (e)

   53,000    64,066 

CNA Financial Corp.

    

3.45%, 08/15/27 (e)

   37,000    38,388 

3.90%, 05/01/29 (e)

   85,000    91,164 

CNOOC Nexen Finance 2014 ULC
4.25%, 04/30/24 (e)

   233,000    249,508 

Comcast Corp.

    

3.20%, 07/15/36 (e)

   27,000    27,527 

3.97%, 11/01/47 (e)

   93,000    102,391 

4.15%, 10/15/28 (e)

   54,000    60,525 

4.25%, 10/15/30 (e)

   49,000    55,716 

4.60%, 08/15/45 (e)

   8,000    9,564 

4.70%, 10/15/48 (e)

   24,000    29,380 
   Principal
Amount ($)
   Fair
Value
$
 

CommonSpirit Health
4.35%, 11/01/42 (e)

   129,000    135,762 

Conagra Brands Inc.

    

5.30%, 11/01/38 (e)

   14,000    16,222 

5.40%, 11/01/48 (e)

   12,000    14,199 

Concho Resources Inc.

    

3.75%, 10/01/27 (e)

   10,000    10,393 

4.30%, 08/15/28 (e)

   47,000    50,645 

4.88%, 10/01/47 (e)

   9,000    10,259 

ConocoPhillips Co.
4.30%, 11/15/44 (e)

   27,000    31,271 

Consolidated Edison Company of New York Inc.

    

2.90%, 12/01/26 (e)

   29,000    29,695 

3.88%, 06/15/47 (e)

   40,000    43,648 

Constellation Brands Inc.

    

3.15%, 08/01/29 (e)

   88,000    89,945 

3.70%, 12/06/26 (e)

   49,000    51,912 

4.50%, 05/09/47 (e)

   23,000    25,963 

Continental Resources Inc.
4.50%, 04/15/23 (e)

   122,000    126,701 

Corning Inc.
4.38%, 11/15/57 (e)

   24,000    24,763 

Crown Castle International Corp.
5.20%, 02/15/49 (e)

   44,000    54,800 

CSX Corp.
4.50%, 03/15/49 - 08/01/54 (e)

   84,000    96,918 

CubeSmart LP
4.38%, 02/15/29 (e)

   94,000    103,113 

CVS Health Corp.

    

2.63%, 08/15/24 (e)

   100,000    100,432 

3.00%, 08/15/26 (e)

   50,000    50,284 

3.25%, 08/15/29 (e)

   25,000    25,119 

3.35%, 03/09/21 (e)

   11,000    11,178 

3.70%, 03/09/23 (e)

   83,000    86,427 

3.88%, 07/20/25 (e)

   13,000    13,755 

4.10%, 03/25/25 (e)

   31,000    33,112 

4.30%, 03/25/28 (e)

   19,000    20,534 

4.78%, 03/25/38 (e)

   30,000    33,049 

5.00%, 12/01/24 (e)

   28,000    30,873 

5.05%, 03/25/48 (e)

   29,000    32,983 

5.13%, 07/20/45 (e)

   11,000    12,480 

Dell International LLC/EMC Corp.

    

4.00%, 07/15/24 (e)(k)

   34,000    35,573 

4.42%, 06/15/21 (e)(k)

   140,000    144,414 

5.30%, 10/01/29 (e)(k)

   26,000    28,348 

5.45%, 06/15/23 (e)(k)

   119,000    129,521 

6.02%, 06/15/26 (e)(k)

   13,000    14,628 

8.10%, 07/15/36 (e)(k)

   3,000    3,824 

8.35%, 07/15/46 (e)(k)

   33,000    43,566 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

44 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Devon Energy Corp.
5.00%, 06/15/45 (e)

   14,000    16,219 

Diamondback Energy Inc.
4.75%, 11/01/24 (e)

   175,000    179,378 

Digital Realty Trust LP
3.60%, 07/01/29 (e)

   45,000    46,763 

Discovery Communications LLC

    

2.95%, 03/20/23 (e)

   123,000    125,015 

3.95%, 03/20/28 (e)

   55,000    57,315 

4.95%, 05/15/42 (e)

   5,000    5,241 

5.00%, 09/20/37 (e)

   9,000    9,656 

Dollar Tree Inc.

    

4.00%, 05/15/25 (e)

   51,000    54,015 

4.20%, 05/15/28 (e)

   2,000    2,150 

Dominion Energy Inc.
3.07%, 08/15/24 (j)(e)

   26,000    26,644 

DPL Inc.
4.35%, 04/15/29 (e)(k)

   33,000    32,501 

DTE Energy Co.

    

2.85%, 10/01/26 (e)

   29,000    29,532 

3.85%, 12/01/23 (e)

   15,000    15,793 

Duke Energy Carolinas LLC
3.95%, 03/15/48 (e)

   17,000    19,102 

Duke Energy Corp.

    

1.80%, 09/01/21 (e)

   34,000    33,839 

3.75%, 09/01/46 (e)

   11,000    11,384 

Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter)
4.88%, 12/31/99 (e)(f)

   75,000    77,024 

Duke Energy Progress LLC
4.15%, 12/01/44 (e)

   22,000    25,086 

Duke Realty LP
3.38%, 12/15/27 (e)

   37,000    38,577 

DuPont de Nemours Inc.

    

5.32%, 11/15/38 (e)

   9,000    11,003 

5.42%, 11/15/48 (e)

   9,000    11,395 

Duquesne Light Holdings Inc.
3.62%, 08/01/27 (e)(k)

   22,000    22,426 

Eastman Chemical Co.

    

3.50%, 12/01/21 (e)

   27,000    27,598 

3.60%, 08/15/22 (e)

   9,000    9,297 

4.50%, 01/15/21 - 12/01/28 (e)

   75,000    77,961 

Eaton Corp.
3.10%, 09/15/27 (e)

   51,000    53,057 

Ecolab Inc.

    

3.25%, 12/01/27 (e)

   11,000    11,704 

3.95%, 12/01/47 (e)

   17,000    19,455 

Edison International
5.75%, 06/15/27 (e)

   8,000    8,982 

Eli Lilly & Co.

    

3.70%, 03/01/45 (e)

   4,000    4,411 

3.95%, 03/15/49 (e)

   36,000    41,741 
   Principal
Amount ($)
   Fair
Value
$
 

Emera US Finance LP
4.75%, 06/15/46 (e)

   3,000    3,471 

Enbridge Energy Partners LP
5.50%, 09/15/40 (e)

   4,000    4,685 

Energy Transfer Operating LP

    

4.25%, 03/15/23 (e)

   52,000    54,359 

4.50%, 04/15/24 (e)

   49,000    52,258 

4.95%, 06/15/28 (e)

   11,000    12,093 

5.88%, 01/15/24 (e)

   62,000    68,945 

6.13%, 12/15/45 (e)

   6,000    7,049 

6.50%, 02/01/42 (e)

   26,000    31,235 

Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23 (e)

   18,000    19,060 

Entergy Louisiana LLC

    

3.05%, 06/01/31 (e)

   16,000    16,572 

4.00%, 03/15/33 (e)

   17,000    19,341 

Enterprise Products Operating LLC

    

4.20%, 01/31/50 (e)

   152,000    163,221 

4.25%, 02/15/48 (e)

   43,000    46,412 

Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter)
5.25%, 08/16/77 (e)(f)

   13,000    12,859 

EOG Resources Inc.

    

4.15%, 01/15/26 (e)

   6,000    6,635 

5.10%, 01/15/36 (e)

   11,000    13,392 

EPR Properties
4.95%, 04/15/28 (e)

   18,000    19,582 

EQM Midstream Partners LP

    

4.75%, 07/15/23 (e)

   5,000    5,016 

5.50%, 07/15/28 (e)

   5,000    4,964 

ERP Operating LP
4.50%, 07/01/44 (e)

   36,000    43,116 

Exelon Corp.

    

3.50%, 06/01/22 (e)

   30,000    30,781 

4.45%, 04/15/46 (e)

   48,000    54,333 

Express Scripts Holding Co.
3.40%, 03/01/27 (e)

   13,000    13,434 

FedEx Corp.

    

3.10%, 08/05/29 (e)

   81,000    80,508 

4.10%, 02/01/45 (e)

   53,000    52,596 

FirstEnergy Corp.
3.90%, 07/15/27 (e)

   12,000    12,797 

FirstEnergy Transmission LLC
4.55%, 04/01/49 (e)(k)

   80,000    93,685 

Fiserv Inc.

    

3.50%, 07/01/29 (e)

   45,000    47,314 

4.40%, 07/01/49 (e)

   12,000    13,457 

Florida Power & Light Co.
4.13%, 02/01/42 (e)

   73,000    84,678 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  45 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

General Dynamics Corp.

    

2.13%, 08/15/26 (e)

   55,000    54,859 

3.50%, 05/15/25 (e)

   28,000    29,954 

General Mills Inc.

    

3.70%, 10/17/23 (e)

   51,000    53,708 

4.55%, 04/17/38 (e)

   14,000    15,865 

4.70%, 04/17/48 (e)

   4,000    4,677 

General Motors Co.

    

5.20%, 04/01/45 (e)

   4,000    3,946 

5.40%, 04/01/48 (e)

   9,000    9,052 

General Motors Financial Company Inc.

    

3.45%, 01/14/22 - 04/10/22 (e)

   341,000    346,924 

3.55%, 04/09/21 (e)

   204,000    207,038 

5.25%, 03/01/26 (e)

   24,000    25,906 

Georgia-Pacific LLC
3.60%, 03/01/25 (e)(k)

   91,000    96,486 

Gilead Sciences Inc.

    

2.95%, 03/01/27 (e)

   6,000    6,189 

3.50%, 02/01/25 (e)

   13,000    13,740 

3.65%, 03/01/26 (e)

   49,000    52,480 

4.15%, 03/01/47 (e)

   30,000    33,359 

4.80%, 04/01/44 (e)

   11,000    13,168 

GlaxoSmithKline Capital Inc.

    

3.38%, 05/15/23 (e)

   29,000    30,283 

3.63%, 05/15/25 (e)

   28,000    30,057 

GlaxoSmithKline Capital PLC
3.38%, 06/01/29 (e)

   32,000    34,280 

Glencore Funding LLC
4.88%, 03/12/29 (e)(k)

   27,000    29,146 

Grupo Televisa SAB
5.00%, 05/13/45 (e)

   209,000    222,050 

Halliburton Co.

    

3.80%, 11/15/25 (e)

   19,000    20,138 

5.00%, 11/15/45 (e)

   16,000    17,910 

HCA Inc.
4.13%, 06/15/29 (e)

   50,000    52,517 

Hess Corp.

    

5.60%, 02/15/41 (e)

   8,000    8,860 

5.80%, 04/01/47 (e)

   5,000    5,738 

Hewlett Packard Enterprise Co.
6.35%, 10/15/45 (e)

   7,000    8,175 

Highwoods Realty LP

    

4.13%, 03/15/28 (e)

   42,000    44,775 

4.20%, 04/15/29 (e)

   127,000    136,577 

Honeywell International Inc.
2.70%, 08/15/29 (e)

   93,000    96,126 

HSBC Holdings PLC
4.25%, 03/14/24 (e)

   248,000    260,732 
   Principal
Amount ($)
   Fair
Value
$
 

HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 yearMid-Market Swap Rate thereafter)
6.50%, 12/31/99 (e)(f)

   160,000    167,250 

Hyundai Capital America
3.10%, 04/05/22 (e)(k)

   17,000    17,142 

Ingersoll-Rand Luxembourg Finance S.A.

    

3.50%, 03/21/26 (e)

   39,000    40,576 

3.55%, 11/01/24 (e)

   26,000    27,072 

3.80%, 03/21/29 (e)

   64,000    68,161 

Intel Corp.
2.60%, 05/19/26 (e)

   33,000    33,935 

International Business Machines Corp.

    

4.15%, 05/15/39 (e)

   141,000    161,036 

4.25%, 05/15/49 (e)

   141,000    162,639 

International Paper Co.
4.40%, 08/15/47 (e)

   20,000    20,838 

Interstate Power & Light Co.
3.40%, 08/15/25 (e)

   24,000    24,811 

Jabil Inc.
3.95%, 01/12/28 (e)

   24,000    24,214 

John Deere Capital Corp.
2.25%, 09/14/26 (e)

   49,000    48,933 

Johnson & Johnson
3.63%, 03/03/37 (e)

   13,000    14,517 

Johnson Controls International PLC
4.50%, 02/15/47 (e)

   8,000    8,790 

JPMorgan Chase & Co.

    

3.30%, 04/01/26 (e)

   238,000    248,922 

3.63%, 12/01/27 (e)

   45,000    47,355 

JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter)
3.88%, 07/24/38 (e)(f)

   110,000    120,633 

JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter)
3.90%, 01/23/49 (e)(f)

   120,000    133,033 

JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter)
3.96%, 01/29/27 (e)(f)

   152,000    164,268 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

46 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter)
4.01%, 04/23/29 (e)(f)

   76,000    83,047 

JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter)
6.10%, 10/29/49 (e)(f)

   170,000    184,302 

Keurig Dr Pepper Inc.

    

3.55%, 05/25/21

   250,000    255,367 

4.06%, 05/25/23 (e)

   55,000    58,170 

4.50%, 11/15/45 (e)

   12,000    12,957 

4.60%, 05/25/28 (e)

   19,000    21,293 

Kinder Morgan Energy Partners LP

    

3.50%, 03/01/21 (e)

   238,000    241,741 

4.70%, 11/01/42 (e)

   5,000    5,291 

5.30%, 09/15/20 (e)

   20,000    20,578 

6.38%, 03/01/41 (e)

   13,000    16,214 

Kinder Morgan Inc.

    

4.30%, 03/01/28 (e)

   15,000    16,279 

5.05%, 02/15/46 (e)

   13,000    14,426 

5.55%, 06/01/45 (e)

   11,000    12,955 

Kraft Heinz Foods Co.
4.38%, 06/01/46 (e)

   26,000    24,663 

L3Harris Technologies Inc.
3.85%, 12/15/26 (e)(k)

   94,000    100,981 

Lam Research Corp.
4.00%, 03/15/29 (e)

   38,000    41,936 

Lear Corp.

    

4.25%, 05/15/29 (e)

   34,000    34,998 

5.25%, 05/15/49 (e)

   15,000    15,380 

Liberty Property LP
4.38%, 02/01/29 (e)

   24,000    26,791 

Lincoln National Corp.

    

3.63%, 12/12/26 (e)

   32,000    33,668 

4.35%, 03/01/48 (e)

   104,000    113,082 

Lockheed Martin Corp.

    

3.55%, 01/15/26 (e)

   9,000    9,655 

3.80%, 03/01/45 (e)

   18,000    20,060 

4.50%, 05/15/36 (e)

   27,000    32,183 

Lowe’s Companies Inc.

    

3.65%, 04/05/29 (e)

   54,000    57,725 

3.70%, 04/15/46 (e)

   14,000    14,093 

4.05%, 05/03/47 (e)

   12,000    12,777 

4.55%, 04/05/49 (e)

   31,000    35,753 

LYB International Finance BV
4.88%, 03/15/44 (e)

   7,000    7,644 

LYB International Finance II BV
3.50%, 03/02/27 (e)

   9,000    9,271 
   Principal
Amount ($)
   Fair
Value
$
 

Marathon Oil Corp.

    

2.70%, 06/01/20 (e)

   43,000    43,165 

3.85%, 06/01/25 (e)

   14,000    14,558 

Marsh & McLennan Companies Inc.

    

3.50%, 03/10/25 (e)

   71,000    75,015 

4.90%, 03/15/49 (e)

   156,000    195,025 

Masco Corp.
3.50%, 11/15/27 (e)

   7,000    7,146 

McDonald’s Corp.

    

3.63%, 09/01/49 (e)

   35,000    35,595 

3.70%, 01/30/26 (e)

   9,000    9,658 

3.80%, 04/01/28 (e)

   25,000    27,370 

4.88%, 12/09/45 (e)

   17,000    20,544 

McKesson Corp.
3.65%, 11/30/20 (e)

   213,000    216,308 

Medtronic Inc.
4.63%, 03/15/45 (e)

   4,000    5,137 

Memorial Sloan-Kettering Cancer Center
4.13%, 07/01/52 (e)

   34,000    40,492 

Merck & Company Inc.

    

2.75%, 02/10/25 (e)

   23,000    23,814 

3.40%, 03/07/29 (e)

   53,000    57,459 

4.00%, 03/07/49 (e)

   20,000    23,821 

MetLife Inc.

    

4.05%, 03/01/45 (e)

   13,000    14,491 

4.72%, 12/15/44 (e)

   63,000    75,495 

Micron Technology Inc.
4.19%, 02/15/27 (e)

   38,000    39,048 

Microsoft Corp.

    

2.40%, 08/08/26 (e)

   63,000    64,179 

2.88%, 02/06/24

   150,000    156,318 

3.45%, 08/08/36 (e)

   18,000    19,839 

3.50%, 02/12/35 (e)

   18,000    19,884 

3.70%, 08/08/46 (e)

   59,000    67,550 

3.95%, 08/08/56 (e)

   37,000    43,772 

4.10%, 02/06/37 (e)

   5,000    5,940 

4.50%, 02/06/57 (e)

   5,000    6,497 

Morgan Stanley

    

2.75%, 05/19/22 (e)

   322,000    326,762 

3.70%, 10/23/24 (e)

   30,000    31,747 

3.95%, 04/23/27 (e)

   183,000    193,477 

4.35%, 09/08/26

   67,000    72,562 

Morgan Stanley (2.72% fixed rate until 07/22/24; 1.15% + SOFR thereafter)
2.72%, 07/22/25 (e)(f)

   97,000    98,131 

Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter)
3.97%, 07/22/38 (e)(f)

   66,000    72,225 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  47 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Morgan Stanley (4.43% fixed rate until 01/23/29; 1.63% + 3 month USD LIBOR thereafter)
4.43%, 01/23/30 (e)(f)

   129,000    144,908 

MPLX LP

    

3.38%, 03/15/23 (e)

   164,000    168,610 

4.50%, 04/15/38 (e)

   16,000    16,589 

5.20%, 12/01/47 (k)

   8,000    8,731 

5.25%, 01/15/25 (k)

   162,000    170,798 

6.25%, 10/15/22 (k)

   48,000    48,826 

MPLX LP 1.10% + 3 month USD LIBOR
3.20%, 09/09/22 (e)(f)

   65,000    65,252 

Mylan Inc.
5.20%, 04/15/48 (e)

   14,000    14,866 

National Retail Properties Inc.
4.00%, 11/15/25 (e)

   82,000    87,847 

Newfield Exploration Co.
5.63%, 07/01/24

   217,000    239,440 

Newmont Goldcorp Corp.

    

2.80%, 10/01/29 (e)

   38,000    37,624 

4.88%, 03/15/42 (e)

   21,000    24,688 

Nexen Inc.
6.40%, 05/15/37 (e)

   69,000    97,862 

NextEra Energy Capital Holdings Inc.
3.25%, 04/01/26 (e)

   39,000    40,469 

NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter)
5.65%, 05/01/79 (e)(f)

   80,000    86,843 

Noble Energy Inc.

    

3.85%, 01/15/28 (e)

   53,000    54,980 

3.90%, 11/15/24 (e)

   16,000    16,762 

4.20%, 10/15/49

   67,000    66,370 

5.05%, 11/15/44 (e)

   4,000    4,352 

Nordstrom Inc.
5.00%, 01/15/44 (e)

   4,000    3,723 

Norfolk Southern Corp.
3.95%, 10/01/42 (e)

   19,000    20,655 

Northrop Grumman Corp.

    

2.55%, 10/15/22 (e)

   64,000    64,834 

3.85%, 04/15/45 (e)

   4,000    4,374 

4.03%, 10/15/47 (e)

   7,000    7,929 

Nucor Corp.
3.95%, 05/01/28 (e)

   26,000    28,387 

Nutrien Ltd.

    

4.00%, 12/15/26 (e)

   16,000    17,112 

4.90%, 06/01/43 (e)

   15,000    16,673 

Occidental Petroleum Corp.

    

2.70%, 08/15/22 (e)

   65,000    65,596 
   Principal
Amount ($)
   Fair
Value
$
 

2.90%, 08/15/24 (e)

   17,000    17,116 

3.50%, 08/15/29 (e)

   60,000    60,824 

4.10%, 02/15/47 (e)

   7,000    6,834 

6.20%, 03/15/40

   14,000    17,000 

Omnicom Group Inc./Omnicom Capital Inc.
3.63%, 05/01/22 (e)

   26,000    26,946 

Oncor Electric Delivery Company LLC
3.80%, 09/30/47 (e)

   16,000    17,900 

Oracle Corp.

    

2.40%, 09/15/23 (e)

   18,000    18,225 

2.65%, 07/15/26 (e)

   28,000    28,552 

3.80%, 11/15/37 (e)

   8,000    8,776 

4.00%, 07/15/46 - 11/15/47 (e)

   47,000    52,575 

4.13%, 05/15/45 (e)

   5,000    5,642 

Oshkosh Corp.
5.38%, 03/01/25 (e)

   22,000    22,852 

Owens Corning
4.40%, 01/30/48 (e)

   18,000    16,579 

PacifiCorp
6.25%, 10/15/37 (e)

   140,000    197,387 

Packaging Corporation of America
3.40%, 12/15/27 (e)

   13,000    13,490 

Parker-Hannifin Corp.
3.25%, 06/14/29 (e)

   26,000    27,094 

PayPal Holdings Inc.

    

2.65%, 10/01/26

   45,000    45,341 

2.85%, 10/01/29

   20,000    20,149 

PepsiCo Inc.

    

2.63%, 07/29/29 (e)

   63,000    64,605 

3.38%, 07/29/49 (e)

   20,000    21,308 

3.45%, 10/06/46 (e)

   18,000    19,342 

Petroleos Mexicanos

    

5.35%, 02/12/28 (e)

   45,000    43,116 

5.63%, 01/23/46 (e)

   72,000    61,479 

6.49%, 01/23/27 (e)(k)

   20,000    20,863 

6.50%, 03/13/27 (e)

   114,000    118,595 

Pfizer Inc.

    

3.45%, 03/15/29 (e)

   35,000    37,921 

3.60%, 09/15/28 (e)

   34,000    37,171 

3.90%, 03/15/39 (e)

   17,000    19,230 

4.13%, 12/15/46 (e)

   10,000    11,659 

4.40%, 05/15/44 (e)

   6,000    7,190 

Philip Morris International Inc.

    

3.38%, 08/15/29 (e)

   69,000    72,332 

4.13%, 03/04/43 (e)

   23,000    24,592 

Phillips 66
3.90%, 03/15/28 (e)

   32,000    34,495 

Phillips 66 Partners LP

    

3.75%, 03/01/28 (e)

   15,000    15,597 

4.68%, 02/15/45 (e)

   16,000    17,179 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

48 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Plains All American Pipeline LP/PAA Finance Corp.

    

3.55%, 12/15/29 (e)

   83,000    81,335 

3.65%, 06/01/22 (e)

   40,000    41,014 

4.70%, 06/15/44 (e)

   12,000    11,693 

PPL Capital Funding Inc.
3.10%, 05/15/26 (e)

   71,000    72,310 

Precision Castparts Corp.
4.38%, 06/15/45 (e)

   17,000    20,173 

Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter)
5.70%, 09/15/48 (e)(f)

   102,000    112,827 

QUALCOMM Inc.

    

2.90%, 05/20/24 (e)

   12,000    12,337 

3.00%, 05/20/22 (e)

   8,000    8,205 

3.25%, 05/20/27 (e)

   4,000    4,178 

4.30%, 05/20/47 (e)

   2,000    2,230 

Realty Income Corp.
3.00%, 01/15/27 (e)

   51,000    52,393 

Rio Tinto Finance USA PLC
4.13%, 08/21/42 (e)

   15,000    17,355 

Rockwell Automation Inc.
4.20%, 03/01/49 (e)

   36,000    42,985 

Rockwell Collins Inc.
3.50%, 03/15/27 (e)

   19,000    20,287 

Rogers Communications Inc.
5.00%, 03/15/44 (e)

   9,000    11,067 

Roper Technologies Inc.
2.95%, 09/15/29 (e)

   95,000    95,477 

RPM International Inc.
3.75%, 03/15/27 (e)

   21,000    21,808 

Ryder System Inc.

    

2.50%, 09/01/24 (e)

   65,000    65,235 

3.65%, 03/18/24 (e)

   26,000    27,332 

Sabine Pass Liquefaction LLC

    

4.20%, 03/15/28 (e)

   14,000    14,827 

5.00%, 03/15/27 (e)

   8,000    8,822 

Schlumberger Holdings Corp.
3.90%, 05/17/28 (e)(k)

   36,000    38,141 

Sempra Energy

    

3.80%, 02/01/38 (e)

   11,000    11,315 

4.00%, 02/01/48 (e)

   26,000    27,506 

Shell International Finance BV

    

2.38%, 08/21/22 (e)

   61,000    61,869 

3.75%, 09/12/46 (e)

   10,000    11,130 

4.13%, 05/11/35 (e)

   15,000    17,296 

Shire Acquisitions Investments Ireland DAC

    

2.88%, 09/23/23 (e)

   2,000    2,040 

3.20%, 09/23/26 (e)

   12,000    12,380 
   Principal
Amount ($)
   Fair
Value
$
 

Simon Property Group LP
3.38%, 06/15/27 (e)

   67,000    70,748 

Smithfield Foods Inc.
2.70%, 01/31/20 (e)(k)

   22,000    21,977 

Southern California Edison Co.

    

2.40%, 02/01/22 (e)

   37,000    37,107 

2.90%, 03/01/21 (e)

   46,000    46,457 

4.00%, 04/01/47 (e)

   57,000    61,098 

4.20%, 03/01/29 (e)

   39,000    43,450 

Southern Company Gas Capital Corp.
4.40%, 05/30/47 (e)

   13,000    14,621 

Southwestern Electric Power Co.
2.75%, 10/01/26 (e)

   23,000    23,108 

Spectra Energy Partners LP

    

3.38%, 10/15/26 (e)

   8,000    8,285 

4.50%, 03/15/45 (e)

   4,000    4,341 

Starbucks Corp.
4.00%, 11/15/28 (e)

   19,000    21,161 

Steel Dynamics Inc.
4.13%, 09/15/25 (e)

   125,000    126,267 

Suncor Energy Inc.
4.00%, 11/15/47 (e)

   5,000    5,348 

Sunoco Logistics Partners Operations LP
5.30%, 04/01/44 (e)

   19,000    20,091 

Syngenta Finance N.V.

    

3.93%, 04/23/21 (e)(k)

   275,000    279,958 

4.44%, 04/24/23 (e)(k)

   200,000    208,908 

Sysco Corp.
3.25%, 07/15/27 (e)

   19,000    19,919 

Tampa Electric Co.
4.35%, 05/15/44 (e)

   44,000    51,139 

Target Corp.

    

2.50%, 04/15/26 (e)

   24,000    24,385 

3.38%, 04/15/29 (e)

   80,000    86,166 

Teck Resources Ltd.
5.40%, 02/01/43 (e)

   45,000    45,858 

Texas Instruments Inc.
3.88%, 03/15/39 (e)

   23,000    26,578 

The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter)
5.75%, 08/15/53 (e)(f)

   40,000    42,682 

The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter)
4.63%, 12/29/49 (e)(f)

   86,000    87,386 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  49 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter)
4.65%, 12/31/99 (e)(f)

   109,000    108,503 

The Boeing Co.

    

2.70%, 02/01/27 (e)

   58,000    59,115 

2.95%, 02/01/30 (e)

   33,000    34,007 

3.25%, 03/01/28 (e)

   18,000    18,935 

3.55%, 03/01/38 (e)

   19,000    20,103 

3.75%, 02/01/50 (e)

   39,000    42,192 

The Cleveland Electric Illuminating Co.
4.55%, 11/15/30 (e)(k)

   71,000    80,225 

The Dow Chemical Co.

    

4.25%, 10/01/34 (e)

   26,000    27,551 

5.55%, 11/30/48 (e)(k)

   16,000    19,428 

The George Washington University
4.13%, 09/15/48 (e)

   84,000    99,725 

The Goldman Sachs Group Inc.

    

3.50%, 11/16/26 (e)

   171,000    177,818 

3.85%, 01/26/27 (e)

   114,000    120,811 

4.25%, 10/21/25 (e)

   4,000    4,286 

5.15%, 05/22/45 (e)

   71,000    84,284 

The Goldman Sachs Group Inc. (3.81% fixed rate until
04/23/28; 1.16% + 3 month
USD LIBOR thereafter)
3.81%, 04/23/29 (e)(f)

   116,000    122,988 

The Goldman Sachs Group Inc. (4.02% fixed rate until
10/31/37; 1.37% + 3 month
USD LIBOR thereafter)
4.02%, 10/31/38 (e)(f)

   50,000    53,773 

The Hartford Financial Services Group Inc.
2.80%, 08/19/29 (e)

   65,000    64,952 

The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR
4.28%, 02/12/47 (e)(f)(k)

   95,000    80,778 

The Home Depot Inc.

    

3.50%, 09/15/56 (e)

   21,000    22,344 

3.90%, 12/06/28 - 06/15/47 (e)

   74,000    83,800 

4.50%, 12/06/48 (e)

   38,000    47,422 

The Interpublic Group of Companies Inc.
3.75%, 10/01/21 (e)

   139,000    142,647 

The Kroger Co.

    

2.95%, 11/01/21 (e)

   43,000    43,665 

4.65%, 01/15/48 (e)

   12,000    12,750 
   Principal
Amount ($)
   Fair
Value
$
 

The Mosaic Co.
5.63%, 11/15/43 (e)

   4,000    4,411 

The Sherwin-Williams Co.

    

2.75%, 06/01/22 (e)

   5,000    5,069 

3.45%, 06/01/27 (e)

   7,000    7,313 

4.50%, 06/01/47 (e)

   6,000    6,727 

The Southern Co.

    

3.25%, 07/01/26 (e)

   8,000    8,245 

4.40%, 07/01/46 (e)

   5,000    5,559 

The Walt Disney Co.

    

3.38%, 11/15/26 (e)(k)

   7,000    7,522 

4.00%, 10/01/23 (e)(k)

   358,000    383,604 

4.75%, 11/15/46 (e)(k)

   5,000    6,528 

6.65%, 11/15/37 (e)(k)

   31,000    46,655 

The Williams Companies Inc.

    

3.75%, 06/15/27 (e)

   6,000    6,197 

3.90%, 01/15/25 (e)

   8,000    8,391 

4.85%, 03/01/48 (e)

   15,000    16,087 

4.90%, 01/15/45 (e)

   8,000    8,514 

5.40%, 03/04/44 (e)

   4,000    4,471 

Time Warner Cable LLC

    

4.50%, 09/15/42 (e)

   4,000    3,922 

6.55%, 05/01/37 (e)

   17,000    20,331 

Total Capital International S.A.
3.46%, 02/19/29 (e)

   54,000    58,404 

TransCanada PipeLines Ltd.

    

4.25%, 05/15/28 (e)

   39,000    43,104 

4.88%, 01/15/26 (e)

   7,000    7,852 

Transcontinental Gas Pipe Line Company LLC
4.00%, 03/15/28 (e)

   16,000    16,999 

TWDC Enterprises 18 Corp.
4.13%, 06/01/44 (e)

   5,000    6,015 

Tyco Electronics Group S.A.
3.13%, 08/15/27 (e)

   28,000    28,718 

Tyson Foods Inc.

    

4.00%, 03/01/26 (e)

   79,000    85,528 

4.55%, 06/02/47 (e)

   4,000    4,488 

UDR Inc.
3.00%, 08/15/31 (e)

   25,000    25,066 

Union Pacific Corp.

    

3.50%, 06/08/23 (e)

   31,000    32,434 

3.60%, 09/15/37 (e)

   6,000    6,331 

3.70%, 03/01/29 (e)

   80,000    87,136 

4.10%, 09/15/67 (e)

   21,000    22,203 

4.30%, 03/01/49 (e)

   26,000    30,217 

United Technologies Corp.

    

3.13%, 05/04/27 (e)

   43,000    45,152 

3.65%, 08/16/23 (e)

   34,000    35,975 

3.95%, 08/16/25 (e)

   14,000    15,330 

4.13%, 11/16/28 (e)

   6,000    6,787 

4.15%, 05/15/45 (e)

   18,000    20,694 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

50 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

4.45%, 11/16/38 (e)

   14,000    16,708 

4.50%, 06/01/42 (e)

   12,000    14,366 

UnitedHealth Group Inc.

    

4.45%, 12/15/48 (e)

   58,000    68,734 

4.75%, 07/15/45 (e)

   9,000    10,946 

Unum Group
4.50%, 12/15/49 (e)

   30,000    29,067 

Vale S.A.
5.63%, 09/11/42 (e)

   19,000    21,375 

Valero Energy Corp.
4.00%, 04/01/29 (e)

   67,000    71,278 

Valero Energy Partners LP
4.38%, 12/15/26 (e)

   35,000    38,091 

Ventas Realty LP
3.25%, 10/15/26 (e)

   88,000    90,112 

Verizon Communications Inc.

    

2.45%, 11/01/22

   350,000    354,491 

3.38%, 02/15/25 (e)

   24,000    25,321 

3.88%, 02/08/29 (e)

   19,000    20,864 

4.33%, 09/21/28 (e)

   26,000    29,461 

4.40%, 11/01/34 (e)

   64,000    73,059 

4.52%, 09/15/48 (e)

   18,000    21,181 

4.67%, 03/15/55 (e)

   33,000    39,551 

5.01%, 04/15/49 (e)

   23,000    28,836 

5.25%, 03/16/37 (e)

   16,000    19,885 

Viacom Inc.

    

3.45%, 10/04/26 (e)

   19,000    19,398 

4.38%, 03/15/43 (e)

   41,000    42,324 

5.25%, 04/01/44 (e)

   4,000    4,562 

Virginia Electric & Power Co.
4.00%, 11/15/46 (e)

   42,000    46,884 

Visa Inc.

    

3.15%, 12/14/25 (e)

  ��6,000    6,396 

4.30%, 12/14/45 (e)

   24,000    29,718 

Vodafone Group PLC

    

4.38%, 05/30/28 (e)

   48,000    53,037 

5.25%, 05/30/48 (e)

   22,000    25,462 

Vornado Realty LP
3.50%, 01/15/25 (e)

   14,000    14,424 

Vulcan Materials Co.
3.90%, 04/01/27 (e)

   14,000    14,670 

Walgreen Co.
4.40%, 09/15/42 (e)

   11,000    11,013 

Walmart Inc.

    

3.63%, 12/15/47 (e)

   14,000    15,667 

3.70%, 06/26/28 (e)

   29,000    32,167 

3.95%, 06/28/38 (e)

   29,000    33,904 

4.05%, 06/29/48 (e)

   43,000    51,659 

WEC Energy Group Inc.
3.55%, 06/15/25 (e)

   30,000    31,915 

Wells Fargo & Co.

    

3.90%, 05/01/45 (e)

   5,000    5,628 
   Principal
Amount ($)
   Fair
Value
$
 

4.15%, 01/24/29 (e)

   57,000    63,226 

4.75%, 12/07/46 (e)

   71,000    83,662 

Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter)
3.20%, 06/17/27 (e)(f)

   217,000    224,135 

Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter)
5.88%, 12/29/49 (e)(f)

   127,000    139,866 

Wells Fargo & Co. 3.77% + 3 month USD LIBOR
5.89%, 03/29/49 (e)(f)

   84,000    84,961 

Western Midstream Operating LP

    

4.00%, 07/01/22 (e)

   43,000    43,510 

5.38%, 06/01/21 (e)

   49,000    50,507 

Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + USD 5 yearMid-Market Swap Rate thereafter)
4.11%, 07/24/34 (e)(f)

   32,000    33,396 

Willis North America Inc.
3.60%, 05/15/24 (e)

   75,000    78,110 

WPP Finance 2010
3.75%, 09/19/24

   19,000    19,727 

WRKCo Inc.
3.00%, 09/15/24

   19,000    19,361 

Xilinx Inc.
2.95%, 06/01/24

   15,000    15,409 

Zoetis Inc.

    

3.00%, 09/12/27

   7,000    7,181 

3.90%, 08/20/28

   21,000    23,094 
    

 

 

 
     31,100,610 
    

 

 

 

Non-Agency Collateralized Mortgage Obligations - 3.0%

 

CD2019-CD8 Mortgage Trust
2.91%, 08/15/57 (e)

   827,000    853,262 

Citigroup Commercial Mortgage Trust2016-P6
3.72%, 12/10/49 (e)(f)

   268,803    293,266 

GS Mortgage Securities Trust 2012-GCJ9
2.11%, 11/10/45 (e)(f)(h)

   709,990    35,778 

GS Mortgage Securities Trust2016-GS3
2.85%, 10/10/49 (e)

   379,000    391,657 

JP Morgan Chase Commercial Mortgage Securities Corp.2012-LC9
1.66%, 12/15/47 (e)(f)(h)

   714,220    27,661 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  51 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

   Principal
Amount ($)
   Fair
Value
$
 
    

JPMBB Commercial Mortgage Securities Trust2015-C32
4.82%, 11/15/48 (e)(f)

   494,000    528,072 

LB-UBS Commercial Mortgage Trust2004-C8
0.31%, 12/15/39 (e)(f)(h)(k)

   36,403    1 

MASTR Alternative Loan Trust2003-5
5.00%, 08/25/18 (e)(h)

   1,114    29 

Morgan Stanley Bank of America Merrill Lynch Trust2015-C21
1.04%, 03/15/48 (e)(f)(h)

   3,691,531    139,270 

Morgan Stanley Capital I Trust 2006-IQ11
6.39%, 10/15/42 (e)(f)

   270,000    272,461 

UBS Commercial Mortgage Trust2018-C12
4.79%, 08/15/51 (e)(f)

   189,000    216,362 

Wells Fargo Commercial Mortgage Trust2015-C26
1.36%, 02/15/48 (e)(f)(h)

   2,949,770    148,523 

WFRBS Commercial Mortgage Trust 2014-LC14
4.35%, 03/15/47 (e)(f)

   544,000    585,527 
    

 

 

 
     3,491,869 
    

 

 

 

Sovereign Bonds - 0.5%

    

Government of Mexico
4.60%, 02/10/48 (e)

   202,000    216,409 

Government of Peru
5.63%, 11/18/50 (e)

   113,000    165,685 

Government of Uruguay
5.10%, 06/18/50 (e)

   117,568    139,988 
    

 

 

 
     522,082 
    

 

 

 

Municipal Bonds and Notes - 0.5%

 

American Municipal Power Inc.
6.27%, 02/15/50 (e)

   105,000    144,714 

Commonwealth of Massachusetts
2.90%, 09/01/49 (e)

   25,000    24,363 

State of California
4.60%, 04/01/38 (e)

   165,000    183,850 

State of Illinois
5.10%, 06/01/33 (e)

   100,000    108,314 

The University of Texas System
3.35%, 08/15/47 (e)

   95,000    103,221 
    

 

 

 
     564,462 
    

 

 

 
Total Bonds and Notes
(Cost $108,668,089)
     112,460,467 
    

 

 

 
   

Principal
Amount ($)

or Shares

   Fair
Value
$
 
Domestic Equity - 0.2%    

Preferred Stock - 0.2%

    

Wells Fargo & Co.
3.09% + 3 month USD LIBOR
(Cost $214,450) (e)(f)

   8,578    226,631 
    

 

 

 
Total Investments in Securities
(Cost $108,882,539)

 

   112,687,098 
    

 

 

 
Short-Term Investments - 41.5%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92%
(Cost $47,836,549) (c)(d)(e)

   47,836,549    47,836,549 
    

 

 

 
Total Investments
(Cost $156,719,088)
     160,523,647 
Liabilities in Excess of Other Assets,net - (39.5)%

 

   (45,348,530
    

 

 

 
NET ASSETS - 100.0%

 

   115,175,117 
    

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

52 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

 

Other Information:

Centrally Cleared Credit Default Swaps

 

Reference
Entity
 Counterparty Notional
Amount
(000s omitted)
  Contract
Annual
Fixed Rate/
Payment
Frequency
  Termination
Date
  Market
Value
  Unamortized
Upfront
Payments
Received
   Unrealized
Appreciation/
Depreciation
 

Buy Protection

 

Markit CDX North America Investment Grade Index

 Intercontinental Exchange $2,355   1.00%/Quarterly   06/20/24  $(49,627 $(41,169  $(8,458

Sell Protection

 

Markit CDX North America
High Yield Index

 Intercontinental Exchange $3,130   5.00%/Quarterly   06/20/24  $220,838  $187,844   $32,994 
        

 

 

 
  $24,536 
        

 

 

 

Centrally Cleared Interest Rate Swaps

 

Counterparty Notional
Amount
(000s
omitted)
  Fund
Pays/Receives
Fixed
Rate/Payment
Frequency
 Floating Rate Contract
Annual
Fixed
Rate
  Termination
Date
  Market
Value
  Unamortized
Upfront
Payments
Received
  Unrealized
Depreciation
 

CME Group, Inc.

 $9,488  Pays/
Quarterly
 

3 Month U.S. Dollar LIBOR

  3.06%   11/19/21  $(285,729 $  $(285,729
        

 

 

 

The Fund had the following long futures contracts open at September 30, 2019:

 

Description  Expiration
date
   Number
of
Contracts
   Notional
Amount
   Value   Unrealized
Depreciation
 

Ultra Long-Term U.S. Treasury Bond Futures

   December 2019    2   $387,270   $383,813   $(3,457

2 Yr. U.S. Treasury Notes Futures

   December 2019    79    17,072,742    17,024,500    (48,242

5 Yr. U.S. Treasury Notes Futures

   December 2019    23    2,757,708    2,740,414    (17,294

10 Yr. U.S. Treasury Notes Futures

   December 2019    7    917,308    912,187    (5,121
          

 

 

 
  $(74,114
          

 

 

 

The Fund had the following short futures contracts open at September 30, 2019:

 

Description  Expiration
date
   Number
of
Contracts
   Notional
Amount
   Value   Unrealized
Appreciation
 

U.S. Long Bond Futures

   December 2019    4   $(657,242  $(649,250  $7,992 

10 Yr. U.S. Treasury Ultra Futures

   December 2019    36    (5,182,754   (5,126,625   56,129 
          

 

 

 
  $64,121 
          

 

 

 
  $(9,993
          

 

 

 

 

   

Purchased

Put

Options

  

Purchased

Call

Options

  

Written

Put

Options

  Written
Call
Options
  

Long

Futures

Contracts

  

Short

Futures

Contracts

  

Credit

Default

Swap

Contracts

  

Interest

Rate

Swap

Contracts

 

Average Notional Value

 $3,438  $8,380  $344  $963  $61,686,603  $12,434,204  $5,000,581  $16,785,468 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  53 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — September 30, 2019

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:

 

Fund  Investments Level 1  Level 2  Level 3   Total 
State Street Active Core Bond Fund  

Investments in Securities

     
  

U.S. Treasuries

 $  $27,778,553  $            —   $27,778,553 
  

Agency Mortgage Backed

     44,598,536       44,598,536 
  

Agency Collateralized Mortgage Obligations

     1,387,394       1,387,394 
  

Asset Backed

     3,016,961       3,016,961 
  

Corporate Notes

     31,100,610       31,100,610 
  

Non-Agency Collateralized Mortgage Obligations

     3,491,869       3,491,869 
  

Sovereign Bonds

     522,082       522,082 
  

Municipal Bonds and Notes

     564,462       564,462 
  

Preferred Stock

  226,631          226,631 
  

Short-Term Investments

  47,836,549          47,836,549 
   

 

 

  

 

 

  

 

 

   

 

 

 
  

Total Investments in Securities

 $48,063,180  $112,460,467  $   $160,523,647 
   

 

 

  

 

 

  

 

 

   

 

 

 
  

Other Financial Instruments

     
  

Credit Default Swap Contracts - Unrealized Appreciation

 $  $32,994  $   $32,994 
  

Credit Default Swap Contracts - Unrealized Depreciation

     (8,458      (8,458
  

Interest Rate Swaps - Unrealized Appreciation

     (285,729      (285,729
  

Long Futures Contracts - Unrealized Depreciation

  (74,114         (74,114
  

Short Futures Contracts - Unrealized Appreciation

  64,121          64,121 
   

 

 

  

 

 

  

 

 

   

 

 

 
  

Total Other Financial Instruments

 $(9,993 $(261,193 $   $(271,186
   

 

 

  

 

 

  

 

 

   

 

 

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
9/30/19
  Value at
9/30/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  13,336,330  $13,336,330  $242,137,764  $207,637,545  $  $   47,836,549  $47,836,549  $884,729 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

54 State Street Active Core Bond Fund


Table of Contents

State Street Institutional Funds

Notes to Schedule of Investments, continued — September 30, 2019

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Fund’s summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

Non-income producing security.

(b)

At September 30, 2019, all or a portion of this security was pledged to cover collateral requirements for futures.

(c)

Coupon amount represents effective yield.

(d)

Sponsored by SSGA Funds Management, Inc., the Funds’ investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Funds’sub-administrator, custodian and accounting agent.

(e)

At September 30, 2019, all or a portion of this security was pledged to cover collateral requirements for futures, options, swaps and/or TBAs.

(f)

Variable Rate Security - Interest rate shown is rate in effect at September 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.

(g)

Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future.

(h)

Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.

(i)

Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder.

(j)

Step coupon bond.

(k)

Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2019, these securities amounted to $3,257,660 or 2.83% of the net assets of the State Street Active Core Bond Fund. These securities have been determined to be liquid using procedures established by the Fund’s Board of Trustees.

Percentages are based on net assets as of September 30, 2019.

*

Less than 0.05%.

**

Less than $0.50.

Abbreviations:

ADR - American Depositary Receipt

CMT - Constant Maturity Treasury

LIBOR - London Interbank Offered Rate

REIT - Real Estate Investment Trust

REMIC - Real Estate Mortgage Investment Conduit

SOFR - Secured Overnight Financing Rate

STRIPS - Separate Trading of Registered Interest and Principal of Security

TBA - To Be Announced

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional Funds  55 


Table of Contents

State Street Institutional U.S. Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

  Investment Class 
   9/30/19   9/30/18   9/30/17   9/30/16   9/30/15** 
Inception date        11/25/97 

Net asset value, beginning of period

 $13.74   $14.95   $13.50   $14.46   $17.32 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.15   0.16   0.18   0.21   0.21

Net realized and unrealized gains/(losses) on investments

  0.05   1.95   2.16   1.52   (0.65)* 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income/(loss) from investment operations

  0.20    2.11    2.34    1.73    (0.44
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

 

Net investment income

  0.18    0.21    0.21    0.24    0.25 

Net realized gains

  1.46    3.11    0.68    2.45    2.17 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

  1.64    3.32    0.89    2.69    2.42 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

 $12.30   $13.74   $14.95   $13.50   $14.46 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(a)

  4.43   16.72   18.29   13.29   (3.57)% 

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $419,296   $522,658   $461,828   $603,060   $615,024 

Ratios to average net assets:

 

Net expenses

  0.38   0.37   0.37   0.37   0.37

Gross expenses

  0.38   0.37   0.37   0.37   0.37

Net investment income

  1.29   1.21   1.29   1.61   1.32

Portfolio turnover rate

  35   48   80   43   41
  Service Class 
   9/30/19   9/30/18   9/30/17   9/30/16   9/30/15** 
Inception date        1/3/01 

Net asset value, beginning of period

 $14.70   $15.77   $14.18   $15.06   $17.95 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.14   0.14   0.15   0.19   0.18

Net realized and unrealized gains/(losses) on investments

  0.09   2.08   2.29   1.58   (0.69)* 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income/(loss) from investment operations

  0.23    2.22    2.44    1.77    (0.51
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

 

Net investment income

  0.15    0.18    0.17    0.20    0.21 

Net realized gains

  1.46    3.11    0.68    2.45    2.17 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

  1.61    3.29    0.85    2.65    2.38 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

 $13.32   $14.70   $15.77   $14.18   $15.06 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(a)

  4.23   16.35   18.07   12.96   (3.83)% 

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $48   $104   $95   $95   $104 

Ratios to average net assets:

 

Net expenses

  0.63   0.62   0.62   0.62   0.62

Gross expenses

  0.63   0.62   0.62   0.62   0.62

Net investment income

  1.06   0.95   1.04   1.35   1.07

Portfolio turnover rate

  35   48   80   43   41

 

See Notes to Financial Highlights and Notes to Financial Statements

 

56 Financial Highlights


Table of Contents

State Street Institutional Premier Growth Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

  Investment Class 
   9/30/19   9/30/18   9/30/17   9/30/16   9/30/15** 
Inception date        10/29/99 

Net asset value, beginning of period

 $17.49   $15.69   $14.23   $13.61   $14.96 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.09   0.11   0.13   0.13   0.13

Net realized and unrealized gains/(losses) on investments

  (0.03)*    2.82   2.60   1.88   (0.11)* 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income from investment operations

  0.06    2.93    2.73    2.01    0.02 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

 

Net investment income

  0.11    0.13    0.12    0.14    0.13 

Net realized gains

  1.93    1.00    1.15    1.25    1.24 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

  2.04    1.13    1.27    1.39    1.37 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

 $15.51   $17.49   $15.69   $14.23   $13.61 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(a)

  3.57   19.64   21.18   15.25   (0.47)% 

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $192,144   $365,078   $360,416   $325,700   $334,227 

Ratios to average net assets:

 

Net expenses

  0.39   0.38   0.38   0.38   0.38

Gross expenses

  0.39   0.38   0.38   0.38   0.38

Net investment income

  0.59   0.68   0.88   0.95   0.89

Portfolio turnover rate

  27   21   24   21   21
  Service Class 
   9/30/19   9/30/18   9/30/17   9/30/16   9/30/15** 
Inception date        1/3/01 

Net asset value, beginning of period

 $17.24   $15.48   $14.06   $13.46   $14.82 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.05   0.07   0.09   0.09   0.09

Net realized and unrealized gains/(losses) on investments

  (0.02)*    2.78   2.57   1.87   (0.12)* 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total income/(loss) from investment operations

  0.03    2.85    2.66    1.96    (0.03
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

 

Net investment income

  0.07    0.09    0.09    0.11    0.09 

Net realized gains

  1.93    1.00    1.15    1.25    1.24 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

  2.00    1.09    1.24    1.36    1.33 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of period

 $15.27   $17.24   $15.48   $14.06   $13.46 
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return(a)

  3.32   19.37   20.84   14.99   (0.77)% 

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $9,609   $17,298   $16,136   $11,547   $5,820 

Ratios to average net assets:

 

Net expenses

  0.64   0.63   0.63   0.63   0.63

Gross expenses

  0.64   0.63   0.63   0.63   0.63

Net investment income

  0.34   0.43   0.62   0.67   0.61

Portfolio turnover rate

  27   21   24   21   21

 

See Notes to Financial Highlights and Notes to Financial Statements

 

Financial Highlights  57 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

  Investment Class 
   9/30/19  9/30/18  9/30/17   9/30/16  9/30/15** 
Inception date      8/3/98 

Net asset value, beginning of period

 $21.94  $20.79  $17.96   $17.18  $19.32 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.06  0.03  0.05   0.04  0.03

Net realized and unrealized gains/(losses) on investments

  (2.06)*   2.95  3.42   2.79  (0.08)* 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total income/(loss) from investment operations

  (2.00  2.98   3.47    2.83   (0.05
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.04   0.04   0.04    0.03   0.02 

Net realized gains

  2.86   1.79   0.60    2.02   2.07 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total distributions

  2.90   1.83   0.64    2.05   2.09 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Net asset value, end of period

 $17.04  $21.94  $20.79   $17.96  $17.18 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total return(a)

  (6.21)%   15.47  19.65   18.24  (0.90)% 

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $1,255,899  $1,528,575  $1,464,018   $1,298,789  $1,171,984 

Ratios to average net assets:

 

Net expenses

  0.88  0.88  0.88   0.89  0.89

Gross expenses

  0.88  0.88  0.88   0.89  0.89

Net investment income

  0.37  0.14  0.27   0.25  0.17

Portfolio turnover rate

  29  38  34   33  40
  Service Class 
   9/30/19  9/30/18  9/30/17   9/30/16  9/30/15** 
Inception date      9/30/05 

Net asset value, beginning of period

 $21.93  $20.79  $17.98   $17.21  $19.37 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Income/(loss) from investment operations:

 

Net investment income (loss)

  0.02  (0.02)*   0.01   (0.00)*(b)   (0.01)* 

Net realized and unrealized gains/(losses) on investments

  (2.05)*   2.95  3.41   2.80  (0.08)* 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total income/(loss) from investment operations

  (2.03  2.93   3.42    2.80   (0.09
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.02      0.01    0.01    

Net realized gains

  2.86   1.79   0.60    2.02   2.07 
 

 

 

  

 

 

  

 

 

   

 

 

  

 

 

 

Total distributions

  2.88   1.79   0.61    2.03   2.07