UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05430
SSGA 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: | |
Joshua A. Weinberg, Esq. Managing Director and Managing Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02110-2624 |
Registrant’s telephone number, including area code: (617) 664-7037
Date of fiscal year end: August 31
Date of reporting period: August 31, 2018
Item 1. Reports to Stockholders.
State Street S&P 500 Index Fund (formerly, SSGA S&P 500 Index Fund) |
1 | |
4 | |
5 | |
6 | |
7 | |
8 | |
12 | |
13 |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2018 | Average Annual Total Return Five Years Ended August 31, 2018 | Average Annual Total Return Ten Years Ended August 31, 2018 | |||
State Street S&P 500 Index Fund | 19.41% | 14.33% | 10.71% | ||
Standard & Poor’s® 500 Index(1) | 19.66% | 14.52% | 10.86% | ||
(1) | The Standard & Poor’s® 500 Composite Stock Index is composed of 500 common stocks which are chosen by Standard & Poor’s Corporation to best capture the price performance of a large cross-section of the US publicly traded stock market. The Index is structured to approximate the general distribution of industries in the US economy. |
% of Master Portfolio Net Assets | |||
Common Stocks | |||
Information Technology | 26.1% | ||
Health Care | 14.3 | ||
Financials | 13.5 | ||
Consumer Discretionary | 12.7 | ||
Industrials | 9.4 | ||
Consumer Staples | 6.6 | ||
Energy | 5.8 | ||
Utilities | 2.8 | ||
Real Estate | 2.7 | ||
Materials | 2.4 | ||
Telecommunication Services | 1.9 | ||
Short-Term Investments | 1.6 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $1,608,102,360 |
Receivable for fund shares sold | 676,881 |
Prepaid expenses and other assets | 19,632 |
TOTAL ASSETS | 1,608,798,873 |
LIABILITIES | |
Due to custodian | 42,682 |
Payable for fund shares repurchased | 1,545,336 |
Custodian fees payable | 6,940 |
Administration fees payable | 70,696 |
Shareholder servicing fee payable | 32,387 |
Distribution fees payable | 49,930 |
Trustees’ fees and expenses payable | 260 |
Transfer agent fees payable | 34,003 |
Registration and filing fees payable | 1,134 |
Professional fees payable | 30,024 |
Printing and postage fees payable | 37,087 |
Accrued expenses and other liabilities | 910 |
TOTAL LIABILITIES | 1,851,389 |
NET ASSETS | $1,606,947,484 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 580,158,680 |
Undistributed (distribution in excess of) net investment income (loss) | 4,191,070 |
Accumulated net realized gain (loss) on investments and future contracts allocated from affiliated Portfolio | 78,290,496 |
Net unrealized appreciation (depreciation) allocated from affiliated Portfolio on: | |
Investments | 943,112,200 |
Futures contracts | 1,195,038 |
NET ASSETS | $1,606,947,484 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 40.79 |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 39,397,024 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $ 6,263 |
Dividend income allocated from affiliated Portfolio | 30,419,709 |
Unaffiliated securities lending income allocated from affiliated Portfolio | 42,277 |
Affiliated securities lending income allocated from affiliated Portfolio | 119 |
Expenses allocated from affiliated Portfolio | (832,852) |
Foreign taxes withheld allocated from affiliated Portfolio | (124,096) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 29,511,420 |
EXPENSES | |
Administration fees | 798,713 |
Shareholder servicing fees | 383,382 |
Distribution fees | 591,048 |
Custodian fees | 102,966 |
Trustees’ fees and expenses | 18,000 |
Transfer agent fees | 206,047 |
Registration and filing fees | 46,314 |
Professional fees and expenses | 155,552 |
Insurance expense | 16,385 |
Miscellaneous expenses | 9,118 |
TOTAL EXPENSES | 2,327,525 |
Expenses waived/reimbursed by the Adviser | (653,126) |
NET EXPENSES | 1,674,399 |
NET INVESTMENT INCOME (LOSS) | 27,837,021 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) allocated from affiliated Portfolio on: | |
Investments | 157,265,280 |
Futures contracts | 3,858,669 |
Net realized gain (loss) allocated from affiliated Portfolio | 161,123,949 |
Net change in unrealized appreciation/depreciation allocated from affiliated Portfolio on: | |
Investments | 95,975,883 |
Futures contracts | 693,352 |
Net change in unrealized appreciation/depreciation allocated from affiliated Portfolio | 96,669,235 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 257,793,184 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $285,630,205 |
Year Ended 8/31/18 | Year Ended 8/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 27,837,021 | $ 29,294,387 | |
Net realized gain (loss) | 161,123,949 | 88,523,543 | |
Net change in unrealized appreciation/depreciation | 96,669,235 | 109,465,074 | |
Net increase (decrease) in net assets resulting from operations | 285,630,205 | 227,283,004 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net investment income | (32,192,321) | (28,594,164) | |
Net realized gains | (51,589,619) | (102,985,326) | |
Total distributions to shareholders | (83,781,940) | (131,579,490) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 279,733,529 | 272,460,669 | |
Reinvestment of distributions | 82,133,475 | 129,216,041 | |
Cost of shares redeemed | (528,641,085) | (444,454,856) | |
Net increase (decrease) in net assets from beneficial interest transactions | (166,774,081) | (42,778,146) | |
Net increase (decrease) in net assets during the period | 35,074,184 | 52,925,368 | |
Net assets at beginning of period | 1,571,873,300 | 1,518,947,932 | |
NET ASSETS AT END OF PERIOD | $1,606,947,484 | $1,571,873,300 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 4,191,070 | $ 8,853,843 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 7,313,645 | 7,971,017 | |
Reinvestment of distributions | 2,199,312 | 3,889,147 | |
Shares redeemed | (13,796,061) | (13,048,670) | |
Net increase (decrease) | (4,283,104) | (1,188,506) |
Year Ended 8/31/18(a) | Year Ended 8/31/17(a) | Year Ended 8/31/16(a) | Year Ended 8/31/15(a) | Year Ended 8/31/14(a)(b) | |||||
Net asset value, beginning of period | $ 35.99 | $ 33.85 | $ 31.40 | $ 32.23 | $ 26.57 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (c) | 0.66(d)(e) | 0.66(d)(e) | 0.66(d)(e) | 0.61(d) | 0.56 | ||||
Net realized and unrealized gain (loss) | 6.12 | 4.47 | 3.10 | (0.46) | 5.96 | ||||
Total from investment operations | 6.78 | 5.13 | 3.76 | 0.15 | 6.52 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.78) | (0.64) | (0.65) | (0.60) | (0.54) | ||||
Net realized gains | (1.20) | (2.35) | (0.66) | (0.38) | (0.32) | ||||
Total distributions | (1.98) | (2.99) | (1.31) | (0.98) | (0.86) | ||||
Net asset value, end of period | $ 40.79 | $ 35.99 | $ 33.85 | $ 31.40 | $ 32.23 | ||||
Total return (f) | 19.41% | 16.06% | 12.38% | 0.36% | 24.98% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,606,947 | $1,571,873 | $1,518,948 | $1,532,049 | $1,508,573 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.16% | 0.15% | ||||
Net expenses | 0.16%(d)(e) | 0.16%(d)(e) | 0.15%(d)(e) | 0.16%(d) | 0.15% | ||||
Net investment income (loss) | 1.74%(d)(e) | 1.91%(d)(e) | 2.03%(d)(e) | 1.88%(d) | 1.88% | ||||
Portfolio turnover rate (g) | 2% | 3% | 6% | 2% | 2% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(c) | Average daily shares outstanding were used for this calculation. |
(d) | Reflects amounts waived by the administrator. |
(e) | Reflects amounts waived and/or reimbursed by the investment adviser. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(g) | Portfolio turnover rate is from the affiliated Portfolio. |
Fund | Classes | Commencement of Operations: | Diversification Classification: |
State Street S&P 500 Index Fund (formerly, SSGA S&P 500 Index Fund) | Class N | December 30, 1992 | Diversified |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $34,276,794 | $49,505,146 | $83,781,940 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $ 29,924,305 | $ 101,655,185 | $ 131,579,490 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street S&P 500 Index Fund | $6,344,535 | $— | $130,019,929 | $890,424,340 | $— | $1,026,788,804 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street S&P 500 Index Fund | $717,678,020 | $890,424,340 | $— | $890,424,340 |
October 17, 2018
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street S&P 500 Index Fund (b) | 0.16% | $1,078.50 | $0.84 | $1,024.40 | $0.82 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Because the Fund invest all of its assets in the Portfolio, the expense example reflects the net expenses of both the Fund and the Portfolio in which it invests. |
Amount | |
State Street S&P 500 Index Fund | $71,586,368 |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2017, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, as applicable, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2017; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2017; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, securities lending agent, and shareholder servicer for the Fund, with respect to its operations relating to the Fund; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive session of the Board on May 17, 2018; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 54 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1988 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 60 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
William L. Marshall c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1988 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 60 | None. | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1988 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 60 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair of the Governance Committee | Term: Indefinite Elected: 1/14 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 60 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee | Term: Indefinite Elected: 1991 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 54 | None. | |||||
Douglas T. Williams c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 -1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998). | 60 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 60 | None. | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Elected: 1/14 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | 196 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust. | ||||||||||
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President at State Street Global Advisors (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016); Senior Vice President at Citigroup (2008 - 2010); and Vice President at JPMorgan (2005 - 2008). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). | |||
JOSHUA A. WEINBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Managing Director and Managing Counsel, State Street Global Advisors (2011 – present)*; Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's directors and is available, without charge, upon request and by calling 1-800-997-7327. |
Boston, Massachusetts 02210
(800) 997-7327
Michael A. Jessee
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
One Iron Street
Boston, MA 02210
1776 Heritage Drive
North Quincy, Massachusetts 02171
2000 Crown Colony Drive
Quincy, Massachusetts 02169
One Iron Street
Boston, Massachusetts 02210
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111
800 Boylston Street
Boston, MA 02199
200 Clarendon Street
Boston, MA 02116
State Street Equity 500 Index Portfolio |
1 | |
2 | |
9 | |
12 |
% of Net Assets | |||
Common Stocks | 98.2% | ||
Short-Term Investments | 1.6 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 26.1% | ||
Health Care | 14.3 | ||
Financials | 13.5 | ||
Consumer Discretionary | 12.7 | ||
Industrials | 9.4 | ||
TOTAL | 76.0% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.2% | |||||
CONSUMER DISCRETIONARY — 12.7% | |||||
Advance Auto Parts, Inc. | 4,300 | $ 705,329 | |||
Amazon.com, Inc. (a) | 25,802 | 51,931,943 | |||
Aptiv PLC | 16,181 | 1,424,090 | |||
AutoZone, Inc. (a) | 1,588 | 1,217,805 | |||
Best Buy Co., Inc. | 16,013 | 1,273,994 | |||
Booking Holdings, Inc. (a) | 3,108 | 6,065,417 | |||
BorgWarner, Inc. | 13,223 | 578,771 | |||
CarMax, Inc. (a)(b) | 11,997 | 936,366 | |||
Carnival Corp. | 27,049 | 1,663,243 | |||
CBS Corp. Class B | 23,118 | 1,225,716 | |||
Charter Communications, Inc. Class A (a) | 11,800 | 3,662,720 | |||
Chipotle Mexican Grill, Inc. (a) | 1,614 | 766,941 | |||
Comcast Corp. Class A | 292,730 | 10,828,083 | |||
D.R. Horton, Inc. | 22,479 | 1,000,540 | |||
Darden Restaurants, Inc. | 8,117 | 941,897 | |||
Discovery, Inc. Class A (a) | 9,497 | 264,302 | |||
Discovery, Inc. Class C (a) | 20,660 | 529,722 | |||
DISH Network Corp. Class A (a) | 15,100 | 533,785 | |||
Dollar General Corp. | 16,287 | 1,754,599 | |||
Dollar Tree, Inc. (a) | 15,782 | 1,270,609 | |||
Expedia Group, Inc. | 7,923 | 1,033,951 | |||
Foot Locker, Inc. | 8,000 | 394,400 | |||
Ford Motor Co. | 251,860 | 2,387,633 | |||
Gap, Inc. | 15,364 | 466,297 | |||
Garmin, Ltd. | 6,260 | 426,556 | |||
General Motors Co. | 81,477 | 2,937,246 | |||
Genuine Parts Co. | 9,220 | 920,617 | |||
Goodyear Tire & Rubber Co. | 14,413 | 327,031 | |||
H&R Block, Inc. (b) | 12,851 | 347,748 | |||
Hanesbrands, Inc. (b) | 23,400 | 410,436 | |||
Harley-Davidson, Inc. | 10,385 | 442,609 | |||
Hasbro, Inc. | 7,628 | 757,537 | |||
Hilton Worldwide Holdings, Inc. | 18,700 | 1,451,494 | |||
Home Depot, Inc. | 73,710 | 14,798,757 | |||
Interpublic Group of Cos., Inc. | 23,128 | 540,039 | |||
Kohl's Corp. | 11,188 | 885,083 | |||
L Brands, Inc. | 15,246 | 402,952 | |||
Leggett & Platt, Inc. (b) | 9,844 | 447,311 | |||
Lennar Corp. Class A | 18,125 | 936,519 | |||
LKQ Corp. (a) | 20,800 | 718,016 | |||
Lowe's Cos., Inc. | 52,812 | 5,743,305 | |||
Macy's, Inc. | 17,961 | 656,475 | |||
Marriott International, Inc. Class A | 19,052 | 2,409,506 | |||
Mattel, Inc. | 17,143 | 264,516 | |||
McDonald's Corp. | 50,615 | 8,211,271 | |||
MGM Resorts International | 31,800 | 921,882 | |||
Michael Kors Holdings, Ltd. (a) | 8,886 | 645,301 | |||
Mohawk Industries, Inc. (a) | 4,169 | 798,739 | |||
Netflix, Inc. (a) | 28,096 | 10,330,337 | |||
Newell Brands, Inc. (b) | 30,750 | 667,890 | |||
News Corp. Class A | 28,814 | 376,599 |
Security Description | Shares | Value | |||
News Corp. Class B | 7,500 | $ 102,000 | |||
NIKE, Inc. Class B | 82,502 | 6,781,664 | |||
Nordstrom, Inc. (b) | 7,756 | 487,465 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 12,900 | 691,569 | |||
Omnicom Group, Inc. | 14,950 | 1,036,334 | |||
O'Reilly Automotive, Inc. (a) | 5,220 | 1,750,892 | |||
PulteGroup, Inc. | 16,443 | 459,582 | |||
PVH Corp. | 4,751 | 680,153 | |||
Ralph Lauren Corp. | 3,436 | 456,335 | |||
Ross Stores, Inc. | 25,044 | 2,398,714 | |||
Royal Caribbean Cruises, Ltd. | 11,300 | 1,385,154 | |||
Starbucks Corp. | 88,392 | 4,724,552 | |||
Tapestry, Inc. | 19,000 | 963,110 | |||
Target Corp. | 33,744 | 2,952,600 | |||
Tiffany & Co. | 6,581 | 807,160 | |||
TJX Cos., Inc. | 40,275 | 4,429,042 | |||
Tractor Supply Co. | 8,274 | 730,429 | |||
TripAdvisor, Inc. (a) | 7,215 | 391,847 | |||
Twenty-First Century Fox, Inc. Class A | 67,809 | 3,078,529 | |||
Twenty-First Century Fox, Inc. Class B | 28,600 | 1,284,140 | |||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 3,600 | 936,000 | |||
Under Armour, Inc. Class A (a)(b) | 14,376 | 293,989 | |||
Under Armour, Inc. Class C (a)(b) | 14,478 | 274,648 | |||
VF Corp. | 20,128 | 1,854,393 | |||
Viacom, Inc. Class B | 24,341 | 712,704 | |||
Walt Disney Co. | 96,093 | 10,764,338 | |||
Whirlpool Corp. | 4,559 | 569,784 | |||
Wynn Resorts, Ltd. | 5,359 | 794,954 | |||
Yum! Brands, Inc. | 19,790 | 1,719,553 | |||
204,145,559 | |||||
CONSUMER STAPLES — 6.6% | |||||
Altria Group, Inc. | 121,970 | 7,137,684 | |||
Archer-Daniels-Midland Co. | 35,692 | 1,798,877 | |||
British American Tobacco PLC ADR | 1 | 48 | |||
Brown-Forman Corp. Class B | 17,327 | 904,816 | |||
Campbell Soup Co. (b) | 12,083 | 476,674 | |||
Church & Dwight Co., Inc. | 16,200 | 916,596 | |||
Clorox Co. | 8,179 | 1,185,791 | |||
Coca-Cola Co. | 244,222 | 10,884,975 | |||
Colgate-Palmolive Co. | 55,679 | 3,697,642 | |||
Conagra Brands, Inc. | 26,151 | 961,049 | |||
Constellation Brands, Inc. Class A | 10,576 | 2,201,923 | |||
Costco Wholesale Corp. | 28,234 | 6,582,192 | |||
Coty, Inc. Class A (b) | 28,940 | 357,698 | |||
Estee Lauder Cos., Inc. Class A | 14,363 | 2,012,544 | |||
General Mills, Inc. | 37,022 | 1,703,382 | |||
Hershey Co. | 8,615 | 865,980 | |||
Hormel Foods Corp. (b) | 15,998 | 626,322 | |||
J.M. Smucker Co. | 7,355 | 760,360 |
Security Description | Shares | Value | |||
Kellogg Co. (b) | 15,907 | $ 1,141,964 | |||
Kimberly-Clark Corp. | 22,373 | 2,584,976 | |||
Kraft Heinz Co. | 38,351 | 2,234,713 | |||
Kroger Co. | 51,310 | 1,616,265 | |||
McCormick & Co., Inc. | 8,061 | 1,006,658 | |||
Molson Coors Brewing Co. Class B | 11,409 | 761,437 | |||
Mondelez International, Inc. Class A | 94,294 | 4,028,240 | |||
Monster Beverage Corp. (a) | 27,287 | 1,661,506 | |||
PepsiCo, Inc. | 91,638 | 10,264,372 | |||
Philip Morris International, Inc. | 100,287 | 7,811,355 | |||
Procter & Gamble Co. | 160,513 | 13,314,553 | |||
Sysco Corp. | 30,735 | 2,299,593 | |||
Tyson Foods, Inc. Class A | 19,191 | 1,205,387 | |||
Walmart, Inc. | 93,399 | 8,953,228 | |||
Walgreens Boots Alliance, Inc. | 54,813 | 3,757,979 | |||
105,716,779 | |||||
ENERGY — 5.8% | |||||
Anadarko Petroleum Corp. | 32,944 | 2,121,594 | |||
Andeavor | 9,349 | 1,428,434 | |||
Apache Corp. | 24,970 | 1,094,435 | |||
Baker Hughes a GE Co. | 28,094 | 926,259 | |||
Cabot Oil & Gas Corp. | 30,622 | 729,722 | |||
Chevron Corp. | 122,034 | 14,456,148 | |||
Cimarex Energy Co. | 6,042 | 510,428 | |||
Concho Resources, Inc. (a) | 12,300 | 1,686,945 | |||
ConocoPhillips | 75,103 | 5,514,813 | |||
Devon Energy Corp. | 34,550 | 1,483,231 | |||
EOG Resources, Inc. | 37,063 | 4,381,958 | |||
EQT Corp. | 16,243 | 828,718 | |||
Exxon Mobil Corp. | 270,972 | 21,723,825 | |||
Halliburton Co. | 56,167 | 2,240,502 | |||
Helmerich & Payne, Inc. | 7,974 | 522,855 | |||
Hess Corp. | 16,544 | 1,114,073 | |||
HollyFrontier Corp. | 10,400 | 775,008 | |||
Kinder Morgan, Inc. | 117,476 | 2,079,325 | |||
Marathon Oil Corp. | 55,089 | 1,184,964 | |||
Marathon Petroleum Corp. | 29,002 | 2,386,575 | |||
National Oilwell Varco, Inc. | 24,341 | 1,145,731 | |||
Newfield Exploration Co. (a) | 12,385 | 337,863 | |||
Noble Energy, Inc. | 32,895 | 977,639 | |||
Occidental Petroleum Corp. | 49,235 | 3,932,399 | |||
ONEOK, Inc. | 26,304 | 1,733,697 | |||
Phillips 66 | 27,392 | 3,246,226 | |||
Pioneer Natural Resources Co. | 10,924 | 1,908,423 | |||
Schlumberger, Ltd. | 89,093 | 5,627,114 | |||
TechnipFMC PLC | 29,109 | 891,609 | |||
Valero Energy Corp. | 27,686 | 3,263,626 | |||
Williams Cos., Inc. | 76,410 | 2,260,972 | |||
92,515,111 | |||||
FINANCIALS — 13.5% | |||||
Affiliated Managers Group, Inc. | 3,376 | 493,200 | |||
Aflac, Inc. | 49,574 | 2,292,302 | |||
Allstate Corp. | 22,467 | 2,259,506 | |||
American Express Co. | 45,752 | 4,848,797 |
Security Description | Shares | Value | |||
American International Group, Inc. | 57,032 | $ 3,032,391 | |||
Ameriprise Financial, Inc. | 9,463 | 1,343,367 | |||
Aon PLC | 15,682 | 2,282,672 | |||
Arthur J Gallagher & Co. | 12,000 | 865,680 | |||
Assurant, Inc. | 3,946 | 405,728 | |||
Bank of America Corp. | 603,066 | 18,652,831 | |||
Bank of New York Mellon Corp. | 64,491 | 3,363,206 | |||
BB&T Corp. | 50,039 | 2,585,015 | |||
Berkshire Hathaway, Inc. Class B (a) | 123,219 | 25,718,270 | |||
BlackRock, Inc. | 7,918 | 3,793,197 | |||
Brighthouse Financial, Inc. (a) | 7,075 | 293,683 | |||
Capital One Financial Corp. | 31,268 | 3,098,346 | |||
Cboe Global Markets, Inc. | 7,500 | 756,000 | |||
Charles Schwab Corp. | 77,189 | 3,920,429 | |||
Chubb, Ltd. | 29,941 | 4,049,221 | |||
Cincinnati Financial Corp. | 9,205 | 705,747 | |||
Citigroup, Inc. | 162,693 | 11,590,249 | |||
Citizens Financial Group, Inc. | 32,400 | 1,333,584 | |||
CME Group, Inc. | 21,892 | 3,825,189 | |||
Comerica, Inc. | 11,017 | 1,073,937 | |||
Discover Financial Services | 22,277 | 1,740,279 | |||
E*TRADE Financial Corp. (a) | 16,989 | 999,972 | |||
Everest Re Group, Ltd. | 2,700 | 602,154 | |||
Fifth Third Bancorp | 46,254 | 1,361,255 | |||
Franklin Resources, Inc. | 22,151 | 703,073 | |||
Goldman Sachs Group, Inc. | 22,588 | 5,371,652 | |||
Hartford Financial Services Group, Inc. | 22,230 | 1,119,725 | |||
Huntington Bancshares, Inc. | 70,265 | 1,138,996 | |||
Intercontinental Exchange, Inc. | 37,525 | 2,860,531 | |||
Invesco, Ltd. | 28,289 | 681,765 | |||
Jefferies Financial Group, Inc. | 17,509 | 406,559 | |||
JPMorgan Chase & Co. | 217,972 | 24,975,232 | |||
KeyCorp | 64,479 | 1,358,572 | |||
Lincoln National Corp. | 14,310 | 938,450 | |||
Loews Corp. | 16,912 | 850,843 | |||
M&T Bank Corp. | 9,234 | 1,635,803 | |||
Marsh & McLennan Cos., Inc. | 32,534 | 2,753,352 | |||
MetLife, Inc. | 64,526 | 2,961,098 | |||
Moody's Corp. | 11,034 | 1,964,273 | |||
Morgan Stanley | 87,255 | 4,260,662 | |||
MSCI, Inc. | 6,000 | 1,081,560 | |||
Nasdaq, Inc. | 6,925 | 660,922 | |||
Northern Trust Corp. | 13,310 | 1,430,293 | |||
People's United Financial, Inc. | 22,434 | 415,253 | |||
PNC Financial Services Group, Inc. | 29,642 | 4,254,813 | |||
Principal Financial Group, Inc. | 15,726 | 867,918 | |||
Progressive Corp. | 37,852 | 2,556,146 | |||
Prudential Financial, Inc. | 26,937 | 2,646,560 | |||
Raymond James Financial, Inc. | 7,800 | 725,712 | |||
Regions Financial Corp. | 68,043 | 1,324,117 | |||
S&P Global, Inc. | 15,998 | 3,312,386 | |||
State Street Corp. (c) | 24,147 | 2,098,616 | |||
SunTrust Banks, Inc. | 29,782 | 2,190,764 | |||
SVB Financial Group (a) | 3,500 | 1,129,625 |
Security Description | Shares | Value | |||
Synchrony Financial | 47,471 | $ 1,503,407 | |||
T Rowe Price Group, Inc. | 15,120 | 1,752,257 | |||
Torchmark Corp. | 6,384 | 561,281 | |||
Travelers Cos., Inc. | 17,298 | 2,276,417 | |||
Unum Group | 14,124 | 520,893 | |||
US Bancorp | 100,130 | 5,418,034 | |||
Wells Fargo & Co. | 282,646 | 16,529,138 | |||
Willis Towers Watson PLC | 8,379 | 1,233,975 | |||
XL Group, Ltd. | 15,420 | 884,954 | |||
Zions Bancorp | 12,058 | 642,571 | |||
217,284,405 | |||||
HEALTH CARE — 14.3% | |||||
Abbott Laboratories | 112,849 | 7,542,827 | |||
AbbVie, Inc. | 97,863 | 9,392,891 | |||
ABIOMED, Inc. (a) | 2,800 | 1,138,424 | |||
Aetna, Inc. | 21,015 | 4,208,674 | |||
Agilent Technologies, Inc. | 20,275 | 1,369,374 | |||
Alexion Pharmaceuticals, Inc. (a) | 14,427 | 1,763,556 | |||
Align Technology, Inc. (a) | 4,500 | 1,739,205 | |||
Allergan PLC | 21,626 | 4,145,920 | |||
AmerisourceBergen Corp. | 10,552 | 949,363 | |||
Amgen, Inc. | 42,991 | 8,590,032 | |||
Anthem, Inc. | 16,419 | 4,346,602 | |||
Baxter International, Inc. | 31,070 | 2,310,676 | |||
Becton Dickinson and Co. | 17,177 | 4,498,141 | |||
Biogen, Inc. (a) | 13,447 | 4,753,380 | |||
Boston Scientific Corp. (a) | 87,477 | 3,110,682 | |||
Bristol-Myers Squibb Co. | 105,112 | 6,364,532 | |||
Cardinal Health, Inc. | 20,924 | 1,092,024 | |||
Celgene Corp. (a) | 45,065 | 4,256,389 | |||
Centene Corp. (a) | 13,100 | 1,918,888 | |||
Cerner Corp. (a) | 20,963 | 1,364,901 | |||
Cigna Corp. | 15,611 | 2,940,176 | |||
Cooper Cos., Inc. | 3,300 | 844,074 | |||
CVS Health Corp. | 65,327 | 4,915,203 | |||
Danaher Corp. | 39,478 | 4,087,552 | |||
DaVita, Inc. (a) | 9,072 | 628,599 | |||
DENTSPLY SIRONA, Inc. | 14,366 | 573,491 | |||
Edwards Lifesciences Corp. (a) | 13,490 | 1,945,798 | |||
Eli Lilly & Co. | 61,457 | 6,492,932 | |||
Envision Healthcare Corp. (a) | 9,118 | 413,592 | |||
Express Scripts Holding Co. (a) | 36,047 | 3,172,857 | |||
Gilead Sciences, Inc. | 83,646 | 6,334,512 | |||
HCA Healthcare, Inc. | 17,300 | 2,320,103 | |||
Henry Schein, Inc. (a)(b) | 9,700 | 753,496 | |||
Hologic, Inc. (a) | 17,600 | 699,776 | |||
Humana, Inc. | 8,817 | 2,938,353 | |||
IDEXX Laboratories, Inc. (a) | 5,400 | 1,371,816 | |||
Illumina, Inc. (a) | 9,300 | 3,299,919 | |||
Incyte Corp. (a) | 11,900 | 879,529 | |||
Intuitive Surgical, Inc. (a) | 7,256 | 4,063,360 | |||
IQVIA Holdings, Inc. (a) | 10,000 | 1,270,900 | |||
Johnson & Johnson | 171,641 | 23,118,326 | |||
Laboratory Corp. of America Holdings (a) | 6,447 | 1,114,493 | |||
McKesson Corp. | 13,431 | 1,729,241 | |||
Medtronic PLC | 87,304 | 8,416,979 |
Security Description | Shares | Value | |||
Merck & Co., Inc. | 171,598 | $ 11,769,907 | |||
Mettler-Toledo International, Inc. (a) | 1,600 | 935,136 | |||
Mylan NV (a) | 34,707 | 1,358,085 | |||
Nektar Therapeutics (a) | 10,700 | 711,443 | |||
PerkinElmer, Inc. | 7,032 | 649,968 | |||
Perrigo Co. PLC (b) | 8,714 | 666,708 | |||
Pfizer, Inc. | 373,748 | 15,518,017 | |||
Quest Diagnostics, Inc. | 8,458 | 930,211 | |||
Regeneron Pharmaceuticals, Inc. (a) | 4,758 | 1,935,316 | |||
ResMed, Inc. | 9,500 | 1,058,395 | |||
Stryker Corp. | 20,195 | 3,421,639 | |||
Thermo Fisher Scientific, Inc. | 25,912 | 6,195,559 | |||
UnitedHealth Group, Inc. | 61,922 | 16,623,580 | |||
Universal Health Services, Inc. Class B | 5,300 | 689,848 | |||
Varian Medical Systems, Inc. (a) | 6,031 | 675,593 | |||
Vertex Pharmaceuticals, Inc. (a) | 16,348 | 3,014,571 | |||
Waters Corp. (a) | 5,015 | 950,242 | |||
Zimmer Biomet Holdings, Inc. | 13,427 | 1,659,980 | |||
Zoetis, Inc. | 30,228 | 2,738,657 | |||
230,684,413 | |||||
INDUSTRIALS — 9.4% | |||||
3M Co. | 38,243 | 8,066,214 | |||
Alaska Air Group, Inc. | 6,700 | 452,183 | |||
Allegion PLC | 5,437 | 474,215 | |||
American Airlines Group, Inc. (b) | 28,100 | 1,137,488 | |||
AMETEK, Inc. | 15,701 | 1,208,349 | |||
AO Smith Corp. | 9,700 | 563,376 | |||
Arconic, Inc. | 28,263 | 632,526 | |||
Boeing Co. | 34,924 | 11,971,598 | |||
C.H. Robinson Worldwide, Inc. | 9,582 | 920,639 | |||
Caterpillar, Inc. | 38,355 | 5,325,592 | |||
Cintas Corp. | 5,722 | 1,220,903 | |||
Copart, Inc. (a) | 13,200 | 848,892 | |||
CSX Corp. | 55,859 | 4,142,503 | |||
Cummins, Inc. | 9,844 | 1,395,879 | |||
Deere & Co. | 20,954 | 3,013,185 | |||
Delta Air Lines, Inc. | 41,366 | 2,419,084 | |||
Dover Corp. | 10,545 | 905,499 | |||
Eaton Corp. PLC | 28,199 | 2,344,465 | |||
Emerson Electric Co. | 40,469 | 3,105,186 | |||
Equifax, Inc. | 7,595 | 1,017,502 | |||
Expeditors International of Washington, Inc. | 11,844 | 867,928 | |||
Fastenal Co. | 17,642 | 1,029,587 | |||
FedEx Corp. | 15,750 | 3,842,212 | |||
Flowserve Corp. | 9,555 | 498,007 | |||
Fluor Corp. | 9,256 | 531,387 | |||
Fortive Corp. | 19,739 | 1,657,681 | |||
Fortune Brands Home & Security, Inc. | 10,100 | 535,098 | |||
General Dynamics Corp. | 17,789 | 3,440,393 | |||
General Electric Co. | 560,249 | 7,249,622 | |||
Harris Corp. | 7,498 | 1,218,500 | |||
Honeywell International, Inc. | 48,103 | 7,651,263 |
Security Description | Shares | Value | |||
Huntington Ingalls Industries, Inc. | 2,800 | $ 684,516 | |||
IHS Markit, Ltd. (a) | 23,400 | 1,287,000 | |||
Illinois Tool Works, Inc. | 19,571 | 2,718,020 | |||
Ingersoll-Rand PLC | 15,116 | 1,531,100 | |||
Jacobs Engineering Group, Inc. | 7,057 | 512,973 | |||
JB Hunt Transport Services, Inc. | 5,500 | 664,125 | |||
Johnson Controls International PLC | 58,993 | 2,228,166 | |||
Kansas City Southern | 7,004 | 812,184 | |||
L3 Technologies, Inc. | 4,665 | 997,004 | |||
Lockheed Martin Corp. | 15,890 | 5,091,315 | |||
Masco Corp. | 21,639 | 821,633 | |||
Nielsen Holdings PLC | 23,375 | 607,750 | |||
Norfolk Southern Corp. | 18,168 | 3,158,325 | |||
Northrop Grumman Corp. | 11,186 | 3,338,909 | |||
PACCAR, Inc. | 21,435 | 1,466,583 | |||
Parker-Hannifin Corp. | 8,414 | 1,477,498 | |||
Pentair PLC | 11,791 | 512,673 | |||
Quanta Services, Inc. (a) | 11,593 | 401,002 | |||
Raytheon Co. | 18,436 | 3,676,876 | |||
Republic Services, Inc. | 13,414 | 984,051 | |||
Robert Half International, Inc. | 6,974 | 545,227 | |||
Rockwell Automation, Inc. | 8,379 | 1,516,264 | |||
Rockwell Collins, Inc. | 10,800 | 1,468,260 | |||
Roper Technologies, Inc. | 6,835 | 2,039,359 | |||
Snap-on, Inc. | 3,572 | 631,458 | |||
Southwest Airlines Co. | 34,127 | 2,091,985 | |||
Stanley Black & Decker, Inc. | 9,650 | 1,356,114 | |||
Stericycle, Inc. (a) | 5,304 | 327,204 | |||
Textron, Inc. | 17,106 | 1,180,827 | |||
TransDigm Group, Inc. | 3,100 | 1,085,000 | |||
Union Pacific Corp. | 49,938 | 7,521,662 | |||
United Continental Holdings, Inc. (a) | 14,200 | 1,241,364 | |||
United Parcel Service, Inc. Class B | 44,255 | 5,438,054 | |||
United Rentals, Inc. (a) | 5,600 | 872,872 | |||
United Technologies Corp. | 47,827 | 6,298,816 | |||
Verisk Analytics, Inc. (a) | 10,300 | 1,226,627 | |||
W.W. Grainger, Inc. | 3,212 | 1,137,273 | |||
Waste Management, Inc. | 24,704 | 2,245,594 | |||
Xylem, Inc. | 11,434 | 867,955 | |||
151,750,574 | |||||
INFORMATION TECHNOLOGY — 26.1% | |||||
Accenture PLC Class A | 41,382 | 6,996,455 | |||
Activision Blizzard, Inc. | 49,600 | 3,576,160 | |||
Adobe Systems, Inc. (a) | 31,813 | 8,383,044 | |||
Advanced Micro Devices, Inc. (a)(b) | 52,200 | 1,313,874 | |||
Akamai Technologies, Inc. (a) | 10,234 | 768,983 | |||
Alliance Data Systems Corp. | 2,904 | 692,836 | |||
Alphabet, Inc. Class A (a) | 19,223 | 23,678,891 | |||
Alphabet, Inc. Class C (a) | 19,545 | 23,809,524 | |||
Amphenol Corp. Class A | 19,280 | 1,823,502 | |||
Analog Devices, Inc. | 23,970 | 2,369,434 | |||
ANSYS, Inc. (a) | 5,600 | 1,041,488 |
Security Description | Shares | Value | |||
Apple, Inc. | 315,264 | $ 71,763,544 | |||
Applied Materials, Inc. | 65,253 | 2,807,184 | |||
Arista Networks, Inc. (a) | 3,100 | 926,838 | |||
Autodesk, Inc. (a) | 14,270 | 2,202,575 | |||
Automatic Data Processing, Inc. | 28,265 | 4,147,889 | |||
Broadcom, Inc. | 25,835 | 5,658,640 | |||
Broadridge Financial Solutions, Inc. | 7,000 | 945,980 | |||
CA, Inc. | 19,459 | 852,304 | |||
Cadence Design Systems, Inc. (a) | 16,600 | 780,864 | |||
Cars.com, Inc. (a) | 1 | 27 | |||
Cisco Systems, Inc. | 300,329 | 14,346,716 | |||
Citrix Systems, Inc. (a) | 8,578 | 978,064 | |||
Cognizant Technology Solutions Corp. Class A | 38,027 | 2,982,458 | |||
Corning, Inc. | 53,050 | 1,777,706 | |||
DXC Technology Co. | 18,191 | 1,657,018 | |||
eBay, Inc. (a) | 59,258 | 2,050,919 | |||
Electronic Arts, Inc. (a) | 20,121 | 2,281,923 | |||
F5 Networks, Inc. (a) | 3,759 | 710,902 | |||
Facebook, Inc. Class A (a) | 153,607 | 26,993,358 | |||
Fidelity National Information Services, Inc. | 21,186 | 2,291,690 | |||
Fiserv, Inc. (a) | 26,184 | 2,096,553 | |||
FleetCor Technologies, Inc. (a) | 6,000 | 1,282,440 | |||
FLIR Systems, Inc. | 8,239 | 516,915 | |||
Gartner, Inc. (a)(b) | 6,000 | 898,560 | |||
Global Payments, Inc. | 10,575 | 1,317,434 | |||
Hewlett Packard Enterprise Co. | 97,563 | 1,612,716 | |||
HP, Inc. | 102,163 | 2,518,318 | |||
Intel Corp. | 300,420 | 14,549,341 | |||
International Business Machines Corp. | 55,047 | 8,063,285 | |||
Intuit, Inc. | 15,626 | 3,429,438 | |||
IPG Photonics Corp. (a) | 2,500 | 438,700 | |||
Juniper Networks, Inc. | 22,844 | 649,455 | |||
KLA-Tencor Corp. | 9,873 | 1,147,341 | |||
Lam Research Corp. | 10,681 | 1,848,774 | |||
Mastercard, Inc. Class A | 58,549 | 12,620,822 | |||
Microchip Technology, Inc. (b) | 15,006 | 1,290,966 | |||
Micron Technology, Inc. (a) | 74,528 | 3,914,211 | |||
Microsoft Corp. | 492,677 | 55,342,407 | |||
Motorola Solutions, Inc. | 10,428 | 1,338,538 | |||
NetApp, Inc. | 16,843 | 1,462,141 | |||
NVIDIA Corp. | 39,212 | 11,006,024 | |||
Oracle Corp. | 191,970 | 9,325,903 | |||
Paychex, Inc. | 21,131 | 1,547,846 | |||
PayPal Holdings, Inc. (a) | 71,758 | 6,625,416 | |||
Qorvo, Inc. (a) | 7,600 | 608,684 | |||
QUALCOMM, Inc. | 95,285 | 6,547,032 | |||
Red Hat, Inc. (a) | 11,330 | 1,673,781 | |||
salesforce.com, Inc. (a) | 45,405 | 6,932,435 | |||
Seagate Technology PLC | 18,476 | 989,205 | |||
Skyworks Solutions, Inc. | 11,800 | 1,077,340 | |||
Symantec Corp. | 39,403 | 794,364 | |||
Synopsys, Inc. (a) | 9,400 | 960,116 |
Security Description | Shares | Value | |||
Take-Two Interactive Software, Inc. (a) | 7,600 | $ 1,015,056 | |||
TE Connectivity, Ltd. | 22,949 | 2,103,964 | |||
Texas Instruments, Inc. | 63,106 | 7,093,114 | |||
Total System Services, Inc. | 10,899 | 1,058,729 | |||
Twitter, Inc. (a) | 42,500 | 1,495,150 | |||
VeriSign, Inc. (a) | 5,720 | 907,249 | |||
Visa, Inc. Class A | 114,140 | 16,766,025 | |||
Western Digital Corp. | 19,506 | 1,233,559 | |||
Western Union Co. | 27,940 | 528,625 | |||
Xerox Corp. | 15,823 | 440,829 | |||
Xilinx, Inc. | 16,042 | 1,248,549 | |||
418,928,140 | |||||
MATERIALS — 2.4% | |||||
Air Products & Chemicals, Inc. | 14,007 | 2,329,224 | |||
Albemarle Corp. (b) | 7,100 | 678,192 | |||
Avery Dennison Corp. | 5,818 | 611,937 | |||
Ball Corp. | 23,216 | 972,286 | |||
CF Industries Holdings, Inc. | 14,730 | 765,224 | |||
DowDuPont, Inc. | 147,932 | 10,374,471 | |||
Eastman Chemical Co. | 8,972 | 870,553 | |||
Ecolab, Inc. | 16,165 | 2,432,509 | |||
FMC Corp. | 8,622 | 736,750 | |||
Freeport-McMoRan, Inc. | 90,364 | 1,269,614 | |||
International Flavors & Fragrances, Inc. | 5,280 | 687,931 | |||
International Paper Co. | 27,508 | 1,406,759 | |||
LyondellBasell Industries NV Class A | 20,652 | 2,329,133 | |||
Martin Marietta Materials, Inc. | 4,055 | 805,810 | |||
Mosaic Co. | 20,816 | 650,916 | |||
Newmont Mining Corp. | 33,373 | 1,035,564 | |||
Nucor Corp. | 20,306 | 1,269,125 | |||
Packaging Corp. of America | 6,300 | 692,496 | |||
PPG Industries, Inc. | 15,488 | 1,712,044 | |||
Praxair, Inc. | 18,400 | 2,910,696 | |||
Sealed Air Corp. | 11,269 | 452,000 | |||
Sherwin-Williams Co. | 5,187 | 2,363,093 | |||
Vulcan Materials Co. | 8,390 | 929,612 | |||
WestRock Co. | 16,448 | 905,956 | |||
39,191,895 | |||||
REAL ESTATE — 2.7% | |||||
Alexandria Real Estate Equities, Inc. REIT | 6,700 | 859,945 | |||
American Tower Corp. REIT | 28,382 | 4,232,324 | |||
Apartment Investment & Management Co. Class A, REIT | 9,765 | 427,707 | |||
AvalonBay Communities, Inc. REIT | 9,129 | 1,673,254 | |||
Boston Properties, Inc. REIT | 9,821 | 1,281,149 | |||
Brookfield Property REIT, Inc. | 16,146 | 323,247 | |||
CBRE Group, Inc. Class A (a) | 20,108 | 981,472 | |||
Crown Castle International Corp. REIT | 26,642 | 3,037,987 | |||
Digital Realty Trust, Inc. REIT | 13,300 | 1,652,924 | |||
Duke Realty Corp. REIT | 22,500 | 641,025 |
Security Description | Shares | Value | |||
Equinix, Inc. REIT | 5,138 | $ 2,240,836 | |||
Equity Residential REIT | 24,138 | 1,635,350 | |||
Essex Property Trust, Inc. REIT | 4,455 | 1,097,177 | |||
Extra Space Storage, Inc. REIT | 7,500 | 691,575 | |||
Federal Realty Investment Trust REIT | 4,600 | 600,806 | |||
HCP, Inc. REIT | 32,677 | 883,259 | |||
Host Hotels & Resorts, Inc. REIT | 48,759 | 1,049,781 | |||
Iron Mountain, Inc. REIT | 18,074 | 652,471 | |||
Kimco Realty Corp. REIT | 23,116 | 395,515 | |||
Macerich Co. REIT | 7,245 | 425,571 | |||
Mid-America Apartment Communities, Inc. REIT | 6,900 | 714,564 | |||
Prologis, Inc. REIT | 40,547 | 2,723,946 | |||
Public Storage REIT | 9,452 | 2,009,306 | |||
Realty Income Corp. REIT | 18,100 | 1,060,117 | |||
Regency Centers Corp. REIT | 9,299 | 614,013 | |||
SBA Communications Corp. REIT (a) | 7,700 | 1,195,271 | |||
Simon Property Group, Inc. REIT | 19,435 | 3,557,188 | |||
SL Green Realty Corp. REIT | 6,100 | 636,840 | |||
UDR, Inc. REIT | 17,800 | 711,466 | |||
Ventas, Inc. REIT | 23,803 | 1,425,086 | |||
Vornado Realty Trust REIT | 10,446 | 804,342 | |||
Welltower, Inc. REIT | 23,881 | 1,593,102 | |||
Weyerhaeuser Co. REIT | 49,998 | 1,735,431 | |||
43,564,047 | |||||
TELECOMMUNICATION SERVICES — 1.9% | |||||
AT&T, Inc. | 468,100 | 14,951,114 | |||
CenturyLink, Inc. | 62,587 | 1,336,858 | |||
Verizon Communications, Inc. | 263,951 | 14,351,016 | |||
30,638,988 | |||||
UTILITIES — 2.8% | |||||
AES Corp. | 37,259 | 501,506 | |||
Alliant Energy Corp. | 14,700 | 629,748 | |||
Ameren Corp. | 16,456 | 1,040,513 | |||
American Electric Power Co., Inc. | 31,543 | 2,262,579 | |||
American Water Works Co., Inc. | 11,300 | 989,089 | |||
CenterPoint Energy, Inc. | 26,535 | 737,408 | |||
CMS Energy Corp. | 18,801 | 925,761 | |||
Consolidated Edison, Inc. | 19,600 | 1,547,028 | |||
Dominion Energy, Inc. | 42,068 | 2,977,152 | |||
DTE Energy Co. | 11,439 | 1,271,330 | |||
Duke Energy Corp. | 44,691 | 3,630,697 | |||
Edison International | 21,305 | 1,400,378 | |||
Entergy Corp. | 12,200 | 1,019,798 | |||
Evergy, Inc. | 17,899 | 1,021,138 | |||
Eversource Energy | 20,243 | 1,263,771 | |||
Exelon Corp. | 61,959 | 2,708,228 | |||
FirstEnergy Corp. | 29,729 | 1,111,270 | |||
NextEra Energy, Inc. | 30,257 | 5,146,716 | |||
NiSource, Inc. | 23,078 | 624,721 | |||
NRG Energy, Inc. | 19,998 | 707,729 |
Security Description | Shares | Value | |||
PG&E Corp. | 33,712 | $ 1,556,820 | |||
Pinnacle West Capital Corp. | 6,556 | 514,974 | |||
PPL Corp. (b) | 44,756 | 1,331,043 | |||
Public Service Enterprise Group, Inc. | 32,336 | 1,692,790 | |||
SCANA Corp. | 9,501 | 364,268 | |||
Sempra Energy | 16,924 | 1,964,538 | |||
Southern Co. | 64,984 | 2,845,000 | |||
WEC Energy Group, Inc. | 20,287 | 1,370,996 | |||
Xcel Energy, Inc. | 33,700 | 1,619,285 | |||
44,776,274 | |||||
TOTAL COMMON STOCKS (Cost $439,193,697) | 1,579,196,185 |
SHORT-TERM INVESTMENTS — 1.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.91% (d) (e) | 25,013,831 | 25,013,831 | |
State Street Navigator Securities Lending Government Money Market Portfolio (d) (f) | 274,933 | 274,933 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $25,288,764) | 25,288,764 | ||
TOTAL INVESTMENTS — 99.8% (Cost $464,482,461)(g) | 1,604,484,949 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 3,618,879 | ||
NET ASSETS — 100.0% | $ 1,608,103,828 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2018. |
(c) | The Portfolio invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended August 31, 2018 are shown in the Affiliate Table below. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2018 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at August 31, 2018. |
(f) | Investment of cash collateral for securities loaned. |
(g) | Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments at August 31, 2018 was $1,151,037,208 and $9,839,682 respectively, resulting in net unrealized appreciation of investments and other financial instruments of $1,141,197,526. |
ADR | =American Depositary Receipt |
REIT | =Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
E-Mini S&P 500 Index (long) | 203 | 09/21/2018 | $28,261,277 | $29,456,315 | $1,195,038 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $ 204,145,559 | $— | $— | $ 204,145,559 | ||||
Consumer Staples | 105,716,779 | — | — | 105,716,779 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Energy | $ 92,515,111 | $— | $— | $ 92,515,111 | ||||
Financials | 217,284,405 | — | — | 217,284,405 | ||||
Health Care | 230,684,413 | — | — | 230,684,413 | ||||
Industrials | 151,750,574 | — | — | 151,750,574 | ||||
Information Technology | 418,928,140 | — | — | 418,928,140 | ||||
Materials | 39,191,895 | — | — | 39,191,895 | ||||
Real Estate | 43,564,047 | — | — | 43,564,047 | ||||
Telecommunication Services | 30,638,988 | — | — | 30,638,988 | ||||
Utilities | 44,776,274 | — | — | 44,776,274 | ||||
Short-Term Investments | 25,288,764 | — | — | 25,288,764 | ||||
TOTAL INVESTMENTS | $1,604,484,949 | $— | $— | $1,604,484,949 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,195,038 | — | — | 1,195,038 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,605,679,987 | $— | $— | $1,605,679,987 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/17 | Value at 12/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/18 | Value at 8/31/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Corp. | 25,847 | $ 2,522,926 | $ — | $ 177,637 | $110,839 | $(357,512) | 24,147 | $ 2,098,616 | $ 20,283 | $— | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 27,556,254 | 27,556,254 | 185,569,331 | 188,111,754 | — | — | 25,013,831 | 25,013,831 | 283,587 | — | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 818,690 | 818,690 | 24,860,624 | 25,404,381 | — | — | 274,933 | 274,933 | 119 | — | |||||||||
Total | $30,897,870 | $210,429,955 | $213,693,772 | $110,839 | $(357,512) | $27,387,380 | $303,989 | $— |
Notes to Schedule of Investments — August 31, 2018 (Unaudited)
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Equity 500 Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $1,195,038 | $— | $1,195,038 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index Portfolio | $ 12,476,042 | $ 274,933 | $ 12,437,383 | $ 12,712,316 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of August 31, 2018 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Equity 500 Index Portfolio | Common Stocks | $274,933 | $— | $— | $— | $274,933 | $274,933 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,577,097,568 |
Investments in affiliated issuers, at value | 27,387,380 |
Total Investments | 1,604,484,948 |
Cash | 31 |
Receivable from broker — variation margin on open futures contracts | 1,195,038 |
Dividends receivable — unaffiliated issuers | 2,950,047 |
Dividends receivable — affiliated issuers | 43,242 |
Securities lending income receivable — unaffiliated issuers | 1,560 |
Securities lending income receivable — affiliated issuers | 119 |
Receivable from Adviser | 3,701 |
TOTAL ASSETS | 1,608,678,686 |
LIABILITIES | |
Deposit from Broker | 16,624 |
Payable upon return of securities loaned | 274,933 |
Advisory fee payable | 283,301 |
TOTAL LIABILITIES | 574,858 |
NET ASSETS | $1,608,103,828 |
* Includes investments in securities on loan, at value | $ 12,476,042 |
State Street Equity 500 Index Portfolio |
1 | |
4 | |
11 | |
14 | |
15 | |
22 | |
23 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2017 | Average Annual Total Return Five Years Ended December 31, 2017 | Average Annual Total Return Ten Years Ended December 31, 2017 | |||
State Street Equity 500 Index Portfolio | 22.42% | 15.86% | 8.52% | ||
S&P 500® Index(1) | 21.83% | 15.79% | 8.50% | ||
(1) | The S&P 500® Index is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Common Stocks | 95.7% | ||
Short-Term Investments | 1.7 | ||
Other Assets in Excess of Liabilities | 2.6 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 22.8% | ||
Financials | 14.1 | ||
Health Care | 13.2 | ||
Consumer Discretionary | 11.7 | ||
Industrials | 9.8 | ||
TOTAL | 71.6% |
Security Description | Shares | Value | |||
COMMON STOCKS — 95.7% | |||||
CONSUMER DISCRETIONARY — 11.7% | |||||
Advance Auto Parts, Inc. | 5,500 | $ 548,295 | |||
Amazon.com, Inc.(a) | 28,102 | 32,864,446 | |||
Aptiv PLC | 17,781 | 1,508,362 | |||
AutoZone, Inc.(a) | 1,888 | 1,343,067 | |||
Best Buy Co., Inc. | 18,413 | 1,260,738 | |||
BorgWarner, Inc. | 13,223 | 675,563 | |||
CarMax, Inc.(a) | 13,197 | 846,324 | |||
Carnival Corp. | 29,749 | 1,974,441 | |||
CBS Corp. Class B | 26,218 | 1,546,862 | |||
Charter Communications, Inc. Class A(a) | 13,400 | 4,501,864 | |||
Chipotle Mexican Grill, Inc.(a) (b) | 1,614 | 466,494 | |||
Comcast Corp. Class A | 326,730 | 13,085,536 | |||
D.R. Horton, Inc. | 22,479 | 1,148,003 | |||
Darden Restaurants, Inc. | 8,117 | 779,394 | |||
Discovery Communications, Inc. Class A(a) (b) | 12,597 | 281,921 | |||
Discovery Communications, Inc. Class C(a) (b) | 13,397 | 283,614 | |||
DISH Network Corp. Class A(a) | 17,000 | 811,750 | |||
Dollar General Corp. | 19,287 | 1,793,884 | |||
Dollar Tree, Inc.(a) | 17,482 | 1,875,993 | |||
Expedia, Inc.(b) | 9,323 | 1,116,616 | |||
Foot Locker, Inc. | 10,100 | 473,488 | |||
Ford Motor Co. | 281,260 | 3,512,937 | |||
Gap, Inc. | 15,364 | 523,298 | |||
Garmin, Ltd. | 9,160 | 545,661 | |||
General Motors Co. | 92,377 | 3,786,533 | |||
Genuine Parts Co. | 10,920 | 1,037,509 | |||
Goodyear Tire & Rubber Co. | 19,613 | 633,696 | |||
H&R Block, Inc. | 16,351 | 428,723 | |||
Hanesbrands, Inc.(b) | 23,400 | 489,294 | |||
Harley-Davidson, Inc.(b) | 12,385 | 630,149 | |||
Hasbro, Inc. | 7,628 | 693,309 | |||
Hilton Worldwide Holdings, Inc. | 13,700 | 1,094,082 | |||
Home Depot, Inc. | 81,910 | 15,524,402 | |||
Interpublic Group of Cos., Inc. | 31,928 | 643,668 | |||
Kohl's Corp.(b) | 12,388 | 671,801 | |||
L Brands, Inc.(b) | 17,746 | 1,068,664 | |||
Leggett & Platt, Inc. | 9,844 | 469,854 | |||
Lennar Corp. Class A | 15,425 | 975,477 | |||
LKQ Corp.(a) | 20,800 | 845,936 | |||
Lowe's Cos., Inc. | 57,812 | 5,373,047 | |||
Macy's, Inc.(b) | 24,361 | 613,654 | |||
Marriott International, Inc. Class A | 20,952 | 2,843,815 | |||
Mattel, Inc.(b) | 27,743 | 426,687 | |||
McDonald's Corp. | 55,715 | 9,589,666 | |||
MGM Resorts International | 35,300 | 1,178,667 | |||
Michael Kors Holdings, Ltd.(a) | 11,686 | 735,634 | |||
Mohawk Industries, Inc.(a) | 4,569 | 1,260,587 | |||
Netflix, Inc.(a) | 30,096 | 5,777,228 | |||
Newell Brands, Inc. | 34,450 | 1,064,505 | |||
News Corp. Class A | 28,814 | 467,075 | |||
News Corp. Class B | 7,500 | 124,500 |
Security Description | Shares | Value | |||
NIKE, Inc. Class B | 94,102 | $ 5,886,080 | |||
Nordstrom, Inc.(b) | 7,756 | 367,479 | |||
Norwegian Cruise Line Holdings, Ltd.(a) | 12,900 | 686,925 | |||
Omnicom Group, Inc. | 17,450 | 1,270,884 | |||
O'Reilly Automotive, Inc.(a) | 5,620 | 1,351,835 | |||
Priceline Group, Inc.(a) | 3,408 | 5,922,218 | |||
PulteGroup, Inc. | 19,543 | 649,805 | |||
PVH Corp. | 6,051 | 830,258 | |||
Ralph Lauren Corp. | 4,136 | 428,862 | |||
Ross Stores, Inc. | 27,244 | 2,186,331 | |||
Royal Caribbean Cruises, Ltd. | 12,800 | 1,526,784 | |||
Scripps Networks Interactive, Inc. Class A | 6,863 | 585,963 | |||
Signet Jewelers, Ltd.(b) | 5,100 | 288,405 | |||
Starbucks Corp. | 98,892 | 5,679,368 | |||
Tapestry, Inc. | 19,000 | 840,370 | |||
Target Corp. | 38,944 | 2,541,096 | |||
Tiffany & Co. | 6,581 | 684,095 | |||
Time Warner, Inc. | 53,980 | 4,937,551 | |||
TJX Cos., Inc. | 43,775 | 3,347,036 | |||
Tractor Supply Co. | 9,774 | 730,607 | |||
TripAdvisor, Inc.(a) (b) | 9,015 | 310,657 | |||
Twenty-First Century Fox, Inc. Class A | 77,109 | 2,662,574 | |||
Twenty-First Century Fox, Inc. Class B | 28,600 | 975,832 | |||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 4,400 | 984,104 | |||
Under Armour, Inc. Class A(a) (b) | 14,376 | 207,446 | |||
Under Armour, Inc. Class C(a) (b) | 14,478 | 192,847 | |||
VF Corp.(b) | 24,428 | 1,807,672 | |||
Viacom, Inc. Class B | 24,341 | 749,946 | |||
Walt Disney Co. | 105,693 | 11,363,054 | |||
Whirlpool Corp. | 4,559 | 768,830 | |||
Wyndham Worldwide Corp. | 7,746 | 897,529 | |||
Wynn Resorts, Ltd. | 5,859 | 987,769 | |||
Yum! Brands, Inc. | 23,890 | 1,949,663 | |||
196,816,588 | |||||
CONSUMER STAPLES — 7.8% | |||||
Altria Group, Inc. | 133,370 | 9,523,952 | |||
Archer-Daniels-Midland Co. | 39,892 | 1,598,871 | |||
British American Tobacco PLC ADR | 1 | 67 | |||
Brown-Forman Corp. Class B | 12,022 | 825,551 | |||
Campbell Soup Co.(b) | 14,083 | 677,533 | |||
Church & Dwight Co., Inc. | 17,800 | 893,026 | |||
Clorox Co. | 9,479 | 1,409,906 | |||
Coca-Cola Co. | 268,522 | 12,319,789 | |||
Colgate-Palmolive Co. | 60,779 | 4,585,776 | |||
Conagra Brands, Inc. | 30,951 | 1,165,924 | |||
Constellation Brands, Inc. Class A | 12,276 | 2,805,925 | |||
Costco Wholesale Corp. | 30,334 | 5,645,764 | |||
Coty, Inc. Class A | 37,840 | 752,638 | |||
CVS Health Corp. | 72,227 | 5,236,458 | |||
Dr. Pepper Snapple Group, Inc. | 11,903 | 1,155,305 |
Security Description | Shares | Value | |||
Estee Lauder Cos., Inc. Class A | 16,363 | $ 2,082,028 | |||
General Mills, Inc. | 40,222 | 2,384,762 | |||
Hershey Co. | 10,415 | 1,182,207 | |||
Hormel Foods Corp.(b) | 21,098 | 767,756 | |||
J.M. Smucker Co. | 7,355 | 913,785 | |||
Kellogg Co.(b) | 17,307 | 1,176,530 | |||
Kimberly-Clark Corp. | 24,773 | 2,989,110 | |||
Kraft Heinz Co. | 41,051 | 3,192,126 | |||
Kroger Co. | 63,510 | 1,743,350 | |||
McCormick & Co., Inc. | 8,061 | 821,497 | |||
Molson Coors Brewing Co. Class B | 13,609 | 1,116,891 | |||
Mondelez International, Inc. Class A | 103,494 | 4,429,543 | |||
Monster Beverage Corp.(a) | 30,087 | 1,904,206 | |||
PepsiCo, Inc. | 99,538 | 11,936,597 | |||
Philip Morris International, Inc. | 108,687 | 11,482,782 | |||
Procter & Gamble Co. | 178,713 | 16,420,150 | |||
Sysco Corp. | 32,435 | 1,969,778 | |||
Tyson Foods, Inc. Class A | 21,491 | 1,742,275 | |||
Wal-Mart Stores, Inc. | 102,399 | 10,111,901 | |||
Walgreens Boots Alliance, Inc. | 61,813 | 4,488,860 | |||
131,452,619 | |||||
ENERGY — 5.8% | |||||
Anadarko Petroleum Corp. | 39,544 | 2,121,140 | |||
Andeavor | 10,249 | 1,171,871 | |||
Apache Corp.(b) | 24,970 | 1,054,233 | |||
Baker Hughes a GE Co. | 30,594 | 967,994 | |||
Cabot Oil & Gas Corp. | 33,722 | 964,449 | |||
Chesapeake Energy Corp.(a) (b) | 45,894 | 181,740 | |||
Chevron Corp. | 133,234 | 16,679,565 | |||
Cimarex Energy Co. | 6,942 | 846,994 | |||
Concho Resources, Inc.(a) (b) | 11,100 | 1,667,442 | |||
ConocoPhillips | 82,803 | 4,545,057 | |||
Devon Energy Corp. | 38,850 | 1,608,390 | |||
EOG Resources, Inc. | 41,463 | 4,474,272 | |||
EQT Corp. | 17,743 | 1,009,932 | |||
Exxon Mobil Corp. | 297,672 | 24,897,286 | |||
Halliburton Co. | 62,267 | 3,042,988 | |||
Helmerich & Payne, Inc.(b) | 7,974 | 515,439 | |||
Hess Corp.(b) | 20,244 | 960,983 | |||
Kinder Morgan, Inc. | 140,676 | 2,542,015 | |||
Marathon Oil Corp. | 65,189 | 1,103,650 | |||
Marathon Petroleum Corp. | 33,202 | 2,190,668 | |||
National Oilwell Varco, Inc.(b) | 26,341 | 948,803 | |||
Newfield Exploration Co.(a) | 15,685 | 494,548 | |||
Noble Energy, Inc. | 32,895 | 958,560 | |||
Occidental Petroleum Corp. | 54,635 | 4,024,414 | |||
ONEOK, Inc. | 27,904 | 1,491,469 | |||
Phillips 66 | 31,192 | 3,155,071 | |||
Pioneer Natural Resources Co. | 11,524 | 1,991,923 | |||
Range Resources Corp.(b) | 14,541 | 248,070 | |||
Schlumberger, Ltd. | 98,893 | 6,664,399 | |||
TechnipFMC PLC | 29,109 | 911,403 | |||
Valero Energy Corp. | 29,986 | 2,756,013 |
Security Description | Shares | Value | |||
Williams Cos., Inc. | 57,910 | $ 1,765,676 | |||
97,956,457 | |||||
FINANCIALS — 14.1% | |||||
Affiliated Managers Group, Inc. | 4,276 | 877,649 | |||
Aflac, Inc. | 28,237 | 2,478,644 | |||
Allstate Corp. | 26,167 | 2,739,947 | |||
American Express Co. | 49,952 | 4,960,733 | |||
American International Group, Inc. | 63,532 | 3,785,236 | |||
Ameriprise Financial, Inc. | 10,563 | 1,790,112 | |||
Aon PLC | 16,982 | 2,275,588 | |||
Arthur J Gallagher & Co. | 12,000 | 759,360 | |||
Assurant, Inc. | 3,946 | 397,915 | |||
Bank of America Corp. | 681,066 | 20,105,068 | |||
Bank of New York Mellon Corp. | 70,691 | 3,807,417 | |||
BB&T Corp. | 56,839 | 2,826,035 | |||
Berkshire Hathaway, Inc. Class B(a) | 135,219 | 26,803,110 | |||
BlackRock, Inc. | 8,518 | 4,375,782 | |||
Brighthouse Financial, Inc.(a) | 7,075 | 414,878 | |||
Capital One Financial Corp. | 34,068 | 3,392,491 | |||
Cboe Global Markets, Inc. | 8,200 | 1,021,638 | |||
Charles Schwab Corp. | 82,589 | 4,242,597 | |||
Chubb, Ltd. | 32,141 | 4,696,764 | |||
Cincinnati Financial Corp. | 11,705 | 877,524 | |||
Citigroup, Inc. | 185,293 | 13,787,652 | |||
Citizens Financial Group, Inc. | 34,200 | 1,435,716 | |||
CME Group, Inc. | 24,392 | 3,562,452 | |||
Comerica, Inc. | 13,017 | 1,130,006 | |||
Discover Financial Services | 26,277 | 2,021,227 | |||
E*TRADE Financial Corp.(a) | 20,489 | 1,015,640 | |||
Everest Re Group, Ltd. | 2,700 | 597,402 | |||
Fifth Third Bancorp | 51,854 | 1,573,250 | |||
Franklin Resources, Inc. | 22,151 | 959,803 | |||
Goldman Sachs Group, Inc. | 24,388 | 6,213,087 | |||
Hartford Financial Services Group, Inc. | 24,930 | 1,403,060 | |||
Huntington Bancshares, Inc. | 75,965 | 1,106,050 | |||
Intercontinental Exchange, Inc. | 42,225 | 2,979,396 | |||
Invesco, Ltd. | 28,289 | 1,033,680 | |||
JPMorgan Chase & Co. | 243,872 | 26,079,672 | |||
KeyCorp | 71,879 | 1,449,799 | |||
Leucadia National Corp. | 23,809 | 630,700 | |||
Lincoln National Corp. | 16,710 | 1,284,498 | |||
Loews Corp. | 20,312 | 1,016,209 | |||
M&T Bank Corp. | 10,834 | 1,852,506 | |||
Marsh & McLennan Cos., Inc. | 35,034 | 2,851,417 | |||
MetLife, Inc. | 72,626 | 3,671,971 | |||
Moody's Corp. | 12,234 | 1,805,861 | |||
Morgan Stanley | 96,555 | 5,066,241 | |||
Nasdaq, Inc. | 9,225 | 708,757 | |||
Navient Corp. | 16,541 | 220,326 | |||
Northern Trust Corp. | 14,710 | 1,469,382 | |||
People's United Financial, Inc. | 22,434 | 419,516 | |||
PNC Financial Services Group, Inc. | 32,942 | 4,753,201 | |||
Principal Financial Group, Inc. | 18,426 | 1,300,139 | |||
Progressive Corp. | 40,852 | 2,300,785 |
Security Description | Shares | Value | |||
Prudential Financial, Inc. | 30,737 | $ 3,534,140 | |||
Raymond James Financial, Inc. | 9,600 | 857,280 | |||
Regions Financial Corp. | 86,943 | 1,502,375 | |||
S&P Global, Inc. | 17,498 | 2,964,161 | |||
State Street Corp.(c) | 25,847 | 2,522,926 | |||
SunTrust Banks, Inc. | 34,882 | 2,253,028 | |||
Synchrony Financial | 49,771 | 1,921,658 | |||
T Rowe Price Group, Inc. | 16,720 | 1,754,430 | |||
Torchmark Corp. | 8,384 | 760,513 | |||
Travelers Cos., Inc. | 19,298 | 2,617,581 | |||
Unum Group | 17,324 | 950,914 | |||
US Bancorp | 109,630 | 5,873,975 | |||
Wells Fargo & Co. | 311,046 | 18,871,161 | |||
Willis Towers Watson PLC | 9,479 | 1,428,390 | |||
XL Group, Ltd. | 20,520 | 721,483 | |||
Zions Bancorp | 15,258 | 775,564 | |||
237,637,468 | |||||
HEALTH CARE — 13.2% | |||||
Abbott Laboratories | 121,249 | 6,919,680 | |||
AbbVie, Inc. | 111,563 | 10,789,258 | |||
Aetna, Inc. | 22,515 | 4,061,481 | |||
Agilent Technologies, Inc. | 22,475 | 1,505,151 | |||
Alexion Pharmaceuticals, Inc.(a) | 15,927 | 1,904,710 | |||
Align Technology, Inc.(a) | 5,000 | 1,110,950 | |||
Allergan PLC | 22,926 | 3,750,235 | |||
AmerisourceBergen Corp. | 10,552 | 968,885 | |||
Amgen, Inc. | 50,691 | 8,815,165 | |||
Anthem, Inc. | 17,719 | 3,986,952 | |||
Baxter International, Inc. | 36,370 | 2,350,957 | |||
Becton Dickinson and Co. | 18,477 | 3,955,199 | |||
Biogen, Inc.(a) | 15,147 | 4,825,380 | |||
Boston Scientific Corp.(a) | 93,577 | 2,319,774 | |||
Bristol-Myers Squibb Co. | 114,012 | 6,986,655 | |||
Cardinal Health, Inc. | 20,924 | 1,282,013 | |||
Celgene Corp.(a) | 54,765 | 5,715,275 | |||
Centene Corp.(a) | 11,700 | 1,180,296 | |||
Cerner Corp.(a) | 22,263 | 1,500,304 | |||
Cigna Corp. | 17,811 | 3,617,236 | |||
Cooper Cos., Inc. | 3,300 | 719,004 | |||
Danaher Corp. | 43,678 | 4,054,192 | |||
DaVita, Inc.(a) | 11,472 | 828,852 | |||
DENTSPLY SIRONA, Inc. | 17,366 | 1,143,204 | |||
Edwards Lifesciences Corp.(a) | 15,790 | 1,779,691 | |||
Eli Lilly & Co. | 69,157 | 5,841,000 | |||
Envision Healthcare Corp.(a) | 9,118 | 315,118 | |||
Express Scripts Holding Co.(a) | 40,747 | 3,041,356 | |||
Gilead Sciences, Inc. | 90,946 | 6,515,371 | |||
HCA Healthcare, Inc.(a) | 20,400 | 1,791,936 | |||
Henry Schein, Inc.(a) | 11,000 | 768,680 | |||
Hologic, Inc.(a) | 17,600 | 752,400 | |||
Humana, Inc. | 10,217 | 2,534,531 | |||
IDEXX Laboratories, Inc.(a) | 6,100 | 953,918 | |||
Illumina, Inc.(a) | 9,900 | 2,163,051 | |||
Incyte Corp.(a) | 11,900 | 1,127,049 | |||
Intuitive Surgical, Inc.(a) | 7,956 | 2,903,463 | |||
IQVIA Holdings, Inc.(a) | 10,000 | 979,000 | |||
Johnson & Johnson | 188,841 | 26,384,864 |
Security Description | Shares | Value | |||
Laboratory Corp. of America Holdings(a) | 7,447 | $ 1,187,871 | |||
McKesson Corp. | 14,631 | 2,281,704 | |||
Medtronic PLC | 94,404 | 7,623,123 | |||
Merck & Co., Inc. | 191,398 | 10,769,965 | |||
Mettler-Toledo International, Inc.(a) | 1,800 | 1,115,136 | |||
Mylan NV(a) | 39,107 | 1,654,617 | |||
Patterson Cos., Inc.(b) | 6,459 | 233,364 | |||
PerkinElmer, Inc. | 7,032 | 514,180 | |||
Perrigo Co. PLC(b) | 9,814 | 855,388 | |||
Pfizer, Inc. | 417,948 | 15,138,077 | |||
Quest Diagnostics, Inc. | 10,158 | 1,000,461 | |||
Regeneron Pharmaceuticals, Inc.(a) | 5,658 | 2,127,182 | |||
ResMed, Inc.(b) | 10,400 | 880,776 | |||
Stryker Corp. | 22,195 | 3,436,674 | |||
Thermo Fisher Scientific, Inc. | 28,612 | 5,432,847 | |||
UnitedHealth Group, Inc. | 67,922 | 14,974,084 | |||
Universal Health Services, Inc. Class B | 6,800 | 770,780 | |||
Varian Medical Systems, Inc.(a) | 6,031 | 670,346 | |||
Vertex Pharmaceuticals, Inc.(a) | 18,348 | 2,749,631 | |||
Waters Corp.(a) | 5,415 | 1,046,124 | |||
Zimmer Biomet Holdings, Inc. | 14,827 | 1,789,174 | |||
Zoetis, Inc. | 34,228 | 2,465,785 | |||
220,859,525 | |||||
INDUSTRIALS — 9.8% | |||||
3M Co. | 41,743 | 9,825,050 | |||
Acuity Brands, Inc. | 3,000 | 528,000 | |||
Alaska Air Group, Inc. | 9,000 | 661,590 | |||
Allegion PLC | 7,537 | 599,644 | |||
American Airlines Group, Inc. | 31,600 | 1,644,148 | |||
AMETEK, Inc. | 15,701 | 1,137,851 | |||
AO Smith Corp. | 10,800 | 661,824 | |||
Arconic, Inc. | 28,263 | 770,167 | |||
Boeing Co. | 39,224 | 11,567,550 | |||
C.H. Robinson Worldwide, Inc.(b) | 9,582 | 853,660 | |||
Caterpillar, Inc. | 42,455 | 6,690,059 | |||
Cintas Corp. | 5,722 | 891,659 | |||
CSX Corp. | 61,559 | 3,386,361 | |||
Cummins, Inc. | 10,744 | 1,897,820 | |||
Deere & Co. | 22,054 | 3,451,672 | |||
Delta Air Lines, Inc. | 44,766 | 2,506,896 | |||
Dover Corp. | 10,545 | 1,064,940 | |||
Eaton Corp. PLC | 29,999 | 2,370,221 | |||
Emerson Electric Co. | 45,969 | 3,203,580 | |||
Equifax, Inc. | 8,395 | 989,938 | |||
Expeditors International of Washington, Inc. | 11,844 | 766,188 | |||
Fastenal Co. | 20,242 | 1,107,035 | |||
FedEx Corp. | 17,050 | 4,254,657 | |||
Flowserve Corp. | 9,555 | 402,552 | |||
Fluor Corp. | 10,956 | 565,877 | |||
Fortive Corp. | 22,139 | 1,601,757 | |||
Fortune Brands Home & Security, Inc. | 10,100 | 691,244 |
Security Description | Shares | Value | |||
General Dynamics Corp. | 19,789 | $ 4,026,072 | |||
General Electric Co. | 606,649 | 10,586,025 | |||
Harris Corp. | 8,598 | 1,217,907 | |||
Honeywell International, Inc. | 53,203 | 8,159,212 | |||
IHS Markit, Ltd.(a) | 23,400 | 1,056,510 | |||
Illinois Tool Works, Inc. | 21,971 | 3,665,861 | |||
Ingersoll-Rand PLC | 16,716 | 1,490,900 | |||
Jacobs Engineering Group, Inc. | 9,657 | 636,976 | |||
JB Hunt Transport Services, Inc. | 5,500 | 632,390 | |||
Johnson Controls International PLC | 63,093 | 2,404,474 | |||
Kansas City Southern | 7,004 | 736,961 | |||
L3 Technologies, Inc. | 5,365 | 1,061,465 | |||
Lockheed Martin Corp. | 17,890 | 5,743,584 | |||
Masco Corp. | 21,639 | 950,818 | |||
Nielsen Holdings PLC | 23,375 | 850,850 | |||
Norfolk Southern Corp. | 20,768 | 3,009,283 | |||
Northrop Grumman Corp. | 12,586 | 3,862,769 | |||
PACCAR, Inc. | 26,035 | 1,850,568 | |||
Parker-Hannifin Corp. | 9,214 | 1,838,930 | |||
Pentair PLC | 11,791 | 832,680 | |||
Quanta Services, Inc.(a) | 11,593 | 453,402 | |||
Raytheon Co. | 19,936 | 3,744,978 | |||
Republic Services, Inc. | 15,814 | 1,069,185 | |||
Robert Half International, Inc. | 9,374 | 520,632 | |||
Rockwell Automation, Inc. | 9,379 | 1,841,567 | |||
Rockwell Collins, Inc. | 12,100 | 1,641,002 | |||
Roper Technologies, Inc. | 7,535 | 1,951,565 | |||
Snap-on, Inc.(b) | 4,572 | 796,900 | |||
Southwest Airlines Co. | 37,227 | 2,436,507 | |||
Stanley Black & Decker, Inc. | 10,650 | 1,807,198 | |||
Stericycle, Inc.(a) | 6,604 | 449,006 | |||
Textron, Inc. | 17,106 | 968,029 | |||
TransDigm Group, Inc.(b) | 3,400 | 933,708 | |||
Union Pacific Corp. | 54,938 | 7,367,186 | |||
United Continental Holdings, Inc.(a) | 17,400 | 1,172,760 | |||
United Parcel Service, Inc. Class B | 47,755 | 5,690,008 | |||
United Rentals, Inc.(a) | 6,100 | 1,048,651 | |||
United Technologies Corp. | 53,127 | 6,777,411 | |||
Verisk Analytics, Inc.(a) | 10,300 | 988,800 | |||
W.W. Grainger, Inc.(b) | 4,012 | 947,835 | |||
Waste Management, Inc. | 28,604 | 2,468,525 | |||
Xylem, Inc. | 11,434 | 779,799 | |||
164,560,829 | |||||
INFORMATION TECHNOLOGY — 22.8% | |||||
Accenture PLC Class A | 43,982 | 6,733,204 | |||
Activision Blizzard, Inc. | 52,000 | 3,292,640 | |||
Adobe Systems, Inc.(a) | 34,313 | 6,013,010 | |||
Advanced Micro Devices, Inc.(a) (b) | 57,800 | 594,184 | |||
Akamai Technologies, Inc.(a) | 12,634 | 821,715 | |||
Alliance Data Systems Corp. | 3,504 | 888,194 | |||
Alphabet, Inc. Class A(a) | 20,923 | 22,040,288 | |||
Alphabet, Inc. Class C(a) | 21,245 | 22,230,768 | |||
Amphenol Corp. Class A | 20,580 | 1,806,924 |
Security Description | Shares | Value | |||
Analog Devices, Inc. | 25,870 | $ 2,303,206 | |||
ANSYS, Inc.(a) | 5,600 | 826,504 | |||
Apple, Inc. | 361,464 | 61,170,553 | |||
Applied Materials, Inc. | 77,053 | 3,938,949 | |||
Autodesk, Inc.(a) | 15,970 | 1,674,135 | |||
Automatic Data Processing, Inc. | 30,565 | 3,581,912 | |||
Broadcom, Ltd. | 28,335 | 7,279,261 | |||
CA, Inc. | 24,759 | 823,980 | |||
Cadence Design Systems, Inc.(a) | 20,400 | 853,128 | |||
Cars.com, Inc.(a) | 1 | 29 | |||
Cisco Systems, Inc. | 346,329 | 13,264,401 | |||
Citrix Systems, Inc.(a) | 9,478 | 834,064 | |||
Cognizant Technology Solutions Corp. Class A | 42,227 | 2,998,962 | |||
Corning, Inc. | 62,850 | 2,010,572 | |||
CSRA, Inc. | 9,732 | 291,181 | |||
DXC Technology Co. | 19,291 | 1,830,716 | |||
eBay, Inc.(a) | 70,358 | 2,655,311 | |||
Electronic Arts, Inc.(a) | 21,521 | 2,260,996 | |||
F5 Networks, Inc.(a) | 5,059 | 663,842 | |||
Facebook, Inc. Class A(a) | 167,607 | 29,575,931 | |||
Fidelity National Information Services, Inc. | 24,386 | 2,294,479 | |||
Fiserv, Inc.(a) | 15,142 | 1,985,570 | |||
FLIR Systems, Inc. | 8,239 | 384,102 | |||
Gartner, Inc.(a) | 6,700 | 825,105 | |||
Global Payments, Inc. | 11,275 | 1,130,206 | |||
Hewlett Packard Enterprise Co. | 115,263 | 1,655,177 | |||
HP, Inc. | 120,363 | 2,528,827 | |||
Intel Corp. | 328,120 | 15,146,019 | |||
International Business Machines Corp. | 60,147 | 9,227,753 | |||
Intuit, Inc. | 17,326 | 2,733,696 | |||
Juniper Networks, Inc. | 27,844 | 793,554 | |||
KLA-Tencor Corp. | 11,473 | 1,205,468 | |||
Lam Research Corp.(b) | 11,581 | 2,131,715 | |||
Mastercard, Inc. Class A | 64,949 | 9,830,681 | |||
Microchip Technology, Inc.(b) | 16,206 | 1,424,183 | |||
Micron Technology, Inc.(a) | 81,128 | 3,335,983 | |||
Microsoft Corp. | 542,877 | 46,437,699 | |||
Motorola Solutions, Inc. | 12,428 | 1,122,746 | |||
NetApp, Inc. | 19,943 | 1,103,247 | |||
NVIDIA Corp. | 42,312 | 8,187,372 | |||
Oracle Corp. | 213,070 | 10,073,950 | |||
Paychex, Inc. | 23,831 | 1,622,414 | |||
PayPal Holdings, Inc.(a) | 80,758 | 5,945,404 | |||
Qorvo, Inc.(a) | 9,800 | 652,680 | |||
QUALCOMM, Inc. | 102,685 | 6,573,894 | |||
Red Hat, Inc.(a) | 12,530 | 1,504,853 | |||
salesforce.com, Inc.(a) | 49,005 | 5,009,781 | |||
Seagate Technology PLC(b) | 18,476 | 773,036 | |||
Skyworks Solutions, Inc. | 13,600 | 1,291,320 | |||
Symantec Corp. | 45,903 | 1,288,038 | |||
Synopsys, Inc.(a) | 11,300 | 963,212 | |||
TE Connectivity, Ltd. | 24,649 | 2,342,641 | |||
Texas Instruments, Inc. | 68,706 | 7,175,655 | |||
Total System Services, Inc. | 10,899 | 862,002 | |||
VeriSign, Inc.(a) (b) | 5,320 | 608,821 |
Security Description | Shares | Value | |||
Visa, Inc. Class A | 127,140 | $ 14,496,503 | |||
Western Digital Corp. | 21,706 | 1,726,278 | |||
Western Union Co. | 37,340 | 709,833 | |||
Xerox Corp. | 15,823 | 461,240 | |||
Xilinx, Inc.(b) | 18,542 | 1,250,102 | |||
382,073,799 | |||||
MATERIALS — 2.9% | |||||
Air Products & Chemicals, Inc. | 14,907 | 2,445,941 | |||
Albemarle Corp.(b) | 8,400 | 1,074,276 | |||
Avery Dennison Corp. | 6,518 | 748,657 | |||
Ball Corp. | 25,716 | 973,351 | |||
CF Industries Holdings, Inc. | 16,730 | 711,694 | |||
DowDuPont, Inc. | 163,832 | 11,668,115 | |||
Eastman Chemical Co. | 10,672 | 988,654 | |||
Ecolab, Inc. | 18,665 | 2,504,470 | |||
FMC Corp. | 10,522 | 996,013 | |||
Freeport-McMoRan, Inc.(a) | 99,564 | 1,887,733 | |||
International Flavors & Fragrances, Inc. | 5,880 | 897,347 | |||
International Paper Co. | 30,508 | 1,767,634 | |||
LyondellBasell Industries NV Class A | 22,052 | 2,432,777 | |||
Martin Marietta Materials, Inc. | 4,855 | 1,073,149 | |||
Monsanto Co. | 31,494 | 3,677,869 | |||
Mosaic Co. | 27,716 | 711,193 | |||
Newmont Mining Corp. | 36,973 | 1,387,227 | |||
Nucor Corp. | 21,906 | 1,392,783 | |||
Packaging Corp. of America | 6,900 | 831,795 | |||
PPG Industries, Inc. | 17,288 | 2,019,584 | |||
Praxair, Inc. | 20,800 | 3,217,344 | |||
Sealed Air Corp. | 11,269 | 555,562 | |||
Sherwin-Williams Co. | 5,587 | 2,290,893 | |||
Vulcan Materials Co. | 9,790 | 1,256,742 | |||
WestRock Co. | 19,148 | 1,210,345 | |||
48,721,148 | |||||
REAL ESTATE — 2.8% | |||||
Alexandria Real Estate Equities, Inc. REIT | 6,700 | 874,953 | |||
American Tower Corp. REIT | 30,582 | 4,363,134 | |||
Apartment Investment & Management Co. Class A, REIT | 11,865 | 518,619 | |||
AvalonBay Communities, Inc. REIT | 9,729 | 1,735,751 | |||
Boston Properties, Inc. REIT | 11,421 | 1,485,073 | |||
CBRE Group, Inc. Class A(a) | 21,708 | 940,174 | |||
Crown Castle International Corp. REIT | 28,242 | 3,135,145 | |||
Digital Realty Trust, Inc. REIT | 14,900 | 1,697,110 | |||
Duke Realty Corp. REIT | 26,000 | 707,460 | |||
Equinix, Inc. REIT | 5,338 | 2,419,288 | |||
Equity Residential REIT | 27,038 | 1,724,213 | |||
Essex Property Trust, Inc. REIT | 4,455 | 1,075,303 | |||
Extra Space Storage, Inc. REIT | 9,500 | 830,775 | |||
Federal Realty Investment Trust REIT | 5,400 | 717,174 | |||
GGP, Inc. REIT | 42,942 | 1,004,413 |
Security Description | Shares | Value | |||
HCP, Inc. REIT | 32,677 | $ 852,216 | |||
Host Hotels & Resorts, Inc. REIT | 54,259 | 1,077,041 | |||
Iron Mountain, Inc. REIT | 18,074 | 681,932 | |||
Kimco Realty Corp. REIT | 32,916 | 597,425 | |||
Macerich Co. REIT | 8,645 | 567,804 | |||
Mid-America Apartment Communities, Inc. REIT | 8,800 | 884,928 | |||
Prologis, Inc. REIT | 36,247 | 2,338,294 | |||
Public Storage REIT | 10,152 | 2,121,768 | |||
Realty Income Corp. REIT | 19,800 | 1,128,996 | |||
Regency Centers Corp. REIT | 10,899 | 753,993 | |||
SBA Communications Corp. REIT(a) | 8,800 | 1,437,568 | |||
Simon Property Group, Inc. REIT | 21,435 | 3,681,247 | |||
SL Green Realty Corp. REIT | 6,100 | 615,673 | |||
UDR, Inc. REIT | 20,100 | 774,252 | |||
Ventas, Inc. REIT | 23,803 | 1,428,418 | |||
Vornado Realty Trust REIT | 13,046 | 1,019,936 | |||
Welltower, Inc. REIT | 26,881 | 1,714,201 | |||
Weyerhaeuser Co. REIT | 55,198 | 1,946,282 | |||
46,850,559 | |||||
TELECOMMUNICATION SERVICES — 2.0% | |||||
AT&T, Inc. | 430,718 | 16,746,316 | |||
CenturyLink, Inc.(b) | 67,987 | 1,134,023 | |||
Verizon Communications, Inc. | 286,051 | 15,140,679 | |||
33,021,018 | |||||
UTILITIES — 2.8% | |||||
AES Corp. | 49,859 | 539,973 | |||
Alliant Energy Corp. | 14,700 | 626,367 | |||
Ameren Corp. | 16,456 | 970,739 | |||
American Electric Power Co., Inc. | 35,743 | 2,629,613 | |||
American Water Works Co., Inc. | 12,300 | 1,125,327 | |||
CenterPoint Energy, Inc. | 33,235 | 942,545 | |||
CMS Energy Corp. | 18,801 | 889,287 | |||
Consolidated Edison, Inc. | 21,500 | 1,826,425 | |||
Dominion Energy, Inc. | 44,368 | 3,596,470 | |||
DTE Energy Co. | 13,239 | 1,449,141 | |||
Duke Energy Corp. | 49,591 | 4,171,099 | |||
Edison International | 24,205 | 1,530,724 | |||
Entergy Corp. | 12,200 | 992,958 | |||
Eversource Energy | 22,043 | 1,392,677 | |||
Exelon Corp. | 69,359 | 2,733,438 | |||
FirstEnergy Corp. | 32,229 | 986,852 | |||
NextEra Energy, Inc. | 32,657 | 5,100,697 | |||
NiSource, Inc. | 23,078 | 592,412 | |||
NRG Energy, Inc. | 22,498 | 640,743 | |||
PG&E Corp. | 37,712 | 1,690,629 | |||
Pinnacle West Capital Corp. | 8,756 | 745,836 | |||
PPL Corp. | 50,456 | 1,561,613 | |||
Public Service Enterprise Group, Inc. | 37,536 | 1,933,104 | |||
SCANA Corp. | 11,501 | 457,510 | |||
Sempra Energy | 17,624 | 1,884,358 |
Security Description | Shares | Value | |||
Southern Co. | 69,084 | $ 3,322,250 | |||
WEC Energy Group, Inc. | 23,287 | 1,546,955 | |||
Xcel Energy, Inc. | 37,600 | 1,808,936 | |||
47,688,678 | |||||
TOTAL COMMON STOCKS (Cost $479,714,178) | 1,607,638,688 |
SHORT-TERM INVESTMENTS — 1.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.25% (d) (e) | 27,556,254 | 27,556,254 | |
State Street Navigator Securities Lending Government Money Market Portfolio (d) (f) | 818,690 | 818,690 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $28,374,944) | 28,374,944 | ||
TOTAL INVESTMENTS — 97.4% (Cost $508,089,122) | 1,636,013,632 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.6% | 43,236,032 | ||
NET ASSETS — 100.0% | $ 1,679,249,664 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2017. |
(c) | The Fund invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2017 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2017. |
(f) | Investment of cash collateral for securities loaned. |
ADR | =American Depositary Receipt |
REIT | =Real Estate Investment Trust |
Futures Contracts | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | |||||
E-Mini S&P 500 Index (long) | 03/16/2018 | 222 | $29,214,220 | $29,703,600 | $489,380 | |||||
$489,380 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $ 196,816,588 | $— | $— | $ 196,816,588 | ||||
Consumer Staples | 131,452,619 | — | — | 131,452,619 | ||||
Energy | 97,956,457 | — | — | 97,956,457 | ||||
Financials | 237,637,468 | — | — | 237,637,468 | ||||
Health Care | 220,859,525 | — | — | 220,859,525 | ||||
Industrials | 164,560,829 | — | — | 164,560,829 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Information Technology | 382,073,799 | $— | $— | 382,073,799 | ||||
Materials | 48,721,148 | — | — | 48,721,148 | ||||
Real Estate | 46,850,559 | — | — | 46,850,559 | ||||
Telecommunication Services | 33,021,018 | — | — | 33,021,018 | ||||
Utilities | 47,688,678 | — | — | 47,688,678 | ||||
Short-Term Investments | 28,374,944 | — | — | 28,374,944 | ||||
TOTAL INVESTMENTS | $1,636,013,632 | $— | $— | $1,636,013,632 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 489,380 | — | — | 489,380 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,636,503,012 | $— | $— | $1,636,503,012 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/16 | Value at 12/31/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/17 | Value at 12/31/17 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Corp. | 27,747 | $ 2,156,497 | $ — | $ 151,031 | $43,261 | $474,199 | 25,847 | $ 2,522,926 | $ 42,077 | $— | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 94,983,704 | 67,427,450 | — | — | 27,556,254 | 27,556,254 | 150,202 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 18,425,570 | 18,425,570 | 78,281,942 | 96,707,512 | — | — | — | — | 42,426 | — | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | — | — | 24,459,246 | 23,640,556 | — | — | 818,690 | 818,690 | 14,170 | — | |||||||||
Total | $20,582,067 | $197,724,892 | $187,926,549 | $43,261 | $474,199 | $30,897,870 | $248,875 | $— |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,605,115,762 |
Investments in affiliated issuers, at value | 30,897,870 |
Total Investments | 1,636,013,632 |
Cash at broker | 999,000 |
Cash | 1,165 |
Receivable for investments sold | 42,190,886 |
Dividends receivable — unaffiliated issuers | 1,646,970 |
Dividends receivable — affiliated issuers | 34,928 |
Securities lending income receivable — unaffiliated issuers | 2,691 |
Securities lending income receivable — affiliated issuers | 975 |
Receivable from Adviser | 3,701 |
TOTAL ASSETS | 1,680,893,948 |
LIABILITIES | |
Payable upon return of securities loaned | 818,690 |
Payable for investments purchased | 600,007 |
Payable to broker – variation margin on open futures contracts | 107,671 |
Advisory fee payable | 117,916 |
TOTAL LIABILITIES | 1,644,284 |
NET ASSETS | $1,679,249,664 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 478,977,048 |
Investments in affiliated issuers | 29,112,074 |
Total cost of investments | $ 508,089,122 |
* Includes investments in securities on loan, at value | $ 21,975,355 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 19,599 |
Dividend income — unaffiliated issuers | 31,762,872 |
Dividend income — affiliated issuers | 234,705 |
Unaffiliated securities lending income | 21,023 |
Affiliated securities lending income | 14,170 |
Foreign taxes withheld | (127,340) |
TOTAL INVESTMENT INCOME (LOSS) | 31,925,029 |
EXPENSES | |
Advisory fee | 708,813 |
Miscellaneous expenses | 76 |
TOTAL EXPENSES | 708,889 |
NET INVESTMENT INCOME (LOSS) | 31,216,140 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 92,151,713 |
Investments — affiliated issuers | 43,261 |
Futures contracts | 4,495,428 |
Net realized gain (loss) | 96,690,402 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 181,855,451 |
Investments — affiliated issuers | 474,199 |
Futures contracts | 682,055 |
Net change in unrealized appreciation/depreciation | 183,011,705 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 279,702,107 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $310,918,247 |
Year Ended 12/31/17 | Year Ended 12/31/16 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 31,216,140 | $ 33,251,620 | |
Net realized gain (loss) | 96,690,402 | 105,963,108 | |
Net change in unrealized appreciation/depreciation | 183,011,705 | 34,051,685 | |
Net increase (decrease) in net assets resulting from operations | 310,918,247 | 173,266,413 | |
FROM BENEFICIAL INTEREST TRANSACTIONS | |||
Contributions | 44,261,255 | 116,324,014 | |
Withdrawals | (194,742,512) | (372,376,185) | |
Net increase (decrease) in net assets from capital transactions | (150,481,257) | (256,052,171) | |
Net increase (decrease) in net assets during the period | 160,436,990 | (82,785,758) | |
Net assets at beginning of period | 1,518,812,674 | 1,601,598,432 | |
NET ASSETS AT END OF PERIOD | $1,679,249,664 | $1,518,812,674 |
Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | |||||
Total return (a) | 22.42%(b) | 11.90% | 1.41% | 13.62% | 32.30% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,679,250 | $1,518,813 | $1,601,598 | $2,869,323 | $2,739,594 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.05% | 0.05% | 0.05% | 0.050% | 0.05% | ||||
Net expenses | 0.05% | 0.04% | 0.05% | 0.05% | 0.05% | ||||
Net investment income (loss) | 1.98% | 2.18% | 2.00% | 1.98% | 2.05% | ||||
Portfolio turnover rate | 2% | 5% | 7%(c) | 2%(c) | 4%(c) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Reflects a non-recurring litigation payment received by the Portfolio from State Street Corp., an affiliate, which amounted to less than $0.01 per share outstanding as of March 8, 2017. This payment resulted in an increase to total return of less than 0.005% for the period ended December 31, 2017. |
(c) | Portfolio turnover rate excludes in-kind security transactions. |
Fund | Commencement of Operations | Diversification Classification |
State Street Equity 500 Index Portfolio | March 1, 2000 | Diversified |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Equity 500 Index Portfolio | |||||||||||
Futures Contracts (a) | $— | $— | $— | $489,380 | $— | $489,380 |
(a) | Unrealized appreciation on open futures contracts. The Statement of Assets and Liabilities only reflect the current day’s net variation margin. |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Equity 500 Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $4,495,428 | $— | $4,495,428 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Equity 500 Index Portfolio | |||||||||||
Futures Contracts | $— | $— | $— | $682,055 | $— | $682,055 |
Purchases | Sales | ||
State Street Equity 500 Index Portfolio | $35,529,815 | $192,019,343 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Portfolio | $568,146,969 | $1,141,277,507 | $72,921,464 | $1,068,356,043 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index Portfolio | $21,975,355 | $818,690 | $21,872,186 | $22,690,876 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 31, 2017 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Equity 500 Index Portfolio | Common Stocks | $818,690 | $— | $— | $— | $818,690 | $818,690 |
February 28, 2018
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Equity 500 Index Portfolio | 0.05% | $1,119.70 | $0.27 | $1,025.00 | $0.26 |
(a) | Hypothetical expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the year multiplied by184, then divided by 365. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 67 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 73 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 73 | None. | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 73 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 73 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee | Term: Indefinite Elected: 1/14 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 67 | None. | |||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 -1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998). | 73 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 73 | None. | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSGA Funds Management, Inc. One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | 234 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust. | ||||||||||
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Vice President at State Street Global Advisors (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | Assistant Vice President, SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Managing Director and Managing Counsel, State Street Global Advisors (2011 – present)*; Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | |||
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Portfolio's directors and is available, without charge, upon request and by calling 1-800-997-7327. |
State Street Financial Center
One Lincoln Street
Boston, MA 02111
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
State Street Dynamic Small Cap Fund (formerly, SSGA Dynamic Small Cap Fund) |
State Street Disciplined Emerging Markets Equity Fund |
State Street International Stock Selection Fund (formerly, SSGA International Stock Selection Fund) |
Management’s Discussion of Fund Performance, Performance Summary & Portfolio Statistics (Unaudited) | |
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Schedules of Investments | |
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(Based on Net Asset Value)
Total Return One Year Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street Dynamic Small Cap Fund Class A | 21.94% | 15.55% | 12.04% | 10.84% | 9.84% | 9.24% | ||
State Street Dynamic Small Cap Fund Class I | 22.29% | N/A | 12.29% | N/A | 9.98% | N/A | ||
State Street Dynamic Small Cap Fund Class K | 22.30% | N/A | 12.41% | N/A | 10.04% | N/A | ||
State Street Dynamic Small Cap Fund Class N | 21.99% | N/A | 12.18% | N/A | 9.92% | N/A | ||
Russell 2000® Index(1) | 25.45% | N/A | 13.00% | N/A | 10.46% | N/A | ||
(1) | The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 11% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. |
Description | % of Net Assets | ||
Haemonetics Corp. | 1.0% | ||
Insperity, Inc. | 0.9 | ||
Stamps.com, Inc. | 0.9 | ||
EMCOR Group, Inc. | 0.8 | ||
Integer Holdings Corp. | 0.8 | ||
TOTAL | 4.4% |
% of Net Assets | |||
Banks | 11.1% | ||
IT Services | 5.4 | ||
Specialty Retail | 5.2 | ||
Mortgage Real Estate Investment Trust (REITs) | 4.4 | ||
Semiconductors & Semiconductor Equipment | 4.4 | ||
Health Care Providers & Services | 4.2 | ||
Equity Real Estate Investment Trusts (REITs) | 4.0 | ||
Professional Services | 3.9 | ||
Health Care Equipment & Supplies | 3.8 | ||
Electronic Equipment, Instruments & Components | 3.6 | ||
Biotechnology | 3.5 | ||
Hotels, Restaurants & Leisure | 3.3 | ||
Oil, Gas & Consumable Fuels | 3.2 | ||
Commercial Services & Supplies | 3.1 | ||
Machinery | 2.7 | ||
Household Durables | 2.7 | ||
Internet Software & Services | 2.4 | ||
Trading Companies & Distributors | 2.3 | ||
Software | 2.1 | ||
Thrifts & Mortgage Finance | 2.0 | ||
Textiles, Apparel & Luxury Goods | 1.9 | ||
Construction & Engineering | 1.6 | ||
Insurance | 1.5 | ||
Chemicals | 1.5 | ||
Health Care Technology | 1.5 | ||
Life Sciences Tools & Services | 1.4 | ||
Metals & Mining | 1.4 | ||
Aerospace & Defense | 1.3 | ||
Building Products | 1.2 | ||
Pharmaceuticals | 1.1 | ||
Consumer Finance | 1.1 | ||
Media | 1.1 | ||
Auto Components | 1.0 | ||
Air Freight & Logistics | 0.7 | ||
Road & Rail | 0.7 | ||
Energy Equipment & Services | 0.6 | ||
Capital Markets | 0.4 | ||
Marine | 0.3 | ||
Distributors | 0.3 | ||
Leisure Equipment & Products | 0.3 | ||
Diversified Consumer Services | 0.3 | ||
Airlines | 0.2 | ||
Paper & Forest Products | 0.1 | ||
Electric Utilities | 0.1 | ||
Food & Staples Retailing | 0.1 | ||
Gas Utilities | 0.1 | ||
Food Products | 0.0* | ||
Short-Term Investments | 1.9 | ||
Liabilities in Excess of Other Assets | (1.0) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street Disciplined Emerging Markets Equity Fund Class A | (1.31%) | (6.48%) | 1.03% | (0.05%) | 0.42% | (0.13%) | ||
State Street Disciplined Emerging Markets Equity Fund Class I | (1.15%) | N/A | 1.28% | N/A | 0.60% | N/A | ||
State Street Disciplined Emerging Markets Equity Fund Class K | (1.22%) | N/A | 1.36% | N/A | 0.65% | N/A | ||
State Street Disciplined Emerging Markets Equity Fund Class N | (1.29%) | N/A | 1.17% | N/A | 0.55% | N/A | ||
MSCI ® Emerging Markets Index(1) | (0.68%) | N/A | 5.04% | N/A | 3.45% | N/A | ||
(1) | The MSCI® Emerging Markets Index is comprised of 26 countries. MSCI targets to capture 85% of free float-adjusted companies within each industry group in every country. Designation as an emerging market is determined by a number of factors, such as gross domestic product per capita; local government regulations; perceived investment risk; foreign ownership limits and capital controls; or the general perception by the investment community when determining an “emerging” classification of a market. |
Description | % of Net Assets | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3.2% | ||
Infosys, Ltd. | 3.0 | ||
Public Bank Bhd | 3.0 | ||
Chunghwa Telecom Co., Ltd. | 2.7 | ||
CNOOC, Ltd. | 2.7 | ||
TOTAL | 14.6% |
% of Net Assets | |||
Banks | 17.4% | ||
Diversified Telecommunication Services | 12.3 | ||
Oil, Gas & Consumable Fuels | 9.0 | ||
IT Services | 5.5 | ||
Semiconductors & Semiconductor Equipment | 5.2 | ||
Chemicals | 4.9 | ||
Independent Power Producers & Energy Traders | 3.9 | ||
Wireless Telecommunication Services | 3.4 | ||
Metals & Mining | 3.3 | ||
Real Estate Investment Trusts (REITs) | 3.1 | ||
Technology Hardware, Storage & Peripherals | 2.9 | ||
Transportation Infrastructure | 2.6 | ||
Household Durables | 1.8 | ||
Construction Materials | 1.8 | ||
Tobacco | 1.7 | ||
Food Products | 1.7 | ||
Electric Utilities | 1.4 | ||
Diversified Financial Services | 1.1 | ||
Paper & Forest Products | 1.1 | ||
Internet Software & Services | 1.0 | ||
Textiles, Apparel & Luxury Goods | 1.0 | ||
Pharmaceuticals | 1.0 | ||
Airlines | 0.9 | ||
Trading Companies & Distributors | 0.9 | ||
Construction & Engineering | 0.8 | ||
Road & Rail | 0.8 | ||
Food & Staples Retailing | 0.7 | ||
Life Sciences Tools & Services | 0.7 | ||
Water Utilities | 0.7 | ||
Specialty Retail | 0.6 | ||
Marine | 0.6 | ||
Insurance | 0.5 | ||
Commercial Services & Supplies | 0.5 | ||
Software | 0.4 | ||
Automobiles | 0.4 | ||
Electronic Equipment, Instruments & Components | 0.4 | ||
Capital Markets | 0.4 | ||
Gas Utilities | 0.4 | ||
Consumer Finance | 0.3 | ||
Personal Products | 0.2 | ||
Auto Components | 0.2 | ||
Beverages | 0.2 | ||
Air Freight & Logistics | 0.2 | ||
Health Care Providers & Services | 0.2 | ||
Media | 0.2 | ||
Short-Term Investments | 0.9 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2018 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street International Stock Selection Fund Class A | (3.35%) | (8.41%) | 4.90% | 3.77% | 2.15% | 1.61% | ||
State Street International Stock Selection Fund Class I | (2.84%) | N/A | 5.22% | N/A | 2.41% | N/A | ||
State Street International Stock Selection Fund Class K | (2.80%) | N/A | 5.31% | N/A | 2.45% | N/A | ||
State Street International Stock Selection Fund Class N | (3.06%) | N/A | 5.11% | N/A | 2.36% | N/A | ||
MSCI ® EAFE® Index (Net Dividend) (reflects no deduction for fees, expenses or taxes)(1) | 4.39% | N/A | 5.73% | N/A | 3.66% | N/A | ||
(1) | The MSCI® EAFE® Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. |
Description | % of Net Assets | ||
Novartis AG | 2.9% | ||
Toyota Motor Corp. | 2.4 | ||
Sanofi | 1.9 | ||
Astellas Pharma, Inc. | 1.8 | ||
Eni SpA | 1.8 | ||
TOTAL | 10.8% |
% of Net Assets | |||
Pharmaceuticals | 10.3% | ||
Banks | 8.4 | ||
Insurance | 8.1 | ||
Oil, Gas & Consumable Fuels | 5.7 | ||
Trading Companies & Distributors | 4.4 | ||
Automobiles | 3.9 | ||
Real Estate Investment Trusts (REITs) | 3.9 | ||
Food & Staples Retailing | 3.5 | ||
Technology Hardware, Storage & Peripherals | 3.3 | ||
Airlines | 2.9 | ||
Household Durables | 2.8 | ||
Electric Utilities | 2.7 | ||
Chemicals | 2.7 | ||
Construction & Engineering | 2.5 | ||
Diversified Telecommunication Services | 2.5 | ||
Paper & Forest Products | 2.5 | ||
Food Products | 2.4 | ||
Metals & Mining | 2.3 | ||
Beverages | 2.1 | ||
Capital Markets | 1.9 | ||
Auto Components | 1.7 | ||
Tobacco | 1.7 | ||
Electronic Equipment, Instruments & Components | 1.6 | ||
Building Products | 1.1 | ||
Wireless Telecommunication Services | 1.1 | ||
Machinery | 1.1 | ||
Multiline Retail | 1.0 | ||
Multi-Utilities | 1.0 | ||
Media | 0.9 | ||
IT Services | 0.9 | ||
Health Care Providers & Services | 0.8 | ||
Real Estate Management & Development | 0.7 | ||
Health Care Equipment & Supplies | 0.6 | ||
Electrical Equipment | 0.6 | ||
Aerospace & Defense | 0.6 | ||
Professional Services | 0.5 | ||
Gas Utilities | 0.5 | ||
Transportation Infrastructure | 0.5 | ||
Construction Materials | 0.5 | ||
Semiconductors & Semiconductor Equipment | 0.4 | ||
Industrial Conglomerates | 0.3 | ||
Consumer Finance | 0.3 | ||
Textiles, Apparel & Luxury Goods | 0.2 | ||
Marine | 0.2 | ||
Equity Real Estate Investment Trusts (REITs) | 0.1 | ||
Road & Rail | 0.1 | ||
Containers & Packaging | 0.1 | ||
Thrifts & Mortgage Finance | 0.1 | ||
Short-Term Investments | 2.0 | ||
Other Assets in Excess of Liabilities | 0.0* | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.1% | |||||
CONSUMER DISCRETIONARY — 16.1% | |||||
Aaron's, Inc. | 4,181 | $ 207,879 | |||
Abercrombie & Fitch Co. Class A | 4,808 | 104,189 | |||
American Eagle Outfitters, Inc. | 7,872 | 204,357 | |||
Asbury Automotive Group, Inc. (a) | 2,325 | 173,213 | |||
Bloomin' Brands, Inc. | 8,358 | 161,309 | |||
Brinker International, Inc. (b) | 4,391 | 194,434 | |||
Buckle, Inc. (b) | 879 | 22,634 | |||
Caleres, Inc. | 5,094 | 206,205 | |||
Cheesecake Factory, Inc. (b) | 1,961 | 104,266 | |||
Children's Place, Inc. (b) | 996 | 140,187 | |||
Citi Trends, Inc. | 1,397 | 43,223 | |||
Cooper-Standard Holdings, Inc. (a) | 1,389 | 192,279 | |||
Dine Brands Global, Inc. (b) | 1,923 | 160,417 | |||
DSW, Inc. Class A | 6,626 | 220,381 | |||
Escalade, Inc. | 581 | 7,727 | |||
Guess?, Inc. | 1,458 | 35,721 | |||
Helen of Troy, Ltd. (a) | 1,802 | 214,348 | |||
Johnson Outdoors, Inc. Class A | 351 | 35,549 | |||
La-Z-Boy, Inc. | 5,556 | 184,737 | |||
Malibu Boats, Inc. Class A (a) | 795 | 38,327 | |||
MCBC Holdings, Inc. (a) | 840 | 23,159 | |||
MDC Holdings, Inc. | 3,401 | 107,812 | |||
Movado Group, Inc. | 3,476 | 148,078 | |||
National CineMedia, Inc. | 19,530 | 177,723 | |||
New Media Investment Group, Inc. | 6,296 | 100,106 | |||
RCI Hospitality Holdings, Inc. | 4,827 | 156,540 | |||
Ruth's Hospitality Group, Inc. | 3,463 | 106,660 | |||
Speedway Motorsports, Inc. | 153 | 2,737 | |||
Steven Madden, Ltd. | 3,663 | 213,004 | |||
Strategic Education, Inc. | 642 | 89,090 | |||
Taylor Morrison Home Corp. Class A (a) | 6,059 | 117,908 | |||
TopBuild Corp. (a) | 1,610 | 100,271 | |||
Tower International, Inc. | 2,501 | 84,534 | |||
Weyco Group, Inc. | 2,344 | 83,142 | |||
Wolverine World Wide, Inc. | 3,723 | 145,867 | |||
4,308,013 | |||||
CONSUMER STAPLES — 0.1% | |||||
Fresh Del Monte Produce, Inc. | 250 | 9,360 | |||
Ingles Markets, Inc. Class A | 628 | 22,577 | |||
31,937 | |||||
ENERGY — 3.8% | |||||
Arch Coal, Inc. Class A (b) | 1,811 | 160,581 | |||
Archrock, Inc. | 1,267 | 16,028 | |||
California Resources Corp. (a)(b) | 881 | 36,597 | |||
CVR Energy, Inc. | 374 | 14,231 | |||
Delek US Holdings, Inc. | 279 | 15,206 | |||
Denbury Resources, Inc. (a) | 29,251 | 162,928 | |||
Exterran Corp. (a) | 2,973 | 81,430 | |||
Matrix Service Co. (a) | 1,027 | 21,464 | |||
NACCO Industries, Inc. Class A | 2,448 | 86,047 | |||
Northern Oil and Gas, Inc. (a) | 58,577 | 202,091 | |||
PDC Energy, Inc. (a) | 784 | 41,309 | |||
Peabody Energy Corp. | 978 | 40,401 |
Security Description | Shares | Value | |||
Pioneer Energy Services Corp. (a) | 3,321 | $ 10,627 | |||
SEACOR Holdings, Inc. (a) | 711 | 36,581 | |||
Talos Energy, Inc. (a) | 347 | 11,978 | |||
W&T Offshore, Inc. (a) | 11,741 | 79,487 | |||
1,016,986 | |||||
FINANCIALS — 20.5% | |||||
AG Mortgage Investment Trust, Inc. REIT | 443 | 8,328 | |||
AMERISAFE, Inc. | 2,836 | 180,937 | |||
Anworth Mortgage Asset Corp. REIT | 11,833 | 57,745 | |||
Ares Commercial Real Estate Corp. REIT | 12,263 | 179,285 | |||
Bank of NT Butterfield & Son, Ltd. | 3,858 | 203,857 | |||
BankFinancial Corp. | 2,142 | 34,165 | |||
Banner Corp. | 2,953 | 189,966 | |||
BrightSphere Investment Group PLC | 4,167 | 52,879 | |||
Cathay General Bancorp | 4,567 | 193,184 | |||
Central Pacific Financial Corp. | 5,190 | 147,033 | |||
Cherry Hill Mortgage Investment Corp. REIT | 749 | 13,931 | |||
Community Trust Bancorp, Inc. | 3,592 | 177,445 | |||
Diamond Hill Investment Group, Inc. | 16 | 2,985 | |||
Dynex Capital, Inc. REIT | 17,115 | 109,707 | |||
Federal Agricultural Mortgage Corp. Class C | 313 | 24,123 | |||
First Business Financial Services, Inc. | 3,811 | 84,452 | |||
First Community Bancshares, Inc. | 5,327 | 178,827 | |||
First Financial Corp. | 3,505 | 180,332 | |||
First Financial Northwest, Inc. | 5,600 | 97,776 | |||
First Merchants Corp. | 3,072 | 147,825 | |||
Flushing Financial Corp. | 6,422 | 166,458 | |||
Green Dot Corp. Class A (a) | 2,597 | 222,485 | |||
Heritage Financial Corp. (b) | 5,143 | 186,691 | |||
Independence Holding Co. | 1,412 | 49,773 | |||
Independent Bank Corp. | 6,645 | 165,793 | |||
International Bancshares Corp. | 4,273 | 200,190 | |||
Investors Bancorp, Inc. | 10,536 | 134,861 | |||
Ladder Capital Corp. REIT | 11,013 | 191,296 | |||
MBT Financial Corp. | 1,024 | 11,213 | |||
Nelnet, Inc. Class A | 1,295 | 74,657 | |||
Northrim BanCorp, Inc. | 3,860 | 171,963 | |||
Northwest Bancshares, Inc. | 10,422 | 189,889 | |||
Oppenheimer Holdings, Inc. Class A | 2,108 | 65,769 | |||
PennyMac Mortgage Investment Trust REIT (b) | 9,289 | 185,594 | |||
Peoples Bancorp, Inc. | 4,737 | 169,869 | |||
Redwood Trust, Inc. REIT | 11,002 | 186,814 | |||
Republic Bancorp, Inc. Class A | 3,606 | 175,288 | |||
Sutherland Asset Management Corp. REIT | 2,912 | 49,941 | |||
United Community Financial Corp. | 4,482 | 46,389 | |||
United Fire Group, Inc. | 3,341 | 165,480 | |||
Walker & Dunlop, Inc. | 1,113 | 60,658 | |||
Washington Federal, Inc. | 5,130 | 174,933 |
Security Description | Shares | Value | |||
Western Asset Mortgage Capital Corp. REIT | 16,514 | $ 183,801 | |||
5,494,587 | |||||
HEALTH CARE — 15.5% | |||||
ACADIA Pharmaceuticals, Inc. (a)(b) | 268 | 3,811 | |||
Acceleron Pharma, Inc. (a)(b) | 164 | 8,859 | |||
Aerie Pharmaceuticals, Inc. (a)(b) | 189 | 11,595 | |||
AMAG Pharmaceuticals, Inc. (a)(b) | 1,997 | 48,727 | |||
Amicus Therapeutics, Inc. (a)(b) | 1,547 | 20,854 | |||
AMN Healthcare Services, Inc. (a) | 3,147 | 183,470 | |||
Amneal Pharmaceuticals, Inc. (a) | 414 | 9,563 | |||
AnaptysBio, Inc. (a)(b) | 73 | 6,471 | |||
Arena Pharmaceuticals, Inc. (a) | 329 | 12,778 | |||
Array BioPharma, Inc. (a)(b) | 1,639 | 25,519 | |||
Arsanis, Inc. (a)(b) | 211 | 483 | |||
Atara Biotherapeutics, Inc. (a)(b) | 168 | 6,880 | |||
Blueprint Medicines Corp. (a) | 359 | 27,525 | |||
Cambrex Corp. (a) | 93 | 6,268 | |||
Chimerix, Inc. (a) | 3,336 | 13,311 | |||
Clovis Oncology, Inc. (a)(b) | 255 | 9,116 | |||
Concert Pharmaceuticals, Inc. (a) | 2,602 | 41,034 | |||
CONMED Corp. | 2,502 | 201,236 | |||
Corcept Therapeutics, Inc. (a) | 1,083 | 16,267 | |||
CorVel Corp. (a) | 2,694 | 160,158 | |||
CTI BioPharma Corp. (a)(b) | 192 | 361 | |||
CytomX Therapeutics, Inc. (a) | 290 | 6,522 | |||
Editas Medicine, Inc. (a)(b) | 194 | 6,369 | |||
Emergent BioSolutions, Inc. (a) | 1,230 | 76,260 | |||
Enanta Pharmaceuticals, Inc. (a) | 509 | 46,283 | |||
Endo International PLC (a)(b) | 5,004 | 85,819 | |||
Ensign Group, Inc. | 5,075 | 198,280 | |||
FibroGen, Inc. (a) | 854 | 52,222 | |||
Galectin Therapeutics, Inc. (a)(b) | 250 | 1,618 | |||
Global Blood Therapeutics, Inc. (a)(b) | 246 | 12,042 | |||
Haemonetics Corp. (a) | 2,303 | 257,107 | |||
Halozyme Therapeutics, Inc. (a) | 742 | 13,660 | |||
HealthStream, Inc. | 5,904 | 187,334 | |||
Heron Therapeutics, Inc. (a)(b) | 403 | 15,536 | |||
HMS Holdings Corp. (a) | 6,522 | 209,030 | |||
Horizon Pharma PLC (a) | 2,001 | 42,301 | |||
ImmunoGen, Inc. (a) | 1,592 | 16,222 | |||
Immunomedics, Inc. (a)(b) | 978 | 26,171 | |||
Insmed, Inc. (a)(b) | 380 | 7,573 | |||
Integer Holdings Corp. (a) | 2,821 | 225,398 | |||
Intellia Therapeutics, Inc. (a)(b) | 762 | 23,569 | |||
Intercept Pharmaceuticals, Inc. (a)(b) | 139 | 15,540 | |||
Iovance Biotherapeutics, Inc. (a)(b) | 743 | 13,151 | |||
Ironwood Pharmaceuticals, Inc. (a)(b) | 853 | 16,412 | |||
Ligand Pharmaceuticals, Inc. (a)(b) | 443 | 115,043 | |||
Loxo Oncology, Inc. (a)(b) | 232 | 39,203 | |||
Luminex Corp. | 5,535 | 156,142 | |||
Madrigal Pharmaceuticals, Inc. (a)(b) | 25 | 5,980 | |||
Mallinckrodt PLC (a) | 1,424 | 49,071 |
Security Description | Shares | Value | |||
Medicines Co. (a)(b) | 433 | $ 17,151 | |||
Medpace Holdings, Inc. (a) | 3,100 | 185,349 | |||
MiMedx Group, Inc. (a)(b) | 1,246 | 6,604 | |||
Momenta Pharmaceuticals, Inc. (a) | 332 | 8,798 | |||
MyoKardia, Inc. (a)(b) | 111 | 6,843 | |||
Myriad Genetics, Inc. (a) | 1,679 | 83,597 | |||
National HealthCare Corp. | 2,403 | 185,199 | |||
Orthofix Medical, Inc. (a) | 3,000 | 160,680 | |||
Pacira Pharmaceuticals, Inc. (a) | 120 | 5,658 | |||
Phibro Animal Health Corp. Class A | 753 | 35,542 | |||
Portola Pharmaceuticals, Inc. (a)(b) | 410 | 12,238 | |||
Prestige Consumer Healthcare, Inc. (a) | 192 | 7,392 | |||
Providence Service Corp. (a) | 2,329 | 156,369 | |||
PTC Therapeutics, Inc. (a) | 393 | 16,404 | |||
Puma Biotechnology, Inc. (a)(b) | 82 | 3,604 | |||
RadNet, Inc. (a) | 7,474 | 103,515 | |||
REGENXBIO, Inc. (a) | 199 | 14,020 | |||
Repligen Corp. (a)(b) | 134 | 7,354 | |||
Sangamo Therapeutics, Inc. (a)(b) | 1,041 | 18,998 | |||
Spark Therapeutics, Inc. (a)(b) | 165 | 10,166 | |||
Spectrum Pharmaceuticals, Inc. (a) | 1,110 | 23,898 | |||
Supernus Pharmaceuticals, Inc. (a) | 358 | 15,859 | |||
Syneos Health, Inc. (a) | 341 | 16,999 | |||
Tivity Health, Inc. (a)(b) | 3,578 | 123,083 | |||
Ultragenyx Pharmaceutical, Inc. (a)(b) | 372 | 31,520 | |||
Utah Medical Products, Inc. | 1,637 | 148,721 | |||
Xencor, Inc. (a) | 183 | 7,648 | |||
Zogenix, Inc. (a)(b) | 170 | 8,211 | |||
4,155,564 | |||||
INDUSTRIALS — 18.0% | |||||
ACCO Brands Corp. | 9,549 | 118,408 | |||
Applied Industrial Technologies, Inc. | 2,700 | 208,035 | |||
Briggs & Stratton Corp. | 7,160 | 144,346 | |||
CBIZ, Inc. (a) | 1,295 | 30,951 | |||
Comfort Systems USA, Inc. | 3,523 | 202,220 | |||
Continental Building Products, Inc. (a) | 4,936 | 184,113 | |||
Costamare, Inc. | 2,732 | 19,206 | |||
CRA International, Inc. | 3,074 | 175,710 | |||
CSW Industrials, Inc. (a) | 367 | 20,552 | |||
EMCOR Group, Inc. | 2,823 | 226,122 | |||
Forward Air Corp. | 3,098 | 199,077 | |||
FTI Consulting, Inc. (a) | 2,561 | 195,199 | |||
Gorman-Rupp Co. | 4,395 | 161,121 | |||
H&E Equipment Services, Inc. | 4,487 | 156,192 | |||
Hillenbrand, Inc. | 3,957 | 202,401 | |||
Insperity, Inc. | 1,971 | 236,224 | |||
Interface, Inc. | 7,167 | 168,783 | |||
Kforce, Inc. | 4,373 | 183,885 | |||
Knoll, Inc. | 7,071 | 166,451 | |||
Korn/Ferry International | 3,257 | 218,642 | |||
Masonite International Corp. (a) | 90 | 6,026 | |||
Matson, Inc. | 1,406 | 52,528 | |||
McGrath RentCorp | 3,083 | 178,814 | |||
Miller Industries, Inc. | 569 | 16,387 |
Security Description | Shares | Value | |||
Moog, Inc. Class A | 2,030 | $ 160,187 | |||
National Presto Industries, Inc. (b) | 1,334 | 176,888 | |||
Rush Enterprises, Inc. Class B | 1,676 | 74,247 | |||
Saia, Inc. (a) | 425 | 33,681 | |||
Simpson Manufacturing Co., Inc. | 1,534 | 117,765 | |||
SkyWest, Inc. | 815 | 53,220 | |||
Tetra Tech, Inc. | 3,098 | 216,240 | |||
Triton International, Ltd. | 4,514 | 170,539 | |||
Watts Water Technologies, Inc. Class A | 2,310 | 190,460 | |||
Werner Enterprises, Inc. | 4,413 | 163,502 | |||
4,828,122 | |||||
INFORMATION TECHNOLOGY — 17.9% | |||||
American Software, Inc. Class A | 9,084 | 163,330 | |||
Bottomline Technologies de, Inc. (a)(b) | 571 | 37,669 | |||
Brooks Automation, Inc. | 3,808 | 150,073 | |||
Cass Information Systems, Inc. | 1,088 | 77,825 | |||
Cirrus Logic, Inc. (a) | 2,352 | 103,370 | |||
CSG Systems International, Inc. | 3,574 | 133,489 | |||
Diodes, Inc. (a) | 4,974 | 188,614 | |||
Entegris, Inc. | 6,284 | 213,028 | |||
ePlus, Inc. (a) | 1,771 | 183,564 | |||
EVERTEC, Inc. | 7,595 | 182,660 | |||
Hackett Group, Inc. | 6,762 | 138,418 | |||
Insight Enterprises, Inc. (a) | 3,139 | 173,084 | |||
j2 Global, Inc. | 2,566 | 211,875 | |||
ManTech International Corp. Class A | 2,348 | 155,719 | |||
Nanometrics, Inc. (a) | 3,943 | 172,743 | |||
Novanta, Inc. (a) | 372 | 28,495 | |||
OSI Systems, Inc. (a) | 1,758 | 136,931 | |||
Perficient, Inc. (a) | 6,745 | 193,784 | |||
Progress Software Corp. | 4,917 | 201,253 | |||
Rambus, Inc. (a) | 14,255 | 174,196 | |||
Rosetta Stone, Inc. (a) | 10,930 | 172,694 | |||
Rudolph Technologies, Inc. (a) | 6,150 | 170,970 | |||
Sanmina Corp. (a) | 6,287 | 193,640 | |||
ScanSource, Inc. (a) | 1,122 | 45,609 | |||
Stamps.com, Inc. (a) | 911 | 226,338 | |||
Sykes Enterprises, Inc. (a) | 5,427 | 164,113 | |||
Travelport Worldwide, Ltd. | 10,711 | 198,903 | |||
Unisys Corp. (a)(b) | 11,655 | 216,783 | |||
Vishay Intertechnology, Inc. (b) | 8,036 | 191,257 | |||
XO Group, Inc. (a) | 6,004 | 180,480 | |||
4,780,907 | |||||
MATERIALS — 3.0% | |||||
Boise Cascade Co. | 674 | 29,454 | |||
Hawkins, Inc. | 94 | 3,882 | |||
Innophos Holdings, Inc. | 3,824 | 167,147 | |||
Kaiser Aluminum Corp. | 1,711 | 187,508 | |||
PolyOne Corp. | 867 | 36,639 | |||
Trinseo SA | 2,412 | 186,086 |
Security Description | Shares | Value | |||
Warrior Met Coal, Inc. (b) | 1,341 | $ 32,251 | |||
Worthington Industries, Inc. | 3,260 | 151,851 | |||
794,818 | |||||
REAL ESTATE — 4.0% | |||||
BRT Apartments Corp. REIT | 1,643 | 21,145 | |||
Chesapeake Lodging Trust REIT | 6,174 | 203,186 | |||
CoreCivic, Inc. REIT | 8,186 | 211,936 | |||
Ryman Hospitality Properties, Inc. REIT | 2,522 | 223,777 | |||
Tanger Factory Outlet Centers, Inc. REIT | 1,286 | 30,941 | |||
Tier REIT, Inc. | 7,770 | 185,237 | |||
Xenia Hotels & Resorts, Inc. REIT | 8,372 | 203,105 | |||
1,079,327 | |||||
UTILITIES — 0.2% | |||||
ONE Gas, Inc. | 449 | 35,260 | |||
PNM Resources, Inc. | 436 | 16,982 | |||
52,242 | |||||
TOTAL COMMON STOCKS (Cost $23,279,601) | 26,542,503 |
SHORT-TERM INVESTMENTS — 1.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.91% (c) (d) | 285,444 | 285,444 | |
State Street Navigator Securities Lending Government Money Market Portfolio (c) (e) | 229,827 | 229,827 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $515,271) | 515,271 | ||
TOTAL INVESTMENTS — 101.0% (Cost $23,794,872) | 27,057,774 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.0)% | (273,212) | ||
NET ASSETS — 100.0% | $ 26,784,562 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2018. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2018 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at August 31, 2018. |
(e) | Investment of cash collateral for securities loaned. |
REIT | =Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
E-mini Russell 2000 Index (long) | 3 | 09/21/2018 | $249,576 | $261,090 | $11,514 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $ 4,308,013 | $— | $— | $ 4,308,013 | ||||
Consumer Staples | 31,937 | — | — | 31,937 | ||||
Energy | 1,016,986 | — | — | 1,016,986 | ||||
Financials | 5,494,587 | — | — | 5,494,587 | ||||
Health Care | 4,155,564 | — | — | 4,155,564 | ||||
Industrials | 4,828,122 | — | — | 4,828,122 | ||||
Information Technology | 4,780,907 | — | — | 4,780,907 | ||||
Materials | 794,818 | — | — | 794,818 | ||||
Real Estate | 1,079,327 | — | — | 1,079,327 | ||||
Utilities | 52,242 | — | — | 52,242 | ||||
Short-Term Investments | 515,271 | — | — | 515,271 | ||||
TOTAL INVESTMENTS | $27,057,774 | $— | $— | $27,057,774 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 11,514 | — | — | 11,514 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $27,069,288 | $— | $— | $27,069,288 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/17 | Value at 8/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/18 | Value at 8/31/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 104,563 | $104,563 | $13,659,673 | $13,478,792 | $— | $— | 285,444 | $285,444 | $3,687 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 554,024 | 554,024 | 3,638,798 | 3,962,995 | — | — | 229,827 | 229,827 | 4,941 | — | |||||||||
Total | $658,587 | $17,298,471 | $17,441,787 | $— | $— | $515,271 | $8,628 | $— |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.3% | |||||
BRAZIL — 1.4% | |||||
Fibria Celulose SA | 27,500 | $ 534,593 | |||
Fibria Celulose SA ADR | 8,600 | 166,754 | |||
Itau Unibanco Holding SA Preference Shares | 28,100 | 291,617 | |||
992,964 | |||||
CHILE — 0.5% | |||||
Engie Energia Chile SA | 197,381 | 360,809 | |||
CHINA — 20.5% | |||||
Agricultural Bank of China, Ltd. Class H | 1,313,000 | 635,694 | |||
China Communications Services Corp., Ltd. Class H | 1,948,000 | 1,613,251 | |||
China Lilang, Ltd. | 189,000 | 209,498 | |||
China Longyuan Power Group Corp., Ltd. Class H | 135,000 | 113,693 | |||
China Mobile, Ltd. | 166,200 | 1,562,741 | |||
China Petroleum & Chemical Corp. Class H | 716,000 | 719,763 | |||
China Resources Pharmaceutical Group, Ltd. (a) | 228,000 | 364,858 | |||
China Resources Power Holdings Co., Ltd. | 344,000 | 619,737 | |||
China Shenhua Energy Co., Ltd. Class H | 421,500 | 939,799 | |||
China Shineway Pharmaceutical Group, Ltd. | 99,000 | 139,757 | |||
China Telecom Corp., Ltd. Class H | 194,000 | 91,207 | |||
CNOOC, Ltd. | 1,051,000 | 1,858,625 | |||
Daqin Railway Co., Ltd. Class A | 440,200 | 556,244 | |||
Guangdong Provincial Expressway Development Co., Ltd. Class B | 1,549,900 | 1,220,370 | |||
Hengan International Group Co., Ltd. | 13,500 | 121,519 | |||
Huaneng Power International, Inc. Class H | 402,000 | 258,141 | |||
Industrial & Commercial Bank of China, Ltd. Class H | 790,000 | 581,774 | |||
Jiangsu Expressway Co., Ltd. Class H | 406,000 | 513,142 | |||
Sinopec Engineering Group Co., Ltd. Class H | 113,000 | 117,769 | |||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 124,000 | 72,832 | |||
Tencent Holdings, Ltd. | 15,900 | 688,772 | |||
Want Want China Holdings, Ltd. | 137,000 | 111,887 | |||
Wuxi Little Swan Co., Ltd. Class B | 163,450 | 787,184 | |||
YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H (a) | 40,000 | 182,704 | |||
Yuexiu Transport Infrastructure, Ltd. (b) | 94,000 | 73,056 | |||
14,154,017 | |||||
CZECH REPUBLIC — 3.0% | |||||
CEZ A/S | 5,796 | 146,907 | |||
O2 Czech Republic A/S | 153,035 | 1,808,530 |
Security Description | Shares | Value | |||
Philip Morris CR A/S | 118 | $ 79,154 | |||
2,034,591 | |||||
GREECE — 1.2% | |||||
Aegean Airlines SA | 37,912 | 348,090 | |||
Motor Oil Hellas Corinth Refineries SA | 19,225 | 453,003 | |||
801,093 | |||||
HONG KONG — 0.6% | |||||
Yuexiu Real Estate Investment Trust | 646,000 | 438,692 | |||
HUNGARY — 0.6% | |||||
Magyar Telekom Telecommunications PLC | 244,605 | 358,546 | |||
MOL Hungarian Oil & Gas PLC | 7,503 | 76,520 | |||
435,066 | |||||
INDIA — 10.4% | |||||
Divi's Laboratories, Ltd. | 25,443 | 468,459 | |||
HCL Technologies, Ltd. | 45,748 | 674,969 | |||
Indraprastha Gas, Ltd. | 65,517 | 268,252 | |||
Infosys, Ltd. | 102,699 | 2,086,668 | |||
Jagran Prakashan, Ltd. | 60,211 | 107,261 | |||
JSW Steel, Ltd. | 166,081 | 928,094 | |||
Reliance Industries, Ltd. | 74,817 | 1,309,762 | |||
Tata Consultancy Services, Ltd. | 16,999 | 498,133 | |||
Tech Mahindra, Ltd. | 52,542 | 567,303 | |||
Vardhman Textiles, Ltd. | 17,448 | 270,627 | |||
7,179,528 | |||||
INDONESIA — 3.7% | |||||
Bank Central Asia Tbk PT | 168,000 | 282,851 | |||
Bank Rakyat Indonesia Persero Tbk PT | 682,200 | 147,278 | |||
Bank Tabungan Negara Persero Tbk PT | 4,439,800 | 828,883 | |||
Telekomunikasi Indonesia Persero Tbk PT | 5,570,000 | 1,319,708 | |||
2,578,720 | |||||
MALAYSIA — 5.5% | |||||
Carlsberg Brewery Malaysia Bhd Class B | 28,200 | 139,988 | |||
IGB Real Estate Investment Trust | 329,400 | 138,669 | |||
Malayan Banking Bhd | 132,535 | 321,219 | |||
MISC Bhd | 284,500 | 410,533 | |||
Padini Holdings Bhd | 291,500 | 424,180 | |||
PPB Group Bhd | 72,720 | 297,286 | |||
Public Bank Bhd | 336,100 | 2,054,467 | |||
3,786,342 | |||||
MEXICO — 2.0% | |||||
Bolsa Mexicana de Valores SAB de CV | 98,800 | 199,666 | |||
Grupo Financiero Banorte SAB de CV Series O | 99,500 | 681,518 | |||
Wal-Mart de Mexico SAB de CV | 176,100 | 487,506 | |||
1,368,690 | |||||
PAKISTAN — 2.9% | |||||
Hub Power Co. Ltd | 376,300 | 280,005 |
Security Description | Shares | Value | |||
Indus Motor Co., Ltd. | 14,220 | $ 173,321 | |||
Kot Addu Power Co., Ltd. | 305,500 | 139,597 | |||
MCB Bank, Ltd. | 320,700 | 519,810 | |||
National Bank of Pakistan (c) | 285,500 | 120,363 | |||
Nishat Mills, Ltd. | 172,400 | 188,092 | |||
Oil & Gas Development Co., Ltd. | 480,500 | 590,069 | |||
2,011,257 | |||||
PERU — 0.8% | |||||
Credicorp, Ltd. | 2,600 | 566,852 | |||
PHILIPPINES — 3.7% | |||||
Aboitiz Power Corp. | 420,800 | 291,195 | |||
Cebu Air, Inc. | 207,650 | 279,622 | |||
Globe Telecom, Inc. | 11,535 | 456,499 | |||
Manila Electric Co. | 72,240 | 504,496 | |||
Manila Water Co., Inc. | 987,800 | 450,780 | |||
Metro Pacific Investments Corp. | 5,752,700 | 586,373 | |||
2,568,965 | |||||
POLAND — 0.6% | |||||
Asseco Poland SA | 19,835 | 245,616 | |||
Neuca SA | 2,106 | 148,290 | |||
393,906 | |||||
QATAR — 2.1% | |||||
Barwa Real Estate Co. | 22,068 | 218,256 | |||
Masraf Al Rayan QSC | 11,084 | 114,767 | |||
Ooredoo QSC | 31,544 | 634,172 | |||
Qatar Islamic Bank SAQ | 11,709 | 450,222 | |||
1,417,417 | |||||
RUSSIA — 2.5% | |||||
Alrosa PJSC | 824,000 | 1,240,397 | |||
LUKOIL PJSC ADR | 2,436 | 168,084 | |||
Mobile TeleSystems PJSC ADR | 16,400 | 127,100 | |||
Novolipetsk Steel PJSC GDR | 6,600 | 159,984 | |||
1,695,565 | |||||
SINGAPORE — 0.9% | |||||
BOC Aviation, Ltd. (a) | 81,500 | 597,070 | |||
SOUTH AFRICA — 1.5% | |||||
Growthpoint Properties, Ltd. REIT | 264,339 | 457,624 | |||
Sappi, Ltd. | 11,381 | 77,750 | |||
Sasol, Ltd. ADR | 6,700 | 263,042 | |||
Standard Bank Group, Ltd. (b) | 16,727 | 212,107 | |||
1,010,523 | |||||
SOUTH KOREA — 7.5% | |||||
Coway Co., Ltd. | 1,926 | 158,143 | |||
Hyundai Glovis Co., Ltd. | 1,261 | 137,071 | |||
Hyundai Mobis Co., Ltd. | 797 | 160,381 | |||
KT Corp. | 31,131 | 808,234 | |||
KT&G Corp. | 11,927 | 1,082,178 | |||
Samsung Card Co., Ltd. | 5,345 | 169,260 | |||
Samsung Electronics Co., Ltd. Preference Shares | 19,451 | 693,711 | |||
Samsung Electronics Co., Ltd. | 24,120 | 1,049,826 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 539 | 128,316 |
Security Description | Shares | Value | |||
Woori Bank | 53,567 | $ 784,389 | |||
5,171,509 | |||||
TAIWAN — 20.8% | |||||
ASE Technology Holding Co., Ltd. (c) | 65,500 | 160,578 | |||
Asustek Computer, Inc. | 29,000 | 246,899 | |||
AU Optronics Corp. | 613,000 | 265,437 | |||
Cathay Financial Holding Co., Ltd. | 138,000 | 236,328 | |||
Chipbond Technology Corp. | 74,000 | 169,370 | |||
Chunghwa Telecom Co., Ltd. | 528,000 | 1,865,147 | |||
E.Sun Financial Holding Co., Ltd. | 903,487 | 664,783 | |||
First Financial Holding Co., Ltd. | 1,945,219 | 1,301,457 | |||
Formosa Chemicals & Fibre Corp. | 365,000 | 1,461,664 | |||
Formosa Plastics Corp. | 301,000 | 1,102,474 | |||
Fubon Financial Holding Co., Ltd. | 142,000 | 235,318 | |||
Greatek Electronics, Inc. | 212,000 | 360,983 | |||
Nan Ya Plastics Corp. | 160,000 | 444,864 | |||
Powertech Technology, Inc. | 225,000 | 667,345 | |||
Sampo Corp. | 799,000 | 349,880 | |||
Taiwan Cement Corp. | 892,100 | 1,230,032 | |||
Taiwan Mobile Co., Ltd. | 47,000 | 163,731 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 265,782 | 2,215,211 | |||
Taiwan Shin Kong Security Co., Ltd. | 288,000 | 344,587 | |||
Ttet Union Corp. | 65,000 | 206,121 | |||
Uni-President Enterprises Corp. | 224,960 | 568,351 | |||
Yuanta Financial Holding Co., Ltd. | 195,000 | 98,722 | |||
14,359,282 | |||||
THAILAND — 2.0% | |||||
Electricity Generating PCL (d) | 140,800 | 972,221 | |||
Land & Houses PCL (d) | 1,258,500 | 434,496 | |||
1,406,717 | |||||
TURKEY — 0.2% | |||||
Tofas Turk Otomobil Fabrikasi A/S | 39,360 | 137,270 | |||
UNITED ARAB EMIRATES — 3.4% | |||||
Abu Dhabi Commercial Bank PJSC | 651,901 | 1,260,089 | |||
Aldar Properties PJSC | 1,700,529 | 893,517 | |||
Dubai Islamic Bank PJSC | 122,804 | 171,176 | |||
2,324,782 | |||||
TOTAL COMMON STOCKS (Cost $55,559,488) | 67,791,627 |
SHORT-TERM INVESTMENTS — 0.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.91% (e) (f) | 377,932 | 377,932 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Government Money Market Portfolio (e) (g) | 253,892 | $ 253,892 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $631,824) | 631,824 | |||||
TOTAL INVESTMENTS — 99.2% (Cost $56,191,312) | 68,423,451 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 521,816 | |||||
NET ASSETS — 100.0% | $ 68,945,267 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.7% of net assets as of August 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2018. |
(c) | Non-income producing security. |
(d) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of August 31, 2018, total aggregate fair value of securities is $1,406,717 representing 2.0% of net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2018 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at August 31, 2018. |
(g) | Investment of cash collateral for securities loaned. |
ADR | = American Depositary Receipt |
GDR | = Global Depositary Receipt |
REIT | = Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI Emerging Markets Index (long) | 13 | 09/21/2018 | $720,637 | $685,685 | $(34,952) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Brazil | $ 992,964 | $ — | $— | $ 992,964 | ||||
Chile | 360,809 | — | — | 360,809 | ||||
China | 14,154,017 | — | — | 14,154,017 | ||||
Czech Republic | 2,034,591 | — | — | 2,034,591 | ||||
Greece | 801,093 | — | — | 801,093 | ||||
Hong Kong | 438,692 | — | — | 438,692 | ||||
Hungary | 435,066 | — | — | 435,066 | ||||
India | 7,179,528 | — | — | 7,179,528 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Indonesia | $ 2,578,720 | $ — | $— | $ 2,578,720 | ||||
Malaysia | 3,786,342 | — | — | 3,786,342 | ||||
Mexico | 1,368,690 | — | — | 1,368,690 | ||||
Pakistan | 2,011,257 | — | — | 2,011,257 | ||||
Peru | 566,852 | — | — | 566,852 | ||||
Philippines | 2,568,965 | — | — | 2,568,965 | ||||
Poland | 393,906 | — | — | 393,906 | ||||
Qatar | 1,417,417 | — | — | 1,417,417 | ||||
Russia | 1,695,565 | — | — | 1,695,565 | ||||
Singapore | 597,070 | — | — | 597,070 | ||||
South Africa | 1,010,523 | — | — | 1,010,523 | ||||
South Korea | 5,171,509 | — | — | 5,171,509 | ||||
Taiwan | 14,359,282 | — | — | 14,359,282 | ||||
Thailand | — | 1,406,717 | — | 1,406,717 | ||||
Turkey | 137,270 | — | — | 137,270 | ||||
United Arab Emirates | 2,324,782 | — | — | 2,324,782 | ||||
Short-Term Investments | 631,824 | — | — | 631,824 | ||||
TOTAL INVESTMENTS | $67,016,734 | $1,406,717 | $— | $68,423,451 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (34,952) | — | — | (34,952) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (34,952) | $ — | $— | $ (34,952) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/17 | Value at 8/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/18 | Value at 8/31/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,460,460 | $1,460,460 | $21,969,764 | $23,052,292 | $— | $— | 377,932 | $377,932 | $14,549 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | — | — | 2,354,113 | 2,100,221 | — | — | 253,892 | 253,892 | 1,143 | — | |||||||||
Total | $1,460,460 | $24,323,877 | $25,152,513 | $— | $— | $631,824 | $15,692 | $— |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.0% | |||||
AUSTRALIA — 8.1% | |||||
Ansell, Ltd. | 5,936 | $ 107,112 | |||
BHP Billiton, Ltd. | 14,121 | 337,134 | |||
BlueScope Steel, Ltd. | 99,841 | 1,242,437 | |||
Charter Hall Group REIT | 59,830 | 306,244 | |||
Coca-Cola Amatil, Ltd. | 44,482 | 300,274 | |||
Computershare, Ltd. | 20,281 | 280,228 | |||
CSR, Ltd. | 400,128 | 1,239,780 | |||
GPT Group REIT | 308,404 | 1,146,249 | |||
Macquarie Group, Ltd. | 7,905 | 735,368 | |||
Qantas Airways, Ltd. | 479,962 | 2,218,637 | |||
Regis Resources, Ltd. | 374,015 | 1,126,605 | |||
Sandfire Resources NL | 48,064 | 245,328 | |||
Scentre Group REIT | 418,726 | 1,237,201 | |||
Sonic Healthcare, Ltd. | 40,547 | 763,419 | |||
South32, Ltd. | 857,587 | 2,145,487 | |||
Stockland REIT | 930,725 | 2,763,376 | |||
Wesfarmers, Ltd. | 114,464 | 4,233,726 | |||
Woodside Petroleum, Ltd. | 10,908 | 289,126 | |||
20,717,731 | |||||
AUSTRIA — 0.1% | |||||
OMV AG | 4,392 | 232,622 | |||
BELGIUM — 0.6% | |||||
Ageas | 22,884 | 1,184,161 | |||
Colruyt SA | 4,946 | 293,942 | |||
1,478,103 | |||||
CHINA — 1.2% | |||||
BOC Hong Kong Holdings, Ltd. | 649,500 | 3,169,403 | |||
DENMARK — 3.6% | |||||
Danske Bank A/S | 116,297 | 3,421,618 | |||
Dfds A/S | 8,995 | 474,527 | |||
GN Store Nord A/S | 18,695 | 969,653 | |||
H Lundbeck A/S | 17,571 | 1,030,916 | |||
Novo Nordisk A/S Class B | 25,890 | 1,268,861 | |||
Orsted A/S (a) | 4,334 | 273,988 | |||
Royal Unibrew A/S | 10,454 | 900,982 | |||
Sydbank A/S | 16,968 | 496,712 | |||
Topdanmark A/S | 11,885 | 510,029 | |||
9,347,286 | |||||
FINLAND — 2.0% | |||||
Stora Enso Oyj Class R | 210,019 | 3,909,005 | |||
UPM-Kymmene Oyj | 31,846 | 1,227,246 | |||
5,136,251 | |||||
FRANCE — 7.9% | |||||
AXA SA | 18,617 | 469,903 | |||
Bouygues SA | 5,700 | 251,617 | |||
Capgemini SE | 1,995 | 256,463 | |||
Cie de Saint-Gobain | 60,328 | 2,595,503 | |||
Cie Generale des Etablissements Michelin SCA | 27,955 | 3,308,152 | |||
CNP Assurances | 99,677 | 2,298,961 | |||
Eiffage SA | 2,343 | 263,696 | |||
Faurecia SA | 3,311 | 202,846 | |||
Orange SA | 16,311 | 264,115 |
Security Description | Shares | Value | |||
Pernod Ricard SA | 1,609 | $ 254,000 | |||
Safran SA | 2,370 | 308,935 | |||
Sanofi | 56,677 | 4,847,905 | |||
Schneider Electric SE | 3,108 | 253,399 | |||
Sopra Steria Group | 1,510 | 268,869 | |||
TOTAL SA | 26,755 | 1,672,979 | |||
Veolia Environnement SA | 126,831 | 2,673,498 | |||
Vinci SA | 2,773 | 265,741 | |||
20,456,582 | |||||
GERMANY — 6.3% | |||||
Allianz SE | 7,042 | 1,501,074 | |||
AURELIUS Equity Opportunities SE & Co. KGaA | 3,618 | 182,598 | |||
Aurubis AG | 3,175 | 233,580 | |||
BASF SE | 23,602 | 2,183,189 | |||
Bayer AG | 39,629 | 3,697,429 | |||
Covestro AG (a) | 28,367 | 2,416,183 | |||
Deutsche Lufthansa AG | 79,551 | 2,076,700 | |||
Deutsche Pfandbriefbank AG (a) | 18,546 | 271,244 | |||
Fresenius Medical Care AG & Co. KGaA | 2,773 | 280,869 | |||
Hannover Rueck SE | 4,087 | 561,213 | |||
HUGO BOSS AG | 2,949 | 235,574 | |||
LEG Immobilien AG | 2,502 | 305,376 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1,271 | 274,113 | |||
Rheinmetall AG | 2,215 | 241,474 | |||
Sartorius AG Preference Shares | 1,872 | 339,845 | |||
Schaeffler AG Preference Shares | 17,589 | 238,872 | |||
Siltronic AG | 6,423 | 930,446 | |||
Volkswagen AG Preference Shares | 1,569 | 256,500 | |||
16,226,279 | |||||
HONG KONG — 3.1% | |||||
CK Asset Holdings, Ltd. | 177,000 | 1,261,749 | |||
CLP Holdings, Ltd. | 120,000 | 1,410,416 | |||
HKT Trust & HKT, Ltd. | 220,000 | 284,224 | |||
Hysan Development Co., Ltd. | 49,000 | 251,282 | |||
Jardine Matheson Holdings, Ltd. | 6,300 | 397,656 | |||
Kerry Properties, Ltd. | 75,500 | 286,176 | |||
Link REIT | 276,000 | 2,749,890 | |||
Sun Hung Kai Properties, Ltd. | 56,000 | 831,215 | |||
Swire Pacific, Ltd. Class A | 25,000 | 282,688 | |||
Yue Yuen Industrial Holdings, Ltd. | 95,000 | 263,258 | |||
8,018,554 | |||||
IRELAND — 0.1% | |||||
Smurfit Kappa Group PLC | 7,036 | 287,316 | |||
ISRAEL — 0.8% | |||||
Bank Hapoalim BM | 97,616 | 731,646 | |||
Bank Leumi Le-Israel BM | 202,413 | 1,360,463 | |||
2,092,109 | |||||
ITALY — 2.7% | |||||
Enel SpA | 46,800 | 231,416 | |||
Eni SpA | 249,952 | 4,636,306 | |||
Italgas SpA | 47,835 | 258,411 |
Security Description | Shares | Value | |||
Poste Italiane SpA (a) | 60,955 | $ 469,237 | |||
Saras SpA | 127,584 | 322,547 | |||
Snam SpA | 262,332 | 1,076,719 | |||
6,994,636 | |||||
JAPAN — 23.6% | |||||
AGC, Inc. | 6,700 | 268,338 | |||
Alfresa Holdings Corp. | 34,100 | 855,339 | |||
Asahi Kasei Corp. | 20,800 | 305,139 | |||
Astellas Pharma, Inc. | 279,300 | 4,730,831 | |||
Canon, Inc. | 104,200 | 3,341,415 | |||
Central Japan Railway Co. | 1,400 | 281,172 | |||
Daiwa House Industry Co., Ltd. | 7,400 | 225,710 | |||
FUJIFILM Holdings Corp. | 86,700 | 3,666,666 | |||
Heiwado Co., Ltd. | 15,200 | 397,818 | |||
Hitachi, Ltd. | 622,000 | 4,061,390 | |||
Honda Motor Co., Ltd. | 119,300 | 3,534,656 | |||
ITOCHU Corp. | 208,600 | 3,648,763 | |||
Japan Airlines Co., Ltd. | 83,800 | 3,020,601 | |||
JXTG Holdings, Inc. | 41,100 | 289,413 | |||
Kajima Corp. | 58,000 | 417,604 | |||
Kirin Holdings Co., Ltd. | 14,700 | 363,498 | |||
Konica Minolta, Inc. | 91,500 | 931,388 | |||
Marubeni Corp. | 368,100 | 3,020,070 | |||
Maruha Nichiro Corp. (b) | 6,900 | 239,398 | |||
Medipal Holdings Corp. | 15,400 | 310,606 | |||
Mitsui & Co., Ltd. | 206,700 | 3,446,240 | |||
Mitsui Chemicals, Inc. | 83,700 | 2,165,006 | |||
Nippon Telegraph & Telephone Corp. | 95,000 | 4,232,292 | |||
NTT DOCOMO, Inc. | 109,300 | 2,838,003 | |||
Resona Holdings, Inc. | 48,300 | 273,820 | |||
Shionogi & Co., Ltd. | 5,400 | 313,765 | |||
Sumitomo Electric Industries, Ltd. | 36,300 | 574,344 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 34,700 | 1,393,184 | |||
Taisei Corp. | 70,600 | 3,157,969 | |||
Tokyo Gas Co., Ltd. | 42,300 | 1,002,393 | |||
Toyota Motor Corp. | 98,600 | 6,149,743 | |||
Toyota Tsusho Corp. | 37,400 | 1,275,727 | |||
60,732,301 | |||||
LUXEMBOURG — 0.1% | |||||
ArcelorMittal | 7,767 | 233,863 | |||
NETHERLANDS — 3.1% | |||||
ABN AMRO Group NV (a) | 32,953 | 892,377 | |||
Euronext NV (a) | 4,053 | 266,276 | |||
Koninklijke Ahold Delhaize NV | 135,895 | 3,306,233 | |||
NN Group NV | 37,983 | 1,628,198 | |||
Royal Dutch Shell PLC Class A | 7,869 | 255,197 | |||
Royal Dutch Shell PLC Class B | 7,572 | 249,394 | |||
Wolters Kluwer NV | 19,743 | 1,251,251 | |||
7,848,926 | |||||
NORWAY — 3.6% | |||||
Austevoll Seafood ASA | 55,328 | 728,369 | |||
DNB ASA | 198,454 | 4,041,896 | |||
Equinor ASA (b) | 79,479 | 2,038,591 | |||
Marine Harvest ASA (b) | 13,288 | 287,035 |
Security Description | Shares | Value | |||
Salmar ASA | 19,070 | $ 919,146 | |||
Telenor ASA | 71,069 | 1,339,829 | |||
9,354,866 | |||||
SINGAPORE — 0.2% | |||||
Oversea-Chinese Banking Corp., Ltd. | 60,500 | 498,087 | |||
SPAIN — 4.4% | |||||
ACS Actividades de Construccion y Servicios SA | 46,169 | 1,922,833 | |||
Aena SME SA (a) | 1,476 | 261,273 | |||
Amadeus IT Group SA | 17,652 | 1,637,526 | |||
Enagas SA | 9,889 | 274,914 | |||
Ence Energia y Celulosa SA | 32,689 | 306,775 | |||
Endesa SA | �� | 111,931 | 2,506,232 | ||
Iberdrola SA | 148,324 | 1,105,657 | |||
Repsol SA | 176,884 | 3,401,094 | |||
11,416,304 | |||||
SWEDEN — 3.3% | |||||
Castellum AB | 18,023 | 325,966 | |||
Sandvik AB | 36,407 | 637,162 | |||
Skandinaviska Enskilda Banken AB Class A | 62,652 | 668,643 | |||
SKF AB Class B | 20,148 | 387,201 | |||
Swedbank AB Class A | 12,722 | 296,030 | |||
Swedish Match AB | 80,869 | 4,323,259 | |||
Volvo AB Class B | 110,439 | 1,902,007 | |||
8,540,268 | |||||
SWITZERLAND — 8.3% | |||||
ABB, Ltd. | 58,761 | 1,385,286 | |||
Baloise Holding AG | 8,581 | 1,319,132 | |||
Cembra Money Bank AG | 7,277 | 680,964 | |||
Flughafen Zurich AG | 4,225 | 873,552 | |||
Logitech International SA | 9,599 | 473,785 | |||
Nestle SA | 8,363 | 702,173 | |||
Novartis AG | 90,135 | 7,474,905 | |||
Roche Holding AG | 5,448 | 1,353,498 | |||
Swiss Life Holding AG (c) | 7,287 | 2,640,386 | |||
Swisscom AG | 580 | 259,048 | |||
Zurich Insurance Group AG | 13,601 | 4,142,394 | |||
21,305,123 | |||||
UNITED KINGDOM — 14.9% | |||||
3i Group PLC | 189,023 | 2,196,708 | |||
Aviva PLC | 38,087 | 239,483 | |||
Barratt Developments PLC | 68,320 | 480,068 | |||
Bellway PLC | 39,099 | 1,479,132 | |||
Berkeley Group Holdings PLC | 22,939 | 1,083,402 | |||
BP PLC | 35,911 | 254,806 | |||
British Land Co. PLC REIT | 30,342 | 250,025 | |||
Diageo PLC | 101,708 | 3,552,950 | |||
Direct Line Insurance Group PLC | 772,794 | 3,315,251 | |||
GlaxoSmithKline PLC | 95,879 | 1,939,614 | |||
IG Group Holdings PLC | 23,036 | 269,980 | |||
Legal & General Group PLC | 73,520 | 242,386 | |||
Lloyds Banking Group PLC | 5,443,722 | 4,185,106 | |||
Man Group PLC | 635,601 | 1,415,675 |
Security Description | Shares | Value | |||
Meggitt PLC | 136,732 | $ 954,047 | |||
Mondi PLC | 33,403 | 928,899 | |||
Next PLC | 36,289 | 2,587,578 | |||
Pearson PLC (b) | 201,355 | 2,394,843 | |||
Persimmon PLC | 114,228 | 3,603,052 | |||
QinetiQ Group PLC | 87,744 | 308,278 | |||
Redrow PLC | 68,729 | 487,843 | |||
Rio Tinto PLC | 4,892 | 232,062 | |||
Rio Tinto, Ltd. | 4,388 | 229,461 | |||
Smith & Nephew PLC | 19,803 | 348,519 | |||
SSE PLC (b) | 94,280 | 1,531,533 | |||
Tate & Lyle PLC | 374,347 | 3,253,600 | |||
Tesco PLC | 169,129 | 540,494 | |||
38,304,795 | |||||
TOTAL COMMON STOCKS (Cost $249,800,139) | 252,391,405 |
SHORT-TERM INVESTMENTS — 2.0% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.91% (d) (e) | 2,856,141 | 2,856,141 | |
State Street Navigator Securities Lending Government Money Market Portfolio (d) (f) | 2,211,582 | 2,211,582 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $5,067,723) | 5,067,723 | ||
TOTAL INVESTMENTS — 100.0% (Cost $254,867,862) | 257,459,128 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (g) | 55,367 | ||
NET ASSETS — 100.0% | $ 257,514,495 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.9% of net assets as of August 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2018. |
(c) | Non-income producing security. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2018 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at August 31, 2018. |
(f) | Investment of cash collateral for securities loaned. |
(g) | Amount is less than 0.05% of net assets. |
REIT | = Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI EAFE Index (long) | 27 | 09/21/2018 | $2,668,129 | $2,644,380 | $(23,749) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | ||||||||
Australia | $ 20,717,731 | $— | $— | $ 20,717,731 | ||||
Austria | 232,622 | — | — | 232,622 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Belgium | $ 1,478,103 | $— | $— | $ 1,478,103 | ||||
China | 3,169,403 | — | — | 3,169,403 | ||||
Denmark | 9,347,286 | — | — | 9,347,286 | ||||
Finland | 5,136,251 | — | — | 5,136,251 | ||||
France | 20,456,582 | — | — | 20,456,582 | ||||
Germany | 16,226,279 | — | — | 16,226,279 | ||||
Hong Kong | 8,018,554 | — | — | 8,018,554 | ||||
Ireland | 287,316 | — | — | 287,316 | ||||
Israel | 2,092,109 | — | — | 2,092,109 | ||||
Italy | 6,994,636 | — | — | 6,994,636 | ||||
Japan | 60,732,301 | — | — | 60,732,301 | ||||
Luxembourg | 233,863 | — | — | 233,863 | ||||
Netherlands | 7,848,926 | — | — | 7,848,926 | ||||
Norway | 9,354,866 | — | — | 9,354,866 | ||||
Singapore | 498,087 | — | — | 498,087 | ||||
Spain | 11,416,304 | — | — | 11,416,304 | ||||
Sweden | 8,540,268 | — | — | 8,540,268 | ||||
Switzerland | 21,305,123 | — | — | 21,305,123 | ||||
United Kingdom | 38,304,795 | — | — | 38,304,795 | ||||
Short-Term Investments | 5,067,723 | — | — | 5,067,723 | ||||
TOTAL INVESTMENTS | $257,459,128 | $— | $— | $257,459,128 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (23,749) | — | — | (23,749) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (23,749) | $— | $— | $ (23,749) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/17 | Value at 8/31/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/18 | Value at 8/31/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 100 | $100 | $32,334,378 | $29,478,337 | $— | $— | 2,856,141 | $2,856,141 | $16,514 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | — | — | 58,268,553 | 56,056,971 | — | — | 2,211,582 | 2,211,582 | 81,555 | — | |||||||||
Total | $100 | $90,602,931 | $85,535,308 | $— | $— | $5,067,723 | $98,069 | $— |
State Street Dynamic Small Cap Fund | State Street Disciplined Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $26,542,503 | $67,791,627 | $252,391,405 | ||
Investments in affiliated issuers, at value | 515,271 | 631,824 | 5,067,723 | ||
Total Investments | 27,057,774 | 68,423,451 | 257,459,128 | ||
Foreign currency, at value | — | 704,769 | 1,422,173 | ||
Cash at broker | — | 72,752 | 126,123 | ||
Cash | — | 1,546 | — | ||
Receivable from broker — variation margin on open futures contracts | 11,520 | — | — | ||
Receivable for investments sold | 2,347 | — | — | ||
Receivable for fund shares sold | 340 | 1,869 | 44,836 | ||
Dividends receivable — unaffiliated issuers | 16,116 | 235,629 | 621,427 | ||
Dividends receivable — affiliated issuers | 2 | 1 | 28 | ||
Securities lending income receivable — unaffiliated issuers | 312 | — | — | ||
Securities lending income receivable — affiliated issuers | 123 | 51 | — | ||
Receivable from Adviser | 15,340 | 19,352 | 36,091 | ||
Receivable for foreign taxes recoverable | — | 292,129 | 417,940 | ||
Prepaid expenses and other assets | 334 | 861 | 3,373 | ||
TOTAL ASSETS | 27,104,208 | 69,752,410 | 260,131,119 | ||
LIABILITIES | |||||
Deposit from Broker | 315 | — | — | ||
Payable upon return of securities loaned | 229,827 | 253,892 | 2,211,582 | ||
Payable for fund shares repurchased | 1,022 | 122,868 | 70,147 | ||
Payable to broker – variation margin on open futures contracts | — | 34,917 | 23,690 | ||
Deferred foreign taxes payable | — | 245,338 | — | ||
Advisory fee payable | 17,031 | 39,339 | 164,096 | ||
Custodian fees payable | 1,823 | 9,333 | 9,414 | ||
Administration fees payable | 935 | 4,014 | 9,124 | ||
Shareholder servicing fee payable | 1,690 | 1,022 | 3,229 | ||
Distribution fees payable | 4,730 | 12,534 | 36,391 | ||
Trustees’ fees and expenses payable | 42 | 86 | 268 | ||
Transfer agent fees payable | 15,978 | 20,360 | 24,567 | ||
Sub-transfer agent fee payable | 2,371 | 1,280 | 323 | ||
Registration and filing fees payable | 1,700 | 1,964 | 1,061 | ||
Professional fees payable | 35,137 | 35,225 | 38,735 | ||
Printing and postage fees payable | 5,567 | 17,514 | 21,020 | ||
Accrued expenses and other liabilities | 1,478 | 7,457 | 2,977 | ||
TOTAL LIABILITIES | 319,646 | 807,143 | 2,616,624 | ||
NET ASSETS | $26,784,562 | $68,945,267 | $257,514,495 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $23,289,803 | $45,297,596 | $253,050,643 | ||
Undistributed (distribution in excess of) net investment income (loss) | 240,080 | 1,935,243 | 5,228,888 | ||
Accumulated net realized gain (loss) on investments, foreign currency transactions and futures contracts | (19,737) | 9,806,567 | (3,326,054) | ||
Net unrealized appreciation (depreciation) on: | |||||
Investments — unaffiliated issuers** | 3,262,902 | 11,986,801 | 2,591,266 | ||
Foreign currency translations | — | (45,988) | (6,499) | ||
Futures contracts | 11,514 | (34,952) | (23,749) | ||
NET ASSETS | $26,784,562 | $68,945,267 | $257,514,495 | ||
Class A | |||||
Net Assets | $ 270,186 | $ 52,344 | $ 6,933,381 | ||
Shares Outstanding | 4,947 | 6,577 | 632,454 | ||
Net asset value, offering and redemption price per share | $ 54.62 | $ 7.96 | $ 10.96 | ||
Maximum sales charge | 5.25% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 57.65 | $ 8.40 | $ 11.57 | ||
Class I | |||||
Net Assets | $ 1,644,899 | $ 1,567,628 | $ 2,550,865 | ||
Shares Outstanding | 29,903 | 195,293 | 230,952 | ||
Net asset value, offering and redemption price per share | $ 55.01 | $ 8.03 | $ 11.05 |
State Street Dynamic Small Cap Fund | State Street Disciplined Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
Class K | |||||
Net Assets | $ 14,743 | $ 952,208 | $ 67,632,001 | ||
Shares Outstanding | 268 | 118,271 | 6,123,953 | ||
Net asset value, offering and redemption price per share | $ 55.11(a) | $ 8.05 | $ 11.04 | ||
Class N | |||||
Net Assets | $24,854,734 | $66,373,087 | $180,398,248 | ||
Shares Outstanding | 452,355 | 8,279,281 | 16,334,592 | ||
Net asset value, offering and redemption price per share | $ 54.95 | $ 8.02 | $ 11.04 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $23,279,601 | $55,559,488 | $249,800,139 | ||
Investments in affiliated issuers | 515,271 | 631,824 | 5,067,723 | ||
Total cost of investments | $23,794,872 | $56,191,312 | $254,867,862 | ||
Foreign currency, at cost | $ — | $ 708,702 | $ 1,429,271 | ||
* Includes investments in securities on loan, at value | $ 2,077,801 | $ 232,753 | $ 3,448,972 | ||
** Includes deferred foreign taxes | $ — | $ 245,338 | $ — |
(a) | Due to small class size; calculation of net assets value (total net assets/ shares outstanding) will not agree to net asset value shown. |
State Street Dynamic Small Cap Fund | State Street Disciplined Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers | $ 43 | $ 36,755 | $ 440 | ||
Dividend income — unaffiliated issuers | 505,169 | 3,085,830 | 10,984,562 | ||
Dividend income — affiliated issuers | 3,687 | 14,549 | 16,514 | ||
Unaffiliated securities lending income | 3,076 | 413 | — | ||
Affiliated securities lending income | 4,941 | 1,143 | 81,555 | ||
Foreign taxes withheld | — | (72,767) | (1,005,459) | ||
Other income | 40,425 | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 557,341 | 3,065,923 | 10,077,612 | ||
EXPENSES | |||||
Advisory fee | 210,735 | 604,146 | 2,162,930 | ||
Administration fees | 14,049 | 40,276 | 144,195 | ||
Shareholder servicing fees | |||||
Class N | 5,826 | 18,600 | 47,078 | ||
Distribution fees | |||||
Class A | 661 | 135 | 17,283 | ||
Class N | 59,582 | 174,372 | 460,548 | ||
Custodian fees | 39,198 | 163,686 | 152,643 | ||
Trustees’ fees and expenses | 19,902 | 21,982 | 29,623 | ||
Transfer agent fees | 100,328 | 119,498 | 140,577 | ||
Sub-transfer agent fee | |||||
Class A | 127 | — | 17,280 | ||
Class I | — | — | 213 | ||
Registration and filing fees | 67,498 | 60,066 | 58,958 | ||
Professional fees and expenses | 32,205 | 43,168 | 58,224 | ||
Printing and postage fees | 10,679 | 25,222 | 76,131 | ||
Insurance expense | 288 | 908 | 3,119 | ||
Miscellaneous expenses | 7,866 | 22,096 | 24,587 | ||
TOTAL EXPENSES | 568,944 | 1,294,155 | 3,393,389 | ||
Expenses waived/reimbursed by the Adviser | (262,806) | (295,522) | (678,163) | ||
NET EXPENSES | 306,138 | 998,633 | 2,715,226 | ||
NET INVESTMENT INCOME (LOSS) | 251,203 | 2,067,290 | 7,362,386 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers* | 4,339,655 | 11,413,825 | 15,446,040 | ||
Foreign currency transactions | — | (109,903) | (52,695) | ||
Futures contracts | 18,370 | 127,868 | 121,126 | ||
Net realized gain (loss) | 4,358,025 | 11,431,790 | 15,514,471 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | 688,581 | (13,916,302) | (30,280,154) | ||
Foreign currency translations | — | (40,445) | (27,624) | ||
Futures contracts | 11,514 | (87,416) | (23,749) | ||
Net change in unrealized appreciation/depreciation | 700,095 | (14,044,163) | (30,331,527) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 5,058,120 | (2,612,373) | (14,817,056) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $5,309,323 | $ (545,083) | $ (7,454,670) | ||
* Includes foreign capital gain taxes | $ — | $ (25,909) | $ — | ||
** Includes foreign deferred taxes | $ — | $ (112,459) | $ — |
State Street Dynamic Small Cap Fund | |||
Year Ended 8/31/18 | Year Ended 8/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 251,203 | $ 157,273 | |
Net realized gain (loss) | 4,358,025 | 5,063,248 | |
Net change in unrealized appreciation/depreciation | 700,095 | (1,620,328) | |
Net increase (decrease) in net assets resulting from operations | 5,309,323 | 3,600,193 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Class A | (1,237) | (328) | |
Class I | (6,910) | (4,267) | |
Class K | (87) | (49) | |
Class N | (146,949) | (62,612) | |
Total distributions from net investment income | (155,183) | (67,256) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | 20,992 | 196,681 | |
Reinvestment of distributions | 1,121 | 289 | |
Cost of shares redeemed | (163,995) | (32,743) | |
Net increase (decrease) from capital share transactions | (141,882) | 164,227 | |
Class I | |||
Proceeds from sale of shares sold | 510,779 | 372,158 | |
Reinvestment of distributions | 6,741 | 4,200 | |
Cost of shares redeemed | (460,015) | (966,914) | |
Net increase (decrease) from capital share transactions | 57,505 | (590,556) | |
Class N | |||
Proceeds from sale of shares sold | 8,175,938 | 3,691,398 | |
Reinvestment of distributions | 140,598 | 60,202 | |
Cost of shares redeemed | (13,768,620) | (10,934,276) | |
Net increase (decrease) from capital share transactions | (5,452,084) | (7,182,676) | |
Net increase (decrease) in net assets from beneficial interest transactions | (5,536,461) | (7,609,005) | |
Contribution from Adviser (Note 4) | 6,362 | — | |
Net increase (decrease) in net assets during the period | (375,959) | (4,076,068) | |
Net assets at beginning of period | 27,160,521 | 31,236,589 | |
NET ASSETS AT END OF PERIOD | $ 26,784,562 | $ 27,160,521 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 240,080 | $ 154,805 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 440 | 4,401 | |
Reinvestment of distributions | 23 | 6 | |
Shares redeemed | (3,382) | (737) | |
Net increase (decrease) from capital share transactions | (2,919) | 3,670 | |
Class I | |||
Shares sold | 10,168 | 8,480 | |
Reinvestment of distributions | 138 | 93 | |
Shares redeemed | (9,404) | (21,585) | |
Net increase (decrease) from capital share transactions | 902 | (13,012) | |
Class N | |||
Shares sold | 167,123 | 84,017 | |
Reinvestment of distributions | 2,882 | 1,331 | |
Shares redeemed | (280,588) | (245,423) | |
Net increase (decrease) from capital share transactions | (110,583) | (160,075) |
State Street Disciplined Emerging Markets Equity Fund | |||
Year Ended 8/31/18 | Year Ended 8/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 2,067,290 | $ 1,517,554 | |
Net realized gain (loss) | 11,431,790 | 7,940,752 | |
Net change in unrealized appreciation/depreciation | (14,044,163) | 2,953,179 | |
Net increase (decrease) in net assets resulting from operations | (545,083) | 12,411,485 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Class A | (831) | (1,805) | |
Class I | (22,991) | (19,953) | |
Class K | (37,749) | (38,797) | |
Class N | (1,270,354) | (1,310,113) | |
Total distributions from net investment income | (1,331,925) | (1,370,668) | |
Net Realized Gains | |||
Class A | (1,932) | — | |
Class I | (48,784) | — | |
Class K | (78,161) | — | |
Class N | (2,927,420) | — | |
Total distributions from net realized gains | (3,056,297) | — | |
Total distributions to shareholders | (4,388,222) | (1,370,668) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | — | 64,200 | |
Reinvestment of distributions | 2,527 | 661 | |
Cost of shares redeemed | — | (63,371) | |
Net increase (decrease) from capital share transactions | 2,527 | 1,490 | |
Class I | |||
Proceeds from sale of shares sold | 534,869 | 342,647 | |
Reinvestment of distributions | 66,523 | 18,673 | |
Cost of shares redeemed | (432,241) | (557,483) | |
Net increase (decrease) from capital share transactions | 169,151 | (196,163) | |
Class K | |||
Proceeds from sale of shares sold | 36,286 | 165,828 | |
Reinvestment of distributions | 115,665 | 38,728 | |
Cost of shares redeemed | (1,431,025) | (975,576) | |
Net increase (decrease) from capital share transactions | (1,279,074) | (771,020) | |
Class N | |||
Proceeds from sale of shares sold | 2,847,712 | 10,092,048 | |
Reinvestment of distributions | 4,097,594 | 1,279,162 | |
Cost of shares redeemed | (22,547,687) | (42,562,575) | |
Net increase (decrease) from capital share transactions | (15,602,381) | (31,191,365) | |
Net increase (decrease) in net assets from beneficial interest transactions | (16,709,777) | (32,157,058) | |
Contribution from Adviser (Note 4) | 126,543 | — | |
Net increase (decrease) in net assets during the period | (21,516,539) | (21,116,241) | |
Net assets at beginning of period | 90,461,806 | 111,578,047 | |
NET ASSETS AT END OF PERIOD | $ 68,945,267 | $ 90,461,806 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 1,935,243 | $ 1,331,565 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | — | 9,211 | |
Reinvestment of distributions | 308 | 96 | |
Shares redeemed | — | (9,211) | |
Net increase (decrease) from capital share transactions | 308 | 96 | |
Class I | |||
Shares sold | 64,041 | 43,727 | |
Reinvestment of distributions | 8,073 | 2,698 | |
Shares redeemed | (51,492) | (74,444) | |
Net increase (decrease) from capital share transactions | 20,622 | (28,019) |
State Street Disciplined Emerging Markets Equity Fund | |||
Year Ended 8/31/18 | Year Ended 8/31/17 | ||
Class K | |||
Shares sold | $ 4,397 | $ 22,927 | |
Reinvestment of distributions | 13,986 | 5,580 | |
Shares redeemed | (160,987) | (125,275) | |
Net increase (decrease) from capital share transactions | (142,604) | (96,768) | |
Class N | |||
Shares sold | 339,574 | 1,344,751 | |
Reinvestment of distributions | 496,678 | 184,850 | |
Shares redeemed | (2,676,645) | (5,683,268) | |
Net increase (decrease) from capital share transactions | (1,840,393) | (4,153,667) |
State Street International Stock Selection Fund | |||
Year Ended 8/31/18 | Year Ended 8/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 7,362,386 | $ 6,267,445 | |
Net realized gain (loss) | 15,514,471 | 15,892,844 | |
Net change in unrealized appreciation/depreciation | (30,331,527) | 33,125,233 | |
Net increase (decrease) in net assets resulting from operations | (7,454,670) | 55,285,522 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Net Investment Income | |||
Class A | (244,468) | (5,787) | |
Class I | (22,848) | (10,386) | |
Class K | (3,038,416) | (2,050,895) | |
Class N | (7,557,291) | (5,910,486) | |
Total distributions from net investment income | (10,863,023) | (7,977,554) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | 1,127,761 | 6,055,570 | |
Reinvestment of distributions | 244,098 | 5,245 | |
Cost of shares redeemed | (631,668) | (732,706) | |
Net increase (decrease) from capital share transactions | 740,191 | 5,328,109 | |
Class I | |||
Proceeds from sale of shares sold | 2,277,585 | 240,944 | |
Reinvestment of distributions | 20,632 | 10,112 | |
Cost of shares redeemed | (192,029) | (170,216) | |
Net increase (decrease) from capital share transactions | 2,106,188 | 80,840 | |
Class K | |||
Proceeds from sale of shares sold | 4,475,428 | 12,123,284 | |
Reinvestment of distributions | 3,038,018 | 2,050,634 | |
Cost of shares redeemed | (15,347,887) | (21,989,222) | |
Net increase (decrease) from capital share transactions | (7,834,441) | (7,815,304) | |
Class N | |||
Proceeds from sale of shares sold | 13,844,112 | 15,545,166 | |
Reinvestment of distributions | 7,507,103 | 5,870,427 | |
Cost of shares redeemed | (41,601,116) | (70,372,858) | |
Net increase (decrease) from capital share transactions | (20,249,901) | (48,957,265) | |
Net increase (decrease) in net assets from beneficial interest transactions | (25,237,963) | (51,363,620) | |
Net increase (decrease) in net assets during the period | (43,555,656) | (4,055,652) | |
Net assets at beginning of period | 301,070,151 | 305,125,803 | |
NET ASSETS AT END OF PERIOD | $257,514,495 | $301,070,151 | |
Undistributed (distribution in excess of) net investment income (loss) | $ 5,228,888 | $ 6,924,523 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 97,313 | 606,814 | |
Reinvestment of distributions | 21,208 | 530 | |
Shares redeemed | (54,175) | (67,483) | |
Net increase (decrease) from capital share transactions | 64,346 | 539,861 | |
Class I | |||
Shares sold | 195,318 | 22,512 | |
Reinvestment of distributions | 1,786 | 1,019 | |
Shares redeemed | (16,409) | (16,042) | |
Net increase (decrease) from capital share transactions | 180,695 | 7,489 | |
Class K | |||
Shares sold | 384,703 | 1,147,518 | |
Reinvestment of distributions | 263,032 | 206,717 | |
Shares redeemed | (1,306,440) | (2,066,644) | |
Net increase (decrease) from capital share transactions | (658,705) | (712,409) |
State Street International Stock Selection Fund | |||
Year Ended 8/31/18 | Year Ended 8/31/17 | ||
Class N | |||
Shares sold | $ 1,179,118 | $ 1,440,835 | |
Reinvestment of distributions | 648,842 | 591,181 | |
Shares redeemed | (3,579,123) | (6,554,556) | |
Net increase (decrease) from capital share transactions | (1,751,163) | (4,522,540) |
State Street Dynamic Small Cap Fund Class A | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $45.02 | $40.42 | $37.21 | $37.32 | $37.38 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.44 | 0.18 | 0.17 | 0.19 | (0.01) | ||||
Net realized and unrealized gain (loss) | 9.40 | 4.50 | 3.33 | (0.13) | (0.05) | ||||
Total from investment operations | 9.84 | 4.68 | 3.50 | 0.06 | (0.06) | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.08) | (0.29) | (0.17) | — | ||||
Net asset value, end of period | $54.62 | $45.02 | $40.42 | $37.21 | $37.32 | ||||
Total return (d) | 21.94%(e) | 11.58% | 9.48% | 0.15% | (0.16)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 270 | $ 354 | $ 170 | $ 10 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 2.09% | 2.09% | 2.39% | 2.28% | 3.04%(f) | ||||
Net expenses (c) | 1.15% | 1.20% | 1.22% | 1.30% | 1.20%(f) | ||||
Net investment income (loss) (c) | 0.88% | 0.40% | 0.46% | 0.49% | (0.17)%(f) | ||||
Portfolio turnover rate | 110% | 94% | 115% | 73% | 189%(g) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | If the Advisor had not made a contribution during the year ended August 31, 2018, the total return would have been 21.92%. |
(f) | Annualized. |
(g) | Not annualized. |
State Street Dynamic Small Cap Fund Class I | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $45.25 | $40.54 | $37.25 | $37.33 | $37.38 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.55 | 0.27 | 0.24 | 0.25 | 0.00(d) | ||||
Net realized and unrealized gain (loss) | 9.49 | 4.54 | 3.36 | (0.10) | (0.05) | ||||
Total from investment operations | 10.04 | 4.81 | 3.60 | 0.15 | (0.05) | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.29) | (0.10) | (0.31) | (0.23) | (0.00)(d) | ||||
Net asset value, end of period | $55.01 | $45.25 | $40.54 | $37.25 | $37.33 | ||||
Total return (e) | 22.29%(f) | 11.88% | 9.75% | 0.40% | (0.13)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,645 | $1,312 | $1,703 | $1,282 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.79% | 1.85% | 2.14% | 2.03% | 2.79%(g) | ||||
Net expenses (c) | 0.85% | 0.97% | 0.98% | 1.05% | 0.95%(g) | ||||
Net investment income (loss) (c) | 1.10% | 0.61% | 0.65% | 0.65% | 0.08%(g) | ||||
Portfolio turnover rate | 110% | 94% | 115% | 73% | 189%(h) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If the Advisor had not made a contribution during the year ended August 31, 2018, the total return would have been 22.27% |
(g) | Annualized. |
(h) | Not annualized. |
State Street Dynamic Small Cap Fund Class K | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $45.36 | $40.67 | $37.33 | $37.34 | $37.38 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.56 | 0.34 | 0.32 | 0.36 | 0.01 | ||||
Net realized and unrealized gain (loss) | 9.50 | 4.53 | 3.37 | (0.13) | (0.05) | ||||
Total from investment operations | 10.06 | 4.87 | 3.69 | 0.23 | (0.04) | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.18) | (0.35) | (0.24) | — | ||||
Net asset value, end of period | $55.11 | $45.36 | $40.67 | $37.33 | $37.34 | ||||
Total return (d) | 22.30%(e) | 11.98% | 9.97% | 0.61% | (0.11)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 15 | $ 12 | $ 11 | $ 10 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.79% | 1.73% | 1.94% | 1.83% | 2.62%(f) | ||||
Net expenses (c) | 0.86% | 0.85% | 0.78% | 0.85% | 0.76%(f) | ||||
Net investment income (loss) (c) | 1.12% | 0.77% | 0.85% | 0.94% | 0.26%(f) | ||||
Portfolio turnover rate | 110% | 94% | 115% | 73% | 189%(g) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | If the Advisor had not made a contribution during the year ended August 31, 2018, the total return would have been 22.28% |
(f) | Annualized. |
(g) | Not annualized. |
State Street Dynamic Small Cap Fund Class N | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | Year Ended 08/31/14(a) | |||||
Net asset value, beginning of period | $ 45.27 | $ 40.60 | $ 37.26 | $ 37.33 | $ 31.76 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.44 | 0.22 | 0.22 | 0.27 | 0.17 | ||||
Net realized and unrealized gain (loss) | 9.48 | 4.54 | 3.38 | (0.14) | 5.67 | ||||
Total from investment operations | 9.92 | 4.76 | 3.60 | 0.13 | 5.84 | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.25) | (0.09) | (0.26) | (0.20) | (0.27) | ||||
Net asset value, end of period | $ 54.95 | $ 45.27 | $ 40.60 | $ 37.26 | $ 37.33 | ||||
Total return (d) | 21.99%(e) | 11.74% | 9.72% | 0.33% | 18.42% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $24,855 | $25,482 | $29,353 | $22,508 | $24,136 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 2.04% | 1.98% | 2.18% | 2.08% | 1.82% | ||||
Net expenses (c) | 1.10% | 1.10% | 1.02% | 1.10% | 1.20% | ||||
Net investment income (loss) (c) | 0.88% | 0.50% | 0.58% | 0.72% | 0.46% | ||||
Portfolio turnover rate | 110% | 94% | 115% | 73% | 189% |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | If the Advisor had not made a contribution during the year ended August 31, 2018, the total return would have been 21.97%. |
State Street Disciplined Emerging Markets Equity Fund Class A | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $ 8.50 | $ 7.48 | $ 9.29 | $ 19.22 | $18.68 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.22 | 0.11 | 0.14 | 0.26 | 0.07 | ||||
Net realized and unrealized gain (loss) (d) | (0.33) | 1.03 | 0.04 | (3.97) | 0.46(e) | ||||
Total from investment operations | (0.11) | 1.14 | 0.18 | (3.71) | 0.53(e) | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.13) | (0.12) | — | (0.38) | — | ||||
Net realized gains | (0.31) | — | (1.99) | (5.84) | — | ||||
Total distributions | (0.44) | (0.12) | (1.99) | (6.22) | — | ||||
Net asset value, end of period | $ 7.96 | $ 8.50 | $ 7.48 | $ 9.29 | $19.22 | ||||
Total return (f) | (1.31)%(g) | 15.57% | 3.35% | (22.73)% | 2.89%(h) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 52 | $ 53 | $ 46 | $ 19 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.62% | 1.77% | 1.69% | 1.59% | 1.77%(i) | ||||
Net expenses (c) | 1.25% | 1.37% | 1.41% | 1.45% | 1.36%(i) | ||||
Net investment income (loss) (c) | 2.70% | 1.42% | 1.88% | 2.19% | 2.27%(i) | ||||
Portfolio turnover rate | 51% | 38% | 101% | 78% | 89%(j) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Amount previously presented has been restated by $0.01. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(g) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been (1.44)%. |
(h) | If the Adviser had not made a contribution during the year ended August 31, 2014, the total return would have been 2.84%. |
(i) | Annualized. |
(j) | Not annualized. |
State Street Disciplined Emerging Markets Equity Fund Class I | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $ 8.57 | $ 7.52 | $ 9.30 | $ 19.23 | $18.68 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.26 | 0.14 | 0.14 | 0.20 | 0.07 | ||||
Net realized and unrealized gain (loss) (d) | (0.35) | 1.02 | 0.07 | (3.88) | 0.47(e) | ||||
Total from investment operations | (0.09) | 1.16 | 0.21 | (3.68) | 0.54(e) | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.11) | — | (0.41) | — | ||||
Net realized gains | (0.31) | — | (1.99) | (5.84) | — | ||||
Total distributions | (0.46) | (0.11) | (1.99) | (6.25) | — | ||||
Net asset value, end of period | $ 8.03 | $ 8.57 | $ 7.52 | $ 9.30 | $19.23 | ||||
Total return (f) | (1.15)%(g) | 15.96% | 3.70% | (22.56)% | 2.94%(h) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,568 | $1,496 | $1,523 | $ 1,447 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.37% | 1.51% | 1.46% | 1.34% | 1.52%(i) | ||||
Net expenses (c) | 1.00% | 1.11% | 1.18% | 1.20% | 1.12%(i) | ||||
Net investment income (loss) (c) | 3.15% | 1.81% | 1.80% | 1.83% | 2.52%(i) | ||||
Portfolio turnover rate | 51% | 38% | 101% | 78% | 89%(j) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Amount previously presented has been restated by $0.01. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(g) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been (1.27)%. |
(h) | If the Adviser had not made a contribution during the year ended August 31, 2014, the total return would have been 2.89%. |
(i) | Annualized. |
(j) | Not annualized. |
State Street Disciplined Emerging Markets Equity Fund Class K | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $ 8.60 | $ 7.55 | $ 9.31 | $ 19.23 | $18.68 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.20 | 0.15 | 0.20 | 0.23 | 0.08 | ||||
Net realized and unrealized gain (loss) (d) | (0.30) | 1.03 | 0.03 | (3.89) | 0.46(e) | ||||
Total from investment operations | (0.10) | 1.18 | 0.23 | (3.66) | 0.54(e) | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.13) | — | (0.42) | — | ||||
Net realized gains | (0.31) | — | (1.99) | (5.84) | — | ||||
Total distributions | (0.46) | (0.13) | (1.99) | (6.26) | — | ||||
Net asset value, end of period | $ 8.05 | $ 8.60 | $ 7.55 | $ 9.31 | $19.23 | ||||
Total return (f) | (1.22)%(g) | 16.02% | 4.07% | (22.49)% | 2.94%(h) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 952 | $2,243 | $2,701 | $ 5 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.37% | 1.40% | 1.20% | 1.15% | 1.42%(i) | ||||
Net expenses (c) | 1.00% | 1.00% | 0.92% | 1.01% | 0.97%(i) | ||||
Net investment income (loss) (c) | 2.29% | 1.93% | 2.86% | 1.78% | 2.65%(i) | ||||
Portfolio turnover rate | 51% | 38% | 101% | 78% | 89%(j) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Amount previously presented has been restated by $0.01. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(g) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been (1.35)%. |
(h) | If the Adviser had not made a contribution during the year ended August 31, 2014, the total return would have been 2.89%. |
(i) | Annualized. |
(j) | Not annualized. |
State Street Disciplined Emerging Markets Equity Fund Class N | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | Year Ended 08/31/14(a) | |||||
Net asset value, beginning of period | $ 8.56 | $ 7.52 | $ 9.30 | $ 19.22 | $ 18.47 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.21 | 0.12 | 0.13 | 0.20 | 0.26 | ||||
Net realized and unrealized gain (loss) (d) | (0.32) | 1.03 | 0.08 | (3.89) | 2.53 | ||||
Total from investment operations | (0.11) | 1.15 | 0.21 | (3.69) | 2.79 | ||||
Contribution from Adviser (Note 4) | 0.01 | — | — | — | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.13) | (0.11) | — | (0.39) | (0.44) | ||||
Net realized gains | (0.31) | — | (1.99) | (5.84) | (1.61) | ||||
Total distributions | (0.44) | (0.11) | (1.99) | (6.23) | (2.05) | ||||
Net asset value, end of period | $ 8.02 | $ 8.56 | $ 7.52 | $ 9.30 | $ 19.22 | ||||
Total return (e) | (1.29)%(f) | 15.58% | 3.83% | (22.67)% | 15.68%(g) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $66,373 | $86,670 | $107,308 | $171,885 | $495,509 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.62% | 1.65% | 1.48% | 1.40% | 1.24% | ||||
Net expenses (c) | 1.25% | 1.25% | 1.21% | 1.25% | 1.20% | ||||
Net investment income (loss) (c) | 2.56% | 1.60% | 1.71% | 1.54% | 1.44% | ||||
Portfolio turnover rate | 51% | 38% | 101% | 78% | 89% |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been (1.41)%. |
(g) | If the Adviser had not made a contribution during the year ended August 31, 2014, the total return would have been 15.62%. |
State Street International Stock Selection Fund Class A | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $11.76 | $10.05 | $10.64 | $11.23 | $11.54 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.26 | 0.27 | 0.27 | 0.24 | 0.03 | ||||
Net realized and unrealized gain (loss) | (0.63) | 1.69 | (0.58) | (0.73) | (0.34) | ||||
Total from investment operations | (0.37) | 1.96 | (0.31) | (0.49) | (0.31) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.43) | (0.25) | (0.28) | (0.10) | — | ||||
Net asset value, end of period | $10.96 | $11.76 | $10.05 | $10.64 | $11.23 | ||||
Total return (d) | (3.35)% | 19.95% | (2.89)% | (4.39)% | (2.69)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $6,933 | $6,679 | $ 284 | $ 16 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.49% | 1.31% | 1.46% | 1.40% | 1.50%(e) | ||||
Net expenses (c) | 1.25% | 1.07% | 1.19% | 1.20% | 1.17%(e) | ||||
Net investment income (loss) (c) | 2.28% | 2.51% | 2.73% | 2.16% | 1.65%(e) | ||||
Portfolio turnover rate | 72% | 94% | 105% | 60% | 74%(f) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class I | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $11.81 | $10.10 | $10.65 | $11.24 | $11.54 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.44 | 0.25 | 0.25 | 0.29 | 0.03 | ||||
Net realized and unrealized gain (loss) | (0.74) | 1.74 | (0.53) | (0.76) | (0.33) | ||||
Total from investment operations | (0.30) | 1.99 | (0.28) | (0.47) | (0.30) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.46) | (0.28) | (0.27) | (0.12) | — | ||||
Net asset value, end of period | $11.05 | $11.81 | $10.10 | $10.65 | $11.24 | ||||
Total return (d) | (2.84)% | 20.23% | (2.60)% | (4.21)% | (2.60)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,551 | $ 594 | $ 432 | $ 499 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.00% | 1.09% | 1.21% | 1.16% | 1.24%(e) | ||||
Net expenses (c) | 0.76% | 0.85% | 0.94% | 0.95% | 0.92%(e) | ||||
Net investment income (loss) (c) | 3.84% | 2.33% | 2.45% | 2.61% | 1.90%(e) | ||||
Portfolio turnover rate | 72% | 94% | 105% | 60% | 74%(f) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class K | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | For the Period 7/7/14*- 08/31/14(a) | |||||
Net asset value, beginning of period | $ 11.82 | $ 10.12 | $ 10.67 | $11.24 | $11.54 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.32 | 0.25 | 0.28 | 0.28 | 0.04 | ||||
Net realized and unrealized gain (loss) | (0.64) | 1.75 | (0.54) | (0.73) | (0.34) | ||||
Total from investment operations | (0.32) | 2.00 | (0.26) | (0.45) | (0.30) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.46) | (0.30) | (0.29) | (0.12) | — | ||||
Net asset value, end of period | $ 11.04 | $ 11.82 | $ 10.12 | $10.67 | $11.24 | ||||
Total return (d) | (2.80)% | 20.25% | (2.44)% | (4.01)% | (2.60)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $67,632 | $80,137 | $75,816 | $ 9 | $ 10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 0.99% | 0.99% | 0.99% | 0.96% | 1.11%(e) | ||||
Net expenses (c) | 0.75% | 0.75% | 0.73% | 0.75% | 0.73%(e) | ||||
Net investment income (loss) (c) | 2.72% | 2.37% | 2.79% | 2.54% | 2.09%(e) | ||||
Portfolio turnover rate | 72% | 94% | 105% | 60% | 74%(f) |
* | Commencement of operations. |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class N | |||||||||
Year Ended 08/31/18 | Year Ended 08/31/17 | Year Ended 08/31/16 | Year Ended 08/31/15 | Year Ended 08/31/14(a) | |||||
Net asset value, beginning of period | $ 11.81 | $ 10.11 | $ 10.65 | $ 11.24 | $ 9.90 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b)(c) | 0.29 | 0.21 | 0.24 | 0.25 | 0.27 | ||||
Net realized and unrealized gain (loss) | (0.63) | 1.76 | (0.52) | (0.74) | 1.53 | ||||
Total from investment operations | (0.34) | 1.97 | (0.28) | (0.49) | 1.80 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.43) | (0.27) | (0.26) | (0.10) | (0.46) | ||||
Net asset value, end of period | $ 11.04 | $ 11.81 | $ 10.11 | $ 10.65 | $ 11.24 | ||||
Total return (d) | (3.06)% | 20.04% | (2.61)% | (4.31)% | 18.31% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $180,398 | $213,660 | $228,594 | $325,556 | $385,784 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (c) | 1.23% | 1.24% | 1.26% | 1.20% | 1.19% | ||||
Net expenses (c) | 1.00% | 1.00% | 0.99% | 1.00% | 1.02% | ||||
Net investment income (loss) (c) | 2.49% | 1.98% | 2.41% | 2.26% | 2.46% | ||||
Portfolio turnover rate | 72% | 94% | 105% | 60% | 74% |
(a) | Beginning with the year ended August 31, 2015 the Funds were audited by Ernst & Young LLP. The previous years/periods were audited by another independent registered public accounting firm. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
Fund | Classes | Commencement of Operations: | Diversification Classification |
State Street Dynamic Small Cap Fund (formerly SSGA Dynamic Small Cap Fund) | Class A Class I Class K Class N | July 7, 2014 July 7, 2014 July 7, 2014 July 1, 1992 | Diversified |
State Street Disciplined Emerging Markets Equity Fund | Class A Class I Class K Class N | July 7, 2014 July 7, 2014 July 7, 2014 March 1, 1994 | Diversified |
State Street International Stock Selection Fund (formerly SSGA International Stock Selection Fund) | Class A Class I Class K Class N | July 7, 2014 July 7, 2014 July 7, 2014 March 7, 1995 | Diversified |
Funds | Strategies |
State Street Dynamic Small Cap Fund | Exposing cash reserves to markets |
State Street Disciplined Emerging Markets Equity Fund | Exposing cash reserves to markets |
State Street International Stock Selection Fund | Exposing cash reserves to markets |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Dynamic Small Cap Fund | |||||||||||
Futures Contracts | $— | $— | $— | $11,520 | $— | $11,520 |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Disciplined Emerging Markets Equity Fund | |||||||||||
Futures Contracts | $— | $— | $— | $(34,917) | $— | $(34,917) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | (23,690) | — | (23,690) |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Dynamic Small Cap Fund | |||||||||||
Futures Contracts | $— | $— | $— | $ 18,370 | $— | $ 18,370 | |||||
State Street Disciplined Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | 127,868 | — | 127,868 | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | 121,126 | — | 121,126 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Dynamic Small Cap Fund | |||||||||||
Futures Contracts | $— | $— | $— | $ 11,514 | $— | $ 11,514 | |||||
State Street Disciplined Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | (87,416) | — | (87,416) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | (23,749) | — | (23,749) |
Annual Rate | |
State Street Dynamic Small Cap Fund | 0.75% |
State Street Disciplined Emerging Markets Equity Fund | 0.75 |
State Street International Stock Selection Fund | 0.75 |
Expense Limitations | |
State Street Dynamic Small Cap Fund | 0.85% |
State Street Disciplined Emerging Markets Equity Fund | 1.00 |
State Street International Stock Selection Fund | 0.75 |
Funds | Amount Waived or Reimbursed |
State Street Dynamic Small Cap Fund | $259,996 |
State Street Disciplined Emerging Markets Equity Fund | 287,467 |
Funds | Amount Waived or Reimbursed |
State Street International Stock Selection Fund | $649,324 |
Amount Waived | |
State Street Dynamic Small Cap Fund | $ 2,810 |
State Street Disciplined Emerging Markets Equity Fund | 8,055 |
State Street International Stock Selection Fund | 28,839 |
Purchases | Sales | ||
State Street Dynamic Small Cap Fund | $ 30,343,991 | $ 35,899,475 | |
State Street Disciplined Emerging Markets Equity Fund | 40,001,711 | 58,419,494 | |
State Street International Stock Selection Fund | 204,526,965 | 237,438,771 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Dynamic Small Cap Fund | $ 155,183 | $ — | $ 155,183 | ||
State Street Disciplined Emerging Markets Equity Fund | 1,331,925 | 3,056,297 | 4,388,222 | ||
State Street International Stock Selection Fund | 10,863,023 | — | 10,863,023 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Dynamic Small Cap Fund | $ 67,256 | $ — | $ 67,256 | ||
State Street Disciplined Emerging Markets Equity Fund | 1,370,668 | — | 1,370,668 | ||
State Street International Stock Selection Fund | 7,977,554 | — | 7,977,554 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street Dynamic Small Cap Fund | $ 240,080 | $— | $ — | $ 3,254,679 | $ — | $ 3,494,759 | |||||
State Street Disciplined Emerging Markets Equity Fund | 1,994,655 | — | 9,820,827 | 11,832,189 | — | 23,647,671 | |||||
State Street International Stock Selection Fund | 6,142,190 | — | — | 1,582,395 | (3,260,733) | 4,463,852 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Dynamic Small Cap Fund | $ 23,803,095 | $ 3,862,648 | $ 607,969 | $ 3,254,679 | |||
State Street Disciplined Emerging Markets Equity Fund | 56,299,936 | 14,905,551 | 2,782,036 | 12,123,515 | |||
State Street International Stock Selection Fund | 255,870,234 | 15,413,267 | 13,824,373 | 1,588,894 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Dynamic Small Cap Fund | $ 2,077,801 | $ 229,827 | $ 1,888,183 | $ 2,118,010 | ||||
State Street Disciplined Emerging Markets Equity Fund | 232,753 | 253,892 | — | 253,892 | ||||
State Street International Stock Selection Fund | 3,448,972 | 2,211,582 | 1,431,920 | 3,643,502 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of August 31, 2018 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Dynamic Small Cap Fund | Common Stocks | $ 229,827 | $— | $— | $— | $ 229,827 | $ 229,827 | |||||||
State Street Disciplined Emerging Markets Equity Fund | Common Stocks | 253,892 | — | — | — | 253,892 | 253,892 | |||||||
State Street International Stock Selection Fund | Common Stocks | 2,211,582 | — | — | — | 2,211,582 | 2,211,582 |
October 17, 2018
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Dynamic Small Cap Fund | |||||||||
Class A | 1.20% | $1,142.00 | $6.48 | $1,019.20 | $6.11 | ||||
Class I | 0.85 | 1,144.10 | 4.59 | 1,020.90 | 4.33 | ||||
Class K | 0.88 | 1,144.10 | 4.76 | 1,020.80 | 4.48 | ||||
Class N | 1.10 | 1,142.60 | 5.94 | 1,019.70 | 5.60 | ||||
State Street Disciplined Emerging Markets Equity Fund | |||||||||
Class A | 1.26 | 951.00 | 6.20 | 1,018.90 | 6.41 | ||||
Class I | 1.00 | 952.60 | 4.92 | 1,020.20 | 5.09 | ||||
Class K | 1.00 | 953.80 | 4.92 | 1,020.20 | 5.09 | ||||
Class N | 1.25 | 951.40 | 6.15 | 1,018.90 | 6.36 | ||||
State Street International Stock Selection Fund | |||||||||
Class A | 1.19 | 948.90 | 5.85 | 1,019.20 | 6.06 | ||||
Class I | 0.77 | 951.70 | 3.79 | 1,021.30 | 3.92 | ||||
Class K | 0.75 | 951.70 | 3.69 | 1,021.40 | 3.82 | ||||
Class N | 1.00 | 950.10 | 4.92 | 1,020.20 | 5.09 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street Disciplined Emerging Markets Equity Fund | $4,499,876 |
Amount | |
State Street Disciplined Emerging Markets Equity Fund | $ 86,234 |
State Street International Stock Selection Fund | 686,850 |
Amount | |
State Street Disciplined Emerging Markets Equity Fund | $ 3,011,011 |
State Street International Stock Selection Fund | 10,984,562 |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2017, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, as applicable, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2017; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2017; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, securities lending agent, and shareholder servicer for the Funds, with respect to its operations relating to the Funds; and |
• | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive session of the Board on May 17, 2018; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 54 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1988 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 60 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
William L. Marshall c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1988 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 60 | None. | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1988 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 60 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co-Chair of the Qualified Legal and Compliance Committee and Co-Chair of the Governance Committee | Term: Indefinite Elected: 1/14 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 60 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chair of the Governance Committee | Term: Indefinite Elected: 1991 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 54 | None. | |||||
Douglas T. Williams c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 -1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007); Executive Vice President and Global Head of Technology and Operations, JP Morgan Chase (1994 to1998). | 60 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 60 | None. | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Elected: 1/14 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | 196 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
(1) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust. | ||||||||||
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President at State Street Global Advisors (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016); Senior Vice President at Citigroup (2008 - 2010); and Vice President at JPMorgan (2005 - 2008). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). | |||
JOSHUA A. WEINBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Managing Director and Managing Counsel, State Street Global Advisors (2011 – present)*; Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
JESSE D. HALLEE State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
KHIMMARA GREER State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
Statement of Additional Information (SAI) includes additional information about the Fund's directors and is available, without charge, upon request and by calling 1-800-997-7327. |
Michael A. Jessee
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
One Iron Street
Boston, MA 02210
1776 Heritage Drive
North Quincy, Massachusetts 02171
2000 Crown Colony Drive
Quincy, Massachusetts 02169
One Iron Street
Boston, Massachusetts 02210
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111
800 Boylston Street
Boston, MA 02199
200 Clarendon Street
Boston, MA 02116
Item 2. Code of Ethics.
As of the end of the period covered by this report, SSGA Funds (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Registrant’s Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland and Richard D. Shirk. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended August 31, 2018 and August 31, 2017, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $104,020 and $171,120, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended August 31, 2018 and August 31, 2017, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended August 31, 2018 and August 31, 2017, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $50,058 and $54,075, respectively.
(d) | All Other Fees |
For the fiscal years ended August 31, 2018 and August 31, 2017, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended August 31, 2018 and August 31, 2017, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $6,581,832 and $7,777,372, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Trust’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate | Pre-Approval Procedure: |
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended August 31, 2018 and August 31, 2017, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $39,413,418 and $47,297,371, respectively. The figure for the fiscal year ended August 31, 2017 was previously reported as $28,718,894 and has been restated to include certain other audit fees totaling $18,578,477, in the aggregate, primarily relating to statutory and financial statement audits, the requirement to opine on the design and operating effectiveness of internal control over financial reporting and accounting consultations.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s last fiscal quarter of the period covered by this Form N-CSR filing that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable to the Registrant. |
(b) | Not applicable to the Registrant. |
Item 13. Exhibits.
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto. |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable. |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: SSGA FUNDS |
By: /s/ Ellen M. Needham |
Ellen M. Needham |
President |
Date: November 1, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Ellen M. Needham |
Ellen M. Needham |
President (Principal Executive Officer) |
Date: November 1, 2018 |
By: /s/ Bruce S. Rosenberg |
Bruce S. Rosenberg |
Treasurer (Principal Financial and Accounting Officer) |
Date: November 1, 2018 |