UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-05430
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 Prudential Tower 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617)664-7037
Date of fiscal year end: August 31
Date of reporting period: February 28, 2019
Item 1. Reports to Stockholders.
State Street Dynamic Small Cap Fund |
State Street Defensive Emerging Markets Equity Fund (formerly, State Street Disciplined Emerging Markets Equity Fund) |
State Street International Stock Selection Fund |
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
Schedules of Investments (Unaudited) | |
4 | |
8 | |
12 | |
16 | |
22 | |
34 | |
44 |
Description | % of Net Assets | ||
Ciena Corp. | 0.9% | ||
j2 Global, Inc. | 0.9 | ||
Deckers Outdoor Corp. | 0.8 | ||
Essent Group, Ltd. | 0.8 | ||
Aaron's, Inc. | 0.8 | ||
TOTAL | 4.2% |
% of Net Assets | |||
Banks | 8.0% | ||
Specialty Retail | 6.5 | ||
Electronic Equipment, Instruments & Components | 5.4 | ||
IT Services | 4.7 | ||
Mortgage Real Estate Investment Trust (REITs) | 4.3 | ||
Commercial Services & Supplies | 4.3 | ||
Equity Real Estate Investment Trusts (REITs) | 4.1 | ||
Hotels, Restaurants & Leisure | 4.1 | ||
Health Care Equipment & Supplies | 4.0 | ||
Health Care Providers & Services | 3.9 | ||
Oil, Gas & Consumable Fuels | 3.5 | ||
Trading Companies & Distributors | 3.1 | ||
Pharmaceuticals | 3.1 | ||
Biotechnology | 3.0 | ||
Software | 3.0 | ||
Semiconductors & Semiconductor Equipment | 2.7 | ||
Chemicals | 2.7 | ||
Professional Services | 2.6 | ||
Media | 1.7 | ||
Insurance | 1.6 | ||
Communications Equipment | 1.6 | ||
Machinery | 1.6 | ||
Construction & Engineering | 1.5 | ||
Textiles, Apparel & Luxury Goods | 1.5 | ||
Health Care Technology | 1.4 | ||
Thrifts & Mortgage Finance | 1.4 | ||
Metals & Mining | 1.4 | ||
Household Durables | 1.4 | ||
Life Sciences Tools & Services | 1.2 | ||
Electrical Equipment | 1.2 | ||
Aerospace & Defense | 1.2 | ||
Auto Components | 1.0 | ||
Consumer Finance | 0.9 | ||
Airlines | 0.9 | ||
Air Freight & Logistics | 0.7 | ||
Real Estate Management & Development | 0.7 | ||
Capital Markets | 0.5 | ||
Electric Utilities | 0.5 | ||
Entertainment | 0.5 | ||
Technology Hardware, Storage & Peripherals | 0.4 | ||
Energy Equipment & Services | 0.4 | ||
Distributors | 0.3 | ||
Building Products | 0.2 | ||
Marine | 0.2 | ||
Gas Utilities | 0.2 | ||
Leisure Equipment & Products | 0.2 | ||
Food & Staples Retailing | 0.1 | ||
Paper & Forest Products | 0.1 | ||
Short-Term Investments | 6.1 | ||
Liabilities in Excess of Other Assets | (5.6) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
KT&G Corp. | 3.1% | ||
China Mobile, Ltd. | 3.0 | ||
SK Telecom Co., Ltd. | 2.9 | ||
China Communications Services Corp., Ltd. | 2.9 | ||
Infosys, Ltd. | 2.8 | ||
TOTAL | 14.7% |
% of Net Assets | |||
Banks | 15.0% | ||
Diversified Telecommunication Services | 12.1 | ||
Oil, Gas & Consumable Fuels | 7.0 | ||
Wireless Telecommunication Services | 6.9 | ||
IT Services | 6.4 | ||
Independent Power and Renewable Electricity Producers | 4.6 | ||
Semiconductors & Semiconductor Equipment | 4.0 | ||
Transportation Infrastructure | 3.7 | ||
Metals & Mining | 3.7 | ||
Food Products | 3.6 | ||
Chemicals | 3.4 | ||
Tobacco | 3.2 | ||
Electric Utilities | 3.2 | ||
Real Estate Investment Trusts (REITs) | 2.3 | ||
Insurance | 2.2 | ||
Technology Hardware, Storage & Peripherals | 1.7 | ||
Diversified Financial Services | 1.3 | ||
Gas Utilities | 1.1 | ||
Trading Companies & Distributors | 1.1 | ||
Life Sciences Tools & Services | 1.0 | ||
Airlines | 1.0 | ||
Pharmaceuticals | 1.0 | ||
Construction & Engineering | 0.9 | ||
Road & Rail | 0.9 | ||
Interactive Media & Services | 0.8 | ||
Marine | 0.8 | ||
Commercial Services & Supplies | 0.6 | ||
Software | 0.5 | ||
Capital Markets | 0.5 | ||
Textiles, Apparel & Luxury Goods | 0.5 | ||
Household Durables | 0.4 | ||
Electronic Equipment, Instruments & Components | 0.4 | ||
Food & Staples Retailing | 0.3 | ||
Beverages | 0.3 | ||
Consumer Finance | 0.3 | ||
Auto Components | 0.2 | ||
Air Freight & Logistics | 0.2 | ||
Health Care Providers & Services | 0.2 | ||
Water Utilities | 0.1 | ||
Media | 0.1 | ||
Automobiles | 0.1 | ||
Short-Term Investments | 1.2 | ||
Other Assets in Excess of Liabilities | 1.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Novartis AG | 2.9% | ||
Toyota Motor Corp. | 2.5 | ||
Sanofi | 2.1 | ||
Rio Tinto PLC | 2.0 | ||
Honda Motor Co., Ltd. | 1.9 | ||
TOTAL | 11.4% |
% of Net Assets | |||
Pharmaceuticals | 10.0% | ||
Insurance | 8.8 | ||
Banks | 7.7 | ||
Oil, Gas & Consumable Fuels | 5.6 | ||
Metals & Mining | 5.2 | ||
Automobiles | 4.4 | ||
Construction & Engineering | 3.6 | ||
Chemicals | 3.5 | ||
Food Products | 3.3 | ||
Auto Components | 3.2 | ||
Trading Companies & Distributors | 3.2 | ||
Diversified Telecommunication Services | 3.1 | ||
Food & Staples Retailing | 3.1 | ||
Technology Hardware, Storage & Peripherals | 2.8 | ||
Equity Real Estate Investment Trusts (REITs) | 2.7 | ||
Real Estate Management & Development | 2.1 | ||
Health Care Providers & Services | 2.0 | ||
Beverages | 1.9 | ||
Road & Rail | 1.8 | ||
Airlines | 1.7 | ||
Media | 1.6 | ||
Aerospace & Defense | 1.6 | ||
Household Durables | 1.4 | ||
Tobacco | 1.4 | ||
Electric Utilities | 1.4 | ||
Machinery | 1.4 | ||
Personal Products | 1.3 | ||
Capital Markets | 1.2 | ||
Communications Equipment | 0.9 | ||
Professional Services | 0.9 | ||
Textiles, Apparel & Luxury Goods | 0.7 | ||
Electronic Equipment, Instruments & Components | 0.7 | ||
Multi-Utilities | 0.7 | ||
Health Care Equipment & Supplies | 0.6 | ||
Hotels, Restaurants & Leisure | 0.5 | ||
Semiconductors & Semiconductor Equipment | 0.5 | ||
Electrical Equipment | 0.4 | ||
Building Products | 0.4 | ||
Diversified Financial Services | 0.3 | ||
Distributors | 0.3 | ||
Paper & Forest Products | 0.2 | ||
Commercial Services & Supplies | 0.2 | ||
Consumer Finance | 0.2 | ||
IT Services | 0.1 | ||
Gas Utilities | 0.1 | ||
Energy Equipment & Services | 0.1 | ||
Specialty Retail | 0.1 | ||
Multiline Retail | 0.0* | ||
Short-Term Investments | 2.3 | ||
Liabilities in Excess of Other Assets | (1.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.5% | |||||
COMMUNICATION SERVICES — 2.2% | |||||
MSG Networks, Inc. Class A (a) | 4,972 | $120,024 | |||
National CineMedia, Inc. | 16,779 | 129,870 | |||
Rosetta Stone, Inc. (a) | 7,703 | 124,095 | |||
Sinclair Broadcast Group, Inc. Class A | 3,810 | 137,541 | |||
511,530 | |||||
CONSUMER DISCRETIONARY — 15.0% | |||||
Aaron's, Inc. | 3,386 | 183,826 | |||
American Eagle Outfitters, Inc. | 8,092 | 165,077 | |||
Asbury Automotive Group, Inc. (a) | 2,168 | 155,641 | |||
Bloomin' Brands, Inc. | 7,979 | 165,006 | |||
Brinker International, Inc. (b) | 2,968 | 135,845 | |||
Buckle, Inc. | 879 | 16,868 | |||
Caleres, Inc. | 4,747 | 147,632 | |||
Cheesecake Factory, Inc. (b) | 2,740 | 129,602 | |||
Children's Place, Inc. (b) | 1,584 | 151,367 | |||
Citi Trends, Inc. | 1,780 | 38,519 | |||
Cooper Tire & Rubber Co. | 4,352 | 139,090 | |||
Cracker Barrel Old Country Store, Inc. | 903 | 146,277 | |||
Dave & Buster's Entertainment, Inc. | 3,002 | 154,093 | |||
Deckers Outdoor Corp. (a) | 1,267 | 187,453 | |||
Dine Brands Global, Inc. (b) | 1,630 | 161,696 | |||
DSW, Inc. Class A | 5,968 | 176,712 | |||
Escalade, Inc. | 581 | 7,088 | |||
Guess?, Inc. | 6,727 | 150,617 | |||
Helen of Troy, Ltd. (a) | 1,170 | 131,169 | |||
La-Z-Boy, Inc. | 5,152 | 177,280 | |||
Malibu Boats, Inc. Class A (a) | 795 | 36,737 | |||
Rocky Brands, Inc. | 209 | 6,260 | |||
Ruth's Hospitality Group, Inc. | 1,720 | 43,722 | |||
Sally Beauty Holdings, Inc. (a)(b) | 8,119 | 146,710 | |||
Shoe Carnival, Inc. (b) | 3,936 | 150,119 | |||
Speedway Motorsports, Inc. | 153 | 2,702 | |||
Standard Motor Products, Inc. | 369 | 18,192 | |||
Steven Madden, Ltd. | 4,980 | 164,290 | |||
Tower International, Inc. | 2,501 | 64,151 | |||
Weyco Group, Inc. | 2,344 | 71,070 | |||
Winmark Corp. | 200 | 34,450 | |||
3,459,261 | |||||
CONSUMER STAPLES — 0.1% | |||||
Ingles Markets, Inc. Class A | 628 | 19,543 | |||
ENERGY — 3.9% | |||||
Arch Coal, Inc. Class A (b) | 1,696 | 157,999 | |||
Archrock, Inc. | 1,267 | 12,366 | |||
California Resources Corp. (a)(b) | 881 | 20,836 | |||
CONSOL Energy, Inc. (a) | 4,257 | 161,553 | |||
Denbury Resources, Inc. (a)(b) | 31,811 | 61,077 | |||
Evolution Petroleum Corp. | 16,341 | 115,531 | |||
Exterran Corp. (a) | 2,973 | 50,749 | |||
Hallador Energy Co. | 2,961 | 15,901 |
Security Description | Shares | Value | |||
Matrix Service Co. (a) | 1,027 | $21,454 | |||
Northern Oil and Gas, Inc. (a)(b) | 45,230 | 107,195 | |||
Peabody Energy Corp. | 704 | 21,718 | |||
SEACOR Holdings, Inc. (a) | 711 | 31,753 | |||
W&T Offshore, Inc. (a)(b) | 23,608 | 122,998 | |||
901,130 | |||||
FINANCIALS — 16.7% | |||||
AG Mortgage Investment Trust, Inc. REIT | 2,068 | 36,769 | |||
AMERISAFE, Inc. | 2,114 | 133,415 | |||
Ares Commercial Real Estate Corp. REIT | 8,961 | 136,745 | |||
Bank of NT Butterfield & Son, Ltd. | 3,588 | 146,175 | |||
BankFinancial Corp. | 2,142 | 33,501 | |||
Banner Corp. | 2,534 | 157,437 | |||
Blucora, Inc. (a) | 1,231 | 33,102 | |||
Central Pacific Financial Corp. | 4,964 | 144,850 | |||
Cherry Hill Mortgage Investment Corp. REIT (b) | 1,670 | 30,962 | |||
Community Trust Bancorp, Inc. | 3,158 | 135,099 | |||
Diamond Hill Investment Group, Inc. | 16 | 2,271 | |||
Dynex Capital, Inc. REIT (b) | 17,115 | 104,401 | |||
Essent Group, Ltd. (a) | 4,288 | 184,984 | |||
First Community Bankshares, Inc. | 3,989 | 143,006 | |||
First Financial Corp. | 3,108 | 137,933 | |||
Flushing Financial Corp. | 6,422 | 149,055 | |||
Green Dot Corp. Class A (a) | 2,058 | 132,844 | |||
Health Insurance Innovations, Inc. Class A (a)(b) | 1,501 | 55,852 | |||
Independence Holding Co. | 1,412 | 53,924 | |||
International Bancshares Corp. | 3,973 | 162,178 | |||
Invesco Mortgage Capital, Inc. REIT | 2,764 | 44,003 | |||
Investors Bancorp, Inc. | 4,881 | 61,354 | |||
Ladder Capital Corp. REIT | 8,945 | 164,141 | |||
MBT Financial Corp. | 2,662 | 29,468 | |||
Moelis & Co. Class A | 1,975 | 88,105 | |||
Nelnet, Inc. Class A | 1,295 | 70,992 | |||
Northrim BanCorp, Inc. | 3,689 | 138,374 | |||
Northwest Bancshares, Inc. | 6,553 | 121,886 | |||
PennyMac Mortgage Investment Trust REIT | 6,942 | 141,478 | |||
Peoples Bancorp, Inc. | 4,120 | 137,361 | |||
Ready Capital Corp. REIT | 2,912 | 46,971 | |||
Redwood Trust, Inc. REIT | 8,941 | 136,797 | |||
Republic Bancorp, Inc. Class A | 3,097 | 140,108 | |||
United Fire Group, Inc. | 2,606 | 127,016 | |||
WesBanco, Inc. | 3,692 | 156,652 | |||
Western Asset Mortgage Capital Corp. REIT (b) | 13,365 | 134,051 | |||
3,853,260 | |||||
HEALTH CARE — 16.6% | |||||
ACADIA Pharmaceuticals, Inc. (a)(b) | 268 | 7,102 | |||
Acceleron Pharma, Inc. (a)(b) | 164 | 7,223 |
Security Description | Shares | Value | |||
Akorn, Inc. (a) | 32,239 | $130,568 | |||
AMAG Pharmaceuticals, Inc. (a)(b) | 1,997 | 29,735 | |||
Amicus Therapeutics, Inc. (a)(b) | 1,547 | 18,719 | |||
AMN Healthcare Services, Inc. (a) | 2,542 | 127,125 | |||
AnaptysBio, Inc. (a)(b) | 73 | 5,028 | |||
Arena Pharmaceuticals, Inc. (a) | 329 | 16,424 | |||
Array BioPharma, Inc. (a)(b) | 1,639 | 37,599 | |||
Arrowhead Pharmaceuticals, Inc. (a)(b) | 3,047 | 59,477 | |||
Arsanis, Inc. (a) | 211 | 582 | |||
Atara Biotherapeutics, Inc. (a)(b) | 168 | 6,016 | |||
Blueprint Medicines Corp. (a) | 359 | 29,506 | |||
Cambrex Corp. (a) | 93 | 3,845 | |||
CareDx, Inc. (a) | 1,506 | 46,867 | |||
Concert Pharmaceuticals, Inc. (a) | 2,602 | 39,524 | |||
CONMED Corp. | 2,245 | 172,640 | |||
CorVel Corp. (a) | 1,995 | 134,263 | |||
Cross Country Healthcare, Inc. (a) | 13,225 | 115,586 | |||
CTI BioPharma Corp. (a)(b) | 192 | 196 | |||
CytomX Therapeutics, Inc. (a) | 290 | 3,254 | |||
Editas Medicine, Inc. (a)(b) | 194 | 4,002 | |||
Emergent BioSolutions, Inc. (a) | 1,041 | 60,742 | |||
Enanta Pharmaceuticals, Inc. (a) | 67 | 6,870 | |||
Endo International PLC (a) | 13,481 | 148,156 | |||
Ensign Group, Inc. | 3,200 | 158,240 | |||
FibroGen, Inc. (a) | 705 | 40,749 | |||
Galectin Therapeutics, Inc. (a)(b) | 250 | 1,303 | |||
Genomic Health, Inc. (a) | 90 | 6,837 | |||
Global Blood Therapeutics, Inc. (a)(b) | 246 | 12,915 | |||
Haemonetics Corp. (a) | 1,752 | 152,196 | |||
Halozyme Therapeutics, Inc. (a) | 742 | 12,800 | |||
HealthStream, Inc. | 5,451 | 151,538 | |||
Heron Therapeutics, Inc. (a)(b) | 403 | 10,667 | |||
HMS Holdings Corp. (a) | 4,495 | 154,898 | |||
Horizon Pharma PLC (a) | 3,016 | 87,494 | |||
ImmunoGen, Inc. (a) | 1,592 | 7,514 | |||
Immunomedics, Inc. (a)(b) | 978 | 15,413 | |||
Insmed, Inc. (a)(b) | 380 | 11,267 | |||
Integer Holdings Corp. (a) | 1,777 | 161,636 | |||
Intellia Therapeutics, Inc. (a)(b) | 762 | 11,605 | |||
Intercept Pharmaceuticals, Inc. (a)(b) | 139 | 13,864 | |||
IntriCon Corp. (a)(b) | 3,517 | 94,678 | |||
Ironwood Pharmaceuticals, Inc. (a)(b) | 853 | 12,147 | |||
Lannett Co., Inc. (a) | 15,139 | 142,458 | |||
Ligand Pharmaceuticals, Inc. (a) | 173 | 21,466 | |||
Luminex Corp. | 5,139 | 130,942 | |||
Madrigal Pharmaceuticals, Inc. (a)(b) | 25 | 3,282 | |||
Mallinckrodt PLC (a)(b) | 6,806 | 169,878 | |||
Medpace Holdings, Inc. (a) | 2,413 | 132,594 | |||
Meridian Bioscience, Inc. | 1,867 | 31,870 | |||
MiMedx Group, Inc. (a)(b) | 1,246 | 3,738 | |||
Momenta Pharmaceuticals, Inc. (a) | 332 | 4,678 |
Security Description | Shares | Value | |||
Myriad Genetics, Inc. (a) | 395 | $12,257 | |||
National HealthCare Corp. | 1,781 | 144,991 | |||
Orthofix Medical, Inc. (a) | 2,381 | 145,479 | |||
Phibro Animal Health Corp. Class A | 753 | 22,063 | |||
Portola Pharmaceuticals, Inc. (a)(b) | 410 | 12,591 | |||
Providence Service Corp. (a) | 1,959 | 139,716 | |||
PTC Therapeutics, Inc. (a) | 207 | 7,150 | |||
Puma Biotechnology, Inc. (a)(b) | 82 | 2,280 | |||
REGENXBIO, Inc. (a) | 199 | 10,294 | |||
Repligen Corp. (a)(b) | 272 | 16,189 | |||
Sangamo Therapeutics, Inc. (a)(b) | 253 | 2,280 | |||
Spark Therapeutics, Inc. (a)(b) | 165 | 18,695 | |||
Spectrum Pharmaceuticals, Inc. (a) | 318 | 3,438 | |||
Supernus Pharmaceuticals, Inc. (a) | 358 | 14,621 | |||
Tandem Diabetes Care, Inc. (a) | 1,984 | 130,091 | |||
Tivity Health, Inc. (a)(b) | 3,578 | 76,569 | |||
Ultragenyx Pharmaceutical, Inc. (a)(b) | 372 | 23,860 | |||
Utah Medical Products, Inc. | 648 | 55,002 | |||
Vanda Pharmaceuticals, Inc. (a) | 198 | 4,008 | |||
Xencor, Inc. (a)(b) | 183 | 5,552 | |||
3,816,842 | |||||
INDUSTRIALS — 17.5% | |||||
Advanced Drainage Systems, Inc. | 456 | 11,592 | |||
Applied Industrial Technologies, Inc. | 2,609 | 151,687 | |||
Atkore International Group, Inc. (a) | 6,235 | 144,028 | |||
Briggs & Stratton Corp. | 6,102 | 79,997 | |||
CBIZ, Inc. (a) | 177 | 3,652 | |||
Continental Building Products, Inc. (a) | 901 | 25,976 | |||
CSW Industrials, Inc. (a) | 367 | 20,838 | |||
Deluxe Corp. | 2,145 | 99,807 | |||
EMCOR Group, Inc. | 2,393 | 172,607 | |||
EnerSys | 1,994 | 147,197 | |||
Ennis, Inc. | 725 | 15,370 | |||
Forward Air Corp. | 2,425 | 156,776 | |||
FTI Consulting, Inc. (a) | 2,386 | 176,946 | |||
GATX Corp. (b) | 2,009 | 159,715 | |||
Gorman-Rupp Co. | 3,919 | 132,501 | |||
H&E Equipment Services, Inc. | 4,487 | 129,181 | |||
Herc Holdings, Inc. (a) | 3,498 | 153,912 | |||
Herman Miller, Inc. | 1,164 | 42,696 | |||
Hillenbrand, Inc. | 3,699 | 163,829 | |||
HNI Corp. | 3,288 | 127,015 | |||
Insperity, Inc. | 1,421 | 179,430 | |||
Interface, Inc. | 7,167 | 127,214 | |||
KBR, Inc. | 8,772 | 173,335 | |||
Kforce, Inc. | 1,713 | 63,398 | |||
Knoll, Inc. | 6,989 | 147,887 | |||
Korn/Ferry International | 3,240 | 158,080 | |||
Matson, Inc. | 1,406 | 50,771 | |||
McGrath RentCorp | 2,792 | 167,073 | |||
Moog, Inc. Class A | 1,820 | 171,007 | |||
National Presto Industries, Inc. (b) | 1,039 | 116,513 | |||
RR Donnelley & Sons Co. | 22,635 | 121,776 |
Security Description | Shares | Value | |||
Rush Enterprises, Inc. Class B | 1,676 | $69,219 | |||
SkyWest, Inc. | 815 | 44,043 | |||
Spirit Airlines, Inc. (a) | 2,708 | 152,325 | |||
Tetra Tech, Inc. | 2,759 | 165,595 | |||
Triton International, Ltd. | 388 | 12,769 | |||
4,035,757 | |||||
INFORMATION TECHNOLOGY — 17.8% | |||||
ACI Worldwide, Inc. (a) | 5,423 | 172,831 | |||
Badger Meter, Inc. | 2,578 | 151,690 | |||
Bel Fuse, Inc. Class B | 1,463 | 35,770 | |||
Bottomline Technologies DE, Inc. (a) | 571 | 28,481 | |||
Ciena Corp. (a) | 5,019 | 214,111 | |||
Cirrus Logic, Inc. (a) | 3,965 | 159,115 | |||
CSG Systems International, Inc. | 3,381 | 140,481 | |||
Diodes, Inc. (a) | 4,297 | 173,298 | |||
eGain Corp. (a) | 11,424 | 129,548 | |||
Electronics For Imaging, Inc. (a) | 3,515 | 95,046 | |||
ePlus, Inc. (a) | 1,664 | 148,828 | |||
EVERTEC, Inc. | 5,187 | 148,452 | |||
Extreme Networks, Inc. (a) | 18,210 | 149,686 | |||
Fabrinet (a) | 2,997 | 175,324 | |||
Hackett Group, Inc. | 6,247 | 101,576 | |||
j2 Global, Inc. (b) | 2,322 | 197,393 | |||
KEMET Corp. | 7,263 | 137,634 | |||
Knowles Corp. (a) | 3,840 | 62,515 | |||
Lumentum Holdings, Inc. (a) | 375 | 18,656 | |||
ManTech International Corp. Class A | 2,251 | 122,342 | |||
Novanta, Inc. (a) | 372 | 30,404 | |||
OSI Systems, Inc. (a) | 1,706 | 148,166 | |||
Perficient, Inc. (a) | 5,594 | 160,044 | |||
Progress Software Corp. | 4,015 | 147,672 | |||
Rambus, Inc. (a) | 13,706 | 140,761 | |||
Rudolph Technologies, Inc. (a) | 5,793 | 130,806 | |||
Sanmina Corp. (a) | 4,851 | 154,941 | |||
ScanSource, Inc. (a) | 556 | 20,878 | |||
Science Applications International Corp. | 1,981 | 147,981 | |||
Sykes Enterprises, Inc. (a) | 5,170 | 152,980 | |||
Unisys Corp. (a) | 10,356 | 139,910 | |||
Vishay Intertechnology, Inc. | 7,786 | 170,669 | |||
4,107,989 | |||||
MATERIALS — 4.2% | |||||
AdvanSix, Inc. (a) | 4,672 | 153,008 | |||
Hawkins, Inc. | 94 | 3,875 | |||
Innophos Holdings, Inc. | 3,824 | 126,957 | |||
Kaiser Aluminum Corp. | 1,536 | 168,161 | |||
Stepan Co. | 1,734 | 163,169 | |||
Tredegar Corp. | 1,208 | 21,043 | |||
Trinseo SA | 3,137 | 157,446 | |||
Verso Corp. Class A (a) | 1,370 | 26,920 | |||
Warrior Met Coal, Inc. (b) | 5,334 | 156,180 | |||
976,759 |
Security Description | Shares | Value | |||
REAL ESTATE — 4.8% | |||||
Chesapeake Lodging Trust REIT | 3,996 | $120,359 | |||
CoreCivic, Inc. REIT | 6,923 | 146,629 | |||
HFF, Inc. Class A | 3,563 | 161,048 | |||
Lexington Realty Trust REIT | 4,909 | 45,605 | |||
RPT Realty REIT (b) | 9,989 | 126,660 | |||
Ryman Hospitality Properties, Inc. REIT | 2,205 | 178,583 | |||
Tanger Factory Outlet Centers, Inc. REIT (b) | 1,286 | 27,765 | |||
Tier REIT, Inc. | 6,090 | 147,682 | |||
Urstadt Biddle Properties, Inc. Class A, REIT | 728 | 15,230 | |||
Xenia Hotels & Resorts, Inc. REIT | 7,590 | 148,233 | |||
1,117,794 | |||||
UTILITIES — 0.7% | |||||
ONE Gas, Inc. | 449 | 38,816 | |||
PNM Resources, Inc. | 1,506 | 65,782 | |||
Portland General Electric Co. | 989 | 49,589 | |||
154,187 | |||||
TOTAL COMMON STOCKS (Cost $22,563,246) | 22,954,052 |
SHORT-TERM INVESTMENTS — 6.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.39% (c) (d) | 129,798 | 129,798 | |
State Street Navigator Securities Lending Portfolio II (e) (f) | 1,282,489 | 1,282,489 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $1,412,287) | 1,412,287 | ||
TOTAL INVESTMENTS — 105.6% (Cost $23,975,533) | 24,366,339 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.6)% | (1,301,632) | ||
NET ASSETS — 100.0% | $23,064,707 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at February 28, 2019. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended February 28, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at February 28, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2019 are shown in the Affiliate Table below. |
(f) | 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) | 1 | 03/15/2019 | $67,657 | $78,775 | $11,118 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $22,954,052 | $— | $— | $22,954,052 | ||||
Short-Term Investments | 1,412,287 | — | — | 1,412,287 | ||||
TOTAL INVESTMENTS | $24,366,339 | $— | $— | $24,366,339 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 11,118 | — | — | 11,118 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $11,118 | $— | $— | $11,118 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $24,377,457 | $— | $— | $24,377,457 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/18 | Value at 8/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/19 | Value at 2/28/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 285,444 | $285,444 | $1,460,455 | $1,616,101 | $— | $— | 129,798 | $129,798 | $2,343 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 229,827 | 229,827 | 1,081,306 | 1,311,133 | — | — | — | — | 6,035 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 2,983,397 | 1,700,908 | — | — | 1,282,489 | 1,282,489 | 1,462 | — | |||||||||
Total | $515,271 | $5,525,158 | $4,628,142 | $— | $— | $1,412,287 | $9,840 | $— |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.6% | |||||
BRAZIL — 4.9% | |||||
Banco Santander Brasil SA | 12,500 | $149,555 | |||
Braskem SA Preference Shares ADR (a) | 4,300 | 123,969 | |||
Cia de Saneamento de Minas Gerais-COPASA | 4,800 | 79,166 | |||
EDP - Energias do Brasil SA | 61,900 | 285,098 | |||
IRB Brasil Resseguros SA | 38,800 | 919,346 | |||
Itau Unibanco Holding SA Preference Shares | 44,250 | 415,033 | |||
JBS SA | 176,500 | 631,070 | |||
SLC Agricola SA | 18,300 | 199,850 | |||
Transmissora Alianca de Energia Eletrica SA | 35,200 | 233,908 | |||
3,036,995 | |||||
CHILE — 1.0% | |||||
AES Gener SA | 506,998 | 151,599 | |||
Enel Americas SA | 582,627 | 101,276 | |||
Enel Chile SA | 1,414,371 | 148,398 | |||
Engie Energia Chile SA | 121,717 | 242,255 | |||
643,528 | |||||
CHINA — 20.2% | |||||
Bank of Communications Co., Ltd. Class A | 115,800 | 110,843 | |||
Bank of Communications Co., Ltd. Class H | 117,000 | 98,223 | |||
China Communications Services Corp., Ltd. Class H | 1,764,000 | 1,773,045 | |||
China Lilang, Ltd. | 189,000 | 181,301 | |||
China Longyuan Power Group Corp., Ltd. Class H | 135,000 | 100,780 | |||
China Mobile, Ltd. | 177,700 | 1,869,871 | |||
China Petroleum & Chemical Corp. Class H | 684,000 | 590,786 | |||
China Resources Pharmaceutical Group, Ltd. (b) | 186,500 | 249,942 | |||
China Resources Power Holdings Co., Ltd. | 472,000 | 894,724 | |||
China Shenhua Energy Co., Ltd. Class H | 405,500 | 1,000,093 | |||
China Shineway Pharmaceutical Group, Ltd. | 99,000 | 103,670 | |||
China Telecom Corp., Ltd. Class H | 1,282,000 | 694,099 | |||
China Yangtze Power Co., Ltd. Class A | 28,000 | 68,260 | |||
CNOOC, Ltd. | 777,000 | 1,340,244 | |||
Daqin Railway Co., Ltd. Class A | 439,200 | 586,590 | |||
Guangdong Provincial Expressway Development Co., Ltd. Class B | 1,494,100 | 1,334,264 | |||
Huaneng Power International, Inc. Class H | 402,000 | 247,865 | |||
Jiangsu Expressway Co., Ltd. Class H | 406,000 | 559,625 | |||
Sinopec Engineering Group Co., Ltd. Class H | 113,000 | 102,639 |
Security Description | Shares | Value | |||
Tencent Holdings, Ltd. | 11,500 | $491,952 | |||
12,398,816 | |||||
CZECH REPUBLIC — 3.1% | |||||
CEZ A/S | 5,796 | 140,442 | |||
Moneta Money Bank A/S (b) | 46,205 | 163,631 | |||
O2 Czech Republic A/S | 137,631 | 1,499,488 | |||
Philip Morris CR A/S | 118 | 76,037 | |||
1,879,598 | |||||
GREECE — 1.3% | |||||
Aegean Airlines SA | 37,912 | 336,359 | |||
Motor Oil Hellas Corinth Refineries SA | 19,183 | 466,942 | |||
803,301 | |||||
HONG KONG — 1.2% | |||||
Yuexiu Real Estate Investment Trust | 555,000 | 375,432 | |||
Yuexiu Transport Infrastructure, Ltd. | 502,000 | 390,741 | |||
766,173 | |||||
HUNGARY — 0.7% | |||||
Magyar Telekom Telecommunications PLC | 256,957 | 432,744 | |||
INDIA — 9.0% | |||||
Divi's Laboratories, Ltd. | 25,409 | 590,961 | |||
Dr Reddy's Laboratories, Ltd. | 6,963 | 257,629 | |||
GAIL India, Ltd. | 137,682 | 662,024 | |||
HCL Technologies, Ltd. | 56,448 | 836,408 | |||
Infosys, Ltd. | 167,865 | 1,733,021 | |||
Jagran Prakashan, Ltd. | 60,211 | 81,564 | |||
Tata Consultancy Services, Ltd. | 10,536 | 293,810 | |||
Tech Mahindra, Ltd. | 52,489 | 612,625 | |||
Wipro, Ltd. | 86,165 | 446,899 | |||
5,514,941 | |||||
INDONESIA — 1.9% | |||||
Bank Central Asia Tbk PT | 168,000 | 329,312 | |||
Telekomunikasi Indonesia Persero Tbk PT | 3,016,900 | 827,811 | |||
1,157,123 | |||||
MALAYSIA — 5.5% | |||||
AMMB Holdings Bhd | 234,800 | 258,098 | |||
Carlsberg Brewery Malaysia Bhd Class B | 28,200 | 169,900 | |||
IGB Real Estate Investment Trust | 329,400 | 140,946 | |||
Malayan Banking Bhd | 134,041 | 314,130 | |||
MISC Bhd | 284,000 | 481,889 | |||
PPB Group Bhd | 72,720 | 328,326 | |||
Public Bank Bhd | 269,400 | 1,656,216 | |||
3,349,505 | |||||
MEXICO — 0.6% | |||||
Bolsa Mexicana de Valores SAB de CV | 98,800 | 205,989 |
Security Description | Shares | Value | |||
Wal-Mart de Mexico SAB de CV | 67,800 | $175,290 | |||
381,279 | |||||
PAKISTAN — 1.9% | |||||
Hub Power Co. Ltd | 98,800 | 61,962 | |||
Indus Motor Co., Ltd. | 8,440 | 74,482 | |||
MCB Bank, Ltd. | 201,400 | 298,290 | |||
Nishat Mills, Ltd. | 118,400 | 119,546 | |||
Oil & Gas Development Co., Ltd. | 588,500 | 633,795 | |||
1,188,075 | |||||
PERU — 1.0% | |||||
Credicorp, Ltd. | 2,500 | 607,725 | |||
PHILIPPINES — 3.9% | |||||
Aboitiz Power Corp. | 420,800 | 283,544 | |||
Cebu Air, Inc. | 207,650 | 337,451 | |||
Globe Telecom, Inc. | 11,500 | 422,467 | |||
Manila Electric Co. | 110,530 | 785,592 | |||
Metro Pacific Investments Corp. | 6,570,700 | 597,106 | |||
2,426,160 | |||||
POLAND — 0.7% | |||||
Asseco Poland SA | 19,835 | 278,347 | |||
Neuca SA | 2,106 | 144,708 | |||
423,055 | |||||
QATAR — 2.2% | |||||
Barwa Real Estate Co. | 22,068 | 239,998 | |||
Masraf Al Rayan QSC | 11,084 | 112,324 | |||
Ooredoo QSC | 19,974 | 367,472 | |||
Qatar Gas Transport Co., Ltd. | 25,319 | 139,068 | |||
Qatar Islamic Bank SAQ | 11,685 | 465,956 | |||
1,324,818 | |||||
RUSSIA — 2.5% | |||||
Alrosa PJSC | 943,000 | 1,360,917 | |||
Novolipetsk Steel PJSC GDR | 6,600 | 157,278 | |||
1,518,195 | |||||
SINGAPORE — 1.1% | |||||
BOC Aviation, Ltd. (b) | 77,700 | 672,102 | |||
SOUTH AFRICA — 1.2% | |||||
AngloGold Ashanti, Ltd. | 26,320 | 377,253 | |||
Gold Fields, Ltd. | 47,933 | 195,592 | |||
Harmony Gold Mining Co., Ltd. (c) | 87,031 | 182,784 | |||
755,629 | |||||
SOUTH KOREA — 10.3% | |||||
DB Insurance Co., Ltd. | 1,496 | 96,435 | |||
Hyundai Glovis Co., Ltd. | 1,261 | 156,406 | |||
Hyundai Mobis Co., Ltd. | 797 | 156,254 | |||
KT&G Corp. | 20,058 | 1,881,496 | |||
LG Uplus Corp. | 26,990 | 359,963 | |||
Samsung Card Co., Ltd. | 5,345 | 161,818 | |||
Samsung Electronics Co., Ltd. | 23,168 | 929,027 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 539 | 144,490 | |||
SK Telecom Co., Ltd. | 7,736 | 1,791,792 |
Security Description | Shares | Value | |||
Woori Financial Group, Inc. (c) | 49,282 | $648,505 | |||
6,326,186 | |||||
TAIWAN — 17.2% | |||||
Asustek Computer, Inc. | 16,000 | 114,113 | |||
AU Optronics Corp. | 613,000 | 226,067 | |||
Cathay Financial Holding Co., Ltd. | 138,000 | 203,123 | |||
Chunghwa Telecom Co., Ltd. | 413,000 | 1,435,868 | |||
E.Sun Financial Holding Co., Ltd. | 741,487 | 532,447 | |||
First Financial Holding Co., Ltd. | 2,043,219 | 1,380,890 | |||
Formosa Chemicals & Fibre Corp. | 340,000 | 1,165,500 | |||
Formosa Plastics Corp. | 112,000 | 373,012 | |||
Fubon Financial Holding Co., Ltd. | 142,000 | 209,933 | |||
Greatek Electronics, Inc. | 212,000 | 291,378 | |||
Mega Financial Holding Co., Ltd. | 145,000 | 128,385 | |||
Nan Ya Plastics Corp. | 160,000 | 399,786 | |||
Powertech Technology, Inc. | 187,000 | 435,046 | |||
Sampo Corp. | 508,200 | 240,258 | |||
Taiwan Mobile Co., Ltd. | 47,000 | 167,985 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 4,800 | 187,440 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 195,782 | 1,520,378 | |||
Taiwan Shin Kong Security Co., Ltd. | 288,000 | 358,403 | |||
Ttet Union Corp. | 65,000 | 212,256 | |||
Uni-President Enterprises Corp. | 363,960 | 886,943 | |||
Yuanta Financial Holding Co., Ltd. | 195,000 | 110,563 | |||
10,579,774 | |||||
THAILAND — 2.5% | |||||
Electricity Generating PCL | 125,500 | 1,063,340 | |||
Electricity Generating PCL NVDR | 5,000 | 42,364 | |||
Land & Houses PCL | 1,258,500 | 419,334 | |||
1,525,038 | |||||
TURKEY — 0.2% | |||||
Tupras Turkiye Petrol Rafinerileri A/S | 3,952 | 106,236 | |||
UNITED ARAB EMIRATES — 3.5% | |||||
Abu Dhabi Commercial Bank PJSC | 570,891 | 1,481,239 | |||
Aldar Properties PJSC | 1,369,082 | 663,481 | |||
Dubai Islamic Bank PJSC | 9,032 | 12,836 | |||
2,157,556 | |||||
TOTAL COMMON STOCKS (Cost $51,074,740) | 59,974,552 |
SHORT-TERM INVESTMENTS — 1.2% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.39% (d) (e) | 708,991 | 708,991 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (f) (g) | 49,913 | $49,913 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $758,904) | 758,904 | |||||
TOTAL INVESTMENTS — 98.8% (Cost $51,833,644) | 60,733,456 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2% | 714,147 | |||||
NET ASSETS — 100.0% | $61,447,603 |
(a) | All or a portion of the shares of the security are on loan at February 28, 2019. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.8% of net assets as of February 28, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(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 February 28, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at February 28, 2019. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2019 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
ADR | = American Depositary Receipt |
GDR | = Global Depositary Receipt |
NVDR | = Non Voting 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) | 18 | 03/15/2019 | $937,355 | $942,030 | $4,675 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $58,491,878 | $1,482,674 | $— | $59,974,552 | ||||
Short-Term Investments | 758,904 | — | — | 758,904 | ||||
TOTAL INVESTMENTS | $59,250,782 | $1,482,674 | $— | $60,733,456 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 4,675 | — | — | 4,675 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $4,675 | $— | $— | $4,675 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $59,255,457 | $1,482,674 | $— | $60,738,131 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/18 | Value at 8/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/19 | Value at 2/28/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 377,932 | $377,932 | $21,845,685 | $21,514,626 | $— | $— | 708,991 | $708,991 | $13,572 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 253,892 | 253,892 | 139,014 | 392,906 | — | — | — | — | 55 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 491,367 | 441,454 | — | — | 49,913 | 49,913 | 3 | — | |||||||||
Total | $631,824 | $22,476,066 | $22,348,986 | $— | $— | $758,904 | $13,630 | $— |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.9% | |||||
AUSTRALIA — 10.0% | |||||
AGL Energy, Ltd. | 107,723 | $1,620,727 | |||
Aurizon Holdings, Ltd. | 773,149 | 2,478,919 | |||
AusNet Services | 188,077 | 231,471 | |||
Australia & New Zealand Banking Group, Ltd. | 13,038 | 258,958 | |||
BHP Group PLC | 181,314 | 4,198,881 | |||
BHP Group, Ltd. | 14,121 | 372,923 | |||
Brambles, Ltd. | 27,605 | 230,280 | |||
Coca-Cola Amatil, Ltd. | 44,482 | 251,480 | |||
GPT Group REIT | 482,580 | 2,002,562 | |||
Macquarie Group, Ltd. | 2,449 | 223,473 | |||
Mirvac Group REIT | 142,555 | 259,882 | |||
Qantas Airways, Ltd. | 130,581 | 530,756 | |||
Scentre Group REIT | 323,903 | 889,174 | |||
South32, Ltd. | 123,381 | 342,205 | |||
Stockland REIT | 85,053 | 211,163 | |||
Telstra Corp., Ltd. | 1,139,072 | 2,529,043 | |||
Vicinity Centres REIT | 127,934 | 223,245 | |||
Wesfarmers, Ltd. | 114,975 | 2,706,079 | |||
Whitehaven Coal, Ltd. | 67,164 | 209,628 | |||
Woodside Petroleum, Ltd. | 129,487 | 3,329,621 | |||
23,100,470 | |||||
AUSTRIA — 0.1% | |||||
OMV AG | 4,392 | 231,150 | |||
BELGIUM — 0.6% | |||||
Ageas | 22,884 | 1,127,854 | |||
Colruyt SA | 1,717 | 122,453 | |||
UCB SA | 2,831 | 237,258 | |||
1,487,565 | |||||
DENMARK — 1.3% | |||||
GN Store Nord A/S | 18,695 | 900,926 | |||
Matas A/S | 20,494 | 216,833 | |||
Novo Nordisk A/S Class B | 25,890 | 1,270,354 | |||
Royal Unibrew A/S | 4,143 | 306,335 | |||
Vestas Wind Systems A/S | 2,884 | 240,064 | |||
2,934,512 | |||||
FINLAND — 1.6% | |||||
Nokia Oyj | 334,412 | 2,022,083 | |||
UPM-Kymmene Oyj | 10,945 | 330,158 | |||
Valmet Oyj | 52,380 | 1,304,793 | |||
3,657,034 | |||||
FRANCE — 7.8% | |||||
Arkema SA | 2,017 | 203,361 | |||
AXA SA | 49,547 | 1,256,484 | |||
Capgemini SE | 1,995 | 238,721 | |||
Cie de Saint-Gobain | 7,767 | 279,702 | |||
Cie Generale des Etablissements Michelin SCA | 18,829 | 2,259,497 | |||
CNP Assurances | 110,460 | 2,553,059 | |||
Eutelsat Communications SA | 9,545 | 188,477 | |||
Hermes International | 423 | 267,899 |
Security Description | Shares | Value | |||
L'Oreal SA | 11,412 | $2,880,389 | |||
Orange SA | 16,311 | 249,351 | |||
Pernod Ricard SA | 1,609 | 277,086 | |||
Safran SA | 2,370 | 323,221 | |||
Sanofi | 58,642 | 4,902,620 | |||
Schneider Electric SE | 3,108 | 241,878 | |||
Societe BIC SA | 2,851 | 269,645 | |||
TOTAL SA | 4,813 | 273,672 | |||
Vinci SA | 14,560 | 1,389,821 | |||
18,054,883 | |||||
GERMANY — 5.4% | |||||
Allianz SE | 19,000 | 4,227,217 | |||
Amadeus Fire AG | 2,330 | 244,619 | |||
Bayer AG | 2,956 | 236,303 | |||
Covestro AG (a) | 16,656 | 949,920 | |||
Deutsche Lufthansa AG | 12,902 | 329,462 | |||
Deutsche Telekom AG | 179,939 | 2,964,667 | |||
HOCHTIEF AG | 1,577 | 250,050 | |||
LEG Immobilien AG | 8,227 | 918,561 | |||
Merck KGaA | 11,725 | 1,210,696 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 5,397 | 1,271,348 | |||
12,602,843 | |||||
HONG KONG — 3.4% | |||||
HKT Trust & HKT, Ltd. | 71,000 | 110,890 | |||
Lifestyle International Holdings, Ltd. | 55,000 | 96,691 | |||
Link REIT | 237,000 | 2,679,544 | |||
Swire Pacific, Ltd. Class A | 268,000 | 3,187,083 | |||
Wharf Holdings, Ltd. | 72,000 | 225,179 | |||
Wheelock & Co., Ltd. | 34,000 | 230,211 | |||
Yue Yuen Industrial Holdings, Ltd. | 373,000 | 1,254,460 | |||
7,784,058 | |||||
ISRAEL — 1.3% | |||||
Bank Hapoalim BM | 203,039 | 1,397,700 | |||
Bank Leumi Le-Israel BM | 242,560 | 1,604,172 | |||
3,001,872 | |||||
ITALY — 2.8% | |||||
Enel SpA | 39,094 | 236,567 | |||
Eni SpA | 224,351 | 3,870,180 | |||
Saras SpA | 240,487 | 475,962 | |||
Snam SpA | 379,998 | 1,878,033 | |||
6,460,742 | |||||
JAPAN — 25.1% | |||||
ADEKA Corp. | 15,100 | 224,471 | |||
Advantest Corp. (b) | 11,800 | 278,313 | |||
AGC, Inc. | 18,900 | 654,501 | |||
Alfresa Holdings Corp. | 118,700 | 3,434,329 | |||
Asahi Kasei Corp. | 201,400 | 2,193,510 | |||
Astellas Pharma, Inc. | 163,300 | 2,517,661 | |||
Bridgestone Corp. | 95,200 | 3,751,972 |
Security Description | Shares | Value | |||
Cosmo Energy Holdings Co., Ltd. (b) | 10,700 | $225,011 | |||
Denso Corp. | 5,300 | 227,377 | |||
FUJIFILM Holdings Corp. | 81,700 | 3,658,231 | |||
Haseko Corp. | 18,100 | 225,875 | |||
Heiwado Co., Ltd. | 9,700 | 216,078 | |||
Hitachi Construction Machinery Co., Ltd. | 9,200 | 229,371 | |||
Hitachi, Ltd. | 9,800 | 293,213 | |||
Honda Motor Co., Ltd. | 153,500 | 4,342,040 | |||
ITOCHU Corp. | 112,000 | 2,007,590 | |||
Jafco Co., Ltd. | 5,800 | 202,934 | |||
Japan Airlines Co., Ltd. | 88,900 | 3,242,080 | |||
JXTG Holdings, Inc. | 41,100 | 191,995 | |||
Kajima Corp. | 16,100 | 238,037 | |||
Konica Minolta, Inc. | 285,700 | 2,768,187 | |||
Makino Milling Machine Co., Ltd. | 6,000 | 240,883 | |||
Marubeni Corp. | 38,900 | 277,341 | |||
Medipal Holdings Corp. | 50,500 | 1,176,136 | |||
Meiko Electronics Co., Ltd. (b) | 13,100 | 209,783 | |||
Mitsubishi Corp. | 18,800 | 529,433 | |||
Mitsui & Co., Ltd. | 240,700 | 3,778,989 | |||
Mitsui Chemicals, Inc. | 12,100 | 294,508 | |||
Mizuho Financial Group, Inc. | 139,600 | 219,422 | |||
NGK Spark Plug Co., Ltd. | 9,200 | 195,283 | |||
Nippon Light Metal Holdings Co., Ltd. | 109,600 | 241,884 | |||
Optorun Co., Ltd. (b) | 13,200 | 259,228 | |||
Resona Holdings, Inc. | 48,300 | 218,090 | |||
SEC Carbon, Ltd. (b) | 2,200 | 209,411 | |||
Showa Corp. | 18,100 | 251,693 | |||
Showa Denko KK | 97,700 | 3,633,127 | |||
Sumitomo Chemical Co., Ltd. | 43,400 | 214,927 | |||
Sumitomo Electric Industries, Ltd. | 19,100 | 265,428 | |||
Sumitomo Mitsui Construction Co., Ltd. | 36,800 | 241,999 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 32,300 | 1,222,569 | |||
Taisei Corp. | 78,700 | 3,713,829 | |||
Taiyo Yuden Co., Ltd. (b) | 57,000 | 1,120,926 | |||
THK Co., Ltd. | 8,800 | 216,003 | |||
Tokio Marine Holdings, Inc. | 4,400 | 214,187 | |||
Tokyo Gas Co., Ltd. | 6,300 | 173,234 | |||
Tokyu Construction Co., Ltd. | 23,600 | 200,928 | |||
Tosoh Corp. | 31,500 | 464,312 | |||
Toyota Motor Corp. | 95,500 | 5,737,797 | |||
Toyota Tsusho Corp. | 30,900 | 979,962 | |||
TS Tech Co., Ltd. | 7,800 | 227,076 | |||
Yokohama Rubber Co., Ltd. | 10,800 | 220,040 | |||
58,071,204 | |||||
LUXEMBOURG — 0.3% | |||||
ArcelorMittal | 7,767 | 178,547 | |||
SES SA | 28,197 | 566,563 | |||
745,110 |
Security Description | Shares | Value | |||
MACAU — 0.1% | |||||
Wynn Macau, Ltd. | 116,400 | $287,673 | |||
MALTA — 0.1% | |||||
Kindred Group PLC SDR | 28,906 | 303,206 | |||
NETHERLANDS — 2.9% | |||||
ABN AMRO Group NV (a) | 9,267 | 224,729 | |||
ASM International NV | 4,588 | 250,180 | |||
Koninklijke Ahold Delhaize NV | 152,898 | 3,943,494 | |||
Royal Dutch Shell PLC Class A | 7,869 | 245,218 | |||
Royal Dutch Shell PLC Class B | 7,572 | 237,470 | |||
SBM Offshore NV | 12,317 | 232,425 | |||
Wolters Kluwer NV | 22,163 | 1,461,635 | |||
6,595,151 | |||||
NORWAY — 3.6% | |||||
Austevoll Seafood ASA | 38,056 | 460,765 | |||
DNB ASA | 200,137 | 3,835,902 | |||
DNO ASA | 439,224 | 934,486 | |||
Equinor ASA | 25,756 | 578,984 | |||
Leroy Seafood Group ASA | 77,674 | 585,506 | |||
Orkla ASA | 29,276 | 230,673 | |||
Salmar ASA | 19,070 | 914,203 | |||
SpareBank 1 SMN | 42,243 | 460,609 | |||
Telenor ASA | 11,492 | 224,088 | |||
8,225,216 | |||||
SINGAPORE — 1.0% | |||||
ComfortDelGro Corp., Ltd. | 871,600 | 1,540,772 | |||
Jardine Cycle & Carriage, Ltd. | 30,800 | 759,521 | |||
2,300,293 | |||||
SPAIN — 2.1% | |||||
ACS Actividades de Construccion y Servicios SA | 38,018 | 1,685,634 | |||
Enagas SA | 9,889 | 281,768 | |||
Endesa SA | 105,675 | 2,662,429 | |||
Telefonica SA | 25,414 | 219,376 | |||
4,849,207 | |||||
SWEDEN — 4.9% | |||||
Axfood AB | 12,739 | 235,787 | |||
Betsson AB (c) | 28,054 | 225,349 | |||
Castellum AB | 18,023 | 328,321 | |||
Investor AB Class B | 17,889 | 798,962 | |||
JM AB (b) | 13,515 | 277,295 | |||
Peab AB | 48,146 | 420,157 | |||
Sandvik AB | 36,407 | 598,177 | |||
Skandinaviska Enskilda Banken AB Class A | 296,483 | 3,018,117 | |||
Skanska AB Class B | 13,182 | 237,778 | |||
SKF AB Class B | 20,148 | 339,109 | |||
Swedbank AB Class A | 104,512 | 1,920,278 | |||
Swedish Match AB | 62,796 | 2,943,987 | |||
11,343,317 | |||||
SWITZERLAND — 8.7% | |||||
ABB, Ltd. | 13,432 | 266,002 |
Security Description | Shares | Value | |||
Baloise Holding AG | 10,242 | $1,672,708 | |||
Cembra Money Bank AG | 4,463 | 427,944 | |||
Nestle SA | 24,695 | 2,235,800 | |||
Novartis AG | 74,692 | 6,813,245 | |||
Roche Holding AG | 14,786 | 4,108,169 | |||
Sunrise Communications Group AG (a)(c) | 2,679 | 198,768 | |||
Swiss Life Holding AG (c) | 531 | 231,436 | |||
Swiss Re AG | 40,397 | 3,999,831 | |||
Zurich Insurance Group AG | 882 | 291,629 | |||
20,245,532 | |||||
UNITED KINGDOM — 15.8% | |||||
3i Group PLC | 157,241 | 1,972,528 | |||
Anglo American PLC (b) | 73,757 | 1,959,975 | |||
Barratt Developments PLC | 37,134 | 295,024 | |||
Bellway PLC | 36,166 | 1,451,055 | |||
Berkeley Group Holdings PLC | 18,347 | 961,214 | |||
BP PLC | 36,428 | 258,202 | |||
Britvic PLC | 21,528 | 262,408 | |||
BT Group PLC | 74,285 | 211,539 | |||
Burberry Group PLC | 9,884 | 247,707 | |||
Carnival PLC | 4,056 | 226,807 | |||
Diageo PLC | 89,475 | 3,457,600 | |||
Dialog Semiconductor PLC (c) | 16,936 | 516,464 | |||
Direct Line Insurance Group PLC | 678,019 | 3,207,768 | |||
GlaxoSmithKline PLC | 91,065 | 1,808,620 | |||
Greene King PLC | 28,316 | 247,876 | |||
Imperial Brands PLC | 7,297 | 242,976 | |||
Intermediate Capital Group PLC | 16,934 | 235,385 | |||
Legal & General Group PLC | 73,520 | 273,622 | |||
Lloyds Banking Group PLC | 4,054,706 | 3,417,154 | |||
Meggitt PLC | 423,650 | 3,029,808 | |||
Mondi PLC | 12,729 | 291,825 | |||
Pearson PLC (b) | 260,118 | 2,918,763 | |||
QinetiQ Group PLC | 87,744 | 357,051 | |||
Redrow PLC | 30,884 | 254,995 | |||
RELX PLC | 12,271 | 281,406 | |||
Rio Tinto PLC | 79,807 | 4,589,742 | |||
Rio Tinto, Ltd. | 4,388 | 299,310 | |||
Smith & Nephew PLC | 19,803 | 377,307 | |||
Tate & Lyle PLC | 326,495 | 3,009,673 | |||
36,663,804 | |||||
TOTAL COMMON STOCKS (Cost $225,138,955) | 228,944,842 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.39% (d) (e) | 763,008 | $763,008 | ||||
State Street Navigator Securities Lending Portfolio II (f) (g) | 4,657,164 | 4,657,164 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,420,172) | 5,420,172 | |||||
TOTAL INVESTMENTS — 101.2% (Cost $230,559,127) | 234,365,014 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.2)% | (2,871,251) | |||||
NET ASSETS — 100.0% | $231,493,763 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.6% of net assets as of February 28, 2019, 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 February 28, 2019. |
(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 February 28, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at February 28, 2019. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2019 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
REIT | = Real Estate Investment Trust |
SDR | = Swedish Depositary Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI EAFE Index (long) | 22 | 03/15/2019 | $2,055,980 | $2,055,900 | $(80) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $228,944,842 | $— | $— | $228,944,842 | ||||
Short-Term Investments | 5,420,172 | — | — | 5,420,172 | ||||
TOTAL INVESTMENTS | $234,365,014 | $— | $— | $234,365,014 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (80) | — | — | (80) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(80) | $— | $— | $(80) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/18 | Value at 8/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/19 | Value at 2/28/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,856,141 | $2,856,141 | $17,846,793 | $19,939,926 | $— | $— | 763,008 | $763,008 | $22,271 | $— | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 2,211,582 | 2,211,582 | 7,481,913 | 9,693,495 | — | — | — | — | 9,254 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 21,276,062 | 16,618,898 | — | — | 4,657,164 | 4,657,164 | 7,200 | — | |||||||||
Total | $5,067,723 | $46,604,768 | $46,252,319 | $— | $— | $5,420,172 | $38,725 | $— |
State Street Dynamic Small Cap Fund | State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $22,954,052 | $59,974,552 | $228,944,842 | ||
Investments in affiliated issuers, at value | 1,412,287 | 758,904 | 5,420,172 | ||
Total Investments | 24,366,339 | 60,733,456 | 234,365,014 | ||
Foreign currency, at value | — | 404,260 | 586,868 | ||
Cash at broker | — | 29,456 | 104,265 | ||
Cash | — | 13 | — | ||
Receivable from broker — accumulated variation margin on open futures contracts | 11,120 | 4,675 | — | ||
Receivable for fund shares sold | 242 | 8,163 | 346,437 | ||
Dividends receivable — unaffiliated issuers | 22,225 | 212,494 | 684,103 | ||
Dividends receivable — affiliated issuers | 390 | 4,383 | 1,009 | ||
Securities lending income receivable — unaffiliated issuers | 924 | 13 | 4,106 | ||
Securities lending income receivable — affiliated issuers | 580 | 1 | 3,547 | ||
Receivable from Adviser | 28,975 | 48,359 | 77,488 | ||
Receivable for foreign taxes recoverable | — | 291,071 | 375,550 | ||
Prepaid expenses and other assets | 135 | 347 | 1,359 | ||
TOTAL ASSETS | 24,430,930 | 61,736,691 | 236,549,746 | ||
LIABILITIES | |||||
Deposit from Broker | 7,900 | — | — | ||
Payable upon return of securities loaned | 1,282,489 | 49,913 | 4,657,164 | ||
Payable for fund shares repurchased | 3,383 | 19,862 | 140,084 | ||
Payable to broker – accumulated variation margin on open futures contracts | — | — | 80 | ||
Deferred foreign taxes payable | — | 117,327 | — | ||
Advisory fee payable | 13,224 | 32,403 | 132,353 | ||
Custodian fees payable | 7,495 | 3,752 | 22,446 | ||
Administration fees payable | 732 | 3,644 | 7,432 | ||
Shareholder servicing fee payable | 1,585 | 780 | 2,455 | ||
Distribution fees payable | 3,651 | 10,267 | 28,504 | ||
Trustees’ fees and expenses payable | 29 | 41 | 65 | ||
Transfer agent fees payable | 16,893 | 19,919 | 21,022 | ||
Sub-transfer agent fee payable | 1,783 | 1,010 | 385 | ||
Registration and filing fees payable | 2,756 | 611 | 2,163 | ||
Professional fees payable | 19,737 | 19,455 | 21,592 | ||
Printing and postage fees payable | 4,566 | 6,286 | 18,395 | ||
Accrued expenses and other liabilities | — | 3,818 | 1,843 | ||
TOTAL LIABILITIES | 1,366,223 | 289,088 | 5,055,983 | ||
NET ASSETS | $23,064,707 | $61,447,603 | $231,493,763 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $22,214,072 | $51,536,104 | $249,089,621 | ||
Total distributable earnings (loss)** | 850,635 | 9,911,499 | (17,595,858) | ||
NET ASSETS | $23,064,707 | $61,447,603 | $231,493,763 | ||
Class A | |||||
Net Assets | $248,989 | $51,453 | $4,024,222 | ||
Shares Outstanding | 5,062 | 8,279 | 402,461 | ||
Net asset value, offering and redemption price per share | $49.19 | $6.21 | $10.00 | ||
Maximum sales charge | 5.25% | 5.25% | 5.25% | ||
Maximum offering price per share | $51.92 | $6.55 | $10.55 | ||
Class I | |||||
Net Assets | $1,469,604 | $1,464,049 | $4,718,739 | ||
Shares Outstanding | 29,722 | 234,079 | 470,010 | ||
Net asset value, offering and redemption price per share | $49.45 | $6.25 | $10.04 | ||
Class K | |||||
Net Assets | $13,609 | $856,753 | $64,009,374 | ||
Shares Outstanding | 275 | 136,065 | 6,377,401 | ||
Net asset value, offering and redemption price per share | $49.54(a) | $6.30 | $10.04 |
State Street Dynamic Small Cap Fund | State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
Class N | |||||
Net Assets | $21,332,505 | $59,075,348 | $158,741,428 | ||
Shares Outstanding | 430,900 | 9,412,504 | 15,783,885 | ||
Net asset value, offering and redemption price per share | $49.51 | $6.28 | $10.06 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $22,563,246 | $51,074,740 | $225,138,955 | ||
Investments in affiliated issuers | 1,412,287 | 758,904 | 5,420,172 | ||
Total cost of investments | $23,975,533 | $51,833,644 | $230,559,127 | ||
Foreign currency, at cost | $— | $403,437 | $587,098 | ||
* Includes investments in securities on loan, at value | $2,814,916 | $47,570 | $6,656,354 | ||
** Includes deferred foreign taxes | $— | $117,327 | $— |
(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 Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers | $44 | $14,378 | $752 | ||
Dividend income — unaffiliated issuers | 243,137 | 1,087,692 | 2,832,476 | ||
Dividend income — affiliated issuers | 2,343 | 13,572 | 22,271 | ||
Unaffiliated securities lending income | 1,444 | 315 | 8,584 | ||
Affiliated securities lending income | 7,497 | 58 | 16,454 | ||
Foreign taxes withheld | — | (127,019) | (176,409) | ||
TOTAL INVESTMENT INCOME (LOSS) | 254,465 | 988,996 | 2,704,128 | ||
EXPENSES | |||||
Advisory fee | 86,093 | 233,398 | 880,026 | ||
Administration fees | 5,740 | 15,560 | 58,668 | ||
Shareholder servicing fees | |||||
Class N | 2,340 | 7,137 | 18,647 | ||
Distribution fees | |||||
Class A | 300 | 62 | 8,154 | ||
Class N | 23,934 | 66,911 | 182,419 | ||
Custodian fees | 11,920 | 51,980 | 49,697 | ||
Trustees’ fees and expenses | 9,610 | 10,606 | 15,098 | ||
Transfer agent fees | 16,658 | 43,610 | 73,982 | ||
Sub-transfer agent fee | |||||
Class A | 114 | — | 6,575 | ||
Class I | — | 731 | 1,019 | ||
Registration and filing fees | 36,861 | 40,713 | 30,812 | ||
Professional fees and expenses | 17,674 | 21,075 | 22,527 | ||
Printing and postage fees | 3,508 | 13,082 | 35,065 | ||
Insurance expense | 199 | 514 | 2,015 | ||
Miscellaneous expenses | 4,550 | 4,979 | 12,800 | ||
TOTAL EXPENSES | 219,501 | 510,358 | 1,397,504 | ||
Expenses waived/reimbursed by the Adviser | (95,240) | (124,319) | (297,008) | ||
NET EXPENSES | 124,261 | 386,039 | 1,100,496 | ||
NET INVESTMENT INCOME (LOSS) | $130,204 | $602,957 | $1,603,632 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers* | 341,137 | 2,417,502 | (12,163,743) | ||
Foreign currency transactions | — | (33,464) | 16,811 | ||
Futures contracts | (2,878) | (102,289) | (137,416) | ||
Net realized gain (loss) | 338,259 | 2,281,749 | (12,284,348) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | (2,872,096) | (3,204,316) | 1,214,621 | ||
Foreign currency translations | — | 2,942 | (7,369) | ||
Futures contracts | (396) | 39,589 | 23,621 | ||
Net change in unrealized appreciation/depreciation | (2,872,492) | (3,161,785) | 1,230,873 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (2,534,233) | (880,036) | (11,053,475) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(2,404,029) | $(277,079) | $(9,449,843) | ||
* Includes foreign capital gain taxes | $— | $(20,973) | $— | ||
**Includes foreign deferred taxes | $— | $(128,011) | $— |
State Street Dynamic Small Cap Fund | |||
Six Months Ended 2/28/19 (Unaudited) | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $130,204 | $251,203 | |
Net realized gain (loss) | 338,259 | 4,358,025 | |
Net change in unrealized appreciation/depreciation | (2,872,492) | 700,095 | |
Net increase (decrease) in net assets resulting from operations | (2,404,029) | 5,309,323 | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 11): | |||
Class A | (2,466) | (1,237) | |
Class I | (19,441) | (6,910) | |
Class K | (176) | (87) | |
Class N | (218,012) | (146,949) | |
Total distributions to shareholders | (240,095) | (155,183) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | 13,517 | 20,992 | |
Reinvestment of distributions | 2,335 | 1,121 | |
Cost of shares redeemed | (10,775) | (163,995) | |
Net increase (decrease) from capital share transactions | 5,077 | (141,882) | |
Class I | |||
Proceeds from sale of shares sold | 73,097 | 510,779 | |
Reinvestment of distributions | 19,165 | 6,741 | |
Cost of shares redeemed | (106,178) | (460,015) | |
Net increase (decrease) from capital share transactions | (13,916) | 57,505 | |
Class K | |||
Proceeds from sale of shares sold | 344 | — | |
Reinvestment of distributions | 3 | — | |
Net increase (decrease) from capital share transactions | 347 | — | |
Class N | |||
Proceeds from sale of shares sold | 390,112 | 8,175,938 | |
Reinvestment of distributions | 208,312 | 140,598 | |
Cost of shares redeemed | (1,665,663) | (13,768,620) | |
Net increase (decrease) from capital share transactions | (1,067,239) | (5,452,084) | |
Net increase (decrease) in net assets from beneficial interest transactions | (1,075,731) | (5,536,461) | |
Contribution from Adviser (Note 4) | — | 6,362 | |
Net increase (decrease) in net assets during the period | (3,719,855) | (375,959) | |
Net assets at beginning of period | 26,784,562 | 27,160,521 | |
NET ASSETS AT END OF PERIOD | $23,064,707 | $26,784,562 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 276 | 440 | |
Reinvestment of distributions | 57 | 23 | |
Shares redeemed | (218) | (3,382) | |
Net increase (decrease) from capital share transactions | 115 | (2,919) | |
Class I | |||
Shares sold | 1,667 | 10,168 | |
Reinvestment of distributions | 466 | 138 | |
Shares redeemed | (2,314) | (9,404) | |
Net increase (decrease) from capital share transactions | (181) | 902 | |
Class K | |||
Shares sold | 7 | — | |
Net increase (decrease) from capital share transactions | 7 | — | |
Class N | |||
Shares sold | 8,284 | 167,123 | |
Reinvestment of distributions | 5,055 | 2,882 | |
Shares redeemed | (34,794) | (280,588) | |
Net increase (decrease) from capital share transactions | (21,455) | (110,583) |
State Street Defensive Emerging Markets Equity Fund | |||
Six Months Ended 2/28/19 (Unaudited) | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $602,957 | $2,067,290 | |
Net realized gain (loss) | 2,281,749 | 11,431,790 | |
Net change in unrealized appreciation/depreciation | (3,161,785) | (14,044,163) | |
Net increase (decrease) in net assets resulting from operations | (277,079) | (545,083) | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 11): | |||
Class A | (10,784) | (2,763) | |
Class I | (836,046) | (71,775) | |
Class K | (196,466) | (115,910) | |
Class N | (12,415,797) | (4,197,774) | |
Total distributions to shareholders | (13,459,093) | (4,388,222) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Reinvestment of distributions | 9,906 | 2,527 | |
Net increase (decrease) from capital share transactions | 9,906 | 2,527 | |
Class I | |||
Proceeds from sale of shares sold | 10,619,138 | 534,869 | |
Reinvestment of distributions | 819,771 | 66,523 | |
Cost of shares redeemed | (10,705,145) | (432,241) | |
Net increase (decrease) from capital share transactions | 733,764 | 169,151 | |
Class K | |||
Proceeds from sale of shares sold | 7,040 | 36,286 | |
Reinvestment of distributions | 195,578 | 115,665 | |
Cost of shares redeemed | (101,014) | (1,431,025) | |
Net increase (decrease) from capital share transactions | 101,604 | (1,279,074) | |
Class N | |||
Proceeds from sale of shares sold | 3,579,086 | 2,847,712 | |
Reinvestment of distributions | 12,065,170 | 4,097,594 | |
Cost of shares redeemed | (10,251,022) | (22,547,687) | |
Net increase (decrease) from capital share transactions | 5,393,234 | (15,602,381) | |
Net increase (decrease) in net assets from beneficial interest transactions | 6,238,508 | (16,709,777) | |
Contribution from Adviser (Note 4) | — | 126,543 | |
Net increase (decrease) in net assets during the period | (7,497,664) | (21,516,539) | |
Net assets at beginning of period | 68,945,267 | 90,461,806 | |
NET ASSETS AT END OF PERIOD | $61,447,603 | $68,945,267 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Reinvestment of distributions | 1,702 | 308 | |
Net increase (decrease) from capital share transactions | 1,702 | 308 | |
Class I | |||
Shares sold | 1,553,075 | 64,041 | |
Reinvestment of distributions | 139,654 | 8,073 | |
Shares redeemed | (1,653,943) | (51,492) | |
Net increase (decrease) from capital share transactions | 38,786 | 20,622 | |
Class K | |||
Shares sold | 927 | 4,397 | |
Reinvestment of distributions | 33,149 | 13,986 | |
Shares redeemed | (16,282) | (160,987) | |
Net increase (decrease) from capital share transactions | 17,794 | (142,604) | |
Class N | |||
Shares sold | 526,994 | 339,574 | |
Reinvestment of distributions | 2,051,900 | 496,678 | |
Shares redeemed | (1,445,671) | (2,676,645) | |
Net increase (decrease) from capital share transactions | 1,133,223 | (1,840,393) |
State Street International Stock Selection Fund | |||
Six Months Ended 2/28/19 (Unaudited) | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $1,603,632 | $7,362,386 | |
Net realized gain (loss) | (12,284,348) | 15,514,471 | |
Net change in unrealized appreciation/depreciation | 1,230,873 | (30,331,527) | |
Net increase (decrease) in net assets resulting from operations | (9,449,843) | (7,454,670) | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 11): | |||
Class A | (339,293) | (244,468) | |
Class I | (133,041) | (22,848) | |
Class K | (3,577,431) | (3,038,416) | |
Class N | (8,560,102) | (7,557,291) | |
Total distributions to shareholders | (12,609,867) | (10,863,023) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | 761,021 | 1,127,761 | |
Reinvestment of distributions | 338,842 | 244,098 | |
Cost of shares redeemed | (3,410,383) | (631,668) | |
Net increase (decrease) from capital share transactions | (2,310,520) | 740,191 | |
Class I | |||
Proceeds from sale of shares sold | 2,229,737 | 2,277,585 | |
Reinvestment of distributions | 132,543 | 20,632 | |
Cost of shares redeemed | (176,606) | (192,029) | |
Net increase (decrease) from capital share transactions | 2,185,674 | 2,106,188 | |
Class K | |||
Proceeds from sale of shares sold | 4,698,993 | 4,475,428 | |
Reinvestment of distributions | 3,576,930 | 3,038,018 | |
Cost of shares redeemed | (5,738,280) | (15,347,887) | |
Net increase (decrease) from capital share transactions | 2,537,643 | (7,834,441) | |
Class N | |||
Proceeds from sale of shares sold | 3,260,813 | 13,844,112 | |
Reinvestment of distributions | 8,435,996 | 7,507,103 | |
Cost of shares redeemed | (18,070,628) | (41,601,116) | |
Net increase (decrease) from capital share transactions | (6,373,819) | (20,249,901) | |
Net increase (decrease) in net assets from beneficial interest transactions | (3,961,022) | (25,237,963) | |
Net increase (decrease) in net assets during the period | (26,020,732) | (43,555,656) | |
Net assets at beginning of period | 257,514,495 | 301,070,151 | |
NET ASSETS AT END OF PERIOD | $231,493,763 | $257,514,495 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 75,043 | 97,313 | |
Reinvestment of distributions | 37,608 | 21,208 | |
Shares redeemed | (342,644) | (54,175) | |
Net increase (decrease) from capital share transactions | (229,993) | 64,346 | |
Class I | |||
Shares sold | 241,756 | 195,318 | |
Reinvestment of distributions | 14,678 | 1,786 | |
Shares redeemed | (17,376) | (16,409) | |
Net increase (decrease) from capital share transactions | 239,058 | 180,695 | |
Class K | |||
Shares sold | 469,057 | 384,703 | |
Reinvestment of distributions | 396,116 | 263,032 | |
Shares redeemed | (611,725) | (1,306,440) | |
Net increase (decrease) from capital share transactions | 253,448 | (658,705) | |
Class N | |||
Shares sold | 322,756 | 1,179,118 | |
Reinvestment of distributions | 932,154 | 648,842 | |
Shares redeemed | (1,805,617) | (3,579,123) | |
Net increase (decrease) from capital share transactions | (550,707) | (1,751,163) |
State Street Dynamic Small Cap Fund Class A | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $54.62 | $45.02 | $40.42 | $37.21 | $37.32 | $37.38 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.25 | 0.44 | 0.18 | 0.17 | 0.19 | (0.01) | |||||
Net realized and unrealized gain (loss) | (5.19) | 9.40 | 4.50 | 3.33 | (0.13) | (0.05) | |||||
Total from investment operations | (4.94) | 9.84 | 4.68 | 3.50 | 0.06 | (0.06) | |||||
Contribution from Adviser (Note 4) | — | 0.01 | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.49) | (0.25) | (0.08) | (0.29) | (0.17) | — | |||||
Net asset value, end of period | $49.19 | $54.62 | $45.02 | $40.42 | $37.21 | $37.32 | |||||
Total return (d) | (8.86)% | 21.94%(e) | 11.58% | 9.48% | 0.15% | (0.16)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $249 | $270 | $354 | $170 | $10 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 2.02%(f) | 2.09% | 2.09% | 2.39% | 2.28% | 3.04%(f) | |||||
Net expenses (c) | 1.20%(f) | 1.15% | 1.20% | 1.22% | 1.30% | 1.20%(f) | |||||
Net investment income (loss) (c) | 1.02%(f) | 0.88% | 0.40% | 0.46% | 0.49% | (0.17)%(f) | |||||
Portfolio turnover rate | 38%(g) | 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 Adviser 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 | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $55.01 | $45.25 | $40.54 | $37.25 | $37.33 | $37.38 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.33 | 0.55 | 0.27 | 0.24 | 0.25 | 0.00(d) | |||||
Net realized and unrealized gain (loss) | (5.24) | 9.49 | 4.54 | 3.36 | (0.10) | (0.05) | |||||
Total from investment operations | (4.91) | 10.04 | 4.81 | 3.60 | 0.15 | (0.05) | |||||
Contribution from Adviser (Note 4) | — | 0.01 | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.65) | (0.29) | (0.10) | (0.31) | (0.23) | (0.00)(d) | |||||
Net asset value, end of period | $49.45 | $55.01 | $45.25 | $40.54 | $37.25 | $37.33 | |||||
Total return (e) | (8.69)% | 22.29%(f) | 11.88% | 9.75% | 0.40% | (0.13)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,470 | $1,645 | $1,312 | $1,703 | $1,282 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.68%(g) | 1.79% | 1.85% | 2.14% | 2.03% | 2.79%(g) | |||||
Net expenses (c) | 0.85%(g) | 0.85% | 0.97% | 0.98% | 1.05% | 0.95%(g) | |||||
Net investment income (loss) (c) | 1.37%(g) | 1.10% | 0.61% | 0.65% | 0.65% | 0.08%(g) | |||||
Portfolio turnover rate | 38%(h) | 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 Adviser 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 | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $55.11 | $45.36 | $40.67 | $37.33 | $37.34 | $37.38 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.33 | 0.56 | 0.34 | 0.32 | 0.36 | 0.01 | |||||
Net realized and unrealized gain (loss) | (5.25) | 9.50 | 4.53 | 3.37 | (0.13) | (0.05) | |||||
Total from investment operations | (4.92) | 10.06 | 4.87 | 3.69 | 0.23 | (0.04) | |||||
Contribution from Adviser (Note 4) | — | 0.01 | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.65) | (0.32) | (0.18) | (0.35) | (0.24) | — | |||||
Net asset value, end of period | $49.54 | $55.11 | $45.36 | $40.67 | $37.33 | $37.34 | |||||
Total return (d) | (8.69)% | 22.30%(e) | 11.98% | 9.97% | 0.61% | (0.11)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $14 | $15 | $12 | $11 | $10 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.68%(f) | 1.79% | 1.73% | 1.94% | 1.83% | 2.62%(f) | |||||
Net expenses (c) | 0.85%(f) | 0.86% | 0.85% | 0.78% | 0.85% | 0.76%(f) | |||||
Net investment income (loss) (c) | 1.36%(f) | 1.12% | 0.77% | 0.85% | 0.94% | 0.26%(f) | |||||
Portfolio turnover rate | 38%(g) | 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 Adviser 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 | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $54.95 | $45.27 | $40.60 | $37.26 | $37.33 | $31.76 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.27 | 0.44 | 0.22 | 0.22 | 0.27 | 0.17 | |||||
Net realized and unrealized gain (loss) | (5.21) | 9.48 | 4.54 | 3.38 | (0.14) | 5.67 | |||||
Total from investment operations | (4.94) | 9.92 | 4.76 | 3.60 | 0.13 | 5.84 | |||||
Contribution from Adviser (Note 4) | — | 0.01 | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.50) | (0.25) | (0.09) | (0.26) | (0.20) | (0.27) | |||||
Net asset value, end of period | $49.51 | $54.95 | $45.27 | $40.60 | $37.26 | $37.33 | |||||
Total return (d) | (8.81)% | 21.99%(e) | 11.74% | 9.72% | 0.33% | 18.42% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $21,333 | $24,855 | $25,482 | $29,353 | $22,508 | $24,136 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.93%(f) | 2.04% | 1.98% | 2.18% | 2.08% | 1.82% | |||||
Net expenses (c) | 1.10%(f) | 1.10% | 1.10% | 1.02% | 1.10% | 1.20% | |||||
Net investment income (loss) (c) | 1.12%(f) | 0.88% | 0.50% | 0.58% | 0.72% | 0.46% | |||||
Portfolio turnover rate | 38%(g) | 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 Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been 21.97%. |
(f) | Annualized. |
(g) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class A | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $7.96 | $8.50 | $7.48 | $9.29 | $19.22 | $18.68 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.07 | 0.22 | 0.11 | 0.14 | 0.26 | 0.07 | |||||
Net realized and unrealized gain (loss) (d) | (0.18) | (0.33) | 1.03 | 0.04 | (3.97) | 0.46(e) | |||||
Total from investment operations | (0.11) | (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 | (0.33) | (0.13) | (0.12) | — | (0.38) | — | |||||
Net realized gains | (1.31) | (0.31) | — | (1.99) | (5.84) | — | |||||
Total distributions | (1.64) | (0.44) | (0.12) | (1.99) | (6.22) | — | |||||
Net asset value, end of period | $6.21 | $7.96 | $8.50 | $7.48 | $9.29 | $19.22 | |||||
Total return (f) | (0.01)% | (1.31)%(g) | 15.57% | 3.35% | (22.73)% | 2.89%(h) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $51 | $52 | $53 | $46 | $19 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.65%(i) | 1.62% | 1.77% | 1.69% | 1.59% | 1.77%(i) | |||||
Net expenses (c) | 1.25%(i) | 1.25% | 1.37% | 1.41% | 1.45% | 1.36%(i) | |||||
Net investment income (loss) (c) | 1.96%(i) | 2.70% | 1.42% | 1.88% | 2.19% | 2.27%(i) | |||||
Portfolio turnover rate | 26%(j) | 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 theperiod ended August 31, 2018, the total return would have been (1.44)%. |
(h) | If the Adviser had not made a contribution during theperiod ended August 31, 2014, the total return would have been 2.84%. |
(i) | Annualized. |
(j) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class I | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $8.03 | $8.57 | $7.52 | $9.30 | $19.23 | $18.68 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.05 | 0.26 | 0.14 | 0.14 | 0.20 | 0.07 | |||||
Net realized and unrealized gain (loss) (d) | (0.17) | (0.35) | 1.02 | 0.07 | (3.88) | 0.47(e) | |||||
Total from investment operations | (0.12) | (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 | (0.35) | (0.15) | (0.11) | — | (0.41) | — | |||||
Net realized gains | (1.31) | (0.31) | — | (1.99) | (5.84) | — | |||||
Total distributions | (1.66) | (0.46) | (0.11) | (1.99) | (6.25) | — | |||||
Net asset value, end of period | $6.25 | $8.03 | $8.57 | $7.52 | $9.30 | $19.23 | |||||
Total return (f) | (0.18)% | (1.15)%(g) | 15.96% | 3.70% | (22.56)% | 2.94%(h) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,464 | $1,568 | $1,496 | $1,523 | $1,447 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.48%(i) | 1.37% | 1.51% | 1.46% | 1.34% | 1.52%(i) | |||||
Net expenses (c) | 1.08%(i) | 1.00% | 1.11% | 1.18% | 1.20% | 1.12%(i) | |||||
Net investment income (loss) (c) | 1.41%(i) | 3.15% | 1.81% | 1.80% | 1.83% | 2.52%(i) | |||||
Portfolio turnover rate | 26%(j) | 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 theperiod ended August 31, 2018, the total return would have been (1.27)%. |
(h) | If the Adviser had not made a contribution during theperiod ended August 31, 2014, the total return would have been 2.89%. |
(i) | Annualized. |
(j) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class K | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $8.05 | $8.60 | $7.55 | $9.31 | $19.23 | $18.68 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.08 | 0.20 | 0.15 | 0.20 | 0.23 | 0.08 | |||||
Net realized and unrealized gain (loss) (d) | (0.17) | (0.30) | 1.03 | 0.03 | (3.89) | 0.46(e) | |||||
Total from investment operations | (0.09) | (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 | (0.35) | (0.15) | (0.13) | — | (0.42) | — | |||||
Net realized gains | (1.31) | (0.31) | — | (1.99) | (5.84) | — | |||||
Total distributions | (1.66) | (0.46) | (0.13) | (1.99) | (6.26) | — | |||||
Net asset value, end of period | $6.30 | $8.05 | $8.60 | $7.55 | $9.31 | $19.23 | |||||
Total return (f) | 0.27% | (1.22)%(g) | 16.02% | 4.07% | (22.49)% | 2.94%(h) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $857 | $952 | $2,243 | $2,701 | $5 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.40%(i) | 1.37% | 1.40% | 1.20% | 1.15% | 1.42%(i) | |||||
Net expenses (c) | 1.00%(i) | 1.00% | 1.00% | 0.92% | 1.01% | 0.97%(i) | |||||
Net investment income (loss) (c) | 2.24%(i) | 2.29% | 1.93% | 2.86% | 1.78% | 2.65%(i) | |||||
Portfolio turnover rate | 26%(j) | 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 theperiod ended August 31, 2018, the total return would have been (1.35)%. |
(h) | If the Adviser had not made a contribution during theperiod ended August 31, 2014, the total return would have been 2.89%. |
(i) | Annualized. |
(j) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class N | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $8.02 | $8.56 | $7.52 | $9.30 | $19.22 | $18.47 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.07 | 0.21 | 0.12 | 0.13 | 0.20 | 0.26 | |||||
Net realized and unrealized gain (loss) (d) | (0.17) | (0.32) | 1.03 | 0.08 | (3.89) | 2.53 | |||||
Total from investment operations | (0.10) | (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 | (0.33) | (0.13) | (0.11) | — | (0.39) | (0.44) | |||||
Net realized gains | (1.31) | (0.31) | — | (1.99) | (5.84) | (1.61) | |||||
Total distributions | (1.64) | (0.44) | (0.11) | (1.99) | (6.23) | (2.05) | |||||
Net asset value, end of period | $6.28 | $8.02 | $8.56 | $7.52 | $9.30 | $19.22 | |||||
Total return (e) | 0.10% | (1.29)%(f) | 15.58% | 3.83% | (22.67)% | 15.68%(g) | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $59,075 | $66,373 | $86,670 | $107,308 | $171,885 | $495,509 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.65%(h) | 1.62% | 1.65% | 1.48% | 1.40% | 1.24% | |||||
Net expenses (c) | 1.25%(h) | 1.25% | 1.25% | 1.21% | 1.25% | 1.20% | |||||
Net investment income (loss) (c) | 1.96%(h) | 2.56% | 1.60% | 1.71% | 1.54% | 1.44% | |||||
Portfolio turnover rate | 26%(i) | 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 theperiod ended August 31, 2018, the total return would have been (1.41)%. |
(g) | If the Adviser had not made a contribution during theperiod ended August 31, 2014, the total return would have been 15.62%. |
(h) | Annualized. |
(i) | Not annualized. |
State Street International Stock Selection Fund Class A | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $10.96 | $11.76 | $10.05 | $10.64 | $11.23 | $11.54 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.05 | 0.26 | 0.27 | 0.27 | 0.24 | 0.03 | |||||
Net realized and unrealized gain (loss) | (0.49) | (0.63) | 1.69 | (0.58) | (0.73) | (0.34) | |||||
Total from investment operations | (0.44) | (0.37) | 1.96 | (0.31) | (0.49) | (0.31) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.52) | (0.43) | (0.25) | (0.28) | (0.10) | — | |||||
Net asset value, end of period | $10.00 | $10.96 | $11.76 | $10.05 | $10.64 | $11.23 | |||||
Total return (d) | (3.50)% | (3.35)% | 19.95% | (2.89)% | (4.39)% | (2.69)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,024 | $6,933 | $6,679 | $284 | $16 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.45%(e) | 1.49% | 1.31% | 1.46% | 1.40% | 1.50%(e) | |||||
Net expenses (c) | 1.20%(e) | 1.25% | 1.07% | 1.19% | 1.20% | 1.17%(e) | |||||
Net investment income (loss) (c) | 0.94%(e) | 2.28% | 2.51% | 2.73% | 2.16% | 1.65%(e) | |||||
Portfolio turnover rate | 62%(f) | 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 | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $11.05 | $11.81 | $10.10 | $10.65 | $11.24 | $11.54 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.08 | 0.44 | 0.25 | 0.25 | 0.29 | 0.03 | |||||
Net realized and unrealized gain (loss) | (0.52) | (0.74) | 1.74 | (0.53) | (0.76) | (0.33) | |||||
Total from investment operations | (0.44) | (0.30) | 1.99 | (0.28) | (0.47) | (0.30) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.57) | (0.46) | (0.28) | (0.27) | (0.12) | — | |||||
Net asset value, end of period | $10.04 | $11.05 | $11.81 | $10.10 | $10.65 | $11.24 | |||||
Total return (d) | (3.27)% | (2.84)% | 20.23% | (2.60)% | (4.21)% | (2.60)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,719 | $2,551 | $594 | $432 | $499 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.07%(e) | 1.00% | 1.09% | 1.21% | 1.16% | 1.24%(e) | |||||
Net expenses (c) | 0.82%(e) | 0.76% | 0.85% | 0.94% | 0.95% | 0.92%(e) | |||||
Net investment income (loss) (c) | 1.52%(e) | 3.84% | 2.33% | 2.45% | 2.61% | 1.90%(e) | |||||
Portfolio turnover rate | 62%(f) | 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 | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $11.04 | $11.82 | $10.12 | $10.67 | $11.24 | $11.54 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.08 | 0.32 | 0.25 | 0.28 | 0.28 | 0.04 | |||||
Net realized and unrealized gain (loss) | (0.50) | (0.64) | 1.75 | (0.54) | (0.73) | (0.34) | |||||
Total from investment operations | (0.42) | (0.32) | 2.00 | (0.26) | (0.45) | (0.30) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.58) | (0.46) | (0.30) | (0.29) | (0.12) | — | |||||
Net asset value, end of period | $10.04 | $11.04 | $11.82 | $10.12 | $10.67 | $11.24 | |||||
Total return (d) | (3.23)% | (2.80)% | 20.25% | (2.44)% | (4.01)% | (2.60)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $64,009 | $67,632 | $80,137 | $75,816 | $9 | $10 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.00%(e) | 0.99% | 0.99% | 0.99% | 0.96% | 1.11%(e) | |||||
Net expenses (c) | 0.75%(e) | 0.75% | 0.75% | 0.73% | 0.75% | 0.73%(e) | |||||
Net investment income (loss) (c) | 1.55%(e) | 2.72% | 2.37% | 2.79% | 2.54% | 2.09%(e) | |||||
Portfolio turnover rate | 62%(f) | 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 | |||||||||||
Six Months Ended 02/28/19 (Unaudited) | 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 | $11.04 | $11.81 | $10.11 | $10.65 | $11.24 | $9.90 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)(c) | 0.07 | 0.29 | 0.21 | 0.24 | 0.25 | 0.27 | |||||
Net realized and unrealized gain (loss) | (0.50) | (0.63) | 1.76 | (0.52) | (0.74) | 1.53 | |||||
Total from investment operations | (0.43) | (0.34) | 1.97 | (0.28) | (0.49) | 1.80 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.55) | (0.43) | (0.27) | (0.26) | (0.10) | (0.46) | |||||
Net asset value, end of period | $10.06 | $11.04 | $11.81 | $10.11 | $10.65 | $11.24 | |||||
Total return (d) | (3.35)% | (3.06)% | 20.04% | (2.61)% | (4.31)% | 18.31% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $158,741 | $180,398 | $213,660 | $228,594 | $325,556 | $385,784 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (c) | 1.25%(e) | 1.23% | 1.24% | 1.26% | 1.20% | 1.19% | |||||
Net expenses (c) | 1.00%(e) | 1.00% | 1.00% | 0.99% | 1.00% | 1.02% | |||||
Net investment income (loss) (c) | 1.31%(e) | 2.49% | 1.98% | 2.41% | 2.26% | 2.46% | |||||
Portfolio turnover rate | 62%(f) | 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. |
(e) | Annualized. |
(f) | Not annualized. |
Fund | Classes | Commencement of Operations: | Diversification Classification |
State Street 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 Defensive Emerging Markets Equity Fund (formerly 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 | 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 Defensive 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 | $— | $— | $— | $11,120 | $— | $11,120 | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | 4,675 | — | 4,675 |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | $— | $— | $— | $(80) | $— | $(80) |
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 | $— | $— | $— | $(2,878) | $— | $(2,878) | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | (102,289) | — | (102,289) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | (137,416) | — | (137,416) |
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 | $— | $— | $— | $(396) | $— | $(396) | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | 39,589 | — | 39,589 |
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 International Stock Selection Fund | |||||||||||
Futures Contracts | $— | $— | $— | $23,621 | $— | $23,621 |
Annual Rate | |
State Street Dynamic Small Cap Fund | 0.75% |
State Street Defensive 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 Defensive 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 | $94,092 |
State Street Defensive Emerging Markets Equity Fund | 121,207 |
State Street International Stock Selection Fund | 285,274 |
Amount Waived | |
State Street Dynamic Small Cap Fund | $1,148 |
State Street Defensive Emerging Markets Equity Fund | 3,112 |
State Street International Stock Selection Fund | 11,734 |
Purchases | Sales | ||
State Street Dynamic Small Cap Fund | $8,935,606 | $9,988,470 | |
State Street Defensive Emerging Markets Equity Fund | 15,826,866 | 22,634,636 | |
State Street International Stock Selection Fund | 144,954,138 | 157,470,779 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Dynamic Small Cap Fund | $23,983,756 | $1,993,705 | $1,600,004 | $393,701 | |||
State Street Defensive Emerging Markets Equity Fund | 51,942,268 | 11,284,029 | 2,488,166 | 8,795,863 | |||
State Street International Stock Selection Fund | 231,561,499 | 12,891,196 | 10,087,761 | 2,803,435 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street Dynamic Small Cap Fund | $ 2,814,916 | $ 1,282,489 | $ 1,611,507 | $ 2,893,996 | ||||
State Street Defensive Emerging Markets Equity Fund | 47,570 | 49,913 | — | 49,913 | ||||
State Street International Stock Selection Fund | 6,656,354 | 4,657,164 | 2,373,318 | 7,030,482 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of February 28, 2019 | ||||||||||||||
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 | $1,282,489 | $— | $— | $— | $1,282,489 | $1,282,489 | |||||||
State Street Defensive Emerging Markets Equity Fund | Common Stocks | 49,913 | — | — | — | 49,913 | 49,913 | |||||||
State Street International Stock Selection Fund | Common Stocks | 4,657,164 | — | — | — | 4,657,164 | 4,657,164 |
Net Investment Income | Net Realized Gains | Total Distributions | |||
State Street Dynamic Small Cap Fund | |||||
Class A | $ 1,237 | $— | $ 1,237 |
Net Investment Income | Net Realized Gains | Total Distributions | |||
Class I | $6,910 | $— | $6,910 | ||
Class K | 87 | — | 87 | ||
Class N | 146,949 | — | 146,949 | ||
State Street Defensive Emerging Markets Equity Fund | |||||
Class A | 831 | 1,932 | 2,763 | ||
Class I | 22,991 | 48,784 | 71,775 | ||
Class K | 37,749 | 78,161 | 115,910 | ||
Class N | 1,270,354 | 2,927,420 | 4,197,774 | ||
State Street International Stock Selection Fund | |||||
Class A | 244,468 | — | 244,468 | ||
Class I | 22,848 | — | 22,848 | ||
Class K | 3,038,416 | — | 3,038,416 | ||
Class N | 7,557,291 | — | 7,557,291 | ||
Undistributed (distribution in excess of) net investment income (loss) | |||||
State Street Dynamic Small Cap Fund | 240,080 | ||||
State Street Defensive Emerging Markets Equity Fund | 1,935,243 | ||||
State Street International Stock Selection Fund | 5,228,888 |
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% | $911.40 | $5.69 | $1,018.80 | $6.01 | ||||
Class I | 0.85 | 913.10 | 4.03 | 1,020.60 | 4.26 | ||||
Class K | 0.86 | 913.10 | 4.08 | 1,020.50 | 4.31 | ||||
Class N | 1.10 | 911.90 | 5.21 | 1,019.30 | 5.51 | ||||
State Street Defensive Emerging Markets Equity Fund | |||||||||
Class A | 1.26 | 999.90 | 6.25 | 1,018.50 | 6.31 | ||||
Class I | 1.08 | 998.20 | 5.35 | 1,019.40 | 5.41 | ||||
Class K | 1.00 | 1,002.70 | 4.97 | 1,019.80 | 5.01 | ||||
Class N | 1.25 | 1,001.00 | 6.20 | 1,018.60 | 6.26 | ||||
State Street International Stock Selection Fund | |||||||||
Class A | 1.20 | 965.00 | 5.85 | 1,018.80 | 6.01 | ||||
Class I | 0.82 | 967.30 | 4.00 | 1,020.70 | 4.11 | ||||
Class K | 0.75 | 967.70 | 3.66 | 1,021.10 | 3.76 | ||||
Class N | 1.00 | 966.50 | 4.88 | 1,019.80 | 5.01 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
Nominee | Shares For | Shares Withheld |
John R. Costantino | 52,276,730.980 | 1,433,801.691 |
Michael A. Jessee | 52,245,253.515 | 1,465,279.156 |
Ellen M. Needham | 52,243,600.769 | 1,466,931.902 |
Donna M. Rapaccioli | 52,281,079.055 | 1,429,453.616 |
The other Trustees whose term of office continued after the meeting are as follows: James E. Ross, Michael F. Holland, Patrick J. Riley, Richard D. Shirk, Rina K. Spence and Bruce D. Taber. |
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
One Iron Street
Boston, MA 02210
1776 Heritage Drive
North Quincy, Massachusetts 02171
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
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 S&P 500 Index Fund |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
10 |
% of Master Portfolio Net Assets | |||
Common Stocks | |||
Information Technology | 20.3% | ||
Health Care | 14.6 | ||
Financials | 13.1 | ||
Communication Services | 9.9 | ||
Consumer Discretionary | 9.7 | ||
Industrials | 9.6 | ||
Consumer Staples | 7.1 | ||
Energy | 5.3 | ||
Utilities | 3.2 | ||
Real Estate | 2.9 | ||
Materials | 2.6 | ||
Short Term Investments | 1.9 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $1,508,426,740 |
Receivable for fund shares sold | 3,195,323 |
Receivable from Adviser | 122,743 |
Prepaid expenses and other assets | 7,905 |
TOTAL ASSETS | 1,511,752,711 |
LIABILITIES | |
Payable for fund shares repurchased | 1,266,509 |
Custodian fees payable | 14,031 |
Administration fees payable | 38,092 |
Shareholder servicing fee payable | 27,416 |
Distribution fees payable | 42,267 |
Transfer agent fees payable | 31,313 |
Registration and filing fees payable | 4,556 |
Professional fees payable | 18,426 |
Printing and postage fees payable | 18,561 |
TOTAL LIABILITIES | 1,461,171 |
NET ASSETS | $1,510,291,540 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $678,990,218 |
Total distributable earnings (loss) | 831,301,322 |
NET ASSETS | $1,510,291,540 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $35.34 |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 42,732,883 |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $10,449 |
Dividend income allocated from affiliated Portfolio | 15,604,074 |
Unaffiliated securities lending income allocated from affiliated Portfolio | 10,052 |
Affiliated securities lending income allocated from affiliated Portfolio | 2,797 |
Expenses allocated from affiliated Portfolio | (333,081) |
Foreign taxes withheld allocated from affiliated Portfolio | (57,090) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 15,237,201 |
EXPENSES | |
Administration fees | 369,704 |
Shareholder servicing fees | 177,458 |
Distribution fees | 273,581 |
Custodian fees | 45,669 |
Trustees’ fees and expenses | 9,001 |
Transfer agent fees | 183,097 |
Registration and filing fees | 35,459 |
Professional fees and expenses | 38,326 |
Printing and postage fees | 79,652 |
Insurance expense | 11,727 |
Miscellaneous expenses | 8,034 |
TOTAL EXPENSES | 1,231,708 |
Expenses waived/reimbursed by the Adviser | (403,916) |
NET EXPENSES | 827,792 |
NET INVESTMENT INCOME (LOSS) | $14,409,409 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) allocated from affiliated Portfolio on: | |
Investments | 42,975,104 |
Futures contracts | (2,436,371) |
Net realized gain (loss) allocated from affiliated Portfolio | 40,538,733 |
Net change in unrealized appreciation/depreciation allocated from affiliated Portfolio on: | |
Investments | (108,058,614) |
Futures contracts | 177,703 |
Net change in unrealized appreciation/depreciation allocated from affiliated Portfolio | (107,880,911) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (67,342,178) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(52,932,769) |
Six Months Ended 2/28/19 (Unaudited) | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $14,409,409 | $27,837,021 | |
Net realized gain (loss) | 40,538,733 | 161,123,949 | |
Net change in unrealized appreciation/depreciation | (107,880,911) | 96,669,235 | |
Net increase (decrease) in net assets resulting from operations | (52,932,769) | 285,630,205 | |
Distributions to shareholders (Note 7) | (142,554,713) | (83,781,940) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 148,465,559 | 279,733,529 | |
Reinvestment of distributions | 140,209,730 | 82,133,475 | |
Cost of shares redeemed | (189,843,751) | (528,641,085) | |
Net increase (decrease) in net assets from beneficial interest transactions | 98,831,538 | (166,774,081) | |
Net increase (decrease) in net assets during the period | (96,655,944) | 35,074,184 | |
Net assets at beginning of period | 1,606,947,484 | 1,571,873,300 | |
NET ASSETS AT END OF PERIOD | $1,510,291,540 | $1,606,947,484 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 4,112,800 | 7,313,645 | |
Reinvestment of distributions | 4,525,282 | 2,199,312 | |
Shares redeemed | (5,302,223) | (13,796,061) | |
Net increase (decrease) | 3,335,859 | (4,283,104) |
Six Months Ended 2/28/19 (Unaudited) | 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 | $40.79 | $35.99 | $33.85 | $31.40 | $32.23 | $26.57 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (c) | 0.36(d)(e) | 0.66(d)(e) | 0.66(d)(e) | 0.66(d)(e) | 0.61(d) | 0.56 | |||||
Net realized and unrealized gain (loss) | (2.16) | 6.12 | 4.47 | 3.10 | (0.46) | 5.96 | |||||
Total from investment operations | (1.80) | 6.78 | 5.13 | 3.76 | 0.15 | 6.52 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.27) | (0.78) | (0.64) | (0.65) | (0.60) | (0.54) | |||||
Net realized gains | (3.38) | (1.20) | (2.35) | (0.66) | (0.38) | (0.32) | |||||
Total distributions | (3.65) | (1.98) | (2.99) | (1.31) | (0.98) | (0.86) | |||||
Net asset value, end of period | $35.34 | $40.79 | $35.99 | $33.85 | $31.40 | $32.23 | |||||
Total return (f) | (3.13)% | 19.41% | 16.06% | 12.38% | 0.36% | 24.98% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,510,292 | $1,606,947 | $1,571,873 | $1,518,948 | $1,532,049 | $1,508,573 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.21%(g) | 0.20% | 0.20% | 0.20% | 0.16% | 0.15% | |||||
Net expenses | 0.16%(d)(e)(g) | 0.16%(d)(e) | 0.16%(d)(e) | 0.15%(d)(e) | 0.16%(d) | 0.15% | |||||
Net investment income (loss) | 1.95%(d)(e)(g) | 1.74%(d)(e) | 1.91%(d)(e) | 2.03%(d)(e) | 1.88%(d) | 1.88% | |||||
Portfolio turnover rate (h) | 2%(i) | 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) | Annualized. |
(h) | Portfolio turnover rate is from the affiliated Portfolio. |
(i) | Not annualized. |
Fund | Classes | Commencement of Operations: | Diversification Classification: |
State Street S&P 500 Index Fund | Class N | December 30, 1992 | Diversified |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street S&P 500 Index Fund | $726,061,014 | $783,738,467 | $— | $783,738,467 |
Net Investment Income | Net Realized Gains | Total Distributions | Undistributed Net Investment Income (Loss) | ||||
State Street S&P 500 Index Fund | $32,192,321 | $51,589,619 | $83,781,940 | $4,191,070 |
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% | $968.70 | $0.78 | $1,024.00 | $0.80 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, 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. |
Nominee | Shares For | Shares Withheld |
John R. Costantino | 52,276,730.980 | 1,433,801.691 |
Michael A. Jessee | 52,245,253.515 | 1,465,279.156 |
Ellen M. Needham | 52,243,600.769 | 1,466,931.902 |
Donna M. Rapaccioli | 52,281,079.055 | 1,429,453.616 |
The other Trustees whose term of office continued after the meeting are as follows: James E. Ross, Michael F. Holland, Patrick J. Riley, Richard D. Shirk, Rina K. Spence and Bruce D. Taber. |
Boston, Massachusetts 02210
(800) 997-7327
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
One Iron Street
Boston, MA 02210
1776 Heritage Drive
North Quincy, Massachusetts 02171
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
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 | 98.3% | ||
Short-Term Investments | 1.9 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 20.3% | ||
Health Care | 14.6 | ||
Financials | 13.1 | ||
Communication Services | 9.9 | ||
Consumer Discretionary | 9.7 | ||
TOTAL | 67.6% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.3% | |||||
COMMUNICATION SERVICES — 9.9% | |||||
Activision Blizzard, Inc. | 47,700 | $2,010,078 | |||
Alphabet, Inc. Class A (a) | 18,923 | 21,317,706 | |||
Alphabet, Inc. Class C (a) | 19,545 | 21,888,836 | |||
AT&T, Inc. | 461,200 | 14,352,544 | |||
Cars.com, Inc. (a) | 1 | 24 | |||
CBS Corp. Class B | 20,418 | 1,025,188 | |||
CenturyLink, Inc. | 62,587 | 825,522 | |||
Charter Communications, Inc. Class A (a) | 10,900 | 3,759,519 | |||
Comcast Corp. Class A | 289,330 | 11,188,391 | |||
Discovery, Inc. Class A (a)(b) | 9,497 | 274,463 | |||
Discovery, Inc. Class C (a) | 20,660 | 562,985 | |||
DISH Network Corp. Class A (a) | 15,100 | 490,901 | |||
Electronic Arts, Inc. (a) | 19,021 | 1,821,831 | |||
Facebook, Inc. Class A (a) | 151,907 | 24,525,385 | |||
Interpublic Group of Cos., Inc. | 23,128 | 532,638 | |||
Netflix, Inc. (a) | 27,396 | 9,810,508 | |||
News Corp. Class A | 28,814 | 375,158 | |||
News Corp. Class B | 7,500 | 99,825 | |||
Omnicom Group, Inc. (b) | 14,950 | 1,131,715 | |||
Take-Two Interactive Software, Inc. (a) | 7,600 | 663,176 | |||
TripAdvisor, Inc. (a)(b) | 7,215 | 383,622 | |||
Twenty-First Century Fox, Inc. Class A | 67,809 | 3,419,608 | |||
Twenty-First Century Fox, Inc. Class B | 31,200 | 1,564,992 | |||
Twitter, Inc. (a) | 45,500 | 1,400,490 | |||
Verizon Communications, Inc. | 260,851 | 14,847,639 | |||
Viacom, Inc. Class B | 24,341 | 711,244 | |||
Walt Disney Co. | 94,893 | 10,707,726 | |||
149,691,714 | |||||
CONSUMER DISCRETIONARY — 9.7% | |||||
Advance Auto Parts, Inc. | 4,300 | 695,654 | |||
Amazon.com, Inc. (a) | 26,002 | 42,638,860 | |||
Aptiv PLC | 16,181 | 1,344,803 | |||
AutoZone, Inc. (a) | 1,588 | 1,491,084 | |||
Best Buy Co., Inc. | 14,413 | 992,191 | |||
Booking Holdings, Inc. (a) | 2,908 | 4,934,992 | |||
BorgWarner, Inc. | 13,223 | 536,986 | |||
Capri Holdings, Ltd. (a) | 8,886 | 405,202 | |||
CarMax, Inc. (a)(b) | 10,097 | 627,024 | |||
Carnival Corp. | 24,649 | 1,423,726 | |||
Chipotle Mexican Grill, Inc. (a) | 1,614 | 980,553 | |||
D.R. Horton, Inc. | 22,479 | 874,208 | |||
Darden Restaurants, Inc. | 8,117 | 909,997 | |||
Dollar General Corp. | 16,287 | 1,929,358 | |||
Dollar Tree, Inc. (a) | 14,482 | 1,395,051 | |||
eBay, Inc. | 59,258 | 2,201,435 | |||
Expedia Group, Inc. | 7,923 | 976,985 | |||
Foot Locker, Inc. | 8,000 | 476,160 |
Security Description | Shares | Value | |||
Ford Motor Co. | 251,860 | $2,208,812 | |||
Gap, Inc. | 15,364 | 390,246 | |||
Garmin, Ltd. | 7,360 | 618,019 | |||
General Motors Co. | 84,577 | 3,339,100 | |||
Genuine Parts Co. | 9,220 | 1,002,952 | |||
H&R Block, Inc. (b) | 12,851 | 310,352 | |||
Hanesbrands, Inc. (b) | 23,400 | 435,006 | |||
Harley-Davidson, Inc. (b) | 10,385 | 385,491 | |||
Hasbro, Inc. (b) | 7,628 | 647,617 | |||
Hilton Worldwide Holdings, Inc. | 18,700 | 1,553,970 | |||
Home Depot, Inc. | 71,210 | 13,183,819 | |||
Kohl's Corp. | 11,188 | 755,526 | |||
L Brands, Inc. | 15,246 | 398,530 | |||
Leggett & Platt, Inc. (b) | 6,444 | 292,686 | |||
Lennar Corp. Class A | 18,125 | 869,638 | |||
LKQ Corp. (a) | 20,800 | 576,160 | |||
Lowe's Cos., Inc. | 51,012 | 5,360,851 | |||
Macy's, Inc. | 17,961 | 445,253 | |||
Marriott International, Inc. Class A | 17,852 | 2,236,320 | |||
Mattel, Inc. (a)(b) | 17,143 | 247,202 | |||
McDonald's Corp. | 49,115 | 9,029,302 | |||
MGM Resorts International | 31,800 | 850,650 | |||
Mohawk Industries, Inc. (a) | 4,169 | 567,484 | |||
Newell Brands, Inc. (b) | 26,350 | 427,661 | |||
NIKE, Inc. Class B | 81,002 | 6,944,301 | |||
Nordstrom, Inc. (b) | 7,756 | 366,704 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 12,900 | 716,337 | |||
O'Reilly Automotive, Inc. (a) | 5,220 | 1,941,631 | |||
PulteGroup, Inc. | 16,443 | 443,961 | |||
PVH Corp. | 4,751 | 545,605 | |||
Ralph Lauren Corp. | 3,436 | 430,084 | |||
Ross Stores, Inc. | 23,344 | 2,213,712 | |||
Royal Caribbean Cruises, Ltd. | 11,300 | 1,338,824 | |||
Starbucks Corp. | 79,292 | 5,571,056 | |||
Tapestry, Inc. | 19,000 | 663,860 | |||
Target Corp. | 33,744 | 2,451,164 | |||
Tiffany & Co. | 6,581 | 625,458 | |||
TJX Cos., Inc. | 78,550 | 4,028,830 | |||
Tractor Supply Co. | 8,274 | 788,926 | |||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 3,600 | 1,124,964 | |||
Under Armour, Inc. Class A (a)(b) | 14,376 | 324,179 | |||
Under Armour, Inc. Class C (a)(b) | 14,478 | 290,718 | |||
VF Corp. | 20,128 | 1,758,382 | |||
Whirlpool Corp. | 3,459 | 489,483 | |||
Wynn Resorts, Ltd. | 6,259 | 792,014 | |||
Yum! Brands, Inc. | 19,790 | 1,870,155 | |||
146,687,264 | |||||
CONSUMER STAPLES — 7.1% | |||||
Altria Group, Inc. | 119,570 | 6,266,664 | |||
Archer-Daniels-Midland Co. | 35,692 | 1,516,910 |
Security Description | Shares | Value | |||
British American Tobacco PLC ADR | 1 | $37 | |||
Brown-Forman Corp. Class B | 10,827 | 535,828 | |||
Campbell Soup Co. | 12,083 | 435,230 | |||
Church & Dwight Co., Inc. | 16,200 | 1,065,960 | |||
Clorox Co. | 8,179 | 1,292,527 | |||
Coca-Cola Co. | 241,422 | 10,946,074 | |||
Colgate-Palmolive Co. | 55,679 | 3,667,576 | |||
Conagra Brands, Inc. | 32,051 | 749,032 | |||
Constellation Brands, Inc. Class A | 10,576 | 1,789,036 | |||
Costco Wholesale Corp. | 27,534 | 6,022,787 | |||
Coty, Inc. Class A (b) | 28,940 | 318,340 | |||
Estee Lauder Cos., Inc. Class A | 14,363 | 2,254,129 | |||
General Mills, Inc. | 37,022 | 1,744,847 | |||
Hershey Co. | 8,615 | 953,508 | |||
Hormel Foods Corp. (b) | 15,998 | 693,673 | |||
J.M. Smucker Co. | 7,355 | 778,968 | |||
Kellogg Co. | 15,907 | 894,928 | |||
Kimberly-Clark Corp. | 22,373 | 2,613,838 | |||
Kraft Heinz Co. | 40,251 | 1,335,931 | |||
Kroger Co. | 51,310 | 1,504,922 | |||
Lamb Weston Holdings, Inc. | 9,400 | 651,514 | |||
McCormick & Co., Inc. | 8,061 | 1,096,135 | |||
Molson Coors Brewing Co. Class B | 11,409 | 703,479 | |||
Mondelez International, Inc. Class A | 92,194 | 4,347,869 | |||
Monster Beverage Corp. (a) | 25,487 | 1,626,835 | |||
PepsiCo, Inc. | 89,938 | 10,400,430 | |||
Philip Morris International, Inc. | 98,587 | 8,571,154 | |||
Procter & Gamble Co. | 157,213 | 15,493,341 | |||
Sysco Corp. | 30,735 | 2,076,149 | |||
Tyson Foods, Inc. Class A | 19,191 | 1,183,317 | |||
Walmart, Inc. | 90,699 | 8,978,294 | |||
Walgreens Boots Alliance, Inc. | 51,713 | 3,681,448 | |||
106,190,710 | |||||
ENERGY — 5.3% | |||||
Anadarko Petroleum Corp. | 32,944 | 1,433,064 | |||
Apache Corp. | 24,970 | 828,505 | |||
Baker Hughes a GE Co. | 33,794 | 891,486 | |||
Cabot Oil & Gas Corp. | 26,722 | 657,896 | |||
Chevron Corp. | 120,534 | 14,413,456 | |||
Cimarex Energy Co. | 6,042 | 434,480 | |||
Concho Resources, Inc. | 12,300 | 1,353,000 | |||
ConocoPhillips | 73,203 | 4,966,823 | |||
Devon Energy Corp. | 30,550 | 901,530 | |||
Diamondback Energy, Inc. | 9,700 | 998,421 | |||
EOG Resources, Inc. | 37,063 | 3,483,922 | |||
Exxon Mobil Corp. | 268,672 | 21,233,148 | |||
Halliburton Co. | 56,167 | 1,723,765 | |||
Helmerich & Payne, Inc. | 7,974 | 432,191 | |||
Hess Corp. | 16,544 | 957,070 | |||
HollyFrontier Corp. | 10,400 | 532,480 | |||
Kinder Morgan, Inc. | 117,476 | 2,250,840 | |||
Marathon Oil Corp. | 55,089 | 914,477 |
Security Description | Shares | Value | |||
Marathon Petroleum Corp. | 44,584 | $2,764,654 | |||
National Oilwell Varco, Inc. | 24,341 | 684,956 | |||
Noble Energy, Inc. | 32,895 | 728,624 | |||
Occidental Petroleum Corp. | 47,935 | 3,170,900 | |||
ONEOK, Inc. | 26,304 | 1,690,295 | |||
Phillips 66 | 27,392 | 2,639,493 | |||
Pioneer Natural Resources Co. | 10,924 | 1,539,738 | |||
Schlumberger, Ltd. | 89,093 | 3,925,438 | |||
TechnipFMC PLC | 29,109 | 648,840 | |||
Valero Energy Corp. | 25,986 | 2,119,418 | |||
Williams Cos., Inc. | 76,410 | 2,039,383 | |||
80,358,293 | |||||
FINANCIALS — 13.1% | |||||
Affiliated Managers Group, Inc. | 3,376 | 370,043 | |||
Aflac, Inc. | 46,774 | 2,298,474 | |||
Allstate Corp. | 22,467 | 2,120,435 | |||
American Express Co. | 44,552 | 4,800,033 | |||
American International Group, Inc. | 57,032 | 2,463,782 | |||
Ameriprise Financial, Inc. | 8,663 | 1,140,311 | |||
Aon PLC | 14,782 | 2,535,556 | |||
Arthur J Gallagher & Co. | 12,000 | 963,360 | |||
Assurant, Inc. | 3,046 | 313,708 | |||
Bank of America Corp. | 576,166 | 16,754,907 | |||
Bank of New York Mellon Corp. | 56,291 | 2,954,152 | |||
BB&T Corp. | 50,039 | 2,550,488 | |||
Berkshire Hathaway, Inc. Class B (a) | 123,019 | 24,763,725 | |||
BlackRock, Inc. | 7,718 | 3,420,772 | |||
Brighthouse Financial, Inc. (a) | 7,075 | 273,944 | |||
Capital One Financial Corp. | 29,968 | 2,504,725 | |||
Cboe Global Markets, Inc. | 7,500 | 719,325 | |||
Charles Schwab Corp. | 77,189 | 3,551,466 | |||
Chubb, Ltd. | 29,241 | 3,915,370 | |||
Cincinnati Financial Corp. | 9,205 | 799,178 | |||
Citigroup, Inc. | 155,593 | 9,954,840 | |||
Citizens Financial Group, Inc. | 28,500 | 1,052,790 | |||
CME Group, Inc. | 22,992 | 4,182,475 | |||
Comerica, Inc. | 11,017 | 959,691 | |||
Discover Financial Services | 20,277 | 1,452,036 | |||
E*TRADE Financial Corp. | 16,989 | 832,291 | |||
Everest Re Group, Ltd. | 2,700 | 610,497 | |||
Fifth Third Bancorp | 41,054 | 1,132,269 | |||
First Republic Bank (b) | 10,500 | 1,102,290 | |||
Franklin Resources, Inc. | 17,151 | 559,294 | |||
Goldman Sachs Group, Inc. | 21,988 | 4,325,040 | |||
Hartford Financial Services Group, Inc. | 22,230 | 1,097,273 | |||
Huntington Bancshares, Inc. | 70,265 | 1,012,519 | |||
Intercontinental Exchange, Inc. | 36,125 | 2,787,044 | |||
Invesco, Ltd. | 28,289 | 547,392 | |||
Jefferies Financial Group, Inc. | 17,509 | 354,907 | |||
JPMorgan Chase & Co. | 210,172 | 21,933,550 | |||
KeyCorp | 64,479 | 1,138,699 | |||
Lincoln National Corp. | 14,310 | 894,661 | |||
Loews Corp. | 16,912 | 805,349 |
Security Description | Shares | Value | |||
M&T Bank Corp. | 9,234 | $1,598,036 | |||
Marsh & McLennan Cos., Inc. | 32,534 | 3,026,313 | |||
MetLife, Inc. | 62,426 | 2,821,031 | |||
Moody's Corp. | 10,134 | 1,754,398 | |||
Morgan Stanley | 82,855 | 3,478,253 | |||
MSCI, Inc. | 5,400 | 997,488 | |||
Nasdaq, Inc. | 6,925 | 634,122 | |||
Northern Trust Corp. | 13,910 | 1,296,412 | |||
People's United Financial, Inc. | 22,434 | 398,428 | |||
PNC Financial Services Group, Inc. | 29,642 | 3,735,485 | |||
Principal Financial Group, Inc. | 15,726 | 827,817 | |||
Progressive Corp. | 37,852 | 2,759,411 | |||
Prudential Financial, Inc. | 25,537 | 2,447,721 | |||
Raymond James Financial, Inc. | 7,800 | 644,124 | |||
Regions Financial Corp. | 68,043 | 1,115,905 | |||
S&P Global, Inc. | 15,998 | 3,205,519 | |||
State Street Corp. (c) | 24,347 | 1,749,819 | |||
SunTrust Banks, Inc. | 27,382 | 1,776,270 | |||
SVB Financial Group (a) | 3,500 | 865,060 | |||
Synchrony Financial | 42,871 | 1,398,023 | |||
T Rowe Price Group, Inc. | 15,120 | 1,518,502 | |||
Torchmark Corp. | 6,384 | 527,063 | |||
Travelers Cos., Inc. | 16,198 | 2,152,876 | |||
Unum Group | 14,124 | 527,673 | |||
US Bancorp | 95,230 | 4,922,439 | |||
Wells Fargo & Co. | 267,246 | 13,332,903 | |||
Willis Towers Watson PLC | 8,379 | 1,441,356 | |||
Zions Bancorp | 12,058 | 616,164 | |||
197,517,272 | |||||
HEALTH CARE — 14.6% | |||||
Abbott Laboratories | 110,849 | 8,604,099 | |||
AbbVie, Inc. | 95,863 | 7,596,184 | |||
ABIOMED, Inc. (a) | 2,800 | 936,600 | |||
Agilent Technologies, Inc. | 20,275 | 1,610,646 | |||
Alexion Pharmaceuticals, Inc. (a) | 14,427 | 1,952,406 | |||
Align Technology, Inc. (a) | 4,500 | 1,165,365 | |||
Allergan PLC | 20,426 | 2,812,865 | |||
AmerisourceBergen Corp. | 10,552 | 878,982 | |||
Amgen, Inc. | 40,591 | 7,715,537 | |||
Anthem, Inc. | 16,419 | 4,937,686 | |||
Baxter International, Inc. | 31,070 | 2,321,861 | |||
Becton Dickinson and Co. | 17,177 | 4,273,466 | |||
Biogen, Inc. (a) | 12,947 | 4,246,746 | |||
Boston Scientific Corp. (a) | 87,477 | 3,509,577 | |||
Bristol-Myers Squibb Co. | 102,512 | 5,295,770 | |||
Cardinal Health, Inc. | 18,624 | 1,012,028 | |||
Celgene Corp. (a) | 43,565 | 3,621,123 | |||
Centene Corp. (a) | 26,200 | 1,595,318 | |||
Cerner Corp. (a) | 20,963 | 1,172,880 | |||
Cigna Corp. | 24,384 | 4,253,545 | |||
Cooper Cos., Inc. | 3,300 | 943,767 | |||
CVS Health Corp. | 80,933 | 4,680,355 | |||
Danaher Corp. | 39,478 | 5,014,496 | |||
DaVita, Inc. (a) | 6,772 | 385,327 |
Security Description | Shares | Value | |||
DENTSPLY SIRONA, Inc. | 14,366 | $599,924 | |||
Edwards Lifesciences Corp. (a) | 13,490 | 2,283,722 | |||
Eli Lilly & Co. | 60,057 | 7,584,599 | |||
Gilead Sciences, Inc. | 82,346 | 5,354,137 | |||
HCA Healthcare, Inc. | 17,300 | 2,405,392 | |||
Henry Schein, Inc. (a) | 9,700 | 575,210 | |||
Hologic, Inc. (a) | 17,600 | 829,840 | |||
Humana, Inc. | 8,817 | 2,513,198 | |||
IDEXX Laboratories, Inc. (a) | 5,400 | 1,139,562 | |||
Illumina, Inc. (a) | 9,300 | 2,908,761 | |||
Incyte Corp. (a) | 11,900 | 1,026,137 | |||
Intuitive Surgical, Inc. (a) | 7,256 | 3,973,458 | |||
IQVIA Holdings, Inc. (a) | 10,000 | 1,401,000 | |||
Johnson & Johnson | 170,241 | 23,261,730 | |||
Laboratory Corp. of America Holdings (a) | 6,447 | 955,703 | |||
McKesson Corp. | 12,231 | 1,555,294 | |||
Medtronic PLC | 85,704 | 7,756,212 | |||
Merck & Co., Inc. | 163,998 | 13,331,397 | |||
Mettler-Toledo International, Inc. (a) | 1,600 | 1,089,456 | |||
Mylan NV (a) | 30,507 | 805,080 | |||
Nektar Therapeutics (a) | 10,700 | 433,778 | |||
PerkinElmer, Inc. | 7,032 | 662,133 | |||
Perrigo Co. PLC | 8,714 | 424,372 | |||
Pfizer, Inc. | 364,948 | 15,820,496 | |||
Quest Diagnostics, Inc. | 8,458 | 732,040 | |||
Regeneron Pharmaceuticals, Inc. (a) | 5,058 | 2,178,683 | |||
ResMed, Inc. | 9,500 | 973,085 | |||
Stryker Corp. | 19,695 | 3,712,704 | |||
Teleflex, Inc. | 2,900 | 840,536 | |||
Thermo Fisher Scientific, Inc. | 25,312 | 6,570,236 | |||
UnitedHealth Group, Inc. | 61,022 | 14,780,749 | |||
Universal Health Services, Inc. Class B | 5,300 | 735,799 | |||
Varian Medical Systems, Inc. (a) | 6,031 | 810,325 | |||
Vertex Pharmaceuticals, Inc. (a) | 16,348 | 3,085,685 | |||
Waters Corp. (a) | 5,015 | 1,214,733 | |||
WellCare Health Plans, Inc. (a) | 3,100 | 786,098 | |||
Zimmer Biomet Holdings, Inc. | 13,427 | 1,666,559 | |||
Zoetis, Inc. | 30,228 | 2,848,384 | |||
220,162,836 | |||||
INDUSTRIALS — 9.6% | |||||
3M Co. | 37,043 | 7,682,348 | |||
Alaska Air Group, Inc. | 8,200 | 505,940 | |||
Allegion PLC | 5,437 | 489,112 | |||
American Airlines Group, Inc. | 24,400 | 869,372 | |||
AMETEK, Inc. | 15,101 | 1,201,738 | |||
AO Smith Corp. | 9,700 | 503,721 | |||
Arconic, Inc. (b) | 28,263 | 522,583 | |||
Boeing Co. | 33,624 | 14,793,215 | |||
C.H. Robinson Worldwide, Inc. | 8,582 | 775,641 | |||
Caterpillar, Inc. | 37,555 | 5,157,804 | |||
Cintas Corp. | 5,722 | 1,182,165 | |||
Copart, Inc. (a) | 13,200 | 774,444 |
Security Description | Shares | Value | |||
CSX Corp. | 50,859 | $3,695,924 | |||
Cummins, Inc. | 8,944 | 1,378,181 | |||
Deere & Co. | 20,354 | 3,338,870 | |||
Delta Air Lines, Inc. | 39,466 | 1,956,724 | |||
Dover Corp. | 8,545 | 773,579 | |||
Eaton Corp. PLC | 28,199 | 2,249,434 | |||
Emerson Electric Co. | 40,469 | 2,757,962 | |||
Equifax, Inc. | 7,595 | 831,728 | |||
Expeditors International of Washington, Inc. | 10,644 | 797,768 | |||
Fastenal Co. | 17,642 | 1,110,387 | |||
FedEx Corp. | 14,950 | 2,705,950 | |||
Flowserve Corp. | 9,555 | 424,338 | |||
Fluor Corp. | 9,256 | 348,026 | |||
Fortive Corp. | 19,281 | 1,572,751 | |||
Fortune Brands Home & Security, Inc. | 10,100 | 475,912 | |||
General Dynamics Corp. | 17,789 | 3,028,044 | |||
General Electric Co. | 545,849 | 5,671,371 | |||
Harris Corp. | 7,498 | 1,236,645 | |||
Honeywell International, Inc. | 47,003 | 7,241,752 | |||
Huntington Ingalls Industries, Inc. | 2,800 | 586,348 | |||
IHS Markit, Ltd. (a) | 23,400 | 1,244,178 | |||
Illinois Tool Works, Inc. | 19,571 | 2,819,790 | |||
Ingersoll-Rand PLC | 15,116 | 1,595,645 | |||
Jacobs Engineering Group, Inc. | 7,057 | 520,665 | |||
JB Hunt Transport Services, Inc. | 5,500 | 592,185 | |||
Johnson Controls International PLC | 58,993 | 2,080,683 | |||
Kansas City Southern | 7,004 | 760,915 | |||
L3 Technologies, Inc. | 5,165 | 1,093,689 | |||
Lockheed Martin Corp. | 15,890 | 4,916,525 | |||
Masco Corp. | 17,839 | 670,033 | |||
Nielsen Holdings PLC | 23,375 | 612,425 | |||
Norfolk Southern Corp. | 17,268 | 3,096,152 | |||
Northrop Grumman Corp. | 11,186 | 3,243,493 | |||
PACCAR, Inc. | 21,435 | 1,453,293 | |||
Parker-Hannifin Corp. | 8,414 | 1,482,210 | |||
Pentair PLC | 9,491 | 403,747 | |||
Quanta Services, Inc. | 9,993 | 356,150 | |||
Raytheon Co. | 17,636 | 3,289,114 | |||
Republic Services, Inc. | 13,414 | 1,052,060 | |||
Robert Half International, Inc. | 6,974 | 475,557 | |||
Rockwell Automation, Inc. | 7,479 | 1,335,450 | |||
Rollins, Inc. (b) | 9,450 | 374,787 | |||
Roper Technologies, Inc. | 6,735 | 2,179,783 | |||
Snap-on, Inc. (b) | 3,572 | 571,520 | |||
Southwest Airlines Co. | 31,927 | 1,789,189 | |||
Stanley Black & Decker, Inc. | 9,650 | 1,277,949 | |||
Textron, Inc. | 14,806 | 803,966 | |||
TransDigm Group, Inc. (a) | 3,100 | 1,345,679 | |||
Union Pacific Corp. | 46,438 | 7,787,653 | |||
United Continental Holdings, Inc. (a) | 14,200 | 1,246,902 | |||
United Parcel Service, Inc. Class B | 44,255 | 4,876,901 |
Security Description | Shares | Value | |||
United Rentals, Inc. (a) | 5,600 | $753,704 | |||
United Technologies Corp. | 51,879 | 6,519,634 | |||
Verisk Analytics, Inc. (a) | 10,300 | 1,302,229 | |||
W.W. Grainger, Inc. | 2,712 | 826,536 | |||
Wabtec Corp. | 8,483 | 621,447 | |||
Waste Management, Inc. | 24,704 | 2,501,280 | |||
Xylem, Inc. | 11,434 | 863,839 | |||
145,376,734 | |||||
INFORMATION TECHNOLOGY — 20.3% | |||||
Accenture PLC Class A | 40,482 | 6,532,985 | |||
Adobe, Inc. (a) | 30,713 | 8,062,162 | |||
Advanced Micro Devices, Inc. (a)(b) | 57,400 | 1,350,622 | |||
Akamai Technologies, Inc. (a) | 10,234 | 712,900 | |||
Alliance Data Systems Corp. | 2,904 | 502,392 | |||
Amphenol Corp. Class A | 19,280 | 1,811,742 | |||
Analog Devices, Inc. | 23,970 | 2,563,831 | |||
ANSYS, Inc. (a) | 5,600 | 992,656 | |||
Apple, Inc. | 285,464 | 49,428,092 | |||
Applied Materials, Inc. | 63,553 | 2,436,622 | |||
Arista Networks, Inc. (a) | 3,100 | 884,275 | |||
Autodesk, Inc. (a) | 14,270 | 2,326,153 | |||
Automatic Data Processing, Inc. | 27,265 | 4,172,363 | |||
Broadcom, Inc. | 26,335 | 7,251,606 | |||
Broadridge Financial Solutions, Inc. | 7,000 | 708,750 | |||
Cadence Design Systems, Inc. (a) | 18,500 | 1,059,125 | |||
Cisco Systems, Inc. | 283,529 | 14,678,296 | |||
Citrix Systems, Inc. | 8,578 | 904,979 | |||
Cognizant Technology Solutions Corp. Class A | 36,627 | 2,599,784 | |||
Corning, Inc. | 50,250 | 1,749,202 | |||
DXC Technology Co. | 18,191 | 1,198,059 | |||
F5 Networks, Inc. (a) | 3,759 | 632,038 | |||
Fidelity National Information Services, Inc. | 21,186 | 2,291,266 | |||
Fiserv, Inc. (a)(b) | 24,484 | 2,073,550 | |||
FleetCor Technologies, Inc. (a) | 5,800 | 1,353,024 | |||
FLIR Systems, Inc. | 8,239 | 423,897 | |||
Fortinet, Inc. (a) | 9,200 | 798,468 | |||
Gartner, Inc. (a)(b) | 6,000 | 853,800 | |||
Global Payments, Inc. | 9,375 | 1,222,312 | |||
Hewlett Packard Enterprise Co. | 89,363 | 1,463,766 | |||
HP, Inc. | 102,163 | 2,015,676 | |||
Intel Corp. | 288,020 | 15,253,539 | |||
International Business Machines Corp. | 57,247 | 7,907,528 | |||
Intuit, Inc. | 16,526 | 4,084,070 | |||
IPG Photonics Corp. (a)(b) | 2,500 | 387,575 | |||
Jack Henry & Associates, Inc. | 4,900 | 649,887 | |||
Juniper Networks, Inc. | 22,844 | 618,616 | |||
Keysight Technologies, Inc. (a) | 12,000 | 1,012,920 | |||
KLA-Tencor Corp. | 9,873 | 1,140,233 | |||
Lam Research Corp. | 9,581 | 1,687,118 |
Security Description | Shares | Value | |||
Mastercard, Inc. Class A | 57,249 | $12,867,858 | |||
Maxim Integrated Products, Inc. | 17,800 | 968,854 | |||
Microchip Technology, Inc. (b) | 15,006 | 1,303,571 | |||
Micron Technology, Inc. (a) | 70,928 | 2,899,537 | |||
Microsoft Corp. | 489,477 | 54,836,108 | |||
Motorola Solutions, Inc. | 10,428 | 1,492,455 | |||
NetApp, Inc. | 16,843 | 1,098,164 | |||
NVIDIA Corp. | 38,912 | 6,002,565 | |||
Oracle Corp. | 162,770 | 8,485,200 | |||
Paychex, Inc. | 19,231 | 1,481,172 | |||
PayPal Holdings, Inc. (a) | 74,258 | 7,282,482 | |||
Qorvo, Inc. (a) | 7,600 | 533,064 | |||
QUALCOMM, Inc. (b) | 77,585 | 4,142,263 | |||
Red Hat, Inc. (a) | 11,330 | 2,068,858 | |||
salesforce.com, Inc. (a) | 48,505 | 7,937,843 | |||
Seagate Technology PLC | 15,076 | 701,939 | |||
Skyworks Solutions, Inc. | 11,800 | 963,588 | |||
Symantec Corp. | 39,403 | 886,173 | |||
Synopsys, Inc. (a) | 9,400 | 955,792 | |||
TE Connectivity, Ltd. | 21,649 | 1,777,166 | |||
Texas Instruments, Inc. | 61,106 | 6,463,793 | |||
Total System Services, Inc. | 10,899 | 1,028,866 | |||
VeriSign, Inc. (a) | 6,920 | 1,232,037 | |||
Visa, Inc. Class A | 110,940 | 16,432,433 | |||
Western Digital Corp. | 19,506 | 981,152 | |||
Western Union Co. | 27,940 | 499,288 | |||
Xerox Corp. | 10,023 | 309,711 | |||
Xilinx, Inc. | 16,042 | 2,010,063 | |||
305,437,874 | |||||
MATERIALS — 2.6% | |||||
Air Products & Chemicals, Inc. | 14,007 | 2,537,788 | |||
Albemarle Corp. (b) | 7,100 | 648,159 | |||
Avery Dennison Corp. | 5,818 | 628,577 | |||
Ball Corp. | 21,216 | 1,162,213 | |||
Celanese Corp. Series A | 8,600 | 879,694 | |||
CF Industries Holdings, Inc. | 14,730 | 621,606 | |||
DowDuPont, Inc. | 146,132 | 7,778,606 | |||
Eastman Chemical Co. | 8,972 | 741,895 | |||
Ecolab, Inc. | 16,165 | 2,730,430 | |||
FMC Corp. | 8,622 | 771,669 | |||
Freeport-McMoRan, Inc. | 90,364 | 1,165,696 | |||
International Flavors & Fragrances, Inc. (b) | 6,280 | 800,700 | |||
International Paper Co. | 25,408 | 1,164,195 | |||
Linde PLC | 35,029 | 6,068,424 | |||
LyondellBasell Industries NV Class A | 19,252 | 1,646,431 | |||
Martin Marietta Materials, Inc. | 4,055 | 761,529 | |||
Mosaic Co. | 20,816 | 650,916 | |||
Newmont Mining Corp. | 33,373 | 1,138,687 | |||
Nucor Corp. | 20,306 | 1,229,934 | |||
Packaging Corp. of America | 6,300 | 602,217 | |||
PPG Industries, Inc. | 15,488 | 1,734,191 | |||
Sealed Air Corp. | 11,269 | 491,554 | |||
Sherwin-Williams Co. | 5,187 | 2,247,008 | |||
Vulcan Materials Co. | 8,390 | 935,149 |
Security Description | Shares | Value | |||
WestRock Co. | 16,448 | $614,826 | |||
39,752,094 | |||||
REAL ESTATE — 2.9% | |||||
Alexandria Real Estate Equities, Inc. REIT | 6,700 | 910,463 | |||
American Tower Corp. REIT | 27,482 | 4,840,954 | |||
Apartment Investment & Management Co. Class A, REIT | 9,469 | 463,318 | |||
AvalonBay Communities, Inc. REIT | 8,429 | 1,640,536 | |||
Boston Properties, Inc. REIT | 9,821 | 1,303,149 | |||
CBRE Group, Inc. Class A (a) | 20,108 | 1,000,574 | |||
Crown Castle International Corp. REIT | 26,642 | 3,163,738 | |||
Digital Realty Trust, Inc. REIT | 13,300 | 1,504,496 | |||
Duke Realty Corp. REIT | 22,500 | 665,325 | |||
Equinix, Inc. REIT | 5,138 | 2,175,943 | |||
Equity Residential REIT | 24,138 | 1,778,729 | |||
Essex Property Trust, Inc. REIT | 4,155 | 1,162,735 | |||
Extra Space Storage, Inc. REIT | 7,500 | 719,550 | |||
Federal Realty Investment Trust REIT | 4,600 | 614,514 | |||
HCP, Inc. REIT | 31,277 | 962,393 | |||
Host Hotels & Resorts, Inc. REIT | 48,759 | 956,164 | |||
Iron Mountain, Inc. REIT | 18,074 | 640,181 | |||
Kimco Realty Corp. REIT | 23,116 | 406,610 | |||
Macerich Co. REIT (b) | 7,245 | 315,882 | |||
Mid-America Apartment Communities, Inc. REIT | 6,900 | 714,702 | |||
Prologis, Inc. REIT | 40,546 | 2,840,653 | |||
Public Storage REIT | 9,452 | 1,999,004 | |||
Realty Income Corp. REIT | 18,100 | 1,251,796 | |||
Regency Centers Corp. REIT | 10,499 | 685,060 | |||
SBA Communications Corp. REIT (a) | 7,100 | 1,281,976 | |||
Simon Property Group, Inc. REIT | 19,435 | 3,520,845 | |||
SL Green Realty Corp. REIT | 4,600 | 417,312 | |||
UDR, Inc. REIT | 17,800 | 790,676 | |||
Ventas, Inc. REIT | 22,403 | 1,405,788 | |||
Vornado Realty Trust REIT | 10,446 | 703,120 | |||
Welltower, Inc. REIT | 23,881 | 1,774,597 | |||
Weyerhaeuser Co. REIT | 44,598 | 1,110,044 | |||
43,720,827 | |||||
UTILITIES — 3.2% | |||||
AES Corp. | 43,759 | 753,968 | |||
Alliant Energy Corp. | 14,700 | 674,289 | |||
Ameren Corp. | 15,156 | 1,079,713 | |||
American Electric Power Co., Inc. | 31,543 | 2,559,715 | |||
American Water Works Co., Inc. | 11,300 | 1,148,306 | |||
Atmos Energy Corp. | 7,400 | 731,490 | |||
CenterPoint Energy, Inc. | 31,335 | 944,437 | |||
CMS Energy Corp. | 18,801 | 1,022,774 |
Security Description | Shares | Value | |||
Consolidated Edison, Inc. | 19,600 | $1,616,020 | |||
Dominion Energy, Inc. | 48,424 | 3,587,734 | |||
DTE Energy Co. | 11,439 | 1,413,403 | |||
Duke Energy Corp. | 44,391 | 3,980,097 | |||
Edison International | 21,305 | 1,275,956 | |||
Entergy Corp. | 10,700 | 998,631 | |||
Evergy, Inc. | 16,499 | 922,459 | |||
Eversource Energy | 20,243 | 1,413,164 | |||
Exelon Corp. | 61,959 | 3,010,588 | |||
FirstEnergy Corp. | 29,729 | 1,211,457 | |||
NextEra Energy, Inc. | 30,257 | 5,679,844 | |||
NiSource, Inc. | 23,078 | 622,644 | |||
NRG Energy, Inc. | 17,798 | 741,821 | |||
Pinnacle West Capital Corp. | 6,556 | 614,559 | |||
PPL Corp. | 44,756 | 1,439,801 | |||
Public Service Enterprise Group, Inc. | 32,336 | 1,901,680 | |||
Sempra Energy | 17,724 | 2,134,679 | |||
Southern Co. | 64,984 | 3,229,055 | |||
WEC Energy Group, Inc. | 20,287 | 1,547,492 | |||
Xcel Energy, Inc. | 33,700 | 1,848,782 | |||
48,104,558 | |||||
TOTAL COMMON STOCKS (Cost $451,056,399) | 1,483,000,176 |
SHORT-TERM INVESTMENTS — 1.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.39% (d) (e) | 21,181,225 | 21,181,225 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (c) (f) | 7,472,972 | $7,472,972 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $28,654,197) | 28,654,197 | ||||
TOTAL INVESTMENTS — 100.2% (Cost $479,710,596)(g) | 1,511,654,373 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (3,226,210) | ||||
NET ASSETS — 100.0% | $1,508,428,163 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at February 28, 2019. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2019 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 February 28, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at February 28, 2019. |
(f) | Investment of cash collateral for securities loaned. |
(g) | Tax cost of investments shown is $531,482,034 for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments at February 28, 2019 was $997,458,818 and $15,913,829 respectively, resulting in net unrealized appreciation of investments and other financial instruments of $981,544,989. |
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) | 168 | 03/15/2019 | $22,018,830 | $23,391,480 | $1,372,650 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,483,000,176 | $— | $— | $1,483,000,176 | ||||
Short-Term Investments | 28,654,197 | — | — | 28,654,197 | ||||
TOTAL INVESTMENTS | $1,511,654,373 | $— | $— | $1,511,654,373 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,372,650 | — | — | 1,372,650 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $1,372,650 | $— | $— | $1,372,650 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,513,027,023 | $— | $— | $1,513,027,023 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/18 | Value at 12/31/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/19 | Value at 2/28/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Corp. | 24,347 | $1,535,565 | $— | $— | $— | $214,254 | 24,347 | $1,749,819 | $— | $— | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 27,348,182 | 27,348,182 | 33,409,945 | 39,576,902 | — | — | 21,181,225 | 21,181,225 | 89,487 | — | |||||||||
State Street Navigator Securities Lending Portfolio II | 2,502,193 | 2,502,193 | 26,872,595 | 21,901,816 | — | — | 7,472,972 | 7,472,972 | 2,797 | — | |||||||||
Total | $31,385,940 | $60,282,540 | $61,478,718 | $— | $214,254 | $30,404,016 | $92,284 | $— |
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 | $— | $— | $— | $1,372,650 | $— | $1,372,650 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index Portfolio | $ 19,032,235 | $ 7,472,972 | $ 12,003,492 | $ 19,476,464 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of February 28, 2019 | ||||||||||||||
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 | $7,472,972 | $— | $— | $— | $7,472,972 | $7,472,972 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,481,250,357 |
Investments in affiliated issuers, at value | 30,404,016 |
Total Investments | 1,511,654,373 |
Cash | 11 |
Receivable from broker — accumulated variation margin on open futures contracts | 1,372,650 |
Receivable for investments sold | 3,617 |
Dividends receivable — unaffiliated issuers | 3,323,430 |
Dividends receivable — affiliated issuers | 44,477 |
Securities lending income receivable — unaffiliated issuers | 929 |
Securities lending income receivable — affiliated issuers | 1,377 |
Receivable from Adviser | 3,701 |
TOTAL ASSETS | 1,516,404,565 |
LIABILITIES | |
Deposit from Broker | 452,022 |
Payable upon return of securities loaned | 7,472,972 |
Advisory fee payable | 51,408 |
TOTAL LIABILITIES | 7,976,402 |
NET ASSETS | $1,508,428,163 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $450,271,219 |
Investments in affiliated issuers | 29,439,377 |
Total cost of investments | $479,710,596 |
* Includes investments in securities on loan, at value | $19,032,235 |
State Street Equity 500 Index Portfolio |
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4 | |
11 | |
12 | |
13 | |
14 | |
15 | |
21 | |
22 |
(Based on Net Asset Value)
Total Return One Year Ended December 31, 2018 | Average Annual Total Return Five Years Ended December 31, 2018 | Average Annual Total Return Ten Years Ended December 31, 2018 | |||
State Street Equity 500 Index Portfolio | (4.98%) | 8.44% | 13.08% | ||
S&P 500® Index(b) | (4.38%) | 8.49% | 13.12% | ||
(b) | The S&P 500 Index includes five hundred (500) selected companies, all of which are listed on national stock exchanges and spans over 25 separate industry groups. |
% of Net Assets | |||
Common Stocks | 98.0% | ||
Short-Term Investments | 2.2 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Information Technology | 19.7% | ||
Health Care | 15.2 | ||
Financials | 13.1 | ||
Communication Services | 9.9 | ||
Consumer Discretionary | 9.7 | ||
TOTAL | 67.6% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.0% | |||||
COMMUNICATION SERVICES — 9.9% | |||||
Activision Blizzard, Inc. | 47,700 | $2,221,389 | |||
Alphabet, Inc. Class A (a) | 19,123 | 19,982,770 | |||
Alphabet, Inc. Class C (a) | 19,645 | 20,344,558 | |||
AT&T, Inc. | 465,200 | 13,276,808 | |||
Cars.com, Inc. (a) | 1 | 22 | |||
CBS Corp. Class B | 20,418 | 892,675 | |||
CenturyLink, Inc. | 62,587 | 948,193 | |||
Charter Communications, Inc. Class A (a) | 11,400 | 3,248,658 | |||
Comcast Corp. Class A | 289,330 | 9,851,686 | |||
Discovery, Inc. Class A (a)(b) | 9,497 | 234,956 | |||
Discovery, Inc. Class C (a) | 20,660 | 476,833 | |||
DISH Network Corp. Class A (a) | 15,100 | 377,047 | |||
Electronic Arts, Inc. (a) | 19,021 | 1,500,947 | |||
Facebook, Inc. Class (a) | 153,307 | 20,097,015 | |||
Interpublic Group of Cos., Inc. | 23,128 | 477,131 | |||
Netflix, Inc. (a) | 27,896 | 7,466,643 | |||
News Corp. Class A | 28,814 | 327,039 | |||
News Corp. Class B | 7,500 | 86,625 | |||
Omnicom Group, Inc. (b) | 14,950 | 1,094,938 | |||
Take-Two Interactive Software, Inc. (a) | 7,600 | 782,344 | |||
TripAdvisor, Inc. (a) | 7,215 | 389,177 | |||
Twenty-First Century Fox, Inc. Class A | 67,809 | 3,262,969 | |||
Twenty-First Century Fox, Inc. Class B | 31,200 | 1,490,736 | |||
Twitter, Inc. (a) | 45,500 | 1,307,670 | |||
Verizon Communications, Inc. | 263,951 | 14,839,325 | |||
Viacom, Inc. Class B | 24,341 | 625,564 | |||
Walt Disney Co. | 94,893 | 10,405,017 | |||
136,008,735 | |||||
CONSUMER DISCRETIONARY — 9.7% | |||||
Advance Auto Parts, Inc. | 4,300 | 677,078 | |||
Amazon.com, Inc. (a) | 26,302 | 39,504,815 | |||
Aptiv PLC | 16,181 | 996,264 | |||
AutoZone, Inc. (a) | 1,588 | 1,331,284 | |||
Best Buy Co., Inc. | 16,013 | 848,048 | |||
Booking Holdings, Inc. (a) | 3,008 | 5,181,039 | |||
BorgWarner, Inc. | 13,223 | 459,367 | |||
CarMax, Inc. (a)(b) | 11,997 | 752,572 | |||
Carnival Corp. | 24,649 | 1,215,196 | |||
Chipotle Mexican Grill, Inc. (a) | 1,614 | 696,909 | |||
D.R. Horton, Inc. | 22,479 | 779,122 | |||
Darden Restaurants, Inc. | 8,117 | 810,564 | |||
Dollar General Corp. | 16,287 | 1,760,299 | |||
Dollar Tree, Inc. (a) | 15,782 | 1,425,430 | |||
eBay, Inc. (a) | 59,258 | 1,663,372 | |||
Expedia Group, Inc. | 7,923 | 892,526 | |||
Foot Locker, Inc. | 8,000 | 425,600 | |||
Ford Motor Co. | 251,860 | 1,926,729 |
Security Description | Shares | Value | |||
Gap, Inc. | 15,364 | $395,777 | |||
Garmin, Ltd. | 7,360 | 466,035 | |||
General Motors Co. | 84,577 | 2,829,101 | |||
Genuine Parts Co. | 9,220 | 885,304 | |||
Goodyear Tire & Rubber Co. | 14,413 | 294,169 | |||
H&R Block, Inc. (b) | 12,851 | 326,030 | |||
Hanesbrands, Inc. (b) | 23,400 | 293,202 | |||
Harley-Davidson, Inc. | 10,385 | 354,336 | |||
Hasbro, Inc. (b) | 7,628 | 619,775 | |||
Hilton Worldwide Holdings, Inc. | 18,700 | 1,342,660 | |||
Home Depot, Inc. | 72,010 | 12,372,758 | |||
Kohl's Corp. | 11,188 | 742,212 | |||
L Brands, Inc. | 15,246 | 391,365 | |||
Leggett & Platt, Inc. | 9,844 | 352,809 | |||
Lennar Corp. Class A | 18,125 | 709,594 | |||
LKQ Corp. (a) | 20,800 | 493,584 | |||
Lowe's Cos., Inc. | 51,012 | 4,711,468 | |||
Macy's, Inc. | 17,961 | 534,879 | |||
Marriott International, Inc. Class A | 17,852 | 1,938,013 | |||
Mattel, Inc. (a)(b) | 17,143 | 171,259 | |||
McDonald's Corp. | 49,115 | 8,721,351 | |||
MGM Resorts International | 31,800 | 771,468 | |||
Michael Kors Holdings, Ltd. (a) | 8,886 | 336,957 | |||
Mohawk Industries, Inc. (a) | 4,169 | 487,606 | |||
Newell Brands, Inc. (b) | 26,350 | 489,846 | |||
NIKE, Inc. Class B | 81,002 | 6,005,488 | |||
Nordstrom, Inc. (b) | 7,756 | 361,507 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 12,900 | 546,831 | |||
O'Reilly Automotive, Inc. (a) | 5,220 | 1,797,403 | |||
PulteGroup, Inc. | 16,443 | 427,354 | |||
PVH Corp. | 4,751 | 441,605 | |||
Ralph Lauren Corp. | 3,436 | 355,489 | |||
Ross Stores, Inc. | 23,344 | 1,942,221 | |||
Royal Caribbean Cruises, Ltd. | 11,300 | 1,105,027 | |||
Starbucks Corp. | 79,292 | 5,106,405 | |||
Tapestry, Inc. | 19,000 | 641,250 | |||
Target Corp. | 33,744 | 2,230,141 | |||
Tiffany & Co. | 6,581 | 529,836 | |||
TJX Cos., Inc. | 78,550 | 3,514,327 | |||
Tractor Supply Co. | 8,274 | 690,383 | |||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 3,600 | 881,424 | |||
Under Armour, Inc. Class A (a)(b) | 14,376 | 254,024 | |||
Under Armour, Inc. Class C (a)(b) | 14,478 | 234,109 | |||
VF Corp. | 20,128 | 1,435,931 | |||
Whirlpool Corp. | 4,559 | 487,220 | |||
Wynn Resorts, Ltd. | 6,259 | 619,078 | |||
Yum! Brands, Inc. | 19,790 | 1,819,097 | |||
133,803,922 | |||||
CONSUMER STAPLES — 7.3% | |||||
Altria Group, Inc. | 119,570 | 5,905,562 |
Security Description | Shares | Value | |||
Archer-Daniels-Midland Co. | 35,692 | $1,462,301 | |||
British American Tobacco PLC ADR | 1 | 32 | |||
Brown-Forman Corp. Class B | 10,827 | 515,149 | |||
Campbell Soup Co. (b) | 12,083 | 398,618 | |||
Church & Dwight Co., Inc. | 16,200 | 1,065,312 | |||
Clorox Co. | 8,179 | 1,260,711 | |||
Coca-Cola Co. | 244,222 | 11,563,912 | |||
Colgate-Palmolive Co. | 55,679 | 3,314,014 | |||
Conagra Brands, Inc. | 32,051 | 684,609 | |||
Constellation Brands, Inc. Class A | 10,576 | 1,700,832 | |||
Costco Wholesale Corp. | 28,234 | 5,751,548 | |||
Coty, Inc. Class A (a) | 28,940 | 189,846 | |||
Estee Lauder Cos., Inc. Class A | 14,363 | 1,868,626 | |||
General Mills, Inc. | 37,022 | 1,441,637 | |||
Hershey Co. | 8,615 | 923,356 | |||
Hormel Foods Corp. (b) | 15,998 | 682,795 | |||
J.M. Smucker Co. | 7,355 | 687,619 | |||
Kellogg Co. | 15,907 | 906,858 | |||
Kimberly-Clark Corp. | 22,373 | 2,549,180 | |||
Kraft Heinz Co. | 40,251 | 1,732,403 | |||
Kroger Co. | 51,310 | 1,411,025 | |||
Lamb Weston Holdings, Inc. | 9,400 | 691,464 | |||
McCormick & Co., Inc. | 8,061 | 1,122,414 | |||
Molson Coors Brewing Co. Class B | 11,409 | 640,730 | |||
Mondelez International, Inc. Class A | 94,294 | 3,774,589 | |||
Monster Beverage Corp. (a) | 25,487 | 1,254,470 | |||
PepsiCo, Inc. | 89,938 | 9,936,350 | |||
Philip Morris International, Inc. | 98,587 | 6,581,668 | |||
Procter & Gamble Co. | 158,913 | 14,607,283 | |||
Sysco Corp. | 30,735 | 1,925,855 | |||
Tyson Foods, Inc. Class A | 19,191 | 1,024,799 | |||
Walmart, Inc. | 91,599 | 8,532,447 | |||
Walgreens Boots Alliance, Inc. | 51,713 | 3,533,549 | |||
99,641,563 | |||||
ENERGY — 5.2% | |||||
Anadarko Petroleum Corp. | 32,944 | 1,444,265 | |||
Apache Corp. | 24,970 | 655,463 | |||
Baker Hughes a GE Co. | 33,794 | 726,571 | |||
Cabot Oil & Gas Corp. | 26,722 | 597,237 | |||
Chevron Corp. | 121,934 | 13,265,200 | |||
Cimarex Energy Co. | 6,042 | 372,489 | |||
Concho Resources, Inc. (a) | 12,300 | 1,264,317 | |||
ConocoPhillips | 73,203 | 4,564,207 | |||
Devon Energy Corp. | 30,550 | 688,597 | |||
Diamondback Energy, Inc. | 9,700 | 899,190 | |||
EOG Resources, Inc. | 37,063 | 3,232,264 | |||
Exxon Mobil Corp. | 270,972 | 18,477,581 | |||
Halliburton Co. | 56,167 | 1,492,919 | |||
Helmerich & Payne, Inc. | 7,974 | 382,274 | |||
Hess Corp. | 16,544 | 670,032 | |||
HollyFrontier Corp. | 10,400 | 531,648 | |||
Kinder Morgan, Inc. | 117,476 | 1,806,781 |
Security Description | Shares | Value | |||
Marathon Oil Corp. | 55,089 | $789,976 | |||
Marathon Petroleum Corp. | 44,584 | 2,630,902 | |||
National Oilwell Varco, Inc. | 24,341 | 625,564 | |||
Newfield Exploration Co. (a) | 12,385 | 181,564 | |||
Noble Energy, Inc. | 32,895 | 617,110 | |||
Occidental Petroleum Corp. | 47,935 | 2,942,250 | |||
ONEOK, Inc. | 26,304 | 1,419,101 | |||
Phillips 66 | 27,392 | 2,359,821 | |||
Pioneer Natural Resources Co. | 10,924 | 1,436,724 | |||
Schlumberger, Ltd. | 89,093 | 3,214,475 | |||
TechnipFMC PLC | 29,109 | 569,954 | |||
Valero Energy Corp. | 27,686 | 2,075,619 | |||
Williams Cos., Inc. | 76,410 | 1,684,841 | |||
71,618,936 | |||||
FINANCIALS — 13.1% | |||||
Affiliated Managers Group, Inc. | 3,376 | 328,957 | |||
Aflac, Inc. | 49,574 | 2,258,591 | |||
Allstate Corp. | 22,467 | 1,856,448 | |||
American Express Co. | 44,552 | 4,246,697 | |||
American International Group, Inc. | 57,032 | 2,247,631 | |||
Ameriprise Financial, Inc. | 9,463 | 987,653 | |||
Aon PLC | 15,682 | 2,279,536 | |||
Arthur J Gallagher & Co. | 12,000 | 884,400 | |||
Assurant, Inc. | 3,946 | 352,930 | |||
Bank of America Corp. | 582,066 | 14,342,106 | |||
Bank of New York Mellon Corp. | 58,891 | 2,771,999 | |||
BB&T Corp. | 50,039 | 2,167,690 | |||
Berkshire Hathaway, Inc. Class B (a) | 124,619 | 25,444,707 | |||
BlackRock, Inc. | 7,718 | 3,031,785 | |||
Brighthouse Financial, Inc. (a) | 7,075 | 215,646 | |||
Capital One Financial Corp. | 29,968 | 2,265,281 | |||
Cboe Global Markets, Inc. | 7,500 | 733,725 | |||
Charles Schwab Corp. | 77,189 | 3,205,659 | |||
Chubb, Ltd. | 29,241 | 3,777,352 | |||
Cincinnati Financial Corp. | 9,205 | 712,651 | |||
Citigroup, Inc. | 155,593 | 8,100,172 | |||
Citizens Financial Group, Inc. | 28,500 | 847,305 | |||
CME Group, Inc. | 22,992 | 4,325,255 | |||
Comerica, Inc. | 11,017 | 756,758 | |||
Discover Financial Services | 22,277 | 1,313,898 | |||
E*TRADE Financial Corp. | 16,989 | 745,477 | |||
Everest Re Group, Ltd. | 2,700 | 587,952 | |||
Fifth Third Bancorp | 41,054 | 966,001 | |||
First Republic Bank | 10,500 | 912,450 | |||
Franklin Resources, Inc. | 17,151 | 508,699 | |||
Goldman Sachs Group, Inc. | 21,988 | 3,673,095 | |||
Hartford Financial Services Group, Inc. | 22,230 | 988,124 | |||
Huntington Bancshares, Inc. | 70,265 | 837,559 | |||
Intercontinental Exchange, Inc. | 36,125 | 2,721,296 | |||
Invesco, Ltd. | 28,289 | 473,558 | |||
Jefferies Financial Group, Inc. | 17,509 | 303,956 | |||
JPMorgan Chase & Co. | 212,172 | 20,712,231 | |||
KeyCorp | 64,479 | 953,000 |
Security Description | Shares | Value | |||
Lincoln National Corp. | 14,310 | $734,246 | |||
Loews Corp. | 16,912 | 769,834 | |||
M&T Bank Corp. | 9,234 | 1,321,662 | |||
Marsh & McLennan Cos., Inc. | 32,534 | 2,594,587 | |||
MetLife, Inc. | 64,526 | 2,649,438 | |||
Moody's Corp. | 11,034 | 1,545,201 | |||
Morgan Stanley | 84,955 | 3,368,466 | |||
MSCI, Inc. | 6,000 | 884,580 | |||
Nasdaq, Inc. | 6,925 | 564,872 | |||
Northern Trust Corp. | 13,910 | 1,162,737 | |||
People's United Financial, Inc. | 22,434 | 323,723 | |||
PNC Financial Services Group, Inc. | 29,642 | 3,465,446 | |||
Principal Financial Group, Inc. | 15,726 | 694,617 | |||
Progressive Corp. | 37,852 | 2,283,611 | |||
Prudential Financial, Inc. | 26,937 | 2,196,712 | |||
Raymond James Financial, Inc. | 7,800 | 580,398 | |||
Regions Financial Corp. | 68,043 | 910,415 | |||
S&P Global, Inc. | 15,998 | 2,718,700 | |||
State Street Corp. (c) | 24,347 | 1,535,565 | |||
SunTrust Banks, Inc. | 29,782 | 1,502,204 | |||
SVB Financial Group (a) | 3,500 | 664,720 | |||
Synchrony Financial | 42,871 | 1,005,754 | |||
T Rowe Price Group, Inc. | 15,120 | 1,395,878 | |||
Torchmark Corp. | 6,384 | 475,800 | |||
Travelers Cos., Inc. | 17,298 | 2,071,436 | |||
Unum Group | 14,124 | 414,963 | |||
US Bancorp | 98,130 | 4,484,541 | |||
Wells Fargo & Co. | 270,146 | 12,448,328 | |||
Willis Towers Watson PLC | 8,379 | 1,272,435 | |||
Zions Bancorp | 12,058 | 491,243 | |||
180,370,342 | |||||
HEALTH CARE — 15.2% | |||||
Abbott Laboratories | 112,849 | 8,162,368 | |||
AbbVie, Inc. | 95,863 | 8,837,610 | |||
ABIOMED, Inc. (a) | 2,800 | 910,112 | |||
Agilent Technologies, Inc. | 20,275 | 1,367,751 | |||
Alexion Pharmaceuticals, Inc. (a) | 14,427 | 1,404,613 | |||
Align Technology, Inc. (a) | 4,500 | 942,435 | |||
Allergan PLC | 20,426 | 2,730,139 | |||
AmerisourceBergen Corp. | 10,552 | 785,069 | |||
Amgen, Inc. | 40,591 | 7,901,850 | |||
Anthem, Inc. | 16,419 | 4,312,122 | |||
Baxter International, Inc. | 31,070 | 2,045,027 | |||
Becton Dickinson and Co. | 17,177 | 3,870,322 | |||
Biogen, Inc. (a) | 12,947 | 3,896,011 | |||
Boston Scientific Corp. (a) | 87,477 | 3,091,437 | |||
Bristol-Myers Squibb Co. | 105,112 | 5,463,722 | |||
Cardinal Health, Inc. | 18,624 | 830,630 | |||
Celgene Corp. (a) | 45,065 | 2,888,216 | |||
Centene Corp. (a) | 13,100 | 1,510,430 | |||
Cerner Corp. (a) | 20,963 | 1,099,300 | |||
Cigna Corp. | 24,385 | 4,631,169 | |||
Cooper Cos., Inc. | 3,300 | 839,850 | |||
CVS Health Corp. | 82,933 | 5,433,770 |
Security Description | Shares | Value | |||
Danaher Corp. | 39,478 | $4,070,971 | |||
DaVita, Inc. (a) | 9,072 | 466,845 | |||
DENTSPLY SIRONA, Inc. | 14,366 | 534,559 | |||
Edwards Lifesciences Corp. (a) | 13,490 | 2,066,263 | |||
Eli Lilly & Co. | 60,057 | 6,949,796 | |||
Gilead Sciences, Inc. | 82,346 | 5,150,742 | |||
HCA Healthcare, Inc. | 17,300 | 2,152,985 | |||
Henry Schein, Inc. (a) | 9,700 | 761,644 | |||
Hologic, Inc. (a) | 17,600 | 723,360 | |||
Humana, Inc. | 8,817 | 2,525,894 | |||
IDEXX Laboratories, Inc. (a) | 5,400 | 1,004,508 | |||
Illumina, Inc. (a) | 9,300 | 2,789,349 | |||
Incyte Corp. (a) | 11,900 | 756,721 | |||
Intuitive Surgical, Inc. (a) | 7,256 | 3,475,044 | |||
IQVIA Holdings, Inc. (a) | 10,000 | 1,161,700 | |||
Johnson & Johnson | 171,641 | 22,150,271 | |||
Laboratory Corp. of America Holdings (a) | 6,447 | 814,643 | |||
McKesson Corp. | 12,231 | 1,351,159 | |||
Medtronic PLC | 85,704 | 7,795,636 | |||
Merck & Co., Inc. | 165,798 | 12,668,625 | |||
Mettler-Toledo International, Inc. (a) | 1,600 | 904,928 | |||
Mylan NV (a) | 34,707 | 950,972 | |||
Nektar Therapeutics (a) | 10,700 | 351,709 | |||
PerkinElmer, Inc. | 7,032 | 552,364 | |||
Perrigo Co. PLC | 8,714 | 337,668 | |||
Pfizer, Inc. | 368,648 | 16,091,485 | |||
Quest Diagnostics, Inc. | 8,458 | 704,298 | |||
Regeneron Pharmaceuticals, Inc. (a) | 5,058 | 1,889,163 | |||
ResMed, Inc. | 9,500 | 1,081,765 | |||
Stryker Corp. | 20,195 | 3,165,566 | |||
Thermo Fisher Scientific, Inc. | 25,912 | 5,798,846 | |||
UnitedHealth Group, Inc. | 61,622 | 15,351,273 | |||
Universal Health Services, Inc. Class B | 5,300 | 617,768 | |||
Varian Medical Systems, Inc. (a) | 6,031 | 683,373 | |||
Vertex Pharmaceuticals, Inc. (a) | 16,348 | 2,709,027 | |||
Waters Corp. (a) | 5,015 | 946,080 | |||
WellCare Health Plans, Inc. (a) | 3,100 | 731,879 | |||
Zimmer Biomet Holdings, Inc. | 13,427 | 1,392,648 | |||
Zoetis, Inc. | 30,228 | 2,585,703 | |||
209,171,183 | |||||
INDUSTRIALS — 9.0% | |||||
3M Co. | 37,043 | 7,058,173 | |||
Alaska Air Group, Inc. | 8,200 | 498,970 | |||
Allegion PLC | 5,437 | 433,383 | |||
American Airlines Group, Inc. (b) | 24,400 | 783,484 | |||
AMETEK, Inc. | 15,101 | 1,022,338 | |||
AO Smith Corp. | 9,700 | 414,190 | |||
Arconic, Inc. | 28,263 | 476,514 | |||
Boeing Co. | 33,624 | 10,843,740 | |||
C.H. Robinson Worldwide, Inc. | 8,582 | 721,660 | |||
Caterpillar, Inc. | 37,555 | 4,772,114 |
Security Description | Shares | Value | |||
Cintas Corp. | 5,722 | $961,239 | |||
Copart, Inc. (a) | 13,200 | 630,696 | |||
CSX Corp. | 50,859 | 3,159,870 | |||
Cummins, Inc. | 9,844 | 1,315,552 | |||
Deere & Co. | 20,954 | 3,125,708 | |||
Delta Air Lines, Inc. | 39,466 | 1,969,353 | |||
Dover Corp. | 8,545 | 606,268 | |||
Eaton Corp. PLC | 28,199 | 1,936,143 | |||
Emerson Electric Co. | 40,469 | 2,418,023 | |||
Equifax, Inc. | 7,595 | 707,322 | |||
Expeditors International of Washington, Inc. | 11,844 | 806,458 | |||
Fastenal Co. | 17,642 | 922,500 | |||
FedEx Corp. | 15,750 | 2,540,948 | |||
Flowserve Corp. | 9,555 | 363,281 | |||
Fluor Corp. | 9,256 | 298,043 | |||
Fortive Corp. | 19,281 | 1,304,552 | |||
Fortune Brands Home & Security, Inc. | 10,100 | 383,699 | |||
General Dynamics Corp. | 17,789 | 2,796,609 | |||
General Electric Co. | 560,249 | 4,241,085 | |||
Harris Corp. | 7,498 | 1,009,606 | |||
Honeywell International, Inc. | 47,003 | 6,210,036 | |||
Huntington Ingalls Industries, Inc. | 2,800 | 532,868 | |||
IHS Markit, Ltd. (a) | 23,400 | 1,122,498 | |||
Illinois Tool Works, Inc. | 19,571 | 2,479,450 | |||
Ingersoll-Rand PLC | 15,116 | 1,379,033 | |||
Jacobs Engineering Group, Inc. | 7,057 | 412,552 | |||
JB Hunt Transport Services, Inc. | 5,500 | 511,720 | |||
Johnson Controls International PLC | 58,993 | 1,749,142 | |||
Kansas City Southern | 7,004 | 668,532 | |||
L3 Technologies, Inc. | 5,165 | 896,954 | |||
Lockheed Martin Corp. | 15,890 | 4,160,638 | |||
Masco Corp. | 17,839 | 521,612 | |||
Nielsen Holdings PLC | 23,375 | 545,339 | |||
Norfolk Southern Corp. | 17,268 | 2,582,257 | |||
Northrop Grumman Corp. | 11,186 | 2,739,451 | |||
PACCAR, Inc. | 21,435 | 1,224,796 | |||
Parker-Hannifin Corp. | 8,414 | 1,254,864 | |||
Pentair PLC | 11,791 | 445,464 | |||
Quanta Services, Inc. | 9,993 | 300,789 | |||
Raytheon Co. | 18,436 | 2,827,161 | |||
Republic Services, Inc. | 13,414 | 967,015 | |||
Robert Half International, Inc. | 6,974 | 398,913 | |||
Rockwell Automation, Inc. | 7,479 | 1,125,440 | |||
Rollins, Inc. | 9,450 | 341,145 | |||
Roper Technologies, Inc. | 6,735 | 1,795,012 | |||
Snap-on, Inc. | 3,572 | 518,976 | |||
Southwest Airlines Co. | 31,927 | 1,483,967 | |||
Stanley Black & Decker, Inc. | 9,650 | 1,155,491 | |||
Textron, Inc. | 14,806 | 680,928 | |||
TransDigm Group, Inc. (a) | 3,100 | 1,054,186 | |||
Union Pacific Corp. | 47,338 | 6,543,532 |
Security Description | Shares | Value | |||
United Continental Holdings, Inc. (a) | 14,200 | $1,188,966 | |||
United Parcel Service, Inc. Class B | 44,255 | 4,316,190 | |||
United Rentals, Inc. (a) | 5,600 | 574,168 | |||
United Technologies Corp. | 51,879 | 5,524,076 | |||
Verisk Analytics, Inc. (a) | 10,300 | 1,123,112 | |||
W.W. Grainger, Inc. | 2,712 | 765,760 | |||
Waste Management, Inc. | 24,704 | 2,198,409 | |||
Xylem, Inc. | 11,434 | 762,877 | |||
123,604,840 | |||||
INFORMATION TECHNOLOGY — 19.7% | |||||
Accenture PLC Class A | 40,482 | 5,708,367 | |||
Adobe, Inc. (a) | 31,213 | 7,061,629 | |||
Advanced Micro Devices, Inc. (a)(b) | 57,400 | 1,059,604 | |||
Akamai Technologies, Inc. (a) | 10,234 | 625,093 | |||
Alliance Data Systems Corp. | 2,904 | 435,832 | |||
Amphenol Corp. Class A | 19,280 | 1,562,066 | |||
Analog Devices, Inc. | 23,970 | 2,057,345 | |||
ANSYS, Inc. (a) | 5,600 | 800,464 | |||
Apple, Inc. | 288,564 | 45,518,085 | |||
Applied Materials, Inc. | 63,553 | 2,080,725 | |||
Arista Networks, Inc. (a) | 3,100 | 653,170 | |||
Autodesk, Inc. (a) | 14,270 | 1,835,265 | |||
Automatic Data Processing, Inc. | 28,265 | 3,706,107 | |||
Broadcom, Inc. | 26,635 | 6,772,748 | |||
Broadridge Financial Solutions, Inc. | 7,000 | 673,750 | |||
Cadence Design Systems, Inc. (a) | 18,500 | 804,380 | |||
Cisco Systems, Inc. | 286,629 | 12,419,635 | |||
Citrix Systems, Inc. | 8,578 | 878,902 | |||
Cognizant Technology Solutions Corp. Class A | 36,627 | 2,325,082 | |||
Corning, Inc. | 53,050 | 1,602,640 | |||
DXC Technology Co. | 18,191 | 967,215 | |||
F5 Networks, Inc. (a) | 3,759 | 609,071 | |||
Fidelity National Information Services, Inc. | 21,186 | 2,172,624 | |||
Fiserv, Inc. (a) | 26,184 | 1,924,262 | |||
FleetCor Technologies, Inc. (a) | 5,800 | 1,077,176 | |||
FLIR Systems, Inc. | 8,239 | 358,726 | |||
Fortinet, Inc. (a) | 9,200 | 647,956 | |||
Gartner, Inc. (a)(b) | 6,000 | 767,040 | |||
Global Payments, Inc. | 10,575 | 1,090,600 | |||
Hewlett Packard Enterprise Co. | 89,363 | 1,180,485 | |||
HP, Inc. | 102,163 | 2,090,255 | |||
Intel Corp. | 291,020 | 13,657,569 | |||
International Business Machines Corp. | 58,447 | 6,643,670 | |||
Intuit, Inc. | 16,526 | 3,253,143 | |||
IPG Photonics Corp. (a) | 2,500 | 283,225 | |||
Jack Henry & Associates, Inc. | 4,900 | 619,948 | |||
Juniper Networks, Inc. | 22,844 | 614,732 |
Security Description | Shares | Value | |||
Keysight Technologies, Inc. (a) | 12,000 | $744,960 | |||
KLA-Tencor Corp. | 9,873 | 883,535 | |||
Lam Research Corp. | 9,581 | 1,304,645 | |||
Mastercard, Inc. Class A | 57,949 | 10,932,079 | |||
Maxim Integrated Products, Inc. | 17,800 | 905,130 | |||
Microchip Technology, Inc. (b) | 15,006 | 1,079,232 | |||
Micron Technology, Inc. (a) | 70,928 | 2,250,545 | |||
Microsoft Corp. | 494,777 | 50,254,500 | |||
Motorola Solutions, Inc. | 10,428 | 1,199,637 | |||
NetApp, Inc. | 16,843 | 1,005,022 | |||
NVIDIA Corp. | 38,912 | 5,194,752 | |||
Oracle Corp. | 162,770 | 7,349,065 | |||
Paychex, Inc. | 21,131 | 1,376,685 | |||
PayPal Holdings, Inc. (a) | 75,858 | 6,378,899 | |||
Qorvo, Inc. (a) | 7,600 | 461,548 | |||
QUALCOMM, Inc. (b) | 77,585 | 4,415,362 | |||
Red Hat, Inc. (a) | 11,330 | 1,990,001 | |||
salesforce.com, Inc. (a) | 48,505 | 6,643,730 | |||
Seagate Technology PLC | 15,076 | 581,783 | |||
Skyworks Solutions, Inc. | 11,800 | 790,836 | |||
Symantec Corp. | 39,403 | 744,520 | |||
Synopsys, Inc. (a) | 9,400 | 791,856 | |||
TE Connectivity, Ltd. | 21,649 | 1,637,314 | |||
Texas Instruments, Inc. | 61,106 | 5,774,517 | |||
Total System Services, Inc. | 10,899 | 885,980 | |||
VeriSign, Inc. (a) | 6,920 | 1,026,167 | |||
Visa, Inc. Class A | 112,040 | 14,782,558 | |||
Western Digital Corp. | 19,506 | 721,137 | |||
Western Union Co. | 27,940 | 476,656 | |||
Xerox Corp. | 15,823 | 312,662 | |||
Xilinx, Inc. | 16,042 | 1,366,297 | |||
270,800,196 | |||||
MATERIALS — 2.7% | |||||
Air Products & Chemicals, Inc. | 14,007 | 2,241,820 | |||
Albemarle Corp. (b) | 7,100 | 547,197 | |||
Avery Dennison Corp. | 5,818 | 522,631 | |||
Ball Corp. | 21,216 | 975,512 | |||
Celanese Corp. Series A | 8,600 | 773,742 | |||
CF Industries Holdings, Inc. | 14,730 | 640,902 | |||
DowDuPont, Inc. | 146,132 | 7,815,139 | |||
Eastman Chemical Co. | 8,972 | 655,943 | |||
Ecolab, Inc. | 16,165 | 2,381,913 | |||
FMC Corp. | 8,622 | 637,683 | |||
Freeport-McMoRan, Inc. | 90,364 | 931,653 | |||
International Flavors & Fragrances, Inc. (b) | 6,280 | 843,216 | |||
International Paper Co. | 25,408 | 1,025,467 | |||
Linde PLC | 35,029 | 5,465,925 | |||
LyondellBasell Industries NV Class A | 20,652 | 1,717,420 | |||
Martin Marietta Materials, Inc. (b) | 4,055 | 696,933 | |||
Mosaic Co. | 20,816 | 608,035 | |||
Newmont Mining Corp. | 33,373 | 1,156,374 | |||
Nucor Corp. | 20,306 | 1,052,054 | |||
Packaging Corp. of America | 6,300 | 525,798 |
Security Description | Shares | Value | |||
PPG Industries, Inc. | 15,488 | $1,583,338 | |||
Sealed Air Corp. | 11,269 | 392,612 | |||
Sherwin-Williams Co. | 5,187 | 2,040,877 | |||
Vulcan Materials Co. | 8,390 | 828,932 | |||
WestRock Co. | 16,448 | 621,077 | |||
36,682,193 | |||||
REAL ESTATE — 2.9% | |||||
Alexandria Real Estate Equities, Inc. REIT | 6,700 | 772,108 | |||
American Tower Corp. REIT | 28,382 | 4,489,749 | |||
Apartment Investment & Management Co. Class A, REIT | 9,765 | 428,488 | |||
AvalonBay Communities, Inc. REIT | 9,129 | 1,588,902 | |||
Boston Properties, Inc. REIT | 9,821 | 1,105,354 | |||
CBRE Group, Inc. Class A (a) | 20,108 | 805,124 | |||
Crown Castle International Corp. REIT | 26,642 | 2,894,121 | |||
Digital Realty Trust, Inc. REIT | 13,300 | 1,417,115 | |||
Duke Realty Corp. REIT | 22,500 | 582,750 | |||
Equinix, Inc. REIT | 5,138 | 1,811,453 | |||
Equity Residential REIT | 24,138 | 1,593,349 | |||
Essex Property Trust, Inc. REIT | 4,455 | 1,092,411 | |||
Extra Space Storage, Inc. REIT | 7,500 | 678,600 | |||
Federal Realty Investment Trust REIT | 4,600 | 542,984 | |||
HCP, Inc. REIT | 31,277 | 873,567 | |||
Host Hotels & Resorts, Inc. REIT | 48,759 | 812,813 | |||
Iron Mountain, Inc. REIT | 18,074 | 585,778 | |||
Kimco Realty Corp. REIT | 23,116 | 338,649 | |||
Macerich Co. REIT | 7,245 | 313,564 | |||
Mid-America Apartment Communities, Inc. REIT | 6,900 | 660,330 | |||
Prologis, Inc. REIT | 40,546 | 2,380,861 | |||
Public Storage REIT | 9,452 | 1,913,179 | |||
Realty Income Corp. REIT | 18,100 | 1,141,024 | |||
Regency Centers Corp. REIT | 10,499 | 616,081 | |||
SBA Communications Corp. REIT (a) | 7,100 | 1,149,419 | |||
Simon Property Group, Inc. REIT | 19,435 | 3,264,886 | |||
SL Green Realty Corp. REIT | 6,100 | 482,388 | |||
UDR, Inc. REIT | 17,800 | 705,236 | |||
Ventas, Inc. REIT | 22,403 | 1,312,592 | |||
Vornado Realty Trust REIT | 10,446 | 647,965 | |||
Welltower, Inc. REIT | 23,881 | 1,657,580 | |||
Weyerhaeuser Co. REIT | 49,998 | 1,092,956 | |||
39,751,376 | |||||
UTILITIES — 3.3% | |||||
AES Corp. | 43,759 | 632,755 | |||
Alliant Energy Corp. | 14,700 | 621,075 | |||
Ameren Corp. | 16,456 | 1,073,425 | |||
American Electric Power Co., Inc. | 31,543 | 2,357,524 |
Security Description | Shares | Value | |||
American Water Works Co., Inc. | 11,300 | $1,025,701 | |||
CenterPoint Energy, Inc. | 31,335 | 884,587 | |||
CMS Energy Corp. | 18,801 | 933,470 | |||
Consolidated Edison, Inc. | 19,600 | 1,498,616 | |||
Dominion Energy, Inc. | 42,068 | 3,006,179 | |||
DTE Energy Co. | 11,439 | 1,261,722 | |||
Duke Energy Corp. | 45,891 | 3,960,393 | |||
Edison International | 21,305 | 1,209,485 | |||
Entergy Corp. | 12,200 | 1,050,054 | |||
Evergy, Inc. | 16,499 | 936,648 | |||
Eversource Energy | 20,243 | 1,316,605 | |||
Exelon Corp. | 61,959 | 2,794,351 | |||
FirstEnergy Corp. | 29,729 | 1,116,324 | |||
NextEra Energy, Inc. | 30,257 | 5,259,272 | |||
NiSource, Inc. | 23,078 | 585,027 | |||
NRG Energy, Inc. | 19,998 | 791,921 | |||
PG&E Corp. (a) | 33,712 | 800,660 | |||
Pinnacle West Capital Corp. | 6,556 | 558,571 | |||
PPL Corp. | 44,756 | 1,267,937 | |||
Public Service Enterprise Group, Inc. | 32,336 | 1,683,089 | |||
SCANA Corp. | 9,501 | 453,958 | |||
Sempra Energy | 17,724 | 1,917,559 | |||
Southern Co. | 64,984 | 2,854,097 | |||
WEC Energy Group, Inc. | 20,287 | 1,405,078 | |||
Xcel Energy, Inc. | 33,700 | 1,660,399 | |||
44,916,482 | |||||
TOTAL COMMON STOCKS (Cost $455,091,918) | 1,346,369,768 |
SHORT-TERM INVESTMENTS — 2.2% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (d) (e) | 27,348,182 | 27,348,182 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (c) (f) | 2,502,193 | $2,502,193 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $29,850,375) | 29,850,375 | ||||
TOTAL INVESTMENTS — 100.2% (Cost $484,942,293) | 1,376,220,143 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (2,427,692) | ||||
NET ASSETS — 100.0% | $1,373,792,451 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2018. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 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 December 31, 2018 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2018. |
(f) | Investment of cash collateral for securities loaned. |
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) | 218 | 03/15/2019 | $28,521,589 | $27,306,680 | $(1,214,909) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,346,369,768 | $— | $— | $1,346,369,768 | ||||
Short-Term Investments | 29,850,375 | — | — | 29,850,375 | ||||
TOTAL INVESTMENTS | $1,376,220,143 | $— | $— | $1,376,220,143 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (1,214,909) | — | — | (1,214,909) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(1,214,909) | $— | $— | $(1,214,909) |
(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 12/31/18 | Value at 12/31/18 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Corp. | 25,847 | $2,522,926 | $168,671 | $324,786 | $204,164 | $(1,035,410) | 24,347 | $1,535,565 | $43,170 | $— | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 27,556,254 | 27,556,254 | 252,651,950 | 252,860,022 | — | — | 27,348,182 | 27,348,182 | 460,985 | — | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 818,690 | 818,690 | 32,435,236 | 30,751,733 | — | — | 2,502,193 | 2,502,193 | 11,485 | — | |||||||||
Total | $30,897,870 | $285,255,857 | $283,936,541 | $204,164 | $(1,035,410) | $31,385,940 | $515,640 | $— |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,344,834,203 |
Investments in affiliated issuers, at value | 31,385,940 |
Total Investments | 1,376,220,143 |
Cash at broker | 2,731,182 |
Cash | 244 |
Receivable for investments sold | 461,847 |
Dividends receivable — unaffiliated issuers | 1,539,706 |
Dividends receivable — affiliated issuers | 62,317 |
Securities lending income receivable — unaffiliated issuers | 1,236 |
Securities lending income receivable — affiliated issuers | 445 |
Receivable from Adviser | 3,701 |
TOTAL ASSETS | 1,381,020,821 |
LIABILITIES | |
Payable upon return of securities loaned | 2,502,193 |
Payable for investments purchased | 3,468,683 |
Payable to broker – accumulated variation margin on open futures contracts | 1,213,915 |
Advisory fee payable | 43,579 |
TOTAL LIABILITIES | 7,228,370 |
NET ASSETS | $1,373,792,451 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $454,306,739 |
Investments in affiliated issuers | 30,635,554 |
Total cost of investments | $484,942,293 |
* Includes investments in securities on loan, at value | $14,346,572 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $10,093 |
Dividend income — unaffiliated issuers | 30,925,473 |
Dividend income — affiliated issuers | 504,155 |
Unaffiliated securities lending income | 19,079 |
Affiliated securities lending income | 11,485 |
Foreign taxes withheld | (120,794) |
TOTAL INVESTMENT INCOME (LOSS) | 31,349,491 |
EXPENSES | |
Advisory fee | 701,914 |
TOTAL EXPENSES | 701,914 |
NET INVESTMENT INCOME (LOSS) | $30,647,577 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 149,701,126 |
Investments — affiliated issuers | 204,164 |
Futures contracts | (826,985) |
Net realized gain (loss) | 149,078,305 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (235,611,250) |
Investments — affiliated issuers | (1,035,410) |
Futures contracts | (1,704,289) |
Net change in unrealized appreciation/depreciation | (238,350,949) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (89,272,644) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(58,625,067) |
Year Ended 12/31/18 | Year Ended 12/31/17 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $30,647,577 | $31,216,140 | |
Net realized gain (loss) | 149,078,305 | 96,690,402 | |
Net change in unrealized appreciation/depreciation | (238,350,949) | 183,011,705 | |
Net increase (decrease) in net assets resulting from operations | (58,625,067) | 310,918,247 | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Contributions | 70,287,455 | 44,261,255 | |
Withdrawals | (317,119,601) | (194,742,512) | |
Net increase (decrease) in net assets from capital transactions | (246,832,146) | (150,481,257) | |
Net increase (decrease) in net assets during the period | (305,457,213) | 160,436,990 | |
Net assets at beginning of period | 1,679,249,664 | 1,518,812,674 | |
NET ASSETS AT END OF PERIOD | $1,373,792,451 | $1,679,249,664 |
Year Ended 12/31/18 | Year Ended 12/31/17 | Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | |||||
Total return (a) | (4.98)% | 22.42%(b) | 11.90% | 1.41% | 13.62% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,373,792 | $1,679,250 | $1,518,813 | $1,601,598 | $2,869,323 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.05% | 0.05% | 0.05% | 0.05% | 0.050% | ||||
Net expenses | 0.05% | 0.05% | 0.04% | 0.05% | 0.05% | ||||
Net investment income (loss) | 1.96% | 1.98% | 2.18% | 2.00% | 1.98% | ||||
Portfolio turnover rate | 4% | 2% | 5% | 7%(c) | 2%(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 less than of 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 |
Liability 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 | $— | $— | $— | $(1,213,915) | $— | $(1,213,915) |
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 | $— | $— | $— | $(826,985) | $— | $(826,985) |
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 | $— | $— | $— | $(1,704,289) | $— | $(1,704,289) |
Purchases | Sales | ||
State Street Equity 500 Index Portfolio | $54,027,233 | $218,883,200 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Equity 500 Index Portfolio | $536,713,731 | $916,094,259 | $77,801,762 | $838,292,497 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Equity 500 Index Portfolio | $ 14,346,572 | $ 2,502,193 | $ 12,033,927 | $ 14,536,120 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of December 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 | $2,502,193 | $— | $— | $— | $2,502,193 | $2,502,193 |
February 27, 2019
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% | $931.10 | $0.24 | $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 by 184, then divided by 365. |
Nominee | Shares For | Shares Withheld |
Michael A. Jessee | 70,681,020,370.077 | 7,661,214,196.910 |
Ellen M. Needham | 77,884,129,343.272 | 458,105,223.715 |
Donna M. Rapaccioli | 78,036,680,506.030 | 305,554,060.957 |
John R. Costantino | 78,035,382,515.554 | 306,852,051.433 |
The other Trustees whose term of office continued after the meeting are as follows: James E. Ross, Michael F. Holland, Patrick J. Riley, Richard D. Shirk, Bruce D. Taber and Rina K. Spence. |
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- Chairperson 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. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson 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. | 67 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 12/18 | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 67 | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director of Artes Medical (2006 – 2008); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Co- Chairperson 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). | 67 | 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- Chairperson of the Audit Committee, Co-Chairperson of the Nominating Committee and Co- Chairperson 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). | 67 |
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- Chairperson of the Valuation Committee, Co- Chairperson of the Nominating Committee and Co -Chairperson 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). | 49 | None. | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson 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). | 67 | None. | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Co- Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 67 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – present). | |||||
Interested Trustees(1) | ||||||||||
James E. Ross(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 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). | 185 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
Ellen M. Needham(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected 12/18 | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 67 | None. | |||||
† 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) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). | ||||||||||
(2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
(3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||||||
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, Trustee | 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). | |||
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: 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. 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). |
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. 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). | |||
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 Fund's directors and is available, without charge, upon request and by calling 1-800-997-7327. |
One Iron Street
Boston, MA 02210
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
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
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 FormN-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities byClosed-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 Rule30a-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 FormN-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 Rule30a-3(b) under the 1940 Actand Rules 13a-15(b) or15d-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 Rule30a-3(d) under the 1940 Act) that occurred during the Trust’s last fiscal quarter of the period covered by this FormN-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 forClosed-End Management Investment Companies.
(a) | Not applicable to the Registrant. |
(b) | Not applicable to the Registrant. |
Item 13. Exhibits.
(a)(1) | Not applicable; this Form N-CSR is a Semi-Annual Report. | |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required byRule 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 byRule 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: | May 2, 2019 |
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: | May 2, 2019 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | May 2, 2019 |