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: | |
Sean O’Malley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617)664-1465
Date of fiscal year end: August 31
Date of reporting period: August 31, 2019
Item 1. Reports to Stockholders.
State Street S&P 500 Index Fund |
1 | |
5 | |
12 | |
13 | |
14 | |
15 | |
16 | |
24 | |
25 |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2019 | Average Annual Total Return Five Years Ended August 31, 2019 | Average Annual Total Return Ten Years Ended August 31, 2019 | |||
State Street S&P 500 Index Fund | 2.71% | 9.93% | 13.27% | ||
S&P 500® Index(1) | 2.92% | 10.11% | 13.45% | ||
(1) | The S&P 500® Index is composed of 500 common stocks which are chosen by Standard & Poor’s Corporation to best capture the price performance of a large cross-section of the US publicly traded stock market. The Index is structured to approximate the general distribution of industries in the US economy. |
Description | % of Net Assets | ||
Microsoft Corp. | 4.3% | ||
Apple, Inc. | 3.7 | ||
Amazon.com, Inc. | 3.0 | ||
Facebook, Inc. | 1.8 | ||
Berkshire Hathaway, Inc. | 1.6 | ||
TOTAL | 14.4% |
% of Net Assets | |||
Software | 6.7% | ||
IT Services | 5.6 | ||
Banks | 5.2 | ||
Interactive Media & Services | 4.8 | ||
Pharmaceuticals | 4.2 | ||
Technology Hardware, Storage & Peripherals | 4.1 | ||
Semiconductors & Semiconductor Equipment | 4.0 | ||
Oil, Gas & Consumable Fuels | 4.0 | ||
Health Care Equipment & Supplies | 3.7 | ||
Internet & Direct Marketing Retail | 3.6 | ||
Equity Real Estate Investment Trusts (REITs) | 3.1 | ||
Capital Markets | 2.6 | ||
Aerospace & Defense | 2.6 | ||
Insurance | 2.5 | ||
Specialty Retail | 2.5 | ||
Health Care Providers & Services | 2.4 | ||
Diversified Telecommunication Services | 2.2 | ||
Biotechnology | 2.2 | ||
Hotels, Restaurants & Leisure | 2.1 | ||
Electric Utilities | 2.0 | ||
Beverages | 1.9 | ||
Chemicals | 1.9 | ||
Household Products | 1.9 | ||
Entertainment | 1.9 | ||
Food & Staples Retailing | 1.6 | ||
Machinery | 1.6 | ||
Diversified Financial Services | 1.6 | ||
Industrial Conglomerates | 1.4 | ||
Media | 1.4 | ||
Multi-Utilities | 1.2 | ||
Life Sciences Tools & Services | 1.1 | ||
Food Products | 1.1 | ||
Communications Equipment | 0.9 | ||
Road & Rail | 0.9 | ||
Tobacco | 0.8 | ||
Consumer Finance | 0.7 | ||
Air Freight & Logistics | 0.6 | ||
Electrical Equipment | 0.5 | ||
Commercial Services & Supplies | 0.5 | ||
Multiline Retail | 0.5 | ||
Textiles, Apparel & Luxury Goods | 0.5 | ||
Electronic Equipment, Instruments & Components | 0.4 | ||
Energy Equipment & Services | 0.4 | ||
Containers & Packaging | 0.3 | ||
Airlines | 0.3 | ||
Professional Services | 0.3 | ||
Metals & Mining | 0.3 | ||
Automobiles | 0.3 | ||
Building Products | 0.2 | ||
Personal Products | 0.2 | ||
Construction Materials | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Household Durables | 0.2 | ||
Water Utilities | 0.1 | ||
Gas Utilities | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
Health Care Technology | 0.1 | ||
Wireless Telecommunication Services | 0.1 | ||
Auto Components | 0.1 | ||
Distributors | 0.1 |
% of Net Assets | |||
Leisure Equipment & Products | 0.1% | ||
Independent Power and Renewable Electricity Producers | 0.0* | ||
Construction & Engineering | 0.0* | ||
Diversified Consumer Services | 0.0* | ||
Short-Term Investments | 1.3 | ||
Other Assets in Excess of Liabilities | 0.0* | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.7% | |||||
COMMUNICATION SERVICES — 10.4% | |||||
Activision Blizzard, Inc. | 47,700 | $2,413,620 | |||
Alphabet, Inc. Class A (a) | 18,523 | 22,052,187 | |||
Alphabet, Inc. Class C (a) | 18,945 | 22,508,554 | |||
AT&T, Inc. | 453,700 | 15,997,462 | |||
Cars.com, Inc. (a) | 1 | 9 | |||
CBS Corp. Class B | 20,418 | 858,781 | |||
CenturyLink, Inc. | 62,587 | 712,240 | |||
Charter Communications, Inc. Class A (a) | 10,800 | 4,423,572 | |||
Comcast Corp. Class A | 279,930 | 12,389,702 | |||
Discovery, Inc. Class A (a)(b) | 9,497 | 262,117 | |||
Discovery, Inc. Class C (a) | 20,660 | 537,780 | |||
DISH Network Corp. Class A (a) | 15,100 | 506,756 | |||
Electronic Arts, Inc. (a) | 19,021 | 1,781,887 | |||
Facebook, Inc. Class A (a) | 148,507 | 27,573,295 | |||
Fox Corp. Class A | 22,603 | 749,742 | |||
Fox Corp. Class B (a) | 10,400 | 341,120 | |||
Interpublic Group of Cos., Inc. | 23,128 | 459,785 | |||
Netflix, Inc. (a) | 27,196 | 7,988,825 | |||
News Corp. Class A | 28,814 | 396,192 | |||
News Corp. Class B | 7,500 | 106,200 | |||
Omnicom Group, Inc. | 12,950 | 984,977 | |||
Take-Two Interactive Software, Inc. (a) | 6,700 | 884,199 | |||
T-Mobile US, Inc. (a) | 19,600 | 1,529,780 | |||
TripAdvisor, Inc. (a) | 7,215 | 274,098 | |||
Twitter, Inc. (a) | 45,500 | 1,940,575 | |||
Verizon Communications, Inc. | 256,351 | 14,909,374 | |||
Viacom, Inc. Class B | 24,341 | 608,038 | |||
Walt Disney Co. | 108,338 | 14,870,474 | |||
158,061,341 | |||||
CONSUMER DISCRETIONARY — 10.0% | |||||
Advance Auto Parts, Inc. | 4,300 | 593,185 | |||
Amazon.com, Inc. (a) | 25,602 | 45,476,577 | |||
Aptiv PLC | 16,181 | 1,345,774 | |||
AutoZone, Inc. (a) | 1,488 | 1,639,315 | |||
Best Buy Co., Inc. | 14,413 | 917,387 | |||
Booking Holdings, Inc. (a) | 2,708 | 5,325,038 | |||
BorgWarner, Inc. | 13,223 | 431,467 | |||
Capri Holdings, Ltd. (a) | 8,886 | 234,413 | |||
CarMax, Inc. (a) | 10,097 | 840,878 | |||
Carnival Corp. | 24,649 | 1,086,528 | |||
Chipotle Mexican Grill, Inc. (a) | 1,414 | 1,185,526 | |||
D.R. Horton, Inc. | 22,479 | 1,112,036 | |||
Darden Restaurants, Inc. | 8,117 | 981,995 | |||
Dollar General Corp. | 16,287 | 2,542,238 | |||
Dollar Tree, Inc. (a) | 14,482 | 1,470,357 | |||
eBay, Inc. | 50,958 | 2,053,098 | |||
Expedia Group, Inc. | 8,775 | 1,141,628 | |||
Ford Motor Co. | 236,360 | 2,167,421 |
Security Description | Shares | Value | |||
Gap, Inc. | 15,364 | $242,598 | |||
Garmin, Ltd. | 7,360 | 600,355 | |||
General Motors Co. | 80,477 | 2,984,892 | |||
Genuine Parts Co. | 9,220 | 832,474 | |||
H&R Block, Inc. | 12,851 | 311,251 | |||
Hanesbrands, Inc. (b) | 23,400 | 319,644 | |||
Harley-Davidson, Inc. | 10,385 | 331,282 | |||
Hasbro, Inc. | 7,628 | 842,665 | |||
Hilton Worldwide Holdings, Inc. | 18,700 | 1,727,319 | |||
Home Depot, Inc. | 68,410 | 15,591,323 | |||
Kohl's Corp. | 11,188 | 528,745 | |||
L Brands, Inc. | 15,246 | 251,711 | |||
Leggett & Platt, Inc. | 6,444 | 239,652 | |||
Lennar Corp. Class A | 18,125 | 924,375 | |||
LKQ Corp. (a) | 20,800 | 546,416 | |||
Lowe's Cos., Inc. | 48,112 | 5,398,166 | |||
Macy's, Inc. | 17,961 | 265,104 | |||
Marriott International, Inc. Class A | 16,552 | 2,086,545 | |||
McDonald's Corp. | 47,115 | 10,269,657 | |||
MGM Resorts International | 31,800 | 892,308 | |||
Mohawk Industries, Inc. (a) | 4,169 | 495,652 | |||
Newell Brands, Inc. | 26,350 | 437,410 | |||
NIKE, Inc. Class B | 77,002 | 6,506,669 | |||
Nordstrom, Inc. (b) | 7,756 | 224,691 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 12,900 | 654,675 | |||
O'Reilly Automotive, Inc. (a) | 4,820 | 1,849,723 | |||
PulteGroup, Inc. | 16,443 | 555,773 | |||
PVH Corp. | 4,751 | 360,126 | |||
Ralph Lauren Corp. | 3,436 | 303,536 | |||
Ross Stores, Inc. | 23,344 | 2,474,697 | |||
Royal Caribbean Cruises, Ltd. | 10,000 | 1,042,800 | |||
Starbucks Corp. | 75,292 | 7,270,196 | |||
Tapestry, Inc. | 19,000 | 392,350 | |||
Target Corp. | 31,544 | 3,376,470 | |||
Tiffany & Co. (b) | 6,581 | 558,529 | |||
TJX Cos., Inc. | 75,250 | 4,136,493 | |||
Tractor Supply Co. | 6,774 | 690,135 | |||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 3,600 | 855,828 | |||
Under Armour, Inc. Class A (a)(b) | 14,376 | 267,537 | |||
Under Armour, Inc. Class C (a) | 14,478 | 244,968 | |||
VF Corp. | 20,128 | 1,649,490 | |||
Whirlpool Corp. | 3,459 | 481,112 | |||
Wynn Resorts, Ltd. | 6,259 | 689,429 | |||
Yum! Brands, Inc. | 18,190 | 2,124,228 | |||
153,373,860 | |||||
CONSUMER STAPLES — 7.5% | |||||
Altria Group, Inc. | 116,370 | 5,090,024 | |||
Archer-Daniels-Midland Co. | 35,692 | 1,358,081 | |||
British American Tobacco PLC ADR (b) | 1 | 35 | |||
Brown-Forman Corp. Class B | 10,827 | 638,685 |
Security Description | Shares | Value | |||
Campbell Soup Co. (b) | 12,083 | $543,735 | |||
Church & Dwight Co., Inc. | 14,800 | 1,180,744 | |||
Clorox Co. | 8,179 | 1,293,591 | |||
Coca-Cola Co. | 238,422 | 13,122,747 | |||
Colgate-Palmolive Co. | 53,079 | 3,935,808 | |||
Conagra Brands, Inc. | 32,051 | 908,966 | |||
Constellation Brands, Inc. Class A | 10,576 | 2,161,205 | |||
Costco Wholesale Corp. | 27,434 | 8,086,446 | |||
Coty, Inc. Class A | 16,044 | 153,220 | |||
Estee Lauder Cos., Inc. Class A | 13,363 | 2,645,740 | |||
General Mills, Inc. | 37,022 | 1,991,784 | |||
Hershey Co. | 8,615 | 1,365,305 | |||
Hormel Foods Corp. | 15,998 | 681,675 | |||
J.M. Smucker Co. | 7,355 | 773,452 | |||
Kellogg Co. | 15,907 | 998,960 | |||
Kimberly-Clark Corp. | 21,073 | 2,973,611 | |||
Kraft Heinz Co. | 40,251 | 1,027,205 | |||
Kroger Co. | 51,310 | 1,215,021 | |||
Lamb Weston Holdings, Inc. | 9,400 | 661,666 | |||
McCormick & Co., Inc. | 7,361 | 1,198,886 | |||
Molson Coors Brewing Co. Class B | 11,409 | 585,966 | |||
Mondelez International, Inc. Class A | 88,594 | 4,892,161 | |||
Monster Beverage Corp. (a) | 22,987 | 1,348,647 | |||
PepsiCo, Inc. | 87,038 | 11,900,706 | |||
Philip Morris International, Inc. | 96,087 | 6,926,912 | |||
Procter & Gamble Co. | 154,913 | 18,625,190 | |||
Sysco Corp. | 28,335 | 2,106,140 | |||
Tyson Foods, Inc. Class A | 17,491 | 1,627,363 | |||
Walmart, Inc. | 86,999 | 9,940,506 | |||
Walgreens Boots Alliance, Inc. | 48,613 | 2,488,499 | |||
114,448,682 | |||||
ENERGY — 4.4% | |||||
Apache Corp. | 24,970 | 538,603 | |||
Baker Hughes a GE Co. | 33,794 | 732,992 | |||
Cabot Oil & Gas Corp. | 26,722 | 457,481 | |||
Chevron Corp. | 118,434 | 13,942,050 | |||
Cimarex Energy Co. | 6,042 | 258,477 | |||
Concho Resources, Inc. | 12,300 | 899,745 | |||
ConocoPhillips | 70,103 | 3,657,974 | |||
Devon Energy Corp. | 25,450 | 559,645 | |||
Diamondback Energy, Inc. | 9,700 | 951,376 | |||
EOG Resources, Inc. | 35,363 | 2,623,581 | |||
Exxon Mobil Corp. | 261,372 | 17,898,754 | |||
Halliburton Co. | 56,167 | 1,058,186 | |||
Helmerich & Payne, Inc. | 7,974 | 299,743 | |||
Hess Corp. | 16,544 | 1,041,445 | |||
HollyFrontier Corp. | 10,400 | 461,344 | |||
Kinder Morgan, Inc. | 120,076 | 2,433,940 | |||
Marathon Oil Corp. | 55,089 | 652,254 | |||
Marathon Petroleum Corp. | 41,584 | 2,046,349 | |||
National Oilwell Varco, Inc. | 24,341 | 497,287 | |||
Noble Energy, Inc. | 32,895 | 742,769 | |||
Occidental Petroleum Corp. | 54,037 | 2,349,529 |
Security Description | Shares | Value | |||
ONEOK, Inc. | 26,304 | $1,874,949 | |||
Phillips 66 | 25,592 | 2,524,139 | |||
Pioneer Natural Resources Co. | 10,924 | 1,348,240 | |||
Schlumberger, Ltd. | 85,393 | 2,769,295 | |||
TechnipFMC PLC | 24,509 | 608,804 | |||
Valero Energy Corp. | 25,986 | 1,956,226 | |||
Williams Cos., Inc. | 76,410 | 1,803,276 | |||
66,988,453 | |||||
FINANCIALS — 12.6% | |||||
Affiliated Managers Group, Inc. | 3,376 | 258,703 | |||
Aflac, Inc. | 46,774 | 2,347,119 | |||
Allstate Corp. | 20,267 | 2,075,138 | |||
American Express Co. | 42,852 | 5,158,095 | |||
American International Group, Inc. | 53,032 | 2,759,785 | |||
Ameriprise Financial, Inc. | 8,663 | 1,117,354 | |||
Aon PLC | 14,782 | 2,880,273 | |||
Arthur J Gallagher & Co. | 12,000 | 1,088,520 | |||
Assurant, Inc. | 3,046 | 374,658 | |||
Bank of America Corp. | 546,066 | 15,022,276 | |||
Bank of New York Mellon Corp. | 52,891 | 2,224,595 | |||
BB&T Corp. | 46,539 | 2,217,583 | |||
Berkshire Hathaway, Inc. Class B (a) | 119,919 | 24,392,724 | |||
BlackRock, Inc. | 7,418 | 3,134,550 | |||
Capital One Financial Corp. | 28,168 | 2,439,912 | |||
Cboe Global Markets, Inc. | 7,500 | 893,700 | |||
Charles Schwab Corp. | 73,489 | 2,812,424 | |||
Chubb, Ltd. | 28,041 | 4,382,247 | |||
Cincinnati Financial Corp. | 9,205 | 1,035,470 | |||
Citigroup, Inc. | 142,293 | 9,156,554 | |||
Citizens Financial Group, Inc. | 28,500 | 961,590 | |||
CME Group, Inc. | 22,092 | 4,800,371 | |||
Comerica, Inc. | 9,017 | 555,898 | |||
Discover Financial Services | 20,277 | 1,621,552 | |||
E*TRADE Financial Corp. | 13,889 | 579,727 | |||
Everest Re Group, Ltd. | 2,700 | 636,876 | |||
Fifth Third Bancorp | 46,054 | 1,218,128 | |||
First Republic Bank | 10,500 | 942,060 | |||
Franklin Resources, Inc. | 17,151 | 450,728 | |||
Globe Life, Inc. | 6,384 | 569,836 | |||
Goldman Sachs Group, Inc. | 21,188 | 4,320,445 | |||
Hartford Financial Services Group, Inc. | 22,230 | 1,295,564 | |||
Huntington Bancshares, Inc. | 70,265 | 931,011 | |||
Intercontinental Exchange, Inc. | 34,225 | 3,199,353 | |||
Invesco, Ltd. | 21,089 | 331,097 | |||
Jefferies Financial Group, Inc. | 17,509 | 326,368 | |||
JPMorgan Chase & Co. | 200,472 | 22,023,854 | |||
KeyCorp | 64,479 | 1,070,351 | |||
Lincoln National Corp. | 11,710 | 619,225 | |||
Loews Corp. | 16,912 | 812,960 | |||
M&T Bank Corp. | 8,234 | 1,203,893 | |||
MarketAxess Holdings, Inc. | 2,300 | 914,526 | |||
Marsh & McLennan Cos., Inc. | 32,034 | 3,199,876 | |||
MetLife, Inc. | 58,526 | 2,592,702 |
Security Description | Shares | Value | |||
Moody's Corp. | 10,134 | $2,184,688 | |||
Morgan Stanley | 79,455 | 3,296,588 | |||
MSCI, Inc. | 5,400 | 1,267,002 | |||
Nasdaq, Inc. | 6,925 | 691,392 | |||
Northern Trust Corp. | 13,910 | 1,223,106 | |||
People's United Financial, Inc. | 22,434 | 322,377 | |||
PNC Financial Services Group, Inc. | 28,242 | 3,641,241 | |||
Principal Financial Group, Inc. | 15,726 | 836,938 | |||
Progressive Corp. | 35,752 | 2,710,002 | |||
Prudential Financial, Inc. | 25,537 | 2,045,258 | |||
Raymond James Financial, Inc. | 7,800 | 612,378 | |||
Regions Financial Corp. | 60,043 | 877,829 | |||
S&P Global, Inc. | 15,298 | 3,980,387 | |||
State Street Corp. (c) | 24,347 | 1,249,245 | |||
SunTrust Banks, Inc. | 27,382 | 1,684,267 | |||
SVB Financial Group (a) | 3,500 | 681,170 | |||
Synchrony Financial | 38,271 | 1,226,586 | |||
T Rowe Price Group, Inc. | 15,120 | 1,672,574 | |||
Travelers Cos., Inc. | 16,198 | 2,380,458 | |||
Unum Group | 14,124 | 358,891 | |||
US Bancorp | 91,730 | 4,833,254 | |||
Wells Fargo & Co. | 249,346 | 11,612,043 | |||
Willis Towers Watson PLC | 7,779 | 1,540,009 | |||
Zions Bancorp NA | 12,058 | 495,463 | |||
192,372,817 | |||||
HEALTH CARE — 13.7% | |||||
Abbott Laboratories | 108,549 | 9,261,401 | |||
AbbVie, Inc. | 92,363 | 6,071,944 | |||
ABIOMED, Inc. (a) | 2,800 | 540,596 | |||
Agilent Technologies, Inc. | 20,275 | 1,441,755 | |||
Alexion Pharmaceuticals, Inc. (a) | 13,327 | 1,342,829 | |||
Align Technology, Inc. (a) | 4,500 | 823,995 | |||
Allergan PLC | 19,326 | 3,086,749 | |||
AmerisourceBergen Corp. | 9,152 | 752,935 | |||
Amgen, Inc. | 38,091 | 7,946,544 | |||
Anthem, Inc. | 15,719 | 4,110,833 | |||
Baxter International, Inc. | 28,970 | 2,547,912 | |||
Becton Dickinson and Co. | 16,477 | 4,183,840 | |||
Biogen, Inc. (a) | 12,147 | 2,669,303 | |||
Boston Scientific Corp. (a) | 87,477 | 3,737,892 | |||
Bristol-Myers Squibb Co. | 101,012 | 4,855,647 | |||
Cardinal Health, Inc. | 18,624 | 803,253 | |||
Celgene Corp. (a) | 43,365 | 4,197,732 | |||
Centene Corp. (a) | 26,200 | 1,221,444 | |||
Cerner Corp. | 20,963 | 1,444,560 | |||
Cigna Corp. (a) | 23,284 | 3,585,037 | |||
Cooper Cos., Inc. | 3,000 | 929,250 | |||
CVS Health Corp. | 80,133 | 4,881,702 | |||
Danaher Corp. | 38,878 | 5,524,175 | |||
DaVita, Inc. (a) | 6,772 | 381,738 | |||
DENTSPLY SIRONA, Inc. | 14,366 | 749,187 | |||
Edwards Lifesciences Corp. (a) | 12,490 | 2,770,782 | |||
Eli Lilly & Co. | 53,662 | 6,062,196 | |||
Gilead Sciences, Inc. | 79,746 | 5,067,061 |
Security Description | Shares | Value | |||
HCA Healthcare, Inc. | 16,000 | $1,923,200 | |||
Henry Schein, Inc. (a) | 9,700 | 597,714 | |||
Hologic, Inc. (a) | 17,600 | 868,912 | |||
Humana, Inc. | 8,117 | 2,298,816 | |||
IDEXX Laboratories, Inc. (a) | 5,400 | 1,564,596 | |||
Illumina, Inc. (a) | 9,300 | 2,616,462 | |||
Incyte Corp. (a) | 10,600 | 867,292 | |||
Intuitive Surgical, Inc. (a) | 7,256 | 3,710,283 | |||
IQVIA Holdings, Inc. (a) | 10,000 | 1,551,500 | |||
Johnson & Johnson | 164,241 | 21,081,975 | |||
Laboratory Corp. of America Holdings (a) | 6,447 | 1,080,259 | |||
McKesson Corp. | 12,231 | 1,691,180 | |||
Medtronic PLC | 83,404 | 8,998,458 | |||
Merck & Co., Inc. | 159,998 | 13,835,027 | |||
Mettler-Toledo International, Inc. (a) | 1,600 | 1,050,864 | |||
Mylan NV (a) | 30,507 | 593,971 | |||
Nektar Therapeutics (a)(b) | 10,700 | 187,999 | |||
PerkinElmer, Inc. | 7,032 | 581,546 | |||
Perrigo Co. PLC | 8,714 | 407,641 | |||
Pfizer, Inc. | 342,548 | 12,177,581 | |||
Quest Diagnostics, Inc. | 8,458 | 865,845 | |||
Regeneron Pharmaceuticals, Inc. (a) | 5,058 | 1,467,073 | |||
ResMed, Inc. | 8,300 | 1,156,190 | |||
Stryker Corp. | 18,795 | 4,147,305 | |||
Teleflex, Inc. | 2,900 | 1,055,368 | |||
Thermo Fisher Scientific, Inc. | 25,012 | 7,179,945 | |||
UnitedHealth Group, Inc. | 58,722 | 13,740,948 | |||
Universal Health Services, Inc. Class B | 5,300 | 766,274 | |||
Varian Medical Systems, Inc. (a) | 6,031 | 638,864 | |||
Vertex Pharmaceuticals, Inc. (a) | 15,348 | 2,762,947 | |||
Waters Corp. (a) | 4,215 | 893,116 | |||
WellCare Health Plans, Inc. (a) | 3,100 | 839,294 | |||
Zimmer Biomet Holdings, Inc. | 12,127 | 1,688,078 | |||
Zoetis, Inc. | 29,328 | 3,707,646 | |||
209,586,461 | |||||
INDUSTRIALS — 9.1% | |||||
3M Co. | 36,043 | 5,828,874 | |||
Alaska Air Group, Inc. | 8,200 | 489,704 | |||
Allegion PLC | 5,437 | 523,420 | |||
American Airlines Group, Inc. | 24,400 | 641,964 | |||
AMETEK, Inc. | 13,301 | 1,142,955 | |||
AO Smith Corp. | 9,700 | 451,244 | |||
Arconic, Inc. | 21,763 | 562,356 | |||
Boeing Co. | 32,524 | 11,841,663 | |||
C.H. Robinson Worldwide, Inc. | 8,582 | 725,093 | |||
Caterpillar, Inc. | 35,055 | 4,171,545 | |||
Cintas Corp. | 4,922 | 1,298,424 | |||
Copart, Inc. (a) | 13,200 | 995,148 | |||
CSX Corp. | 48,259 | 3,234,318 | |||
Cummins, Inc. | 8,944 | 1,335,071 | |||
Deere & Co. | 19,454 | 3,013,619 | |||
Delta Air Lines, Inc. | 35,666 | 2,063,635 |
Security Description | Shares | Value | |||
Dover Corp. | 8,545 | $801,008 | |||
Eaton Corp. PLC | 25,999 | 2,098,639 | |||
Emerson Electric Co. | 37,969 | 2,262,573 | |||
Equifax, Inc. | 7,595 | 1,111,756 | |||
Expeditors International of Washington, Inc. | 10,644 | 756,788 | |||
Fastenal Co. | 35,284 | 1,080,396 | |||
FedEx Corp. | 14,950 | 2,371,220 | |||
Flowserve Corp. | 9,555 | 407,807 | |||
Fortive Corp. | 17,481 | 1,239,403 | |||
Fortune Brands Home & Security, Inc. | 7,900 | 403,374 | |||
General Dynamics Corp. | 16,789 | 3,211,232 | |||
General Electric Co. | 539,449 | 4,450,454 | |||
Honeywell International, Inc. | 44,703 | 7,359,008 | |||
Huntington Ingalls Industries, Inc. | 2,800 | 585,200 | |||
IDEX Corp. | 4,700 | 774,137 | |||
IHS Markit, Ltd. (a) | 23,400 | 1,535,274 | |||
Illinois Tool Works, Inc. | 18,471 | 2,768,064 | |||
Ingersoll-Rand PLC | 15,116 | 1,830,396 | |||
Jacobs Engineering Group, Inc. | 7,057 | 627,085 | |||
JB Hunt Transport Services, Inc. | 5,500 | 594,220 | |||
Johnson Controls International PLC | 49,493 | 2,112,856 | |||
Kansas City Southern | 5,704 | 717,563 | |||
L3Harris Technologies, Inc. | 13,412 | 2,835,431 | |||
Lockheed Martin Corp. | 15,290 | 5,873,042 | |||
Masco Corp. | 17,839 | 726,582 | |||
Nielsen Holdings PLC | 23,375 | 485,265 | |||
Norfolk Southern Corp. | 16,468 | 2,866,255 | |||
Northrop Grumman Corp. | 10,486 | 3,857,485 | |||
PACCAR, Inc. | 21,435 | 1,405,279 | |||
Parker-Hannifin Corp. | 7,714 | 1,278,750 | |||
Pentair PLC | 9,491 | 340,917 | |||
Quanta Services, Inc. | 9,993 | 338,763 | |||
Raytheon Co. | 17,636 | 3,268,304 | |||
Republic Services, Inc. | 13,414 | 1,197,200 | |||
Robert Half International, Inc. | 6,974 | 372,900 | |||
Rockwell Automation, Inc. | 7,479 | 1,142,716 | |||
Rollins, Inc. (b) | 9,450 | 310,055 | |||
Roper Technologies, Inc. | 6,335 | 2,323,425 | |||
Snap-on, Inc. | 3,572 | 531,085 | |||
Southwest Airlines Co. | 29,527 | 1,544,853 | |||
Stanley Black & Decker, Inc. | 9,650 | 1,282,099 | |||
Textron, Inc. | 14,806 | 666,270 | |||
TransDigm Group, Inc. | 3,100 | 1,668,792 | |||
Union Pacific Corp. | 43,638 | 7,067,610 | |||
United Continental Holdings, Inc. (a) | 14,200 | 1,197,202 | |||
United Parcel Service, Inc. Class B | 42,655 | 5,061,442 | |||
United Rentals, Inc. (a) | 4,500 | 506,520 | |||
United Technologies Corp. | 50,379 | 6,561,361 | |||
Verisk Analytics, Inc. | 10,300 | 1,663,862 | |||
W.W. Grainger, Inc. | 2,712 | 742,139 | |||
Wabtec Corp. (b) | 10,382 | 718,538 |
Security Description | Shares | Value | |||
Waste Management, Inc. | 24,704 | $2,948,422 | |||
Xylem, Inc. | 11,434 | 875,959 | |||
139,076,009 | |||||
INFORMATION TECHNOLOGY — 21.7% | |||||
Accenture PLC Class A | 39,382 | 7,804,331 | |||
Adobe, Inc. (a) | 30,113 | 8,567,450 | |||
Advanced Micro Devices, Inc. (a) | 53,700 | 1,688,865 | |||
Akamai Technologies, Inc. (a) | 10,234 | 912,156 | |||
Alliance Data Systems Corp. | 2,904 | 357,047 | |||
Amphenol Corp. Class A | 17,680 | 1,547,707 | |||
Analog Devices, Inc. | 22,470 | 2,467,880 | |||
ANSYS, Inc. (a) | 4,800 | 991,488 | |||
Apple, Inc. | 270,364 | 56,435,781 | |||
Applied Materials, Inc. | 58,453 | 2,806,913 | |||
Arista Networks, Inc. (a) | 3,100 | 702,522 | |||
Autodesk, Inc. (a) | 13,370 | 1,909,503 | |||
Automatic Data Processing, Inc. | 26,965 | 4,579,736 | |||
Broadcom, Inc. | 24,735 | 6,991,100 | |||
Broadridge Financial Solutions, Inc. | 7,000 | 906,080 | |||
Cadence Design Systems, Inc. (a) | 16,300 | 1,116,224 | |||
Cisco Systems, Inc. | 266,129 | 12,457,498 | |||
Citrix Systems, Inc. | 7,078 | 658,112 | |||
Cognizant Technology Solutions Corp. Class A | 34,127 | 2,095,057 | |||
Corning, Inc. | 50,250 | 1,399,463 | |||
DXC Technology Co. | 15,691 | 521,255 | |||
F5 Networks, Inc. (a) | 3,759 | 483,896 | |||
Fidelity National Information Services, Inc. | 38,086 | 5,188,075 | |||
Fiserv, Inc. (a) | 35,484 | 3,794,659 | |||
FleetCor Technologies, Inc. (a) | 5,100 | 1,521,840 | |||
FLIR Systems, Inc. | 8,239 | 405,936 | |||
Fortinet, Inc. (a) | 9,200 | 728,456 | |||
Gartner, Inc. (a) | 6,000 | 802,020 | |||
Global Payments, Inc. | 9,375 | 1,556,062 | |||
Hewlett Packard Enterprise Co. | 77,363 | 1,069,157 | |||
HP, Inc. | 93,363 | 1,707,609 | |||
Intel Corp. | 276,920 | 13,128,777 | |||
International Business Machines Corp. | 54,547 | 7,392,755 | |||
Intuit, Inc. | 15,826 | 4,563,585 | |||
IPG Photonics Corp. (a) | 2,500 | 309,325 | |||
Jack Henry & Associates, Inc. | 4,900 | 710,304 | |||
Juniper Networks, Inc. | 22,844 | 529,067 | |||
Keysight Technologies, Inc. (a) | 12,000 | 1,162,320 | |||
KLA Corp. | 9,873 | 1,460,217 | |||
Lam Research Corp. | 9,581 | 2,016,896 | |||
Leidos Holdings, Inc. | 9,000 | 786,240 | |||
Mastercard, Inc. Class A | 55,549 | 15,629,822 | |||
Maxim Integrated Products, Inc. | 17,800 | 970,812 | |||
Microchip Technology, Inc. (b) | 15,006 | 1,295,468 | |||
Micron Technology, Inc. (a) | 66,928 | 3,029,831 |
Security Description | Shares | Value | |||
Microsoft Corp. | 474,077 | $65,356,255 | |||
Motorola Solutions, Inc. | 10,428 | 1,886,529 | |||
NetApp, Inc. | 14,443 | 694,131 | |||
NVIDIA Corp. | 38,012 | 6,367,390 | |||
Oracle Corp. | 150,870 | 7,854,292 | |||
Paychex, Inc. | 19,231 | 1,571,173 | |||
PayPal Holdings, Inc. (a) | 72,458 | 7,901,545 | |||
Qorvo, Inc. (a) | 7,600 | 542,868 | |||
QUALCOMM, Inc. | 75,185 | 5,847,137 | |||
salesforce.com, Inc. (a) | 53,105 | 8,288,097 | |||
Seagate Technology PLC | 15,076 | 756,966 | |||
Skyworks Solutions, Inc. | 10,000 | 752,700 | |||
Symantec Corp. | 39,403 | 916,120 | |||
Synopsys, Inc. (a) | 9,400 | 1,333,014 | |||
TE Connectivity, Ltd. | 20,449 | 1,865,358 | |||
Texas Instruments, Inc. | 58,606 | 7,252,492 | |||
Total System Services, Inc. | 10,299 | 1,382,332 | |||
VeriSign, Inc. (a) | 6,120 | 1,247,562 | |||
Visa, Inc. Class A | 107,840 | 19,499,629 | |||
Western Digital Corp. | 17,506 | 1,002,569 | |||
Western Union Co. | 27,940 | 618,033 | |||
Xerox Holdings Corp. (a) | 10,023 | 290,567 | |||
Xilinx, Inc. | 16,042 | 1,669,331 | |||
332,055,387 | |||||
MATERIALS — 2.7% | |||||
Air Products & Chemicals, Inc. | 13,807 | 3,119,277 | |||
Albemarle Corp. (b) | 7,100 | 438,283 | |||
Amcor PLC (a) | 99,530 | 977,385 | |||
Avery Dennison Corp. | 5,818 | 672,386 | |||
Ball Corp. | 21,216 | 1,705,979 | |||
Celanese Corp. | 7,200 | 816,264 | |||
CF Industries Holdings, Inc. | 14,730 | 709,839 | |||
Corteva, Inc. (a) | 45,777 | 1,342,182 | |||
Dow, Inc. | 47,310 | 2,016,825 | |||
DuPont de Nemours, Inc. | 45,777 | 3,109,632 | |||
Eastman Chemical Co. | 8,972 | 586,500 | |||
Ecolab, Inc. | 15,265 | 3,149,322 | |||
FMC Corp. | 8,622 | 744,337 | |||
Freeport-McMoRan, Inc. | 90,364 | 830,445 | |||
International Flavors & Fragrances, Inc. (b) | 6,280 | 689,230 | |||
International Paper Co. | 25,408 | 993,453 | |||
Linde PLC | 33,929 | 6,409,527 | |||
LyondellBasell Industries NV Class A | 16,022 | 1,239,782 | |||
Martin Marietta Materials, Inc. | 4,055 | 1,029,037 | |||
Mosaic Co. | 20,816 | 382,806 | |||
Newmont Goldcorp Corp. | 51,773 | 2,065,225 | |||
Nucor Corp. | 17,606 | 862,342 | |||
Packaging Corp. of America | 6,300 | 633,654 | |||
PPG Industries, Inc. | 14,088 | 1,560,810 | |||
Sealed Air Corp. | 11,269 | 448,732 | |||
Sherwin-Williams Co. | 4,987 | 2,626,902 | |||
Vulcan Materials Co. | 8,390 | 1,185,087 |
Security Description | Shares | Value | |||
Westrock Co. | 16,448 | $562,193 | |||
40,907,436 | |||||
REAL ESTATE — 3.2% | |||||
Alexandria Real Estate Equities, Inc. REIT | 6,700 | 1,003,928 | |||
American Tower Corp. REIT | 27,682 | 6,372,120 | |||
Apartment Investment & Management Co. Class A, REIT | 9,769 | 498,219 | |||
AvalonBay Communities, Inc. REIT | 8,429 | 1,791,668 | |||
Boston Properties, Inc. REIT | 9,821 | 1,261,213 | |||
CBRE Group, Inc. Class A (a) | 20,108 | 1,051,045 | |||
Crown Castle International Corp. REIT | 25,342 | 3,678,898 | |||
Digital Realty Trust, Inc. REIT | 13,300 | 1,644,279 | |||
Duke Realty Corp. REIT | 22,500 | 748,575 | |||
Equinix, Inc. REIT | 5,138 | 2,858,167 | |||
Equity Residential REIT | 22,038 | 1,867,941 | |||
Essex Property Trust, Inc. REIT | 4,155 | 1,334,835 | |||
Extra Space Storage, Inc. REIT | 7,500 | 914,400 | |||
Federal Realty Investment Trust REIT | 4,600 | 594,366 | |||
HCP, Inc. REIT | 31,277 | 1,085,625 | |||
Host Hotels & Resorts, Inc. REIT | 48,759 | 782,094 | |||
Iron Mountain, Inc. REIT | 18,074 | 575,657 | |||
Kimco Realty Corp. REIT | 23,116 | 424,872 | |||
Macerich Co. REIT (b) | 7,245 | 206,700 | |||
Mid-America Apartment Communities, Inc. REIT | 6,900 | 874,092 | |||
Prologis, Inc. REIT | 38,346 | 3,206,493 | |||
Public Storage REIT | 9,452 | 2,502,322 | |||
Realty Income Corp. REIT | 18,100 | 1,335,961 | |||
Regency Centers Corp. REIT | 10,499 | 677,291 | |||
SBA Communications Corp. REIT | 7,100 | 1,863,253 | |||
Simon Property Group, Inc. REIT | 19,435 | 2,894,649 | |||
SL Green Realty Corp. REIT | 4,600 | 369,012 | |||
UDR, Inc. REIT | 17,800 | 857,604 | |||
Ventas, Inc. REIT | 22,403 | 1,644,156 | |||
Vornado Realty Trust REIT | 10,446 | 631,670 | |||
Welltower, Inc. REIT | 25,481 | 2,282,078 | |||
Weyerhaeuser Co. REIT | 44,598 | 1,173,373 | |||
49,006,556 | |||||
UTILITIES — 3.4% | |||||
AES Corp. | 43,759 | 670,826 | |||
Alliant Energy Corp. | 14,700 | 771,015 | |||
Ameren Corp. | 15,156 | 1,169,285 | |||
American Electric Power Co., Inc. | 29,643 | 2,701,960 | |||
American Water Works Co., Inc. | 11,300 | 1,438,716 | |||
Atmos Energy Corp. | 7,400 | 815,702 | |||
CenterPoint Energy, Inc. | 31,335 | 867,666 | |||
CMS Energy Corp. | 17,001 | 1,071,913 |
Security Description | Shares | Value | |||
Consolidated Edison, Inc. | 19,600 | $1,742,440 | |||
Dominion Energy, Inc. | 49,824 | 3,867,837 | |||
DTE Energy Co. | 11,439 | 1,483,181 | |||
Duke Energy Corp. | 45,391 | 4,209,561 | |||
Edison International | 21,305 | 1,539,712 | |||
Entergy Corp. | 11,200 | 1,263,808 | |||
Evergy, Inc. | 13,999 | 909,935 | |||
Eversource Energy | 20,243 | 1,622,072 | |||
Exelon Corp. | 58,459 | 2,762,772 | |||
FirstEnergy Corp. | 32,329 | 1,487,134 | |||
NextEra Energy, Inc. | 29,457 | 6,453,440 | |||
NiSource, Inc. | 23,078 | 681,955 | |||
NRG Energy, Inc. | 17,798 | 647,847 | |||
Pinnacle West Capital Corp. | 6,556 | 624,852 | |||
PPL Corp. | 44,756 | 1,322,540 | |||
Public Service Enterprise Group, Inc. | 32,336 | 1,955,358 | |||
Sempra Energy | 16,524 | 2,340,294 | |||
Southern Co. | 64,984 | 3,785,968 | |||
WEC Energy Group, Inc. | 20,287 | 1,942,886 | |||
Xcel Energy, Inc. | 30,700 | 1,971,554 | |||
52,122,229 | |||||
TOTAL COMMON STOCKS (Cost $446,731,085) | 1,507,999,231 |
SHORT-TERM INVESTMENTS — 1.3% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 2.19% (d) (e) | 17,289,872 | 17,291,600 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (c) (f) | 2,175,869 | $2,175,869 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $19,467,520) | 19,467,469 | ||||
TOTAL INVESTMENTS — 100.0% (Cost $466,198,605) | 1,527,466,700 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (g) | 317,859 | ||||
NET ASSETS — 100.0% | $1,527,784,559 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2019. |
(c) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended August 31, 2019 are shown in the Affiliate Table below. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at August 31, 2019. |
(f) | Investment of cash collateral for securities loaned. |
(g) | Amount is less than 0.05% of net assets. |
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) | 138 | 09/20/2019 | $19,987,591 | $20,181,120 | $193,529 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,507,999,231 | $— | $— | $1,507,999,231 | ||||
Short-Term Investments | 19,467,469 | — | — | 19,467,469 | ||||
TOTAL INVESTMENTS | $1,527,466,700 | $— | $— | $1,527,466,700 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 193,529 | — | — | 193,529 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $193,529 | $— | $— | $193,529 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,527,660,229 | $— | $— | $1,527,660,229 |
(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 8/31/19 | Value at 8/31/19 | Dividend Income | |||||||||
State Street Corp. | — | $— | $785,179 | $— | $— | $464,066 | 24,347 | $1,249,245 | $11,443 | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | — | 22,040,796 | 4,749,125 | (20) | (51) | 17,289,872 | 17,291,600 | 15,675 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 61,266,600 | 61,266,600 | — | — | — | — | 217,207 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 2,385,210 | 209,341 | — | — | 2,175,869 | 2,175,869 | 189 | ||||||||
Total | $— | $86,477,785 | $66,225,066 | $(20) | $464,015 | $20,716,714 | $244,514 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,506,749,986 |
Investments in affiliated issuers, at value | 20,716,714 |
Total Investments | 1,527,466,700 |
Cash at broker | 748,341 |
Cash | 62,209 |
Receivable from broker — accumulated variation margin on open futures contracts | 131,408 |
Receivable for fund shares sold | 826,166 |
Dividends receivable — unaffiliated issuers | 3,171,545 |
Dividends receivable — affiliated issuers | 74,231 |
Securities lending income receivable — unaffiliated issuers | 518 |
Securities lending income receivable — affiliated issuers | 189 |
Receivable from Adviser | 13,295 |
Prepaid expenses and other assets | 17,836 |
TOTAL ASSETS | 1,532,512,438 |
LIABILITIES | |
Payable upon return of securities loaned | 2,175,869 |
Payable for fund shares repurchased | 2,168,273 |
Advisory fee payable | 126,264 |
Custodian fees payable | 10,066 |
Administration fees payable | 44,180 |
Shareholder servicing fee payable | 31,069 |
Distribution fees payable | 47,899 |
Transfer agent fees payable | 53,744 |
Registration and filing fees payable | 2,265 |
Professional fees payable | 33,236 |
Printing and postage fees payable | 35,014 |
TOTAL LIABILITIES | 4,727,879 |
NET ASSETS | $1,527,784,559 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $437,615,187 |
Total distributable earnings (loss) | 1,090,169,372 |
NET ASSETS | $1,527,784,559 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $37.01 |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 41,275,324 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $445,945,906 |
Investments in affiliated issuers | 20,252,699 |
Total cost of investments | $466,198,605 |
* Includes investments in securities on loan, at value | $5,349,962 |
INVESTMENT INCOME | |
Interest income allocated from the Portfolio | $18,093 |
Dividend income allocated from the Portfolio | 26,587,594 |
Interest income — unaffiliated issuers | 19,780 |
Dividend income — unaffiliated issuers | 5,835,942 |
Dividend income — affiliated issuers | 244,325 |
Unaffiliated securities lending income allocated from affiliated Portfolio | 39,650 |
Affiliated securities lending income allocated from affiliated Portfolio | 189 |
Expenses allocated from affiliated Portfolio | (536,468) |
Foreign taxes withheld | (1,374) |
Foreign taxes withheld allocated from affiliated Portfolio | (97,297) |
TOTAL INVESTMENT INCOME (LOSS) | 32,110,434 |
EXPENSES | |
Advisory fee | 97,297 |
Administration fees | 757,776 |
Shareholder servicing fees | 363,732 |
Distribution fees | 560,754 |
Custodian fees | 66,204 |
Trustees’ fees and expenses | 23,579 |
Transfer agent fees | 369,432 |
Registration and filing fees | 49,177 |
Professional fees and expenses | 62,640 |
Printing and postage fees | 166,631 |
Insurance expense | 23,268 |
Miscellaneous expenses | 14,923 |
TOTAL EXPENSES | 2,555,413 |
Expenses waived/reimbursed by the Adviser | (712,465) |
NET EXPENSES | 1,842,948 |
NET INVESTMENT INCOME (LOSS) | $30,267,486 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment transactions allocated from affiliated Portfolio | 80,727,173 |
Investments — unaffiliated issuers | 6,823,514 |
Investments — affiliated issuers | (20) |
Futures contracts allocated from affiliated Portfolio | (713,289) |
Futures contracts | 1,019,128 |
Net realized gain (loss) | 87,856,506 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 1,060,804,080 |
Investments — affiliated issuers | 464,015 |
Futures contracts | 194,489 |
Investments allocated from affiliated Portfolio | (943,112,200) |
Futures contracts allocated from affiliated Portfolio | (1,195,038) |
Net change in unrealized appreciation/depreciation | 117,155,346 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 205,011,852 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $235,279,338 |
Year Ended 8/31/19 | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $30,267,486 | $27,837,021 | |
Net realized gain (loss) | 87,856,506 | 161,123,949 | |
Net change in unrealized appreciation/depreciation | 117,155,346 | 96,669,235 | |
Net increase (decrease) in net assets resulting from operations | 235,279,338 | 285,630,205 | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 10): | |||
Distributions to shareholders (Note 11) | (161,580,164) | (83,781,940) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 293,356,913 | 279,733,529 | |
Reinvestment of distributions | 158,648,087 | 82,133,475 | |
Cost of shares redeemed | (604,867,099) | (528,641,085) | |
Net increase (decrease) in net assets from beneficial interest transactions | (152,862,099) | (166,774,081) | |
Net increase (decrease) in net assets during the period | (79,162,925) | 35,074,184 | |
Net assets at beginning of period | 1,606,947,484 | 1,571,873,300 | |
NET ASSETS AT END OF PERIOD | $1,527,784,559 | $1,606,947,484 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 8,095,682 | 7,313,645 | |
Reinvestment of distributions | 5,037,308 | 2,199,312 | |
Shares redeemed | (11,254,690) | (13,796,061) | |
Net increase (decrease) | 1,878,300 | (4,283,104) |
Year Ended 8/31/19(a) | Year Ended 8/31/18(a) | Year Ended 8/31/17(a) | Year Ended 8/31/16(a) | Year Ended 8/31/15(a) | |||||
Net asset value, beginning of period | $40.79 | $35.99 | $33.85 | $31.40 | $32.23 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 0.73(c)(d) | 0.66(c)(d) | 0.66(c)(d) | 0.66(c)(d) | 0.61(c) | ||||
Net realized and unrealized gain (loss) | (0.42) | 6.12 | 4.47 | 3.10 | (0.46) | ||||
Total from investment operations | 0.31 | 6.78 | 5.13 | 3.76 | 0.15 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.71) | (0.78) | (0.64) | (0.65) | (0.60) | ||||
Net realized gains | (3.38) | (1.20) | (2.35) | (0.66) | (0.38) | ||||
Total distributions | (4.09) | (1.98) | (2.99) | (1.31) | (0.98) | ||||
Net asset value, end of period | $37.01 | $40.79 | $35.99 | $33.85 | $31.40 | ||||
Total return (e) | 2.71% | 19.41% | 16.06% | 12.38% | 0.36% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,527,785 | $1,606,947 | $1,571,873 | $1,518,948 | $1,532,049 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.16% | ||||
Net expenses | 0.16%(c)(d) | 0.16%(c)(d) | 0.16%(c)(d) | 0.15%(c)(d) | 0.16%(c) | ||||
Net investment income (loss) | 2.00%(c)(d) | 1.74%(c)(d) | 1.91%(c)(d) | 2.03%(c)(d) | 1.88%(c) | ||||
Portfolio turnover rate (f) | 3% | 2% | 3% | 6% | 2% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio prior to the discontinuance of the master feeder structure. See Note 1. |
(b) | Average daily shares outstanding were used for this calculation. |
(c) | Reflects amounts waived by the administrator. |
(d) | Reflects amounts waived and/or reimbursed by the investment adviser. |
(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. Results represent past performance and are not indicative of future results. |
(f) | Portfolio turnover rate is from the affiliated Portfolio prior to the discontinuance of master feeder structure. See Note 1. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street S&P 500 Index Fund | Class N | December 30, 1992 | Diversified |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street S&P 500 Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | $131,408 | $— | $131,408 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street S&P 500 Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | $305,839 | $— | $305,839 |
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 S&P 500 Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | $(1,000,549) | $— | $(1,000,549) |
Purchases | Sales | ||
State Street S&P 500 Index Fund | $52,025,581 | $124,987,160 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $31,558,640 | $130,021,524 | $161,580,164 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $ 34,276,794 | $ 49,505,146 | $ 83,781,940 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street S&P 500 Index Fund | $4,842,327 | $— | $73,198,518 | $1,012,128,527 | $— | $1,090,169,372 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street S&P 500 Index Fund | $515,339,133 | $1,032,063,868 | $19,936,301 | $1,012,127,567 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||
State Street S&P 500 Index Fund | $ 5,349,962 | $ 2,175,869 | $ 3,252,358 | $ 5,428,227 |
Remaining Contractual Maturity of the Agreements As of August 31, 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 S&P 500 Index Fund | Common Stocks | $2,175,869 | $— | $— | $— | $2,175,869 | $2,175,869 |
Net Investment Income | Net Realized Capital 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 |
October 24, 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 S&P 500 Index Fund | 0.16% | $1,060.30 | $0.83 | $1,024.40 | $0.82 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street S&P 500 Index Fund | $140,049,641 |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, as applicable, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 68 | 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: 1988 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009-2019, Independent Director, SSGA Qualified Funds PLC. | 68 | 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 Compliance Committee | Term: Indefinite Elected: 12/18 | Managing General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 68 | Director of Kleinfeld Bridal Corp. (March 2016 – present); 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). | |||||
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. | 68 | Trustee of Emmanuel College (2010 – present); Director- Graduate Management Admissions Council (2015 – present). | |||||
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 Compliance Committee | Term: Indefinite Elected: 1988 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 60 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
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 | |||||
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: 1/14 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 68 | None. | |||||
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: 1991 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 50 | 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 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 68 | None. | |||||
Interested Trustees(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and President | Term: Indefinite Elected: 12/18 | 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).* | 68 | None | |||||
James E. Ross(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Elected: 1/14 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | 188 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM 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) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
(3) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
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. (April 2005 – present) *; Managing Director, State Street Global Advisors (April 2005 –present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (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). |
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 | |||
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. (June 2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's directors and is available, without charge, upon request and by calling 1-800-997-7327. |
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
One Lincoln Street
Boston, Massachusetts 02111
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 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 |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
1 | |
5 | |
9 | |
Schedules of Investments | |
13 | |
17 | |
21 | |
26 | |
32 | |
44 | |
55 | |
56 |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street Dynamic Small Cap Fund Class A | (14.77%) | (19.25%) | 4.92% | 3.79% | 12.16% | 11.55% | ||
State Street Dynamic Small Cap Fund Class I | (14.49%) | N/A | 5.21% | N/A | 12.34% | N/A | ||
State Street Dynamic Small Cap Fund Class K | (14.48%) | N/A | 5.32% | N/A | 12.40% | N/A | ||
State Street Dynamic Small Cap Fund Class N | (14.70%) | N/A | 5.06% | N/A | 12.25% | N/A | ||
Russell 2000® Index(1) | (12.89%) | N/A | 6.41% | N/A | 11.59% | N/A | ||
(1) | The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. |
Description | % of Net Assets | ||
Haemonetics Corp. | 1.1% | ||
EMCOR Group, Inc. | 1.0 | ||
Portland General Electric Co. | 1.0 | ||
Essent Group, Ltd. | 1.0 | ||
Aaron's, Inc. | 1.0 | ||
TOTAL | 5.1% |
% of Net Assets | |||
Banks | 8.5% | ||
Trading Companies & Distributors | 6.2 | ||
Thrifts & Mortgage Finance | 6.2 | ||
Equity Real Estate Investment Trusts (REITs) | 5.8 | ||
Specialty Retail | 5.4 | ||
Biotechnology | 5.0 | ||
Health Care Providers & Services | 4.7 | ||
IT Services | 4.1 | ||
Electronic Equipment, Instruments & Components | 3.9 | ||
Health Care Equipment & Supplies | 3.5 | ||
Commercial Services & Supplies | 3.4 | ||
Semiconductors & Semiconductor Equipment | 3.3 | ||
Household Durables | 3.2 | ||
Oil, Gas & Consumable Fuels | 3.1 | ||
Chemicals | 3.1 | ||
Software | 2.5 | ||
Mortgage Real Estate Investment Trust (REITs) | 2.4 | ||
Electric Utilities | 2.0 | ||
Metals & Mining | 2.0 | ||
Capital Markets | 2.0 | ||
Construction & Engineering | 1.8 | ||
Hotels, Restaurants & Leisure | 1.7 | ||
Media | 1.5 | ||
Building Products | 1.3 | ||
Health Care Technology | 1.3 | ||
Life Sciences Tools & Services | 1.3 | ||
Food & Staples Retailing | 1.2 | ||
Professional Services | 0.9 | ||
Airlines | 0.9 | ||
Road & Rail | 0.8 | ||
Textiles, Apparel & Luxury Goods | 0.8 | ||
Electrical Equipment | 0.8 | ||
Real Estate Management & Development | 0.7 | ||
Pharmaceuticals | 0.7 | ||
Energy Equipment & Services | 0.7 | ||
Multi-Utilities | 0.6 | ||
Auto Components | 0.5 | ||
Distributors | 0.3 | ||
Personal Products | 0.2 | ||
Communications Equipment | 0.2 | ||
Food Products | 0.2 | ||
Internet & Direct Marketing Retail | 0.2 | ||
Air Freight & Logistics | 0.1 | ||
Machinery | 0.1 | ||
Aerospace & Defense | 0.1 | ||
Leisure Equipment & Products | 0.0* | ||
Short-Term Investments | 5.6 | ||
Liabilities in Excess of Other Assets | (4.8) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street Defensive Emerging Markets Equity Fund Class A | (5.00%) | (9.98%) | (2.85%) | (3.89%) | 1.74% | 1.19% | ||
State Street Defensive Emerging Markets Equity Fund Class I | (5.13%) | N/A | (2.67%) | N/A | 1.90% | N/A | ||
State Street Defensive Emerging Markets Equity Fund Class K | (4.82%) | N/A | (2.53%) | N/A | 1.97% | N/A | ||
State Street Defensive Emerging Markets Equity Fund Class N | (5.16%) | N/A | (2.77%) | N/A | 1.84% | N/A | ||
MSCI® Emerging Markets Index(1) | (4.36%) | N/A | 0.38% | N/A | 4.07% | N/A | ||
(1) | The MSCI* Emerging Markets Index is comprised of 26 countries. MSCI targets to capture 85% of free float-adjusted companies within each industry group in every country. Designation as an emerging market is determined by a number of factors, such as gross domestic product per capita; local government regulations; perceived investment risk; foreign ownership limits and capital controls; or the general perception by the investment community when determining an “emerging” classification of a market. |
Description | % of Net Assets | ||
Infosys, Ltd. | 3.3% | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3.2 | ||
KT&G Corp. | 2.8 | ||
Chunghwa Telecom Co., Ltd. | 2.6 | ||
First Financial Holding Co., Ltd. | 2.6 | ||
TOTAL | 14.5% |
% of Net Assets | |||
Banks | 13.1% | ||
Diversified Telecommunication Services | 10.7 | ||
IT Services | 7.1 | ||
Oil, Gas & Consumable Fuels | 7.0 | ||
Wireless Telecommunication Services | 6.4 | ||
Semiconductors & Semiconductor Equipment | 4.9 | ||
Metals & Mining | 4.5 | ||
Food Products | 4.2 | ||
Transportation Infrastructure | 3.8 | ||
Electric Utilities | 3.5 | ||
Real Estate Investment Trusts (REITs) | 3.1 | ||
Tobacco | 2.9 | ||
Insurance | 2.7 | ||
Construction & Engineering | 2.5 | ||
Chemicals | 2.4 | ||
Independent Power and Renewable Electricity Producers | 2.2 | ||
Technology Hardware, Storage & Peripherals | 2.0 | ||
Trading Companies & Distributors | 1.6 | ||
Diversified Financial Services | 1.3 | ||
Gas Utilities | 1.3 | ||
Airlines | 1.3 | ||
Interactive Media & Services | 0.9 | ||
Life Sciences Tools & Services | 0.9 | ||
Pharmaceuticals | 0.9 | ||
Marine | 0.9 | ||
Road & Rail | 0.9 | ||
Capital Markets | 0.8 | ||
Commercial Services & Supplies | 0.7 | ||
Software | 0.6 | ||
Household Durables | 0.4 | ||
Auto Components | 0.3 | ||
Beverages | 0.3 | ||
Air Freight & Logistics | 0.3 | ||
Electronic Equipment, Instruments & Components | 0.3 | ||
Consumer Finance | 0.3 | ||
Water Utilities | 0.1 | ||
Health Care Providers & Services | 0.1 | ||
Media | 0.1 | ||
Automobiles | 0.1 | ||
Short-Term Investment | 1.2 | ||
Other Assets in Excess of Liabilities | 1.4 | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2019 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street International Stock Selection Fund Class A | (7.46%) | (12.34%) | (0.08%) | (1.14%) | 3.60% | 3.05% | ||
State Street International Stock Selection Fund Class I | (7.03%) | N/A | 0.26% | N/A | 3.89% | N/A | ||
State Street International Stock Selection Fund Class K | (6.98%) | N/A | 0.36% | N/A | 3.94% | N/A | ||
State Street International Stock Selection Fund Class N | (7.19%) | N/A | 0.13% | N/A | 3.82% | N/A | ||
MSCI® EAFE® Index (Net Dividend) (reflects no deduction for fees, expenses or taxes)(1) | (3.26%) | N/A | 1.89% | N/A | 5.00% | N/A | ||
(1) | The MSCI® EAFE® Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The MSCI* EAFE* Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. |
Description | % of Net Assets | ||
Nestle SA | 3.5% | ||
Novartis AG | 2.4 | ||
Roche Holding AG | 2.4 | ||
Toyota Motor Corp. | 2.1 | ||
GlaxoSmithKline PLC | 1.7 | ||
TOTAL | 12.1% |
% of Net Assets | |||
Pharmaceuticals | 9.5% | ||
Insurance | 8.1 | ||
Banks | 6.5 | ||
Food Products | 5.2 | ||
Household Durables | 4.9 | ||
Metals & Mining | 4.8 | ||
Diversified Telecommunication Services | 4.6 | ||
Oil, Gas & Consumable Fuels | 4.4 | ||
Machinery | 3.4 | ||
Construction & Engineering | 2.9 | ||
Health Care Providers & Services | 2.7 | ||
Food & Staples Retailing | 2.7 | ||
Automobiles | 2.5 | ||
Road & Rail | 2.5 | ||
Equity Real Estate Investment Trusts (REITs) | 2.2 | ||
Auto Components | 2.1 | ||
Electrical Equipment | 2.0 | ||
Capital Markets | 2.0 | ||
Personal Products | 1.8 | ||
Technology Hardware, Storage & Peripherals | 1.8 | ||
Beverages | 1.6 | ||
Electronic Equipment, Instruments & Components | 1.6 | ||
Chemicals | 1.6 | ||
Trading Companies & Distributors | 1.5 | ||
Electric Utilities | 1.3 | ||
Real Estate Management & Development | 1.1 | ||
IT Services | 1.0 | ||
Semiconductors & Semiconductor Equipment | 1.0 | ||
Hotels, Restaurants & Leisure | 1.0 | ||
Diversified Financial Services | 1.0 | ||
Building Products | 0.8 | ||
Specialty Retail | 0.8 | ||
Textiles, Apparel & Luxury Goods | 0.6 | ||
Professional Services | 0.6 | ||
Transportation Infrastructure | 0.6 | ||
Media | 0.6 | ||
Communications Equipment | 0.5 | ||
Multi-Utilities | 0.5 | ||
Construction Materials | 0.5 | ||
Thrifts & Mortgage Finance | 0.5 | ||
Industrial Conglomerates | 0.4 | ||
Tobacco | 0.3 | ||
Airlines | 0.3 | ||
Health Care Equipment & Supplies | 0.2 | ||
Multiline Retail | 0.2 | ||
Health Care Technology | 0.2 | ||
Wireless Telecommunication Services | 0.1 | ||
Commercial Services & Supplies | 0.1 | ||
Independent Power & Renewable Electricity Producers | 0.1 | ||
Aerospace & Defense | 0.1 | ||
Air Freight & Logistics | 0.1 | ||
Leisure Equipment & Products | 0.0* | ||
Distributors | 0.0* | ||
Short-Term Investments | 2.6 | ||
Liabilities in Excess of Other Assets | (0.0)* | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.2% | |||||
COMMUNICATION SERVICES — 1.5% | |||||
Central European Media Enterprises, Ltd. Class A (a) | 32,399 | $150,331 | |||
National CineMedia, Inc. | 13,385 | 109,757 | |||
TEGNA, Inc. | 2,097 | 30,008 | |||
290,096 | |||||
CONSUMER DISCRETIONARY — 12.1% | |||||
Aaron's, Inc. | 2,906 | 186,304 | |||
American Eagle Outfitters, Inc. | 7,290 | 122,618 | |||
Asbury Automotive Group, Inc. (a) | 1,741 | 164,176 | |||
Bloomin' Brands, Inc. | 7,178 | 129,491 | |||
Brinker International, Inc. (b) | 1,027 | 39,026 | |||
Citi Trends, Inc. | 935 | 15,717 | |||
Core-Mark Holding Co., Inc. | 308 | 9,976 | |||
Cracker Barrel Old Country Store, Inc. (b) | 817 | 135,132 | |||
Dana, Inc. | 6,326 | 80,530 | |||
Deckers Outdoor Corp. (a) | 745 | 109,850 | |||
Dine Brands Global, Inc. (b) | 402 | 28,361 | |||
Escalade, Inc. | 581 | 6,002 | |||
Ethan Allen Interiors, Inc. | 1,108 | 19,058 | |||
Genesco, Inc. (a)(b) | 2,752 | 98,191 | |||
Group 1 Automotive, Inc. | 1,882 | 140,623 | |||
Haverty Furniture Cos., Inc. | 952 | 18,231 | |||
KB Home | 3,281 | 92,163 | |||
Lithia Motors, Inc. Class A | 1,170 | 153,352 | |||
Meritage Homes Corp. (a) | 2,614 | 170,799 | |||
Murphy USA, Inc. (a) | 1,023 | 91,456 | |||
Office Depot, Inc. (b) | 15,785 | 20,521 | |||
Rocky Brands, Inc. | 1,296 | 37,765 | |||
Shoe Carnival, Inc. (b) | 605 | 18,598 | |||
Sonic Automotive, Inc. Class A | 807 | 21,716 | |||
Stamps.com, Inc. (a) | 565 | 36,363 | |||
Standard Motor Products, Inc. | 369 | 16,350 | |||
Taylor Morrison Home Corp. Class A (a) | 7,282 | 173,749 | |||
TRI Pointe Group, Inc. (a) | 10,670 | 149,380 | |||
Weyco Group, Inc. | 2,003 | 49,134 | |||
2,334,632 | |||||
CONSUMER STAPLES — 1.6% | |||||
B&G Foods, Inc. (b) | 893 | 15,119 | |||
Edgewell Personal Care Co. (a) | 1,251 | 34,828 | |||
Fresh Del Monte Produce, Inc. | 950 | 24,738 | |||
Ingles Markets, Inc. Class A | 3,113 | 121,033 | |||
SpartanNash Co. | 6,352 | 68,411 | |||
United Natural Foods, Inc. (a)(b) | 4,249 | 34,162 | |||
298,291 | |||||
ENERGY — 3.8% | |||||
Arch Coal, Inc. Class A (b) | 1,529 | 117,060 | |||
Archrock, Inc. | 10,028 | 97,372 | |||
Berry Petroleum Corp. | 3,418 | 27,310 |
Security Description | Shares | Value | |||
California Resources Corp. (a)(b) | 3,657 | $35,802 | |||
Chaparral Energy, Inc. Class A (a) | 3,615 | 4,808 | |||
CONSOL Energy, Inc. (a) | 4,257 | 71,347 | |||
CVR Energy, Inc. | 800 | 31,824 | |||
Delek US Holdings, Inc. (b) | 1,183 | 38,743 | |||
Denbury Resources, Inc. (a)(b) | 31,811 | 34,356 | |||
Evolution Petroleum Corp. | 9,793 | 57,975 | |||
Hallador Energy Co. | 5,288 | 20,993 | |||
Liberty Oilfield Services, Inc. Class A (b) | 637 | 6,861 | |||
Nabors Industries, Ltd. (b) | 3,738 | 6,280 | |||
Peabody Energy Corp. | 704 | 12,975 | |||
SEACOR Holdings, Inc. (a) | 711 | 33,396 | |||
W&T Offshore, Inc. (a)(b) | 18,551 | 81,253 | |||
Whiting Petroleum Corp. (a)(b) | 2,464 | 16,336 | |||
World Fuel Services Corp. | 692 | 26,573 | |||
721,264 | |||||
FINANCIALS — 19.1% | |||||
Capital City Bank Group, Inc. | 3,857 | 94,034 | |||
Capstead Mortgage Corp. REIT | 16,840 | 122,427 | |||
Central Pacific Financial Corp. | 4,831 | 134,398 | |||
Community Trust Bancorp, Inc. | 2,032 | 79,045 | |||
Dime Community Bancshares, Inc. | 7,203 | 142,835 | |||
Essent Group, Ltd. (a) | 3,892 | 188,762 | |||
Federated Investors, Inc. Class B | 5,309 | 170,100 | |||
First BanCorp | 9,592 | 91,891 | |||
First Community Bankshares, Inc. | 2,289 | 72,813 | |||
First Defiance Financial Corp. | 4,988 | 130,436 | |||
First Northwest Bancorp | 3,101 | 49,554 | |||
Hilltop Holdings, Inc. | 6,880 | 163,400 | |||
International Bancshares Corp. | 3,587 | 127,661 | |||
Invesco Mortgage Capital, Inc. REIT | 9,485 | 142,560 | |||
Investors Bancorp, Inc. | 13,745 | 152,570 | |||
Ladder Capital Corp. REIT | 3,686 | 61,851 | |||
Northrim BanCorp, Inc. | 3,328 | 120,474 | |||
OFG Bancorp | 5,500 | 112,860 | |||
PennyMac Mortgage Investment Trust REIT (b) | 6,881 | 149,731 | |||
Radian Group, Inc. | 8,227 | 185,519 | |||
Republic Bancorp, Inc. Class A | 2,856 | 121,237 | |||
South State Corp. | 2,233 | 164,304 | |||
Stifel Financial Corp. | 3,038 | 162,290 | |||
Territorial Bancorp, Inc. | 2,427 | 66,378 | |||
United Community Financial Corp. | 15,414 | 148,745 | |||
Univest Financial Corp. | 5,659 | 143,229 | |||
Virtus Investment Partners, Inc. (b) | 556 | 59,320 | |||
Walker & Dunlop, Inc. | 2,841 | 158,698 | |||
Washington Federal, Inc. | 4,843 | 172,411 | |||
3,689,533 | |||||
HEALTH CARE — 16.5% | |||||
ACADIA Pharmaceuticals, Inc. (a)(b) | 806 | 22,294 | |||
Acceleron Pharma, Inc. (a)(b) | 265 | 11,901 | |||
Achillion Pharmaceuticals, Inc. (a) | 7,929 | 34,491 |
Security Description | Shares | Value | |||
Allakos, Inc. (a) | 73 | $6,458 | |||
AMAG Pharmaceuticals, Inc. (a)(b) | 1,997 | 21,807 | |||
Amedisys, Inc. (a) | 1,125 | 144,799 | |||
Amicus Therapeutics, Inc. (a) | 1,590 | 15,725 | |||
AMN Healthcare Services, Inc. (a) | 2,653 | 154,935 | |||
AnaptysBio, Inc. (a)(b) | 73 | 2,967 | |||
Anika Therapeutics, Inc. (a)(b) | 697 | 39,562 | |||
Apellis Pharmaceuticals, Inc. (a) | 155 | 4,511 | |||
Arena Pharmaceuticals, Inc. (a) | 329 | 17,401 | |||
Arrowhead Pharmaceuticals, Inc. (a)(b) | 1,999 | 68,306 | |||
Audentes Therapeutics, Inc. (a) | 129 | 4,012 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) | 128 | 5,016 | |||
Blueprint Medicines Corp. (a) | 507 | 38,872 | |||
CareDx, Inc. (a) | 1,237 | 28,228 | |||
Checkpoint Therapeutics, Inc. (a)(b) | 3,383 | 10,589 | |||
Chimerix, Inc. (a) | 7,186 | 14,516 | |||
Coherus Biosciences, Inc. (a)(b) | 315 | 6,990 | |||
CONMED Corp. | 1,741 | 175,441 | |||
CorVel Corp. (a) | 1,663 | 140,075 | |||
Eagle Pharmaceuticals, Inc. (a)(b) | 693 | 39,078 | |||
Editas Medicine, Inc. (a)(b) | 1,668 | 41,416 | |||
Emergent BioSolutions, Inc. (a) | 244 | 10,687 | |||
Enanta Pharmaceuticals, Inc. (a) | 564 | 39,790 | |||
Endo International PLC (a)(b) | 13,481 | 31,950 | |||
Ensign Group, Inc. | 2,902 | 144,810 | |||
FibroGen, Inc. (a) | 605 | 27,019 | |||
Genomic Health, Inc. (a) | 679 | 52,052 | |||
Global Blood Therapeutics, Inc. (a)(b) | 388 | 17,840 | |||
Haemonetics Corp. (a) | 1,520 | 202,966 | |||
Halozyme Therapeutics, Inc. (a) | 742 | 12,258 | |||
HealthStream, Inc. (a) | 3,970 | 100,322 | |||
Heron Therapeutics, Inc. (a)(b) | 135 | 2,500 | |||
HMS Holdings Corp. (a) | 4,083 | 149,152 | |||
Immunomedics, Inc. (a)(b) | 1,173 | 15,014 | |||
Insmed, Inc. (a)(b) | 380 | 6,247 | |||
Integer Holdings Corp. (a) | 2,125 | 153,850 | |||
Intellia Therapeutics, Inc. (a)(b) | 1,106 | 15,694 | |||
Intercept Pharmaceuticals, Inc. (a)(b) | 97 | 6,225 | |||
Invitae Corp. (a)(b) | 572 | 13,877 | |||
Iovance Biotherapeutics, Inc. (a)(b) | 811 | 17,039 | |||
Ironwood Pharmaceuticals, Inc. (a)(b) | 539 | 5,018 | |||
Jounce Therapeutics, Inc. (a)(b) | 7,209 | 27,178 | |||
Lannett Co., Inc. (a)(b) | 9,601 | 98,890 | |||
Ligand Pharmaceuticals, Inc. (a)(b) | 173 | 15,727 | |||
Magellan Health, Inc. (a) | 2,108 | 132,825 | |||
Mallinckrodt PLC (a)(b) | 3,560 | 9,220 | |||
Marker Therapeutics, Inc. (a)(b) | 2,645 | 13,675 | |||
Medicines Co. (a)(b) | 464 | 19,469 | |||
Medpace Holdings, Inc. (a) | 1,553 | 125,653 | |||
Mirati Therapeutics, Inc. (a) | 161 | 13,197 | |||
Myriad Genetics, Inc. (a) | 395 | 9,294 |
Security Description | Shares | Value | |||
Natera, Inc. (a) | 565 | $18,617 | |||
National HealthCare Corp. | 1,779 | 143,743 | |||
Novocure, Ltd. (a) | 185 | 16,809 | |||
Portola Pharmaceuticals, Inc. (a)(b) | 410 | 11,915 | |||
PTC Therapeutics, Inc. (a) | 366 | 16,313 | |||
Radius Health, Inc. (a) | 442 | 12,509 | |||
REGENXBIO, Inc. (a)(b) | 898 | 30,972 | |||
Repligen Corp. (a) | 385 | 35,732 | |||
Sangamo Therapeutics, Inc. (a)(b) | 352 | 3,837 | |||
Syndax Pharmaceuticals, Inc. (a) | 3,226 | 27,131 | |||
Syneos Health, Inc. (a) | 2,174 | 114,200 | |||
Tandem Diabetes Care, Inc. (a) | 1,529 | 110,746 | |||
Tenet Healthcare Corp. (a) | 3,364 | 72,831 | |||
Ultragenyx Pharmaceutical, Inc. (a)(b) | 372 | 20,263 | |||
Vanda Pharmaceuticals, Inc. (a) | 198 | 2,790 | |||
Xencor, Inc. (a)(b) | 183 | 6,822 | |||
ZIOPHARM Oncology, Inc. (a)(b) | 1,009 | 5,035 | |||
3,189,093 | |||||
INDUSTRIALS — 16.4% | |||||
ACCO Brands Corp. | 882 | 8,176 | |||
Advanced Drainage Systems, Inc. | 456 | 14,314 | |||
Aircastle, Ltd. | 3,299 | 72,083 | |||
Atkore International Group, Inc. (a) | 5,347 | 155,116 | |||
Atlas Air Worldwide Holdings, Inc. (a) | 730 | 18,870 | |||
Avis Budget Group, Inc. (a) | 2,005 | 49,664 | |||
Barrett Business Services, Inc. | 1,152 | 100,374 | |||
BMC Stock Holdings, Inc. (a) | 3,861 | 98,185 | |||
Builders FirstSource, Inc. (a) | 3,520 | 68,464 | |||
Continental Building Products, Inc. (a) | 901 | 22,651 | |||
CRA International, Inc. | 601 | 23,373 | |||
CSW Industrials, Inc. | 367 | 25,033 | |||
Deluxe Corp. | 3,521 | 162,248 | |||
EMCOR Group, Inc. | 2,263 | 197,877 | |||
GATX Corp. | 2,120 | 157,346 | |||
GMS, Inc. (a) | 1,483 | 43,689 | |||
H&E Equipment Services, Inc. | 5,213 | 126,624 | |||
Herc Holdings, Inc. (a) | 3,162 | 130,527 | |||
Herman Miller, Inc. | 1,164 | 49,214 | |||
Hertz Global Holdings, Inc. (a) | 3,708 | 44,904 | |||
HNI Corp. | 2,248 | 70,115 | |||
Kforce, Inc. | 1,713 | 55,741 | |||
Marten Transport, Ltd. | 1,937 | 38,101 | |||
MasTec, Inc. (a) | 1,792 | 112,663 | |||
McGrath RentCorp | 2,351 | 150,535 | |||
Meritor, Inc. (a) | 506 | 8,511 | |||
Moog, Inc. Class A | 254 | 20,637 | |||
Mueller Water Products, Inc. Class A | 1,075 | 11,245 | |||
PAM Transportation Services, Inc. (a) | 264 | 15,230 | |||
Primoris Services Corp. | 1,553 | 30,346 | |||
Quanex Building Products Corp. | 7,648 | 131,699 | |||
RR Donnelley & Sons Co. (b) | 13,201 | 31,946 |
Security Description | Shares | Value | |||
Rush Enterprises, Inc. Class A | 3,991 | $144,115 | |||
Rush Enterprises, Inc. Class B | 3,701 | 137,603 | |||
SkyWest, Inc. | 3,009 | 172,295 | |||
Triton International, Ltd. | 4,657 | 149,723 | |||
UniFirst Corp. | 847 | 165,936 | |||
Willis Lease Finance Corp. (a) | 2,334 | 144,171 | |||
3,159,344 | |||||
INFORMATION TECHNOLOGY — 14.0% | |||||
ACI Worldwide, Inc. (a) | 4,914 | 146,339 | |||
Belden, Inc. | 482 | 21,984 | |||
Benchmark Electronics, Inc. | 5,233 | 138,570 | |||
Cirrus Logic, Inc. (a) | 3,150 | 168,966 | |||
CSG Systems International, Inc. | 3,071 | 165,466 | |||
Diodes, Inc. (a) | 4,047 | 147,918 | |||
ePlus, Inc. (a) | 1,502 | 122,743 | |||
EVERTEC, Inc. | 4,542 | 158,334 | |||
Extreme Networks, Inc. (a) | 5,748 | 38,397 | |||
Fabrinet (a) | 2,409 | 121,630 | |||
j2 Global, Inc. (b) | 1,964 | 166,154 | |||
KBR, Inc. | 6,781 | 173,051 | |||
Knowles Corp. (a) | 3,840 | 77,875 | |||
ManTech International Corp. Class A | 1,726 | 121,303 | |||
OSI Systems, Inc. (a) | 1,333 | 139,978 | |||
Perficient, Inc. (a) | 2,615 | 96,337 | |||
Progress Software Corp. | 4,093 | 154,634 | |||
Rambus, Inc. (a) | 12,086 | 151,558 | |||
Rudolph Technologies, Inc. (a) | 924 | 20,319 | |||
Sykes Enterprises, Inc. (a) | 2,317 | 67,193 | |||
Tech Data Corp. (a) | 1,711 | 158,661 | |||
Xperi Corp. | 7,718 | 141,394 | |||
2,698,804 | |||||
MATERIALS — 5.1% | |||||
Carpenter Technology Corp. | 1,157 | 56,277 | |||
Hawkins, Inc. | 3,135 | 139,037 | |||
Innophos Holdings, Inc. | 2,892 | 81,236 | |||
Innospec, Inc. | 1,798 | 149,558 | |||
Kaiser Aluminum Corp. | 1,388 | 122,741 | |||
Kraton Corp. (a) | 388 | 10,647 | |||
PolyOne Corp. | 497 | 15,909 | |||
Schnitzer Steel Industries, Inc. Class A | 6,277 | 138,973 | |||
Stepan Co. | 390 | 37,202 | |||
Tredegar Corp. | 1,208 | 20,886 | |||
Trinseo SA | 3,583 | 125,727 | |||
Warrior Met Coal, Inc. | 4,127 | 86,254 | |||
984,447 | |||||
REAL ESTATE — 6.5% | |||||
Bluerock Residential Growth REIT, Inc. | 908 | 11,232 | |||
Chesapeake Lodging Trust REIT | 5,951 | 153,238 | |||
Franklin Street Properties Corp. REIT | 16,511 | 124,988 | |||
GEO Group, Inc. REIT | 1,582 | 27,147 |
Security Description | Shares | Value | |||
Jones Lang LaSalle, Inc. | 1 | $134 | |||
Kennedy-Wilson Holdings, Inc. | 3,886 | 81,528 | |||
Kite Realty Group Trust REIT | 1,585 | 22,650 | |||
Lexington Realty Trust REIT | 15,523 | 161,284 | |||
New Senior Investment Group, Inc. REIT | 6,513 | 40,706 | |||
Newmark Group, Inc. Class A | 3,611 | 31,343 | |||
Piedmont Office Realty Trust, Inc. Class A, REIT | 6,209 | 122,566 | |||
PS Business Parks, Inc. REIT | 990 | 177,814 | |||
Realogy Holdings Corp. (b) | 5,831 | 27,872 | |||
RLJ Lodging Trust REIT | 3,527 | 57,173 | |||
RPT Realty REIT | 5,592 | 66,545 | |||
Summit Hotel Properties, Inc. REIT (b) | 13,686 | 152,736 | |||
1,258,956 | |||||
UTILITIES — 2.6% | |||||
Black Hills Corp. | 793 | 60,831 | |||
NorthWestern Corp. | 644 | 46,651 | |||
Otter Tail Corp. | 1,524 | 77,145 | |||
PNM Resources, Inc. | 2,413 | 123,087 | |||
Portland General Electric Co. | 3,377 | 192,119 | |||
499,833 | |||||
TOTAL COMMON STOCKS (Cost $19,471,788) | 19,124,293 |
SHORT-TERM INVESTMENTS — 5.6% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 2.19% (c) (d) | 173,088 | 173,106 | |
State Street Navigator Securities Lending Portfolio II (e) (f) | 916,196 | 916,196 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $1,089,319) | 1,089,302 | ||
TOTAL INVESTMENTS — 104.8% (Cost $20,561,107) | 20,213,595 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.8)% | (929,275) | ||
NET ASSETS — 100.0% | $19,284,320 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 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 August 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at August 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended August 31, 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) | 2 | 09/20/2019 | $155,404 | $149,420 | $(5,984) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $19,124,293 | $— | $— | $19,124,293 | ||||
Short-Term Investments | 1,089,302 | — | — | 1,089,302 | ||||
TOTAL INVESTMENTS | $20,213,595 | $— | $— | $20,213,595 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (5,984) | — | — | (5,984) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(5,984) | $— | $— | $(5,984) |
(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 8/31/19 | Value at 8/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $1,919,960 | $1,746,744 | $(93) | $(17) | 173,088 | $173,106 | $354 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 285,444 | 285,444 | 2,665,519 | 2,950,963 | — | — | — | — | 4,935 | ||||||||
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 | — | — | 8,540,914 | 7,624,718 | — | — | 916,196 | 916,196 | 7,577 | ||||||||
Total | $515,271 | $14,207,699 | $13,633,558 | $(93) | $(17) | $1,089,302 | $18,901 |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.4% | |||||
BRAZIL — 3.1% | |||||
Cia de Saneamento de Minas Gerais-COPASA | 4,800 | $80,398 | |||
EDP - Energias do Brasil SA | 61,900 | 300,457 | |||
JBS SA | 106,400 | 761,578 | |||
SLC Agricola SA | 36,600 | 153,170 | |||
Transmissora Alianca de Energia Eletrica SA | 49,800 | 337,933 | |||
1,633,536 | |||||
CHILE — 1.1% | |||||
AES Gener SA | 506,998 | 108,489 | |||
Enel Americas SA | 777,828 | 127,411 | |||
Enel Chile SA | 1,414,371 | 121,954 | |||
Engie Energia Chile SA | 121,717 | 207,978 | |||
565,832 | |||||
CHINA — 15.4% | |||||
Bank of China, Ltd. Class A | 471,000 | 232,689 | |||
Bank of Communications Co., Ltd. Class A | 115,800 | 87,677 | |||
Bank of Communications Co., Ltd. Class H | 117,000 | 76,554 | |||
CGN Power Co., Ltd. Class H (a) | 305,000 | 80,525 | |||
China Communications Services Corp., Ltd. Class H | 1,528,000 | 855,558 | |||
China Longyuan Power Group Corp., Ltd. Class H | 135,000 | 74,212 | |||
China Petroleum & Chemical Corp. Class H | 650,000 | 380,529 | |||
China Resources Pharmaceutical Group, Ltd. (a) | 186,500 | 192,675 | |||
China Resources Power Holdings Co., Ltd. | 482,000 | 636,896 | |||
China Shenhua Energy Co., Ltd. Class H | 388,500 | 759,122 | |||
China Telecom Corp., Ltd. Class H | 1,546,000 | 692,115 | |||
China Yangtze Power Co., Ltd. Class A | 28,000 | 72,966 | |||
CNOOC, Ltd. | 747,000 | 1,114,726 | |||
Daqin Railway Co., Ltd. Class A | 417,200 | 451,923 | |||
Guangdong Provincial Expressway Development Co., Ltd. Class B | 1,436,800 | 1,073,880 | |||
Jiangsu Expressway Co., Ltd. Class H | 386,000 | 512,015 | |||
Kunlun Energy Co., Ltd. | 238,000 | 207,329 | |||
Sinopec Engineering Group Co., Ltd. Class H | 113,000 | 73,792 | |||
Tencent Holdings, Ltd. | 10,900 | 451,548 | |||
8,026,731 | |||||
CZECH REPUBLIC — 2.7% | |||||
Moneta Money Bank A/S (a) | 46,205 | 149,438 | |||
O2 Czech Republic A/S | 132,452 | 1,195,093 | |||
Philip Morris CR A/S | 118 | 67,781 | |||
1,412,312 |
Security Description | Shares | Value | |||
GREECE — 1.5% | |||||
Aegean Airlines SA | 37,912 | $327,087 | |||
Motor Oil Hellas Corinth Refineries SA | 18,158 | 443,834 | |||
770,921 | |||||
HONG KONG — 4.3% | |||||
China Mobile, Ltd. | 160,700 | 1,331,241 | |||
Yuexiu Real Estate Investment Trust | 791,000 | 520,581 | |||
Yuexiu Transport Infrastructure, Ltd. | 502,000 | 389,926 | |||
2,241,748 | |||||
HUNGARY — 0.7% | |||||
Magyar Telekom Telecommunications PLC | 242,849 | 340,835 | |||
INDIA — 10.1% | |||||
Coal India, Ltd. | 50,966 | 131,862 | |||
Divi's Laboratories, Ltd. | 20,544 | 467,629 | |||
Dr Reddy's Laboratories, Ltd. | 6,963 | 249,384 | |||
GAIL India, Ltd. | 262,920 | 477,919 | |||
HCL Technologies, Ltd. | 54,023 | 832,465 | |||
Infosys, Ltd. | 150,338 | 1,715,652 | |||
Jagran Prakashan, Ltd. | 60,211 | 53,586 | |||
Oil & Natural Gas Corp., Ltd. | 87,751 | 148,940 | |||
Tata Consultancy Services, Ltd. | 10,536 | 333,398 | |||
Tech Mahindra, Ltd. | 47,730 | 463,648 | |||
Wipro, Ltd. | 108,553 | 386,736 | |||
5,261,219 | |||||
INDONESIA — 1.5% | |||||
Telekomunikasi Indonesia Persero Tbk PT | 2,509,700 | 787,322 | |||
MALAYSIA — 2.5% | |||||
AMMB Holdings Bhd | 234,800 | 234,493 | |||
Carlsberg Brewery Malaysia Bhd Class B | 28,200 | 173,673 | |||
IGB Real Estate Investment Trust | 329,400 | 162,135 | |||
MISC Bhd | 268,900 | 464,205 | |||
PPB Group Bhd | 36,120 | 160,266 | |||
RHB Capital Bhd | 87,400 | 118,459 | |||
1,313,231 | |||||
MEXICO — 0.5% | |||||
America Movil SAB de CV Series L | 92,348 | 67,551 | |||
Bolsa Mexicana de Valores SAB de CV | 98,800 | 181,761 | |||
249,312 | |||||
PAKISTAN — 0.9% | |||||
Indus Motor Co., Ltd. | 8,440 | 55,619 | |||
MCB Bank, Ltd. | 56,300 | 60,825 | |||
Oil & Gas Development Co., Ltd. | 560,500 | 374,718 | |||
491,162 | |||||
PERU — 0.7% | |||||
Credicorp, Ltd. | 1,700 | 352,104 |
Security Description | Shares | Value | |||
PHILIPPINES — 4.4% | |||||
Aboitiz Power Corp. | 282,800 | $206,433 | |||
Cebu Air, Inc. | 189,010 | 355,818 | |||
Globe Telecom, Inc. | 10,865 | 423,684 | |||
Manila Electric Co. | 105,690 | 741,043 | |||
Metro Pacific Investments Corp. | 5,828,700 | 554,235 | |||
2,281,213 | |||||
POLAND — 0.7% | |||||
Asseco Poland SA | 19,835 | 278,777 | |||
Neuca SA | 814 | 67,887 | |||
346,664 | |||||
QATAR — 2.6% | |||||
Barwa Real Estate Co. | 220,680 | 206,031 | |||
Masraf Al Rayan QSC (b) | 110,840 | 110,611 | |||
Ooredoo QSC (b) | 199,740 | 384,223 | |||
Qatar Gas Transport Co., Ltd. | 253,190 | 165,468 | |||
Qatar Islamic Bank SAQ | 110,760 | 480,540 | |||
1,346,873 | |||||
RUSSIA — 2.2% | |||||
Alrosa PJSC | 907,000 | 1,011,148 | |||
Novolipetsk Steel PJSC GDR | 6,600 | 146,652 | |||
1,157,800 | |||||
SAUDI ARABIA — 2.5% | |||||
Riyad Bank (b) | 33,922 | 232,021 | |||
Samba Financial Group (b) | 12,761 | 97,743 | |||
Saudi Basic Industries Corp. (b) | 4,091 | 109,063 | |||
Saudi British Bank (b) | 42,423 | 362,533 | |||
Saudi International Petrochemical Co. (b) | 11,440 | 55,227 | |||
Saudi Telecom Co. (b) | 16,782 | 443,377 | |||
1,299,964 | |||||
SINGAPORE — 1.6% | |||||
BOC Aviation, Ltd. (a) | 95,400 | 828,624 | |||
SOUTH AFRICA — 2.3% | |||||
AngloGold Ashanti, Ltd. | 26,320 | 600,603 | |||
Gold Fields, Ltd. | 47,933 | 287,116 | |||
Harmony Gold Mining Co., Ltd. (c) | 87,031 | 318,777 | |||
1,206,496 | |||||
SOUTH KOREA — 13.5% | |||||
DB Insurance Co., Ltd. | 1,496 | 59,161 | |||
Hyundai Glovis Co., Ltd. | 1,261 | 166,572 | |||
Hyundai Mobis Co., Ltd. | 797 | 163,512 | |||
KT&G Corp. | 17,594 | 1,481,600 | |||
LG Uplus Corp. | 26,990 | 294,133 | |||
Samsung Card Co., Ltd. | 5,345 | 146,284 | |||
Samsung Electronics Co., Ltd. | 22,196 | 806,294 | |||
Samsung Fire & Marine Insurance Co., Ltd. | 6,359 | 1,202,238 | |||
Shinhan Financial Group Co., Ltd. | 25,759 | 866,608 | |||
SK Telecom Co., Ltd. | 6,847 | 1,353,855 | |||
Woori Financial Group, Inc. | 46,887 | 460,644 | |||
7,000,901 |
Security Description | Shares | Value | |||
TAIWAN — 17.9% | |||||
AU Optronics Corp. | 613,000 | $159,642 | |||
Cathay Financial Holding Co., Ltd. | 138,000 | 176,399 | |||
Chunghwa Telecom Co., Ltd. | 397,000 | 1,377,682 | |||
First Financial Holding Co., Ltd. | 1,984,871 | 1,358,635 | |||
Formosa Chemicals & Fibre Corp. | 255,000 | 715,234 | |||
Fubon Financial Holding Co., Ltd. | 85,000 | 118,123 | |||
Greatek Electronics, Inc. | 212,000 | 278,414 | |||
Lite-On Technology Corp. | 140,000 | 222,859 | |||
Mega Financial Holding Co., Ltd. | 358,000 | 327,682 | |||
Nan Ya Plastics Corp. | 160,000 | 350,462 | |||
Powertech Technology, Inc. | 177,000 | 423,200 | |||
Sampo Corp. | 330,200 | 184,496 | |||
Taiwan Mobile Co., Ltd. | 47,000 | 167,590 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 4,800 | 204,624 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 198,782 | 1,639,113 | |||
Taiwan Shin Kong Security Co., Ltd. | 288,000 | 342,464 | |||
Ttet Union Corp. | 65,000 | 251,433 | |||
Uni-President Enterprises Corp. | 348,960 | 851,014 | |||
Yuanta Financial Holding Co., Ltd. | 338,000 | 194,234 | |||
9,343,300 | |||||
THAILAND — 0.8% | |||||
Land & Houses PCL (b) | 1,189,100 | 420,060 | |||
TURKEY — 0.2% | |||||
Tupras Turkiye Petrol Rafinerileri A/S | 3,952 | 85,463 | |||
UNITED ARAB EMIRATES — 3.7% | |||||
Abu Dhabi Commercial Bank PJSC (b) | 483,417 | 1,143,503 | |||
Aldar Properties PJSC (b) | 1,194,516 | 729,224 | |||
Dubai Islamic Bank PJSC (b) | 51,920 | 72,471 | |||
1,945,198 | |||||
TOTAL COMMON STOCKS (Cost $47,354,505) | 50,708,821 |
SHORT-TERM INVESTMENT — 1.2% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 2.19% (d) (e) (Cost $630,253) | 630,190 | 630,253 | |
TOTAL INVESTMENTS — 98.6% (Cost $47,984,758) | 51,339,074 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.4% | 733,888 | ||
NET ASSETS — 100.0% | $52,072,962 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.4% of net assets as of August 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of August 31, 2019, total aggregate fair value of securities is $4,160,056 representing 8.0% of net assets. |
(c) | Non-income producing security. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at August 31, 2019. |
ADR | = American Depositary Receipt |
GDR | = Global Depositary Receipt |
REIT | = Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI Emerging Markets (long) | 12 | 09/20/2019 | $630,360 | $590,374 | $(39,986) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $46,548,765 | $4,160,056 | $— | $50,708,821 | ||||
Short-Term Investment | 630,253 | — | — | 630,253 | ||||
TOTAL INVESTMENTS | $47,179,018 | $4,160,056 | $— | $51,339,074 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (39,986) | — | — | (39,986) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(39,986) | $— | $— | $(39,986) |
(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 8/31/19 | Value at 8/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $1,225,124 | $594,874 | $3 | $— | 630,190 | $630,253 | $935 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 377,932 | 377,932 | 32,348,175 | 32,726,107 | — | — | — | — | 29,208 |
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 8/31/19 | Value at 8/31/19 | Dividend Income | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 253,892 | $253,892 | $139,015 | $392,907 | $— | $— | — | $— | $55 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 2,349,108 | 2,349,108 | — | — | — | — | 952 | ||||||||
Total | $631,824 | $36,061,422 | $36,062,996 | $3 | $— | $630,253 | $31,150 |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.4% | |||||
AUSTRALIA — 9.4% | |||||
Aurizon Holdings, Ltd. | 491,402 | $1,955,824 | |||
AusNet Services | 425,931 | 516,318 | |||
Australia & New Zealand Banking Group, Ltd. | 11,806 | 212,603 | |||
BHP Group PLC | 108,186 | 2,333,989 | |||
BHP Group, Ltd. | 53,481 | 1,307,049 | |||
BWP Trust REIT | 15,159 | 39,814 | |||
Charter Hall Retail REIT | 33,076 | 97,119 | |||
Coca-Cola Amatil, Ltd. | 122,928 | 899,882 | |||
Fortescue Metals Group, Ltd. (a) | 54,166 | 291,825 | |||
GPT Group REIT | 87,944 | 378,454 | |||
Growthpoint Properties Australia, Ltd. REIT | 78,935 | 233,899 | |||
Mirvac Group REIT | 908,307 | 1,951,321 | |||
Sandfire Resources NL | 47,732 | 200,264 | |||
Scentre Group REIT | 81,049 | 220,513 | |||
Sonic Healthcare, Ltd. | 28,238 | 560,047 | |||
Stockland REIT | 389,263 | 1,184,914 | |||
Super Retail Group, Ltd. | 12,498 | 78,697 | |||
Telstra Corp., Ltd. | 752,428 | 1,885,009 | |||
Vicinity Centres REIT | 810,565 | 1,413,817 | |||
Wesfarmers, Ltd. | 40,478 | 1,065,863 | |||
Woodside Petroleum, Ltd. | 63,564 | 1,375,395 | |||
18,202,616 | |||||
AUSTRIA — 0.7% | |||||
BAWAG Group AG (b) | 7,261 | 275,477 | |||
OMV AG | 11,641 | 593,771 | |||
Wienerberger AG | 21,421 | 492,514 | |||
1,361,762 | |||||
BELGIUM — 0.5% | |||||
Ageas | 17,804 | 952,936 | |||
D'ieteren SA | 1,592 | 80,311 | |||
1,033,247 | |||||
CHINA — 0.2% | |||||
Yangzijiang Shipbuilding Holdings, Ltd. | 617,000 | 404,590 | |||
DENMARK — 1.3% | |||||
Carlsberg A/S Class B | 1,521 | 224,522 | |||
Matas A/S | 39,382 | 310,549 | |||
Novo Nordisk A/S Class B | 27,322 | 1,418,744 | |||
Per Aarsleff Holding A/S | 4,936 | 175,336 | |||
Spar Nord Bank A/S | 12,705 | 97,190 | |||
Vestas Wind Systems A/S | 2,884 | 211,904 | |||
2,438,245 | |||||
FINLAND — 0.6% | |||||
Sanoma Oyj | 14,046 | 144,030 | |||
Tokmanni Group Corp. | 14,172 | 159,495 | |||
Valmet Oyj | 42,668 | 771,879 | |||
1,075,404 | |||||
FRANCE — 9.3% | |||||
Air France-KLM (c) | 32,510 | 366,055 |
Security Description | Shares | Value | |||
Albioma SA | 6,519 | $168,371 | |||
Arkema SA | 2,017 | 176,811 | |||
AXA SA | 42,773 | 981,091 | |||
Cie Generale des Etablissements Michelin SCA | 12,438 | 1,306,850 | |||
CNP Assurances | 73,762 | 1,339,245 | |||
Coface SA (c) | 48,709 | 574,951 | |||
Eiffage SA | 2,318 | 240,086 | |||
Ingenico Group SA | 1,130 | 112,022 | |||
Interparfums SA | 9,701 | 424,876 | |||
IPSOS | 3,726 | 100,329 | |||
Kaufman & Broad SA | 970 | 36,950 | |||
Kering SA | 852 | 412,386 | |||
Klepierre SA REIT | 6,462 | 197,153 | |||
L'Oreal SA | 10,516 | 2,873,221 | |||
Mersen SA | 5,959 | 202,371 | |||
Metropole Television SA | 24,925 | 427,891 | |||
Orange SA | 13,139 | 199,278 | |||
Peugeot SA | 9,784 | 218,611 | |||
Sanofi | 37,804 | 3,245,767 | |||
Schneider Electric SE | 30,366 | 2,541,744 | |||
TOTAL SA | 3,938 | 196,450 | |||
Veolia Environnement SA | 14,341 | 342,812 | |||
Vinci SA | 11,971 | 1,309,094 | |||
17,994,415 | |||||
GERMANY — 6.3% | |||||
ADVA Optical Networking SE (c) | 8,282 | 53,067 | |||
Allianz SE | 14,008 | 3,086,795 | |||
Amadeus Fire AG | 2,330 | 271,956 | |||
bet-at-home.com AG | 2,900 | 167,808 | |||
Deutsche Pfandbriefbank AG (b) | 83,383 | 987,901 | |||
Deutsche Telekom AG | 159,086 | 2,653,424 | |||
Deutz AG | 134,984 | 786,277 | |||
Elmos Semiconductor AG | 6,252 | 169,720 | |||
Hamburger Hafen und Logistik AG | 11,434 | 276,212 | |||
JOST Werke AG (b) | 1,939 | 57,006 | |||
Merck KGaA | 2,027 | 216,673 | |||
METRO AG | 70,038 | 1,083,811 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 9,452 | 2,263,593 | |||
STO SE & Co. KGaA | 1,083 | 111,647 | |||
12,185,890 | |||||
HONG KONG — 2.2% | |||||
Cafe de Coral Holdings, Ltd. | 276,000 | 880,057 | |||
CK Asset Holdings, Ltd. | 67,000 | 455,047 | |||
Hang Lung Properties, Ltd. | 159,000 | 359,354 | |||
Henderson Land Development Co., Ltd. | 36,700 | 170,852 | |||
Melco International Development, Ltd. | 230,000 | 513,367 | |||
Sun Hung Kai Properties, Ltd. | 13,500 | 191,298 | |||
Swire Pacific, Ltd. Class A | 36,500 | 357,300 | |||
VTech Holdings, Ltd. | 53,300 | 421,484 | |||
WH Group, Ltd. (b) | 293,500 | 236,210 |
Security Description | Shares | Value | |||
Wheelock & Co., Ltd. | 45,000 | $261,434 | |||
Yue Yuen Industrial Holdings, Ltd. | 172,000 | 439,850 | |||
4,286,253 | |||||
ISRAEL — 0.8% | |||||
Bank Leumi Le-Israel BM (d) | 217,098 | 1,479,275 | |||
Formula Systems 1985, Ltd. (d) | 1,495 | 91,891 | |||
Industrial Buildings Corp., Ltd. (c)(d) | 19,960 | 44,499 | |||
1,615,665 | |||||
ITALY — 3.8% | |||||
A2A SpA | 223,599 | 392,949 | |||
ACEA SpA | 10,895 | 211,463 | |||
ASTM SpA | 21,921 | 676,029 | |||
Enel SpA | 184,871 | 1,339,785 | |||
Eni SpA | 117,735 | 1,770,146 | |||
Mediobanca Banca di Credito Finanziario SpA | 58,291 | 577,223 | |||
Piaggio & C SpA | 38,568 | 124,536 | |||
Poste Italiane SpA (b) | 41,186 | 442,334 | |||
Snam SpA | 338,537 | 1,711,145 | |||
7,245,610 | |||||
JAPAN — 24.4% | |||||
ADEKA Corp. | 15,100 | 183,216 | |||
AGC, Inc. | 14,500 | 418,341 | |||
Alfresa Holdings Corp. | 78,700 | 1,781,649 | |||
Amada Holdings Co., Ltd. | 48,800 | 508,510 | |||
Astellas Pharma, Inc. | 71,100 | 985,167 | |||
Bridgestone Corp. | 56,700 | 2,163,177 | |||
Brother Industries, Ltd. | 9,900 | 171,469 | |||
Bunka Shutter Co., Ltd. | 38,700 | 318,751 | |||
Central Glass Co., Ltd. | 22,700 | 470,945 | |||
Chiyoda Integre Co., Ltd. | 3,800 | 70,466 | |||
CI Takiron Corp. | 20,300 | 119,811 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 62,488 | |||
DCM Holdings Co., Ltd. (a) | 51,300 | 508,968 | |||
EDION Corp. (a) | 8,800 | 83,829 | |||
Foster Electric Co., Ltd. | 35,000 | 577,870 | |||
France Bed Holdings Co., Ltd. | 17,100 | 162,574 | |||
FUJIFILM Holdings Corp. | 43,500 | 1,862,677 | |||
Fujitsu, Ltd. | 25,600 | 1,976,720 | |||
Fukuoka Financial Group, Inc. (a) | 9,800 | 168,630 | |||
Glory, Ltd. | 36,800 | 1,010,801 | |||
G-Tekt Corp. | 10,200 | 147,573 | |||
Hitachi, Ltd. | 66,100 | 2,257,984 | |||
Honda Motor Co., Ltd. | 19,600 | 465,577 | |||
Hosiden Corp. | 31,500 | 296,512 | |||
ITOCHU Corp. | 11,300 | 225,341 | |||
Jafco Co., Ltd. | 5,800 | 203,097 | |||
Japan Airlines Co., Ltd. | 6,400 | 199,949 | |||
J-Oil Mills, Inc. | 3,500 | 131,454 | |||
Kajima Corp. | 16,100 | 195,955 | |||
Kanematsu Corp. | 7,800 | 88,694 | |||
KDDI Corp. | 8,600 | 229,501 | |||
Konica Minolta, Inc. | 199,500 | 1,419,702 |
Security Description | Shares | Value | |||
Makino Milling Machine Co., Ltd. | 6,000 | $243,140 | |||
Mars Group Holdings Corp. | 3,500 | 62,366 | |||
Maruzen Showa Unyu Co., Ltd. | 2,100 | 61,279 | |||
Medipal Holdings Corp. | 62,300 | 1,323,585 | |||
Meidensha Corp. | 2,600 | 42,805 | |||
Mirai Corp. REIT | 78 | 41,557 | |||
Mitsubishi Heavy Industries, Ltd. | 9,000 | 338,194 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. (a) | 319,400 | 1,725,755 | |||
Mitsui Chemicals, Inc. | 9,900 | 211,634 | |||
Nagase & Co., Ltd. | 13,800 | 187,057 | |||
NEC Capital Solutions, Ltd. | 6,900 | 134,772 | |||
Nippon Kayaku Co., Ltd. | 39,000 | 424,747 | |||
Nippon Light Metal Holdings Co., Ltd. | 539,400 | 934,246 | |||
Nippon Seiki Co., Ltd. | 4,300 | 66,584 | |||
Nippon Telegraph & Telephone Corp. | 25,500 | 1,223,213 | |||
Nisshin Oillio Group, Ltd. | 18,800 | 583,988 | |||
Nissin Kogyo Co., Ltd. | 5,100 | 65,865 | |||
Nojima Corp. | 2,400 | 40,913 | |||
NuFlare Technology, Inc. | 800 | 57,608 | |||
Obayashi Corp. | 22,200 | 204,582 | |||
Organo Corp. | 3,300 | 126,272 | |||
Sakai Chemical Industry Co., Ltd. | 3,600 | 78,076 | |||
Sanki Engineering Co., Ltd. | 34,900 | 413,603 | |||
Seiko Holdings Corp. (a) | 4,800 | 100,713 | |||
Sekisui House, Ltd. | 67,600 | 1,199,791 | |||
Shinsei Bank, Ltd. (a) | 138,600 | 1,896,968 | |||
Sony Corp. | 32,800 | 1,865,464 | |||
Starts Corp., Inc. | 20,000 | 447,122 | |||
Sumitomo Heavy Industries, Ltd. | 7,200 | 207,050 | |||
Sumitomo Mitsui Construction Co., Ltd. | 36,800 | 182,554 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 58,000 | 1,895,571 | |||
Suzuken Co., Ltd. | 29,700 | 1,596,338 | |||
Taisei Corp. | 28,800 | 1,019,325 | |||
THK Co., Ltd. | 40,400 | 938,553 | |||
Toppan Printing Co., Ltd. | 11,600 | 184,862 | |||
Tosoh Corp. | 93,600 | 1,201,773 | |||
Toyo Construction Co., Ltd. | 41,400 | 165,234 | |||
Toyota Industries Corp. (a) | 7,500 | 412,293 | |||
Toyota Motor Corp. | 60,900 | 3,989,871 | |||
Toyota Tsusho Corp. | 26,200 | 812,623 | |||
Yellow Hat, Ltd. | 6,000 | 90,027 | |||
Zeon Corp. | 69,200 | 806,416 | |||
47,071,787 | |||||
NETHERLANDS — 4.8% | |||||
ASM International NV | 3,892 | 326,972 | |||
Euronext NV (b) | 8,635 | 677,133 | |||
Intertrust NV (b) | 34,126 | 707,742 | |||
Koninklijke Ahold Delhaize NV | 97,951 | 2,291,394 | |||
Koninklijke BAM Groep NV (a) | 49,739 | 145,739 | |||
Koninklijke Philips NV | 14,310 | 674,470 | |||
NIBC Holding NV (b) | 9,246 | 72,860 |
Security Description | Shares | Value | |||
NXP Semiconductors NV | 4,300 | $439,202 | |||
Royal Dutch Shell PLC Class A | 51,442 | 1,424,340 | |||
Royal Dutch Shell PLC Class B | 42,472 | 1,170,550 | |||
Signify NV (b) | 34,224 | 1,000,905 | |||
Wolters Kluwer NV | 3,624 | 260,963 | |||
9,192,270 | |||||
NEW ZEALAND — 0.0% (e) | |||||
Argosy Property, Ltd. | 87,539 | 80,807 | |||
NORWAY — 2.1% | |||||
DNB ASA | 40,907 | 659,472 | |||
DNO ASA | 120,664 | 159,765 | |||
Europris ASA (b) | 88,839 | 244,126 | |||
Norway Royal Salmon ASA (a) | 7,172 | 146,711 | |||
Orkla ASA | 133,117 | 1,220,115 | |||
SpareBank 1 SMN | 45,563 | 480,021 | |||
Telenor ASA | 58,298 | 1,197,028 | |||
4,107,238 | |||||
PORTUGAL — 0.2% | |||||
NOS SGPS SA | 70,402 | 413,571 | |||
SINGAPORE — 2.0% | |||||
ComfortDelGro Corp., Ltd. | 868,200 | 1,532,761 | |||
DBS Group Holdings, Ltd. | 125,500 | 2,218,350 | |||
Starhill Global REIT | 70,000 | 37,831 | |||
3,788,942 | |||||
SPAIN — 1.4% | |||||
Acciona SA | 603 | 64,682 | |||
ACS Actividades de Construccion y Servicios SA | 33,534 | 1,266,725 | |||
Aena SME SA (b) | 1,110 | 200,071 | |||
Cia de Distribucion Integral Logista Holdings SA | 8,685 | 170,574 | |||
Endesa SA | 16,230 | 416,864 | |||
Iberdrola SA | 21,952 | 225,629 | |||
Mediaset Espana Comunicacion SA | 12,485 | 79,009 | |||
Telefonica SA | 25,414 | 175,995 | |||
2,599,549 | |||||
SWEDEN — 3.1% | |||||
Atlas Copco AB Class A | 7,411 | 221,319 | |||
Atlas Copco AB Class B | 7,869 | 209,661 | |||
Axfood AB | 26,192 | 549,211 | |||
Bilia AB Class A | 23,773 | 197,288 | |||
Castellum AB | 11,319 | 241,611 | |||
Electrolux AB Class B | 8,582 | 191,932 | |||
Hemfosa Fastigheter AB | 22,443 | 226,496 | |||
Lindab International AB | 9,846 | 94,902 | |||
Nobia AB | 36,140 | 212,466 | |||
Sandvik AB | 27,213 | 390,256 | |||
Skandinaviska Enskilda Banken AB Class A | 232,885 | 2,001,720 | |||
Skanska AB Class B | 13,182 | 246,995 | |||
Swedish Match AB | 6,827 | 267,803 | |||
Telefonaktiebolaget LM Ericsson Class B | 77,788 | 605,999 |
Security Description | Shares | Value | |||
Telia Co. AB | 49,977 | $218,756 | |||
Volvo AB Class B | 13,896 | 191,847 | |||
6,068,262 | |||||
SWITZERLAND — 10.8% | |||||
Baloise Holding AG | 9,622 | 1,640,042 | |||
Bucher Industries AG | 694 | 204,606 | |||
Landis+Gyr Group AG (a) | 2,043 | 167,403 | |||
Nestle SA | 59,646 | 6,689,271 | |||
Novartis AG | 51,408 | 4,623,214 | |||
Roche Holding AG | 16,606 | 4,540,120 | |||
Swiss Life Holding AG | 531 | 251,779 | |||
Swiss Re AG | 22,639 | 2,176,638 | |||
Swisscom AG (a) | 494 | 246,613 | |||
Zurich Insurance Group AG | 727 | 258,701 | |||
20,798,387 | |||||
UNITED KINGDOM — 13.5% | |||||
3i Group PLC | 152,446 | 2,033,966 | |||
Anglo American PLC | 7,881 | 170,139 | |||
Ashtead Group PLC | 22,481 | 621,229 | |||
Barratt Developments PLC | 115,048 | 885,299 | |||
Bellway PLC | 27,756 | 979,769 | |||
Berkeley Group Holdings PLC | 16,346 | 779,084 | |||
Bovis Homes Group PLC | 11,342 | 141,874 | |||
BP PLC | 32,428 | 197,371 | |||
Britvic PLC | 81,791 | 863,364 | |||
Burberry Group PLC | 8,203 | 215,998 | |||
Carnival PLC | 4,056 | 170,170 | |||
Coca-Cola European Partners PLC | 17,800 | 1,002,852 | |||
Countryside Properties PLC (b) | 200,787 | 730,998 | |||
Crest Nicholson Holdings PLC (a) | 156,190 | 659,860 | |||
Diageo PLC | 5,545 | 236,387 | |||
Dialog Semiconductor PLC (c) | 21,231 | 1,002,425 | |||
Direct Line Insurance Group PLC | 488,609 | 1,683,141 | |||
EMIS Group PLC | 25,077 | 338,702 | |||
Ferrexpo PLC | 359,266 | 883,490 | |||
Forterra PLC (b) | 82,843 | 268,137 | |||
GlaxoSmithKline PLC | 161,219 | 3,357,667 | |||
Go-Ahead Group PLC | 19,053 | 482,221 | |||
Greene King PLC | 9,223 | 94,404 | |||
Howden Joinery Group PLC | 152,116 | 996,180 | |||
HSBC Holdings PLC | 48,680 | 350,309 | |||
Imperial Brands PLC | 7,297 | 188,634 | |||
Intermediate Capital Group PLC | 14,360 | 233,443 | |||
KAZ Minerals PLC | 28,823 | 141,269 | |||
Man Group PLC | 261,812 | 530,901 | |||
Morgan Sindall Group PLC | 5,053 | 73,290 | |||
National Express Group PLC | 162,366 | 838,474 | |||
P2P Global Investments PLC | 3,863 | 39,390 | |||
QinetiQ Group PLC | 56,243 | 197,508 | |||
Redde PLC | 28,417 | 36,652 | |||
Redrow PLC | 72,891 | 489,589 | |||
Rio Tinto PLC | 48,412 | 2,444,375 | |||
Rio Tinto, Ltd. | 3,612 | 213,038 | |||
Smith & Nephew PLC | 14,402 | 344,353 | |||
Tate & Lyle PLC | 109,603 | 959,427 |
Security Description | Shares | Value | |||
Unilever PLC | 3,455 | $218,442 | |||
26,093,821 | |||||
TOTAL COMMON STOCKS (Cost $194,274,798) | 188,058,331 |
SHORT-TERM INVESTMENTS — 2.6% | |||
State Street Institutional Liquid Reserves Fund, Premier Class 2.19% (f) (g) | 3,395,857 | 3,396,197 | |
State Street Navigator Securities Lending Portfolio II (h) (i) | 1,567,995 | 1,567,995 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $4,964,192) | 4,964,192 | ||
TOTAL INVESTMENTS — 100.0% (Cost $199,238,990) | 193,022,523 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)% (e) | (19,209) | ||
NET ASSETS — 100.0% | $193,003,314 |
(a) | All or a portion of the shares of the security are on loan at August 31, 2019. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.1% of net assets as of August 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Non-income producing security. |
(d) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. As of August 31, 2019, total aggregate fair value of securities is $1,615,665 representing 0.8% of net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2019 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at August 31, 2019. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended August 31, 2019 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
REIT | = Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ Depreciation | |||||
Mini MSCI EAFE (long) | 21 | 09/20/2019 | $1,928,705 | $1,936,049 | $7,344 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $186,442,666 | $1,615,665 | $— | $188,058,331 | ||||
Short-Term Investments | 4,964,192 | — | — | 4,964,192 | ||||
TOTAL INVESTMENTS | $191,406,858 | $1,615,665 | $— | $193,022,523 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 7,344 | — | — | 7,344 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $7,344 | $— | $— | $7,344 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $191,414,202 | $1,615,665 | $— | $193,029,867 |
(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 8/31/19 | Value at 8/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $4,542,673 | $1,146,414 | $(62) | $— | 3,395,857 | $3,396,197 | $113 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,856,141 | 2,856,141 | 27,264,748 | 30,120,889 | — | — | — | — | 33,227 | ||||||||
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 | — | — | 66,987,760 | 65,419,765 | — | — | 1,567,995 | 1,567,995 | 66,832 | ||||||||
Total | $5,067,723 | $106,277,094 | $106,380,563 | $(62) | $— | $4,964,192 | $109,426 |
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* | $19,124,293 | $50,708,821 | $188,058,331 | ||
Investments in affiliated issuers, at value | 1,089,302 | 630,253 | 4,964,192 | ||
Total Investments | 20,213,595 | 51,339,074 | 193,022,523 | ||
Foreign currency, at value | — | 327,680 | 264,624 | ||
Cash at broker | 15,283 | 90,005 | 105,400 | ||
Cash | 3 | 22,141 | — | ||
Receivable from broker — variation margin on open futures contracts | — | — | 7,390 | ||
Receivable for fund shares sold | 370 | 1,055 | 32,415 | ||
Dividends receivable — unaffiliated issuers | 21,525 | 187,195 | 697,224 | ||
Dividends receivable — affiliated issuers | 672 | 3,712 | 284 | ||
Securities lending income receivable — unaffiliated issuers | 53 | — | 1,013 | ||
Securities lending income receivable — affiliated issuers | 1,041 | 197 | 284 | ||
Receivable from Adviser | 27,519 | 36,490 | 81,067 | ||
Receivable for foreign taxes recoverable | — | 289,961 | 669,348 | ||
Prepaid expenses and other assets | 243 | 641 | 2,557 | ||
TOTAL ASSETS | 20,280,304 | 52,298,151 | 194,884,129 | ||
LIABILITIES | |||||
Payable upon return of securities loaned | 916,196 | — | 1,567,995 | ||
Payable for investments purchased | — | — | 20,549 | ||
Payable for fund shares repurchased | 8 | 10,690 | 25,321 | ||
Payable to broker – variation margin on open futures contracts | 5,980 | 39,960 | — | ||
Deferred foreign taxes payable | — | 48,843 | — | ||
Advisory fee payable | 13,241 | 29,386 | 123,484 | ||
Custodian fees payable | 3,285 | 8,415 | 6,584 | ||
Administration fees payable | 734 | 3,483 | 6,959 | ||
Shareholder servicing fee payable | 1,586 | 709 | 2,227 | ||
Distribution fees payable | 3,656 | 9,603 | 26,003 | ||
Trustees’ fees and expenses payable | 7 | 20 | 71 | ||
Transfer agent fees payable | 5,398 | 12,827 | 26,606 | ||
Sub-transfer agent fee payable | 1,143 | 293 | 238 | ||
Registration and filing fees payable | 2,681 | 2,606 | 2,681 | ||
Professional fees payable | 37,356 | 40,499 | 40,632 | ||
Printing and postage fees payable | 4,713 | 16,121 | 31,465 | ||
Accrued expenses and other liabilities | — | 1,734 | — | ||
TOTAL LIABILITIES | 995,984 | 225,189 | 1,880,815 | ||
NET ASSETS | $19,284,320 | $52,072,962 | $193,003,314 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $19,907,140 | $45,636,300 | $212,899,844 | ||
Total distributable earnings (loss)** | (622,820) | 6,436,662 | (19,896,530) | ||
NET ASSETS | $19,284,320 | $52,072,962 | $193,003,314 | ||
Class A | |||||
Net Assets | $203,369 | $51,662 | $4,148,013 | ||
Shares Outstanding | 4,421 | 8,763 | 432,399 | ||
Net asset value, offering and redemption price per share | $46.00 | $5.90 | $9.59 | ||
Maximum sales charge | 5.25% | 5.25% | 5.25% | ||
Maximum offering price per share | $48.55 | $6.23 | $10.12 | ||
Class I | |||||
Net Assets | $1,292,890 | $1,418,293 | $4,610,069 | ||
Shares Outstanding | 27,916 | 238,851 | 477,694 | ||
Net asset value, offering and redemption price per share | $46.31 | $5.94 | $9.65 | ||
Class K | |||||
Net Assets | $23,685 | $825,681 | $53,350,242 | ||
Shares Outstanding | 510 | 138,043 | 5,527,219 | ||
Net asset value, offering and redemption price per share | $46.40(a) | $5.98 | $9.65 |
State Street Dynamic Small Cap Fund | State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
Class N | |||||
Net Assets | $17,764,376 | $49,777,326 | $130,894,990 | ||
Shares Outstanding | 383,576 | 8,359,920 | 13,550,180 | ||
Net asset value, offering and redemption price per share | $46.31 | $5.95 | $9.66 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $19,471,788 | $47,354,505 | $194,274,798 | ||
Investments in affiliated issuers | 1,089,319 | 630,253 | 4,964,192 | ||
Total cost of investments | $20,561,107 | $47,984,758 | $199,238,990 | ||
Foreign currency, at cost | $— | $328,903 | $265,528 | ||
* Includes investments in securities on loan, at value | $1,750,908 | $— | $4,119,950 | ||
** Includes deferred foreign taxes | $— | $48,843 | $— |
(a) | Due to small class size; calculation of net assets value (total net assets/ shares outstanding) may 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 | $483 | $39,085 | $1,473 | ||
Dividend income — unaffiliated issuers | 456,171 | 2,961,668 | 9,441,205 | ||
Dividend income — affiliated issuers | 5,289 | 30,143 | 33,340 | ||
Unaffiliated securities lending income | 727 | 531 | 8,473 | ||
Affiliated securities lending income | 13,612 | 1,007 | 76,086 | ||
Foreign taxes withheld | (132) | (224,101) | (806,376) | ||
TOTAL INVESTMENT INCOME (LOSS) | 476,150 | 2,808,333 | 8,754,201 | ||
EXPENSES | |||||
Advisory fee | 168,003 | 448,431 | 1,707,420 | ||
Administration fees | 11,200 | 29,895 | 113,828 | ||
Shareholder servicing fees | |||||
Class N | 4,566 | 13,724 | 36,146 | ||
Distribution fees | |||||
Class A | 579 | 128 | 13,390 | ||
Class N | 46,694 | 128,664 | 353,603 | ||
Custodian fees | 27,596 | 119,232 | 113,558 | ||
Trustees’ fees and expenses | 18,794 | 20,152 | 26,239 | ||
Transfer agent fees | 19,082 | 75,195 | 150,799 | ||
Sub-transfer agent fee | |||||
Class A | 198 | — | 11,321 | ||
Class I | — | 1,020 | 3,338 | ||
Registration and filing fees | 69,803 | 73,480 | 71,294 | ||
Professional fees and expenses | 35,449 | 42,538 | 43,167 | ||
Printing and postage fees | 6,898 | 34,288 | 69,629 | ||
Insurance expense | 385 | 991 | 3,894 | ||
Miscellaneous expenses | 5,262 | 60,816 | 55,473 | ||
TOTAL EXPENSES | 414,509 | 1,048,554 | 2,773,099 | ||
Expenses waived/reimbursed by the Adviser | (171,858) | (307,110) | (635,304) | ||
NET EXPENSES | 242,651 | 741,444 | 2,137,795 | ||
NET INVESTMENT INCOME (LOSS) | $233,499 | $2,066,889 | $6,616,406 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers* | (491,862) | 3,587,747 | (14,856,387) | ||
Investments — affiliated issuers | (93) | 3 | (62) | ||
Foreign currency transactions | — | (39,952) | (69,063) | ||
Futures contracts | 18,802 | (125,772) | (72,954) | ||
Net realized gain (loss) | (473,153) | 3,422,026 | (14,998,466) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | (3,610,397) | (8,681,328) | (8,807,733) | ||
Investments — affiliated issuers | (17) | — | — | ||
Foreign currency translations | — | (352) | (5,314) | ||
Futures contracts | (17,498) | (5,034) | 31,093 | ||
Net change in unrealized appreciation/depreciation | (3,627,912) | (8,686,714) | (8,781,954) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (4,101,065) | (5,264,688) | (23,780,420) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(3,867,566) | $(3,197,799) | $(17,164,014) | ||
* Includes foreign capital gain taxes | $— | $(55,927) | $— | ||
** Includes foreign deferred taxes | $— | $196,495 | $— |
State Street Dynamic Small Cap Fund | |||
Year Ended 8/31/19 | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $233,499 | $251,203 | |
Net realized gain (loss) | (473,153) | 4,358,025 | |
Net change in unrealized appreciation/depreciation | (3,627,912) | 700,095 | |
Net increase (decrease) in net assets resulting from operations | (3,867,566) | 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 | 17,732 | 20,992 | |
Reinvestment of distributions | 2,335 | 1,121 | |
Cost of shares redeemed | (44,666) | (163,995) | |
Net increase (decrease) from capital share transactions | (24,599) | (141,882) | |
Class I | |||
Proceeds from sale of shares sold | 89,485 | 510,779 | |
Reinvestment of distributions | 19,165 | 6,741 | |
Cost of shares redeemed | (207,903) | (460,015) | |
Net increase (decrease) from capital share transactions | (99,253) | 57,505 | |
Class K | |||
Proceeds from sale of shares sold | 11,566 | — | |
Reinvestment of distributions | 3 | — | |
Cost of shares redeemed | (10) | — | |
Net increase (decrease) from capital share transactions | 11,559 | — | |
Class N | |||
Proceeds from sale of shares sold | 533,656 | 8,175,938 | |
Reinvestment of distributions | 208,312 | 140,598 | |
Cost of shares redeemed | (4,022,256) | (13,768,620) | |
Net increase (decrease) from capital share transactions | (3,280,288) | (5,452,084) | |
Net increase (decrease) in net assets from beneficial interest transactions | (3,392,581) | (5,536,461) | |
Contribution from Affiliate (Note 4) | — | 6,362 | |
Net increase (decrease) in net assets during the period | (7,500,242) | (375,959) | |
Net assets at beginning of period | 26,784,562 | 27,160,521 | |
NET ASSETS AT END OF PERIOD | $19,284,320 | $26,784,562 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 364 | 440 | |
Reinvestment of distributions | 57 | 23 | |
Shares redeemed | (947) | (3,382) | |
Net increase (decrease) from capital share transactions | (526) | (2,919) | |
Class I | |||
Shares sold | 2,021 | 10,168 | |
Reinvestment of distributions | 466 | 138 | |
Shares redeemed | (4,474) | (9,404) | |
Net increase (decrease) from capital share transactions | (1,987) | 902 | |
Class K | |||
Shares sold | 242 | — | |
Net increase (decrease) from capital share transactions | 242 | — | |
Class N | |||
Shares sold | 11,306 | 167,123 | |
Reinvestment of distributions | 5,055 | 2,882 | |
Shares redeemed | (85,140) | (280,588) | |
Net increase (decrease) from capital share transactions | (68,779) | (110,583) |
State Street Defensive Emerging Markets Equity Fund | |||
Year Ended 8/31/19 | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $2,066,889 | $2,067,290 | |
Net realized gain (loss) | 3,422,026 | 11,431,790 | |
Net change in unrealized appreciation/depreciation | (8,686,714) | (14,044,163) | |
Net increase (decrease) in net assets resulting from operations | (3,197,799) | (545,083) | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 11): | |||
Class A | (10,784) | (2,763) | |
Class I | (836,047) | (71,775) | |
Class K | (196,466) | (115,910) | |
Class N | (12,415,797) | (4,197,774) | |
Total distributions to shareholders | (13,459,094) | (4,388,222) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | 3,000 | — | |
Reinvestment of distributions | 9,906 | 2,527 | |
Net increase (decrease) from capital share transactions | 12,906 | 2,527 | |
Class I | |||
Proceeds from sale of shares sold | 12,836,193 | 534,869 | |
Reinvestment of distributions | 819,771 | 66,523 | |
Cost of shares redeemed | (12,897,225) | (432,241) | |
Net increase (decrease) from capital share transactions | 758,739 | 169,151 | |
Class K | |||
Proceeds from sale of shares sold | 40,155 | 36,286 | |
Reinvestment of distributions | 195,578 | 115,665 | |
Cost of shares redeemed | (122,741) | (1,431,025) | |
Net increase (decrease) from capital share transactions | 112,992 | (1,279,074) | |
Class N | |||
Proceeds from sale of shares sold | 4,194,174 | 2,847,712 | |
Reinvestment of distributions | 12,065,170 | 4,097,594 | |
Cost of shares redeemed | (17,359,393) | (22,547,687) | |
Net increase (decrease) from capital share transactions | (1,100,049) | (15,602,381) | |
Net increase (decrease) in net assets from beneficial interest transactions | (215,412) | (16,709,777) | |
Contribution from Affiliate (Note 4) | — | 126,543 | |
Net increase (decrease) in net assets during the period | (16,872,305) | (21,516,539) | |
Net assets at beginning of period | 68,945,267 | 90,461,806 | |
NET ASSETS AT END OF PERIOD | $52,072,962 | $68,945,267 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 484 | — | |
Reinvestment of distributions | 1,702 | 308 | |
Net increase (decrease) from capital share transactions | 2,186 | 308 | |
Class I | |||
Shares sold | 1,910,009 | 64,041 | |
Reinvestment of distributions | 139,654 | 8,073 | |
Shares redeemed | (2,006,105) | (51,492) | |
Net increase (decrease) from capital share transactions | 43,558 | 20,622 | |
Class K | |||
Shares sold | 6,405 | 4,397 | |
Reinvestment of distributions | 33,149 | 13,986 | |
Shares redeemed | (19,782) | (160,987) | |
Net increase (decrease) from capital share transactions | 19,772 | (142,604) | |
Class N | |||
Shares sold | 626,840 | 339,574 | |
Reinvestment of distributions | 2,051,900 | 496,678 | |
Shares redeemed | (2,598,101) | (2,676,645) | |
Net increase (decrease) from capital share transactions | 80,639 | (1,840,393) |
State Street International Stock Selection Fund | |||
Year Ended 8/31/19 | Year Ended 8/31/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $6,616,406 | $7,362,386 | |
Net realized gain (loss) | (14,998,466) | 15,514,471 | |
Net change in unrealized appreciation/depreciation | (8,781,954) | (30,331,527) | |
Net increase (decrease) in net assets resulting from operations | (17,164,014) | (7,454,670) | |
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 11): | |||
Class A | (339,292) | (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 | (12,609,866) | (10,863,023) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from sale of shares sold | 1,202,213 | 1,127,761 | |
Reinvestment of distributions | 338,842 | 244,098 | |
Cost of shares redeemed | (3,551,157) | (631,668) | |
Net increase (decrease) from capital share transactions | (2,010,102) | 740,191 | |
Class I | |||
Proceeds from sale of shares sold | 2,463,078 | 2,277,585 | |
Reinvestment of distributions | 132,543 | 20,632 | |
Cost of shares redeemed | (332,586) | (192,029) | |
Net increase (decrease) from capital share transactions | 2,263,035 | 2,106,188 | |
Class K | |||
Proceeds from sale of shares sold | 6,974,794 | 4,475,428 | |
Reinvestment of distributions | 3,576,930 | 3,038,018 | |
Cost of shares redeemed | (16,460,811) | (15,347,887) | |
Net increase (decrease) from capital share transactions | (5,909,087) | (7,834,441) | |
Class N | |||
Proceeds from sale of shares sold | 7,397,993 | 13,844,112 | |
Reinvestment of distributions | 8,435,996 | 7,507,103 | |
Cost of shares redeemed | (44,915,136) | (41,601,116) | |
Net increase (decrease) from capital share transactions | (29,081,147) | (20,249,901) | |
Net increase (decrease) in net assets from beneficial interest transactions | (34,737,301) | (25,237,963) | |
Net increase (decrease) in net assets during the period | (64,511,181) | (43,555,656) | |
Net assets at beginning of period | 257,514,495 | 301,070,151 | |
NET ASSETS AT END OF PERIOD | $193,003,314 | $257,514,495 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 119,308 | 97,313 | |
Reinvestment of distributions | 37,608 | 21,208 | |
Shares redeemed | (356,971) | (54,175) | |
Net increase (decrease) from capital share transactions | (200,055) | 64,346 | |
Class I | |||
Shares sold | 264,974 | 195,318 | |
Reinvestment of distributions | 14,678 | 1,786 | |
Shares redeemed | (32,910) | (16,409) | |
Net increase (decrease) from capital share transactions | 246,742 | 180,695 | |
Class K | |||
Shares sold | 699,588 | 384,703 | |
Reinvestment of distributions | 396,116 | 263,032 | |
Shares redeemed | (1,692,438) | (1,306,440) | |
Net increase (decrease) from capital share transactions | (596,734) | (658,705) | |
Class N | |||
Shares sold | 734,901 | 1,179,118 | |
Reinvestment of distributions | 932,154 | 648,842 | |
Shares redeemed | (4,451,467) | (3,579,123) | |
Net increase (decrease) from capital share transactions | (2,784,412) | (1,751,163) |
State Street Dynamic Small Cap Fund Class A | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $54.62 | $45.02 | $40.42 | $37.21 | $37.32 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.45 | 0.44 | 0.18 | 0.17 | 0.19 | ||||
Net realized and unrealized gain (loss) | (8.58) | 9.40 | 4.50 | 3.33 | (0.13) | ||||
Total from investment operations | (8.13) | 9.84 | 4.68 | 3.50 | 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 | $46.00 | $54.62 | $45.02 | $40.42 | $37.21 | ||||
Total return (c) | (14.77)% | 21.94%(d) | 11.58% | 9.48% | 0.15% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $203 | $270 | $354 | $170 | $10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.95% | 2.09% | 2.09% | 2.39% | 2.28% | ||||
Net expenses (b) | 1.19% | 1.15% | 1.20% | 1.22% | 1.30% | ||||
Net investment income (loss) (b) | 0.95% | 0.88% | 0.40% | 0.46% | 0.49% | ||||
Portfolio turnover rate | 102% | 110% | 94% | 115% | 73% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
(d) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been 21.92%. |
State Street Dynamic Small Cap Fund Class I | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $55.01 | $45.25 | $40.54 | $37.25 | $37.33 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.62 | 0.55 | 0.27 | 0.24 | 0.25 | ||||
Net realized and unrealized gain (loss) | (8.67) | 9.49 | 4.54 | 3.36 | (0.10) | ||||
Total from investment operations | (8.05) | 10.04 | 4.81 | 3.60 | 0.15 | ||||
Contribution from Adviser (Note 4) | — | 0.01 | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.65) | (0.29) | (0.10) | (0.31) | (0.23) | ||||
Net asset value, end of period | $46.31 | $55.01 | $45.25 | $40.54 | $37.25 | ||||
Total return (c) | (14.49)% | 22.29%(d) | 11.88% | 9.75% | 0.40% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,293 | $1,645 | $1,312 | $1,703 | $1,282 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.62% | 1.79% | 1.85% | 2.14% | 2.03% | ||||
Net expenses (b) | 0.85% | 0.85% | 0.97% | 0.98% | 1.05% | ||||
Net investment income (loss) (b) | 1.29% | 1.10% | 0.61% | 0.65% | 0.65% | ||||
Portfolio turnover rate | 102% | 110% | 94% | 115% | 73% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
(d) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been 22.27%. |
State Street Dynamic Small Cap Fund Class K | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $55.11 | $45.36 | $40.67 | $37.33 | $37.34 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.68 | 0.56 | 0.34 | 0.32 | 0.36 | ||||
Net realized and unrealized gain (loss) | (8.74) | 9.50 | 4.53 | 3.37 | (0.13) | ||||
Total from investment operations | (8.06) | 10.06 | 4.87 | 3.69 | 0.23 | ||||
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 | $46.40 | $55.11 | $45.36 | $40.67 | $37.33 | ||||
Total return (c) | (14.48)% | 22.30%(d) | 11.98% | 9.97% | 0.61% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $24 | $15 | $12 | $11 | $10 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.61% | 1.79% | 1.73% | 1.94% | 1.83% | ||||
Net expenses (b) | 0.84% | 0.86% | 0.85% | 0.78% | 0.85% | ||||
Net investment income (loss) (b) | 1.42% | 1.12% | 0.77% | 0.85% | 0.94% | ||||
Portfolio turnover rate | 102% | 110% | 94% | 115% | 73% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
(d) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been 22.28%. |
State Street Dynamic Small Cap Fund Class N | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $54.95 | $45.27 | $40.60 | $37.26 | $37.33 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.49 | 0.44 | 0.22 | 0.22 | 0.27 | ||||
Net realized and unrealized gain (loss) | (8.63) | 9.48 | 4.54 | 3.38 | (0.14) | ||||
Total from investment operations | (8.14) | 9.92 | 4.76 | 3.60 | 0.13 | ||||
Contribution from Adviser (Note 4) | — | 0.01 | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.50) | (0.25) | (0.09) | (0.26) | (0.20) | ||||
Net asset value, end of period | $46.31 | $54.95 | $45.27 | $40.60 | $37.26 | ||||
Total return (c) | (14.70)% | 21.99%(d) | 11.74% | 9.72% | 0.33% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $17,764 | $24,855 | $25,482 | $29,353 | $22,508 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.87% | 2.04% | 1.98% | 2.18% | 2.08% | ||||
Net expenses (b) | 1.10% | 1.10% | 1.10% | 1.02% | 1.10% | ||||
Net investment income (loss) (b) | 1.03% | 0.88% | 0.50% | 0.58% | 0.72% | ||||
Portfolio turnover rate | 102% | 110% | 94% | 115% | 73% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
(d) | If the Adviser had not made a contribution during the year ended August 31, 2018, the total return would have been 21.97%. |
State Street Defensive Emerging Markets Equity Fund Class A | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $7.96 | $8.50 | $7.48 | $9.29 | $19.22 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.24 | 0.22 | 0.11 | 0.14 | 0.26 | ||||
Net realized and unrealized gain (loss) (c) | (0.66) | (0.33) | 1.03 | 0.04 | (3.97) | ||||
Total from investment operations | (0.42) | (0.11) | 1.14 | 0.18 | (3.71) | ||||
Contribution from Adviser (Note 4) | — | 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 | $5.90 | $7.96 | $8.50 | $7.48 | $9.29 | ||||
Total return (d) | (5.00)% | (1.31)%(e) | 15.57% | 3.35% | (22.73)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $52 | $52 | $53 | $46 | $19 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.76% | 1.62% | 1.77% | 1.69% | 1.59% | ||||
Net expenses (b) | 1.25% | 1.25% | 1.37% | 1.41% | 1.45% | ||||
Net investment income (loss) (b) | 3.63% | 2.70% | 1.42% | 1.88% | 2.19% | ||||
Portfolio turnover rate | 39% | 51% | 38% | 101% | 78% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. |
(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. Results represent past performance and are not indicative of future results. |
(e) | If the Adviser had not made a contribution during theyear ended August 31, 2018, the total return would have been (1.44)%. |
State Street Defensive Emerging Markets Equity Fund Class I | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $8.03 | $8.57 | $7.52 | $9.30 | $19.23 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.21 | 0.26 | 0.14 | 0.14 | 0.20 | ||||
Net realized and unrealized gain (loss) (c) | (0.64) | (0.35) | 1.02 | 0.07 | (3.88) | ||||
Total from investment operations | (0.43) | (0.09) | 1.16 | 0.21 | (3.68) | ||||
Contribution from Adviser (Note 4) | — | 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 | $5.94 | $8.03 | $8.57 | $7.52 | $9.30 | ||||
Total return (d) | (5.13)% | (1.15)%(e) | 15.96% | 3.70% | (22.56)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,418 | $1,568 | $1,496 | $1,523 | $1,447 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.57% | 1.37% | 1.51% | 1.46% | 1.34% | ||||
Net expenses (b) | 1.06% | 1.00% | 1.11% | 1.18% | 1.20% | ||||
Net investment income (loss) (b) | 3.20% | 3.15% | 1.81% | 1.80% | 1.83% | ||||
Portfolio turnover rate | 39% | 51% | 38% | 101% | 78% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. |
(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. Results represent past performance and are not indicative of future results. |
(e) | If the Adviser had not made a contribution during theyear ended August 31, 2018, the total return would have been (1.27)%. |
State Street Defensive Emerging Markets Equity Fund Class K | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $8.05 | $8.60 | $7.55 | $9.31 | $19.23 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.25 | 0.20 | 0.15 | 0.20 | 0.23 | ||||
Net realized and unrealized gain (loss) (c) | (0.66) | (0.30) | 1.03 | 0.03 | (3.89) | ||||
Total from investment operations | (0.41) | (0.10) | 1.18 | 0.23 | (3.66) | ||||
Contribution from Adviser (Note 4) | — | 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 | $5.98 | $8.05 | $8.60 | $7.55 | $9.31 | ||||
Total return (d) | (4.82)% | (1.22)%(e) | 16.02% | 4.07% | (22.49)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $826 | $952 | $2,243 | $2,701 | $5 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.51% | 1.37% | 1.40% | 1.20% | 1.15% | ||||
Net expenses (b) | 1.00% | 1.00% | 1.00% | 0.92% | 1.01% | ||||
Net investment income (loss) (b) | 3.80% | 2.29% | 1.93% | 2.86% | 1.78% | ||||
Portfolio turnover rate | 39% | 51% | 38% | 101% | 78% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. |
(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. Results represent past performance and are not indicative of future results. |
(e) | If the Adviser had not made a contribution during theyear ended August 31, 2018, the total return would have been (1.35)%. |
State Street Defensive Emerging Markets Equity Fund Class N | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $8.02 | $8.56 | $7.52 | $9.30 | $19.22 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.23 | 0.21 | 0.12 | 0.13 | 0.20 | ||||
Net realized and unrealized gain (loss) (c) | (0.66) | (0.32) | 1.03 | 0.08 | (3.89) | ||||
Total from investment operations | (0.43) | (0.11) | 1.15 | 0.21 | (3.69) | ||||
Contribution from Adviser (Note 4) | — | 0.01 | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.33) | (0.13) | (0.11) | — | (0.39) | ||||
Net realized gains | (1.31) | (0.31) | — | (1.99) | (5.84) | ||||
Total distributions | (1.64) | (0.44) | (0.11) | (1.99) | (6.23) | ||||
Net asset value, end of period | $5.95 | $8.02 | $8.56 | $7.52 | $9.30 | ||||
Total return (d) | (5.16)% | (1.29)%(e) | 15.58% | 3.83% | (22.67)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $49,777 | $66,373 | $86,670 | $107,308 | $171,885 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.76% | 1.62% | 1.65% | 1.48% | 1.40% | ||||
Net expenses (b) | 1.25% | 1.25% | 1.25% | 1.21% | 1.25% | ||||
Net investment income (loss) (b) | 3.47% | 2.56% | 1.60% | 1.71% | 1.54% | ||||
Portfolio turnover rate | 39% | 51% | 38% | 101% | 78% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. |
(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. Results represent past performance and are not indicative of future results. |
(e) | If the Adviser had not made a contribution during theyear ended August 31, 2018, the total return would have been (1.41)%. |
State Street International Stock Selection Fund Class A | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $10.96 | $11.76 | $10.05 | $10.64 | $11.23 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.22 | 0.26 | 0.27 | 0.27 | 0.24 | ||||
Net realized and unrealized gain (loss) | (1.07) | (0.63) | 1.69 | (0.58) | (0.73) | ||||
Total from investment operations | (0.85) | (0.37) | 1.96 | (0.31) | (0.49) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.52) | (0.43) | (0.25) | (0.28) | (0.10) | ||||
Net asset value, end of period | $9.59 | $10.96 | $11.76 | $10.05 | $10.64 | ||||
Total return (c) | (7.46)% | (3.35)% | 19.95% | (2.89)% | (4.39)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,148 | $6,933 | $6,679 | $284 | $16 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.49% | 1.49% | 1.31% | 1.46% | 1.40% | ||||
Net expenses (b) | 1.22% | 1.25% | 1.07% | 1.19% | 1.20% | ||||
Net investment income (loss) (b) | 2.19% | 2.28% | 2.51% | 2.73% | 2.16% | ||||
Portfolio turnover rate | 125% | 72% | 94% | 105% | 60% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
State Street International Stock Selection Fund Class I | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $11.05 | $11.81 | $10.10 | $10.65 | $11.24 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.34 | 0.44 | 0.25 | 0.25 | 0.29 | ||||
Net realized and unrealized gain (loss) | (1.17) | (0.74) | 1.74 | (0.53) | (0.76) | ||||
Total from investment operations | (0.83) | (0.30) | 1.99 | (0.28) | (0.47) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.57) | (0.46) | (0.28) | (0.27) | (0.12) | ||||
Net asset value, end of period | $9.65 | $11.05 | $11.81 | $10.10 | $10.65 | ||||
Total return (c) | (7.03)% | (2.84)% | 20.23% | (2.60)% | (4.21)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,610 | $2,551 | $594 | $432 | $499 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.12% | 1.00% | 1.09% | 1.21% | 1.16% | ||||
Net expenses (b) | 0.84% | 0.76% | 0.85% | 0.94% | 0.95% | ||||
Net investment income (loss) (b) | 3.38% | 3.84% | 2.33% | 2.45% | 2.61% | ||||
Portfolio turnover rate | 125% | 72% | 94% | 105% | 60% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
State Street International Stock Selection Fund Class K | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $11.04 | $11.82 | $10.12 | $10.67 | $11.24 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.31 | 0.32 | 0.25 | 0.28 | 0.28 | ||||
Net realized and unrealized gain (loss) | (1.12) | (0.64) | 1.75 | (0.54) | (0.73) | ||||
Total from investment operations | (0.81) | (0.32) | 2.00 | (0.26) | (0.45) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.58) | (0.46) | (0.30) | (0.29) | (0.12) | ||||
Net asset value, end of period | $9.65 | $11.04 | $11.82 | $10.12 | $10.67 | ||||
Total return (c) | (6.98)% | (2.80)% | 20.25% | (2.44)% | (4.01)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $53,350 | $67,632 | $80,137 | $75,816 | $9 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.03% | 0.99% | 0.99% | 0.99% | 0.96% | ||||
Net expenses (b) | 0.75% | 0.75% | 0.75% | 0.73% | 0.75% | ||||
Net investment income (loss) (b) | 3.07% | 2.72% | 2.37% | 2.79% | 2.54% | ||||
Portfolio turnover rate | 125% | 72% | 94% | 105% | 60% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
State Street International Stock Selection Fund Class N | |||||||||
Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | Year Ended 8/31/15 | |||||
Net asset value, beginning of period | $11.04 | $11.81 | $10.11 | $10.65 | $11.24 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.29 | 0.29 | 0.21 | 0.24 | 0.25 | ||||
Net realized and unrealized gain (loss) | (1.12) | (0.63) | 1.76 | (0.52) | (0.74) | ||||
Total from investment operations | (0.83) | (0.34) | 1.97 | (0.28) | (0.49) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.55) | (0.43) | (0.27) | (0.26) | (0.10) | ||||
Net asset value, end of period | $9.66 | $11.04 | $11.81 | $10.11 | $10.65 | ||||
Total return (c) | (7.19)% | (3.06)% | 20.04% | (2.61)% | (4.31)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $130,895 | $180,398 | $213,660 | $228,594 | $325,556 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.28% | 1.23% | 1.24% | 1.26% | 1.20% | ||||
Net expenses (b) | 1.00% | 1.00% | 1.00% | 0.99% | 1.00% | ||||
Net investment income (loss) (b) | 2.85% | 2.49% | 1.98% | 2.41% | 2.26% | ||||
Portfolio turnover rate | 125% | 72% | 94% | 105% | 60% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | 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. Results represent past performance and are not indicative of future results. |
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 International Stock Selection Fund | |||||||||||
Futures Contracts | $— | $— | $— | $7,390 | $— | $7,390 |
Liability 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 | $— | $— | $— | $(5,980) | $— | $(5,980) | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | (39,960) | — | (39,960) |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Dynamic Small Cap Fund | |||||||||||
Futures Contracts | $— | $— | $— | $18,802 | $— | $18,802 | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | (125,772) | — | (125,772) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | (72,954) | — | (72,954) |
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 | $— | $— | $— | $(17,498) | $— | $(17,498) | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | (5,034) | — | (5,034) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | 31,093 | — | 31,093 |
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 | $169,618 |
State Street Defensive Emerging Markets Equity Fund | 301,131 |
State Street International Stock Selection Fund | 612,538 |
Amount Waived | |
State Street Dynamic Small Cap Fund | $2,240 |
State Street Defensive Emerging Markets Equity Fund | 5,979 |
State Street International Stock Selection Fund | 22,766 |
Purchases | Sales | ||
State Street Dynamic Small Cap Fund | $22,852,003 | $26,037,822 | |
State Street Defensive Emerging Markets Equity Fund | 22,499,967 | 34,123,844 | |
State Street International Stock Selection Fund | 279,783,020 | 320,536,383 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Dynamic Small Cap Fund | $240,095 | $— | $240,095 | ||
State Street Defensive Emerging Markets Equity Fund | 2,724,381 | 10,734,713 | 13,459,094 | ||
State Street International Stock Selection Fund | 12,609,866 | — | 12,609,866 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Dynamic Small Cap Fund | $ 155,183 | $ — | $ 155,183 | ||
State Street Defensive Emerging Markets Equity Fund | 1,331,925 | 3,056,297 | 4,388,222 | ||
State Street International Stock Selection Fund | 10,863,023 | — | 10,863,023 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street Dynamic Small Cap Fund | $224,748 | $(494,190) | $— | $(353,378) | $— | $(622,820) | |||||
State Street Defensive Emerging Markets Equity Fund | 1,291,775 | — | 2,038,919 | 3,105,968 | — | 6,436,662 | |||||
State Street International Stock Selection Fund | 5,924,073 | (18,496,450) | — | (7,324,153) | — | (19,896,530) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Dynamic Small Cap Fund | $494,190 | $— | |
State Street International Stock Selection Fund | 16,777,734 | 1,718,716 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Dynamic Small Cap Fund | $20,566,973 | $1,480,665 | $1,834,043 | $(353,378) | |||
State Street Defensive Emerging Markets Equity Fund | 48,137,922 | 8,297,847 | 5,096,695 | 3,201,152 | |||
State Street International Stock Selection Fund | 200,334,863 | 6,641,218 | 13,953,557 | (7,312,339) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Dynamic Small Cap Fund | $ 1,750,908 | $ 916,196 | $ 888,262 | $ 1,804,458 | ||||
State Street International Stock Selection Fund | 4,119,950 | 1,567,995 | 2,724,129 | 4,292,124 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of August 31, 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 | $916,196 | $— | $— | $— | $916,196 | $916,196 | |||||||
State Street International Stock Selection Fund | Common Stocks | 1,567,995 | — | — | — | 1,567,995 | 1,567,995 |
Net Investment Income | Net Realized Gains | Total Distributions | |||
State Street Dynamic Small Cap Fund | |||||
Class A | $ 1,237 | $— | $ 1,237 | ||
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 |
Net Investment Income | Net Realized Gains | Total Distributions | |||
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 |
October 24, 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 Dynamic Small Cap Fund | |||||||||
Class A | 1.18% | $935.10 | $5.76 | $1,019.30 | $6.01 | ||||
Class I | 0.85 | 936.50 | 4.15 | 1,020.90 | 4.33 | ||||
Class K | 0.83 | 936.60 | 4.05 | 1,021.00 | 4.23 | ||||
Class N | 1.10 | 935.40 | 5.37 | 1,019.70 | 5.60 | ||||
State Street Defensive Emerging Markets Equity Fund | |||||||||
Class A | 1.24 | 950.10 | 6.09 | 1,019.00 | 6.31 | ||||
Class I | 1.04 | 950.40 | 5.11 | 1,020.00 | 5.30 | ||||
Class K | 1.00 | 949.20 | 4.91 | 1,020.20 | 5.09 | ||||
Class N | 1.25 | 947.50 | 6.14 | 1,018.90 | 6.36 | ||||
State Street International Stock Selection Fund | |||||||||
Class A | 1.23 | 959.00 | 6.07 | 1,019.00 | 6.26 | ||||
Class I | 0.85 | 961.20 | 4.20 | 1,020.90 | 4.33 | ||||
Class K | 0.76 | 961.20 | 3.76 | 1,021.40 | 3.87 | ||||
Class N | 1.00 | 960.20 | 4.94 | 1,020.20 | 5.09 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street Defensive Emerging Markets Equity Fund | $11,288,829 |
Amount | |
State Street Defensive Emerging Markets Equity Fund | $226,933 |
State Street International Stock Selection Fund | 616,044 |
Amount | |
State Street Defensive Emerging Markets Equity Fund | $2,626,381 |
State Street International Stock Selection Fund | 9,433,794 |
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures and other information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, as applicable, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 68 | 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: 1988 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009-2019, Independent Director, SSGA Qualified Funds PLC. | 68 | 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 Compliance Committee | Term: Indefinite Elected: 12/18 | Managing General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 68 | Director of Kleinfeld Bridal Corp. (March 2016 – present); 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). | |||||
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. | 68 | Trustee of Emmanuel College (2010 – present); Director- Graduate Management Admissions Council (2015 – present). | |||||
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 Compliance Committee | Term: Indefinite Elected: 1988 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 60 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
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 | |||||
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: 1/14 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 68 | None. | |||||
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: 1991 | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | 50 | 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 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | 68 | None. | |||||
Interested Trustees(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and President | Term: Indefinite Elected: 12/18 | 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).* | 68 | None | |||||
James E. Ross(3) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1965 | Trustee | Term: Indefinite Elected: 1/14 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | 188 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM 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) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
(3) Mr. Ross is an Interested Trustee because of his employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
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. (April 2005 – present) *; Managing Director, State Street Global Advisors (April 2005 –present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (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). |
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 | |||
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. (June 2013—Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's directors and is available, without charge, upon request and by calling 1-800-997-7327. |
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
One Lincoln Street
Boston, MA 02111
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
Item 2. Code of Ethics.
As of the end of the period covered by this report, SSGA Funds (the “Trust,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of FormN-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of FormN-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this FormN-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of FormN-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of FormN-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended August 31, 2019 and August 31, 2018, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $112,180 and $104,020, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended August 31, 2019 and August 31, 2018, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended August 31, 2019 and August 31, 2018, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $37,080 and $50,058, respectively.
(d) | All Other Fees |
For the fiscal years ended August 31, 2019 and August 31, 2018, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended August 31, 2019 and August 31, 2018, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) werepre-approved by the Audit Committee were approximately $6,939,666 and $6,581,832, respectively.
(e)(1) | Audit CommitteePre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect topre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Fund Entity’s independent auditor fornon-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committeepre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to bepre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated topre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
AlternatePre-Approval Procedure:
• | The Chairperson, or aCo-Chairperson, of the Audit Committee is authorized topre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Anypre-approval decision by the Chairperson, or aCo-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended August 31, 2019 and August 31, 2018, the aggregatenon-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $35,545,000 and $36,297,000, respectively.
(h) | E&Y notified the Trust’s Audit Committee of allnon-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to bepre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this 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 Board.
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 Act and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’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) | Code of Ethics pursuant to Item 2 of FormN-CSR is attached hereto. | |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule30a-2(a) under the 1940 Act are attached hereto. | |
(a)(3) | Not applicable to the Registrant. | |
(a)(4) | Not applicable. | |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule30a-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: | October 31, 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: | October 31, 2019 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | October 31, 2019 |