UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05430
SSGA FUNDS
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) | Copy to: | |
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, 2020
Item 1. Reports to Stockholders.
State Street S&P 500 Index Fund |
Management’s Discussion of Fund Performance, Performance Summary & Portfolio Statistics (Unaudited). | 1 |
5 | |
12 | |
13 | |
14 | |
15 | |
16 | |
24 | |
25 |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2020 | Average Annual Total Return Five Years Ended August 31, 2020 | Average Annual Total Return Ten Years Ended August 31, 2020 | |||
State Street S&P 500 Index Fund | 22.14% | 14.33% | 15.02% | ||
S&P 500® Index(1) | 21.94% | 14.46% | 15.16% | ||
(1) | The State Street S&P 500® Index Fund seeks to replicate the total return of the S&P 500® Index. |
Description | % of Net Assets | ||
Apple, Inc. | 7.2% | ||
Microsoft Corp. | 5.9 | ||
Amazon.com, Inc. | 5.0 | ||
Facebook, Inc. | 2.4 | ||
Alphabet, Inc. Class A | 1.7 | ||
TOTAL | 22.2% |
% of Net Assets | |||
Software | 9.4% | ||
Technology Hardware, Storage & Peripherals | 7.5 | ||
Interactive Media & Services | 5.9 | ||
IT Services | 5.6 | ||
Internet & Direct Marketing Retail | 5.4 | ||
Semiconductors & Semiconductor Equipment | 4.8 | ||
Pharmaceuticals | 4.1 | ||
Health Care Equipment & Supplies | 3.8 | ||
Banks | 3.3 | ||
Equity Real Estate Investment Trusts (REITs) | 2.6 | ||
Health Care Providers & Services | 2.6 | ||
Capital Markets | 2.6 | ||
Specialty Retail | 2.4 | ||
Biotechnology | 2.2 | ||
Oil, Gas & Consumable Fuels | 2.1 | ||
Entertainment | 2.1 | ||
Insurance | 1.8 | ||
Household Products | 1.8 | ||
Electric Utilities | 1.8 | ||
Chemicals | 1.8 | ||
Beverages | 1.6 | ||
Diversified Telecommunication Services | 1.6 | ||
Aerospace & Defense | 1.6 | ||
Hotels, Restaurants & Leisure | 1.6 | ||
Machinery | 1.5 | ||
Food & Staples Retailing | 1.5 | ||
Diversified Financial Services | 1.5 | ||
Media | 1.3 | ||
Life Sciences Tools & Services | 1.2 | ||
Food Products | 1.1 | ||
Industrial Conglomerates | 1.1 | ||
Road & Rail | 1.0 | ||
Multi-Utilities | 0.9 | ||
Communications Equipment | 0.8 | ||
Tobacco | 0.7 | ||
Air Freight & Logistics | 0.7 | ||
Textiles, Apparel & Luxury Goods | 0.6 | ||
Multiline Retail | 0.5 | ||
Electronic Equipment, Instruments & Components | 0.5 | ||
Electrical Equipment | 0.5 | ||
Building Products | 0.4 | ||
Consumer Finance | 0.4 | ||
Commercial Services & Supplies | 0.4 | ||
Household Durables | 0.4 | ||
Professional Services | 0.3 | ||
Containers & Packaging | 0.3 | ||
Metals & Mining | 0.3 | ||
Wireless Telecommunication Services | 0.2 | ||
Automobiles | 0.2 | ||
Energy Equipment & Services | 0.2 | ||
Airlines | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Personal Products | 0.2 | ||
Auto Components | 0.1 | ||
Construction Materials | 0.1 | ||
Water Utilities | 0.1 | ||
Distributors | 0.1 | ||
Health Care Technology | 0.1 | ||
Construction & Engineering | 0.1 | ||
Real Estate Management & Development | 0.0* | ||
Gas Utilities | 0.0* |
% of Net Assets | |||
Independent Power & Renewable Electricity Producers | 0.0*% | ||
Leisure Equipment & Products | 0.0* | ||
Diversified Consumer Services | 0.0* | ||
Short-Term Investments | 0.4 | ||
Liabilities in Excess of Other Assets | (0.1) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.7% | |||||
COMMUNICATION SERVICES — 11.1% | |||||
Activision Blizzard, Inc. | 43,300 | $ 3,616,416 | |||
Alphabet, Inc. Class A (a) | 16,623 | 27,087,677 | |||
Alphabet, Inc. Class C (a) | 16,245 | 26,547,254 | |||
AT&T, Inc. | 395,900 | 11,801,779 | |||
Cars.com, Inc. (a) | 1 | 9 | |||
CenturyLink, Inc. | 52,487 | 564,235 | |||
Charter Communications, Inc. Class A (a) | 8,300 | 5,109,563 | |||
Comcast Corp. Class A | 252,930 | 11,333,793 | |||
Discovery, Inc. Class A (a)(b) | 9,497 | 209,551 | |||
Discovery, Inc. Class C (a) | 20,660 | 412,580 | |||
DISH Network Corp. Class A (a) | 15,917 | 565,372 | |||
Electronic Arts, Inc. (a) | 16,021 | 2,234,449 | |||
Facebook, Inc. Class A (a) | 133,507 | 39,144,252 | |||
Fox Corp. Class A | 16,903 | 470,918 | |||
Fox Corp. Class B (a) | 10,400 | 289,120 | |||
Interpublic Group of Cos., Inc. | 23,128 | 410,753 | |||
Live Nation Entertainment, Inc. (a) | 8,400 | 477,120 | |||
Netflix, Inc. (a) | 24,296 | 12,866,190 | |||
News Corp. Class A | 24,314 | 367,628 | |||
News Corp. Class B | 7,500 | 113,025 | |||
Omnicom Group, Inc. | 12,950 | 700,466 | |||
Take-Two Interactive Software, Inc. (a) | 5,900 | 1,010,021 | |||
T-Mobile US, Inc. | 31,850 | 3,716,258 | |||
Twitter, Inc. (a) | 41,700 | 1,692,186 | |||
Verizon Communications, Inc. | 228,751 | 13,558,072 | |||
ViacomCBS, Inc. Class B (b) | 30,231 | 841,933 | |||
Walt Disney Co. | 100,438 | 13,244,759 | |||
178,385,379 | |||||
CONSUMER DISCRETIONARY — 11.4% | |||||
Advance Auto Parts, Inc. | 3,300 | 515,823 | |||
Amazon.com, Inc. (a) | 23,202 | 80,069,174 | |||
Aptiv PLC | 14,481 | 1,247,104 | |||
AutoZone, Inc. (a) | 1,288 | 1,540,847 | |||
Best Buy Co., Inc. | 12,313 | 1,365,635 | |||
Booking Holdings, Inc. (a) | 2,208 | 4,218,274 | |||
BorgWarner, Inc. | 9,823 | 398,716 | |||
CarMax, Inc. (a) | 9,497 | 1,015,514 | |||
Carnival Corp. | 24,649 | 406,216 | |||
Chipotle Mexican Grill, Inc. (a) | 1,414 | 1,852,736 | |||
D.R. Horton, Inc. | 17,279 | 1,233,202 | |||
Darden Restaurants, Inc. | 6,717 | 582,162 | |||
Dollar General Corp. | 13,587 | 2,742,944 | |||
Dollar Tree, Inc. (a) | 13,782 | 1,326,793 | |||
Domino's Pizza, Inc. | 2,300 | 940,608 | |||
eBay, Inc. | 35,158 | 1,925,955 | |||
Expedia Group, Inc. | 7,775 | 763,116 | |||
Ford Motor Co. | 225,560 | 1,538,319 | |||
Gap, Inc. | 15,364 | 267,180 | |||
Garmin, Ltd. | 7,460 | 772,931 |
Security Description | Shares | Value | |||
General Motors Co. | 70,577 | $ 2,091,197 | |||
Genuine Parts Co. | 8,520 | 804,629 | |||
H&R Block, Inc. (b) | 12,851 | 186,340 | |||
Hanesbrands, Inc. (b) | 23,400 | 357,786 | |||
Hasbro, Inc. | 7,628 | 602,154 | |||
Hilton Worldwide Holdings, Inc. | 16,100 | 1,454,796 | |||
Home Depot, Inc. | 59,810 | 17,048,242 | |||
Kohl's Corp. | 7,888 | 168,488 | |||
L Brands, Inc. | 10,346 | 304,172 | |||
Las Vegas Sands Corp. | 17,800 | 902,638 | |||
Leggett & Platt, Inc. | 6,444 | 264,204 | |||
Lennar Corp. Class A | 15,425 | 1,154,098 | |||
LKQ Corp. (a) | 16,200 | 514,188 | |||
Lowe's Cos., Inc. | 41,712 | 6,869,549 | |||
Marriott International, Inc. Class A | 15,152 | 1,559,292 | |||
McDonald's Corp. | 41,215 | 8,800,227 | |||
MGM Resorts International | 24,200 | 544,500 | |||
Mohawk Industries, Inc. (a) | 2,969 | 274,128 | |||
Newell Brands, Inc. | 19,750 | 315,605 | |||
NIKE, Inc. Class B | 68,602 | 7,675,878 | |||
Norwegian Cruise Line Holdings, Ltd. (a) | 12,900 | 220,719 | |||
NVR, Inc. (a) | 170 | 708,618 | |||
O'Reilly Automotive, Inc. (a) | 4,120 | 1,918,396 | |||
PulteGroup, Inc. | 13,443 | 599,423 | |||
PVH Corp. | 4,751 | 264,916 | |||
Ralph Lauren Corp. | 3,436 | 236,500 | |||
Ross Stores, Inc. | 20,344 | 1,852,932 | |||
Royal Caribbean Cruises, Ltd. | 10,000 | 688,400 | |||
Starbucks Corp. | 64,292 | 5,430,745 | |||
Tapestry, Inc. | 19,000 | 279,870 | |||
Target Corp. | 27,844 | 4,210,291 | |||
Tiffany & Co. | 6,581 | 806,172 | |||
TJX Cos., Inc. | 66,950 | 3,668,190 | |||
Tractor Supply Co. | 6,774 | 1,008,174 | |||
Ulta Beauty, Inc. (a) | 2,900 | 673,322 | |||
Under Armour, Inc. Class A (a) | 14,376 | 141,029 | |||
Under Armour, Inc. Class C (a) | 14,478 | 128,130 | |||
VF Corp. | 17,528 | 1,152,466 | |||
Whirlpool Corp. | 3,459 | 614,733 | |||
Wynn Resorts, Ltd. | 4,559 | 398,685 | |||
Yum! Brands, Inc. | 16,390 | 1,570,981 | |||
183,188,052 | |||||
CONSUMER STAPLES — 6.9% | |||||
Altria Group, Inc. | 104,170 | 4,556,396 | |||
Archer-Daniels-Midland Co. | 31,592 | 1,414,058 | |||
British American Tobacco PLC ADR | 1 | 34 | |||
Brown-Forman Corp. Class B | 10,827 | 792,212 | |||
Campbell Soup Co. | 8,783 | 462,074 | |||
Church & Dwight Co., Inc. | 13,600 | 1,303,288 | |||
Clorox Co. | 6,579 | 1,470,406 | |||
Coca-Cola Co. | 214,522 | 10,625,275 | |||
Colgate-Palmolive Co. | 47,779 | 3,786,964 | |||
Conagra Brands, Inc. | 26,751 | 1,026,168 |
Security Description | Shares | Value | |||
Constellation Brands, Inc. Class A | 9,276 | $ 1,711,236 | |||
Costco Wholesale Corp. | 24,434 | 8,494,724 | |||
Coty, Inc. Class A | 16,044 | 57,438 | |||
Estee Lauder Cos., Inc. Class A | 12,563 | 2,785,468 | |||
General Mills, Inc. | 34,422 | 2,201,287 | |||
Hershey Co. | 8,615 | 1,280,534 | |||
Hormel Foods Corp. | 15,998 | 815,578 | |||
J.M. Smucker Co. | 5,955 | 715,672 | |||
Kellogg Co. | 13,607 | 964,872 | |||
Kimberly-Clark Corp. | 19,073 | 3,008,956 | |||
Kraft Heinz Co. | 34,751 | 1,217,675 | |||
Kroger Co. | 45,010 | 1,605,957 | |||
Lamb Weston Holdings, Inc. | 7,800 | 490,230 | |||
McCormick & Co., Inc. | 7,161 | 1,476,598 | |||
Molson Coors Beverage Co. Class B | 11,409 | 429,435 | |||
Mondelez International, Inc. Class A | 78,394 | 4,579,777 | |||
Monster Beverage Corp. (a) | 20,687 | 1,734,812 | |||
PepsiCo, Inc. | 77,038 | 10,789,942 | |||
Philip Morris International, Inc. | 85,587 | 6,828,987 | |||
Procter & Gamble Co. | 136,713 | 18,911,509 | |||
Sysco Corp. | 27,935 | 1,680,011 | |||
Tyson Foods, Inc. Class A | 15,091 | 947,715 | |||
Walmart, Inc. | 78,599 | 10,913,471 | |||
Walgreens Boots Alliance, Inc. | 41,813 | 1,589,730 | |||
110,668,489 | |||||
ENERGY — 2.3% | |||||
Apache Corp. | 24,970 | 369,556 | |||
Baker Hughes Co. | 39,794 | 568,258 | |||
Cabot Oil & Gas Corp. | 20,922 | 396,890 | |||
ChampionX Corp. (a) | 1 | 10 | |||
Chevron Corp. | 103,534 | 8,689,609 | |||
Concho Resources, Inc. | 9,400 | 488,612 | |||
ConocoPhillips | 57,403 | 2,175,000 | |||
Devon Energy Corp. | 25,450 | 276,642 | |||
Diamondback Energy, Inc. | 9,700 | 377,912 | |||
EOG Resources, Inc. | 32,663 | 1,480,940 | |||
Exxon Mobil Corp. | 234,572 | 9,368,806 | |||
Halliburton Co. | 48,667 | 787,432 | |||
Hess Corp. | 13,744 | 632,774 | |||
HollyFrontier Corp. | 10,400 | 248,248 | |||
Kinder Morgan, Inc. | 112,176 | 1,550,272 | |||
Marathon Oil Corp. | 41,589 | 219,590 | |||
Marathon Petroleum Corp. | 35,084 | 1,244,079 | |||
National Oilwell Varco, Inc. | 24,341 | 292,092 | |||
Noble Energy, Inc. | 24,895 | 247,705 | |||
Occidental Petroleum Corp. | 54,037 | 688,431 | |||
ONEOK, Inc. | 24,404 | 670,622 | |||
Phillips 66 | 24,992 | 1,461,282 | |||
Pioneer Natural Resources Co. | 9,724 | 1,010,615 | |||
Schlumberger, Ltd. | 72,893 | 1,385,696 | |||
TechnipFMC PLC | 24,509 | 188,719 | |||
Valero Energy Corp. | 22,186 | 1,166,762 |
Security Description | Shares | Value | |||
Williams Cos., Inc. | 69,210 | $ 1,436,800 | |||
37,423,354 | |||||
FINANCIALS — 9.6% | |||||
Aflac, Inc. | 39,774 | 1,444,592 | |||
Allstate Corp. | 18,067 | 1,680,231 | |||
American Express Co. | 36,052 | 3,662,523 | |||
American International Group, Inc. | 48,832 | 1,422,964 | |||
Ameriprise Financial, Inc. | 6,963 | 1,091,798 | |||
Aon PLC Class A | 8,847 | 1,769,312 | |||
Arthur J Gallagher & Co. | 10,300 | 1,084,590 | |||
Assurant, Inc. | 3,046 | 370,272 | |||
Bank of America Corp. | 433,566 | 11,159,989 | |||
Bank of New York Mellon Corp. | 46,091 | 1,704,445 | |||
Berkshire Hathaway, Inc. Class B (a) | 107,419 | 23,421,639 | |||
BlackRock, Inc. | 8,618 | 5,120,729 | |||
Capital One Financial Corp. | 24,068 | 1,661,414 | |||
Cboe Global Markets, Inc. | 6,200 | 569,098 | |||
Charles Schwab Corp. | 61,789 | 2,195,363 | |||
Chubb, Ltd. | 24,441 | 3,055,125 | |||
Cincinnati Financial Corp. | 7,405 | 588,031 | |||
Citigroup, Inc. | 114,893 | 5,873,330 | |||
Citizens Financial Group, Inc. | 24,000 | 620,880 | |||
CME Group, Inc. | 19,992 | 3,515,993 | |||
Comerica, Inc. | 9,017 | 356,442 | |||
Discover Financial Services | 18,177 | 964,835 | |||
E*TRADE Financial Corp. | 11,989 | 648,605 | |||
Everest Re Group, Ltd. | 2,100 | 462,168 | |||
Fifth Third Bancorp | 39,754 | 821,318 | |||
First Republic Bank | 9,200 | 1,038,772 | |||
Franklin Resources, Inc. | 17,151 | 361,200 | |||
Globe Life, Inc. | 4,584 | 378,088 | |||
Goldman Sachs Group, Inc. | 17,288 | 3,541,793 | |||
Hartford Financial Services Group, Inc. | 19,530 | 789,988 | |||
Huntington Bancshares, Inc. | 58,765 | 552,979 | |||
Intercontinental Exchange, Inc. | 29,825 | 3,168,310 | |||
Invesco, Ltd. | 21,089 | 215,108 | |||
JPMorgan Chase & Co. | 169,472 | 16,979,400 | |||
KeyCorp | 56,079 | 690,893 | |||
Lincoln National Corp. | 11,710 | 422,146 | |||
Loews Corp. | 13,712 | 491,712 | |||
M&T Bank Corp. | 6,834 | 705,679 | |||
MarketAxess Holdings, Inc. | 2,200 | 1,069,068 | |||
Marsh & McLennan Cos., Inc. | 27,634 | 3,175,423 | |||
MetLife, Inc. | 41,926 | 1,612,474 | |||
Moody's Corp. | 8,934 | 2,632,314 | |||
Morgan Stanley | 66,755 | 3,488,616 | |||
MSCI, Inc. | 4,800 | 1,791,696 | |||
Nasdaq, Inc. | 5,825 | 782,996 | |||
Northern Trust Corp. | 11,310 | 926,176 | |||
People's United Financial, Inc. | 22,434 | 237,352 | |||
PNC Financial Services Group, Inc. | 23,742 | 2,640,110 | |||
Principal Financial Group, Inc. | 12,326 | 519,048 |
Security Description | Shares | Value | |||
Progressive Corp. | 32,552 | $ 3,093,742 | |||
Prudential Financial, Inc. | 22,637 | 1,534,109 | |||
Raymond James Financial, Inc. | 5,800 | 439,176 | |||
Regions Financial Corp. | 47,343 | 547,285 | |||
S&P Global, Inc. | 13,198 | 4,836,011 | |||
State Street Corp. (c) | 20,147 | 1,371,809 | |||
SVB Financial Group (a) | 2,800 | 715,064 | |||
Synchrony Financial | 28,871 | 716,290 | |||
T Rowe Price Group, Inc. | 13,020 | 1,812,514 | |||
Travelers Cos., Inc. | 14,098 | 1,635,932 | |||
Truist Financial Corp. | 72,798 | 2,825,290 | |||
Unum Group | 14,124 | 261,012 | |||
US Bancorp | 76,230 | 2,774,772 | |||
Wells Fargo & Co. | 209,046 | 5,048,461 | |||
Willis Towers Watson PLC | 10,928 | 2,246,032 | |||
WR Berkley Corp. | 8,600 | 533,630 | |||
Zions Bancorp NA | 8,658 | 278,441 | |||
154,146,597 | |||||
HEALTH CARE — 13.9% | |||||
Abbott Laboratories | 98,049 | 10,733,424 | |||
AbbVie, Inc. | 97,752 | 9,361,709 | |||
ABIOMED, Inc. (a) | 2,600 | 799,812 | |||
Agilent Technologies, Inc. | 17,075 | 1,714,671 | |||
Alexion Pharmaceuticals, Inc. (a) | 11,927 | 1,362,302 | |||
Align Technology, Inc. (a) | 3,900 | 1,158,222 | |||
AmerisourceBergen Corp. | 8,152 | 790,989 | |||
Amgen, Inc. | 32,591 | 8,255,952 | |||
Anthem, Inc. | 13,819 | 3,890,325 | |||
Baxter International, Inc. | 28,470 | 2,478,883 | |||
Becton Dickinson and Co. | 16,477 | 4,000,121 | |||
Biogen, Inc. (a) | 8,747 | 2,515,987 | |||
Bio-Rad Laboratories, Inc. Class A (a) | 1,200 | 610,308 | |||
Boston Scientific Corp. (a) | 80,077 | 3,284,759 | |||
Bristol-Myers Squibb Co. | 125,177 | 7,786,009 | |||
Cardinal Health, Inc. | 15,724 | 798,150 | |||
Centene Corp. (a) | 32,378 | 1,985,419 | |||
Cerner Corp. | 17,663 | 1,295,934 | |||
Cigna Corp. | 20,184 | 3,580,036 | |||
Cooper Cos., Inc. | 2,700 | 848,826 | |||
CVS Health Corp. | 71,833 | 4,462,266 | |||
Danaher Corp. | 34,778 | 7,180,614 | |||
DaVita, Inc. (a) | 4,472 | 387,991 | |||
DENTSPLY SIRONA, Inc. | 13,066 | 586,271 | |||
DexCom, Inc. (a) | 4,900 | 2,084,509 | |||
Edwards Lifesciences Corp. (a) | 33,470 | 2,873,065 | |||
Eli Lilly & Co. | 46,562 | 6,909,335 | |||
Gilead Sciences, Inc. | 70,346 | 4,695,595 | |||
HCA Healthcare, Inc. | 14,400 | 1,954,368 | |||
Henry Schein, Inc. (a) | 7,100 | 471,724 | |||
Hologic, Inc. (a) | 14,500 | 865,940 | |||
Humana, Inc. | 7,117 | 2,954,765 | |||
IDEXX Laboratories, Inc. (a) | 4,800 | 1,877,088 | |||
Illumina, Inc. (a) | 7,900 | 2,822,038 | |||
Incyte Corp. (a) | 10,600 | 1,021,310 | |||
Intuitive Surgical, Inc. (a) | 6,456 | 4,718,303 |
Security Description | Shares | Value | |||
IQVIA Holdings, Inc. (a) | 10,200 | $ 1,670,250 | |||
Johnson & Johnson | 145,541 | 22,327,445 | |||
Laboratory Corp. of America Holdings (a) | 5,647 | 992,460 | |||
McKesson Corp. | 9,029 | 1,385,410 | |||
Medtronic PLC | 73,804 | 7,931,716 | |||
Merck & Co., Inc. | 139,498 | 11,894,994 | |||
Mettler-Toledo International, Inc. (a) | 1,200 | 1,164,936 | |||
Mylan NV (a) | 30,507 | 499,705 | |||
PerkinElmer, Inc. | 6,032 | 710,087 | |||
Perrigo Co. PLC | 8,714 | 455,742 | |||
Pfizer, Inc. | 306,848 | 11,595,786 | |||
Quest Diagnostics, Inc. | 7,158 | 796,256 | |||
Regeneron Pharmaceuticals, Inc. (a) | 5,658 | 3,507,564 | |||
ResMed, Inc. | 8,300 | 1,500,474 | |||
STERIS PLC | 5,100 | 814,164 | |||
Stryker Corp. | 17,895 | 3,546,073 | |||
Teleflex, Inc. | 2,500 | 982,375 | |||
Thermo Fisher Scientific, Inc. | 21,912 | 9,399,810 | |||
UnitedHealth Group, Inc. | 52,722 | 16,478,261 | |||
Universal Health Services, Inc. Class B | 4,400 | 485,540 | |||
Varian Medical Systems, Inc. (a) | 4,831 | 839,000 | |||
Vertex Pharmaceuticals, Inc. (a) | 14,448 | 4,032,726 | |||
Waters Corp. (a) | 3,515 | 760,154 | |||
West Pharmaceutical Services, Inc. | 4,300 | 1,221,028 | |||
Zimmer Biomet Holdings, Inc. | 11,027 | 1,553,484 | |||
Zoetis, Inc. | 26,528 | 4,247,133 | |||
223,909,593 | |||||
INDUSTRIALS — 8.0% | |||||
3M Co. | 32,243 | 5,256,254 | |||
A.O. Smith Corp. | 6,500 | 318,305 | |||
Alaska Air Group, Inc. | 8,200 | 319,390 | |||
Allegion PLC | 5,437 | 562,131 | |||
American Airlines Group, Inc. | 24,400 | 318,420 | |||
AMETEK, Inc. | 13,301 | 1,339,411 | |||
Boeing Co. | 30,024 | 5,158,724 | |||
C.H. Robinson Worldwide, Inc. (b) | 7,282 | 715,821 | |||
Carrier Global Corp. | 47,179 | 1,408,293 | |||
Caterpillar, Inc. | 29,655 | 4,220,203 | |||
Cintas Corp. | 4,422 | 1,473,587 | |||
Copart, Inc. (a) | 11,700 | 1,208,844 | |||
CSX Corp. | 41,759 | 3,192,893 | |||
Cummins, Inc. | 7,844 | 1,625,669 | |||
Deere & Co. | 17,454 | 3,666,387 | |||
Delta Air Lines, Inc. | 31,866 | 983,066 | |||
Dover Corp. | 8,545 | 938,583 | |||
Eaton Corp. PLC | 21,499 | 2,195,048 | |||
Emerson Electric Co. | 31,969 | 2,220,886 | |||
Equifax, Inc. | 6,595 | 1,109,741 | |||
Expeditors International of Washington, Inc. | 9,744 | 861,272 |
Security Description | Shares | Value | |||
Fastenal Co. | 31,484 | $ 1,538,308 | |||
FedEx Corp. | 13,050 | 2,868,912 | |||
Flowserve Corp. | 6,255 | 185,648 | |||
Fortive Corp. | 15,381 | 1,109,124 | |||
Fortune Brands Home & Security, Inc. | 7,900 | 664,232 | |||
General Dynamics Corp. | 12,889 | 1,924,972 | |||
General Electric Co. | 487,049 | 3,087,891 | |||
Honeywell International, Inc. | 38,803 | 6,423,837 | |||
Howmet Aerospace, Inc. | 21,763 | 381,288 | |||
Huntington Ingalls Industries, Inc. | 2,200 | 333,344 | |||
IDEX Corp. | 4,100 | 738,943 | |||
IHS Markit, Ltd. | 22,100 | 1,766,232 | |||
Illinois Tool Works, Inc. | 15,971 | 3,155,071 | |||
Ingersoll Rand, Inc. (a) | 17,591 | 616,741 | |||
Jacobs Engineering Group, Inc. | 7,657 | 691,197 | |||
JB Hunt Transport Services, Inc. | 5,000 | 702,700 | |||
Johnson Controls International PLC | 42,593 | 1,734,813 | |||
Kansas City Southern | 4,904 | 892,724 | |||
L3Harris Technologies, Inc. | 12,012 | 2,171,049 | |||
Lockheed Martin Corp. | 13,490 | 5,264,607 | |||
Masco Corp. | 14,639 | 853,454 | |||
Nielsen Holdings PLC | 23,375 | 357,170 | |||
Norfolk Southern Corp. | 14,068 | 2,989,872 | |||
Northrop Grumman Corp. | 8,686 | 2,975,911 | |||
Old Dominion Freight Line, Inc. | 5,100 | 1,031,118 | |||
Otis Worldwide Corp. | 22,589 | 1,420,848 | |||
PACCAR, Inc. | 19,035 | 1,633,964 | |||
Parker-Hannifin Corp. | 6,914 | 1,424,353 | |||
Pentair PLC | 9,491 | 428,424 | |||
Quanta Services, Inc. | 8,493 | 435,266 | |||
Raytheon Technologies Corp. | 82,452 | 5,029,572 | |||
Republic Services, Inc. | 11,714 | 1,086,122 | |||
Robert Half International, Inc. | 6,974 | 371,017 | |||
Rockwell Automation, Inc. | 6,579 | 1,516,657 | |||
Rollins, Inc. | 8,550 | 471,447 | |||
Roper Technologies, Inc. | 5,935 | 2,535,373 | |||
Snap-on, Inc. | 2,872 | 425,831 | |||
Southwest Airlines Co. | 30,727 | 1,154,721 | |||
Stanley Black & Decker, Inc. | 8,650 | 1,395,245 | |||
Teledyne Technologies, Inc. (a) | 2,100 | 658,581 | |||
Textron, Inc. | 11,906 | 469,454 | |||
Trane Technologies PLC | 13,816 | 1,635,676 | |||
TransDigm Group, Inc. | 2,800 | 1,399,076 | |||
Union Pacific Corp. | 37,338 | 7,185,325 | |||
United Airlines Holdings, Inc. (a) | 12,400 | 446,400 | |||
United Parcel Service, Inc. Class B | 38,855 | 6,357,455 | |||
United Rentals, Inc. (a) | 3,900 | 690,495 | |||
Verisk Analytics, Inc. | 9,200 | 1,717,364 | |||
W.W. Grainger, Inc. | 2,512 | 917,960 | |||
Waste Management, Inc. | 21,904 | 2,497,056 | |||
Westinghouse Air Brake Technologies Corp. | 10,382 | 690,922 |
Security Description | Shares | Value | |||
Xylem, Inc. | 10,634 | $ 852,634 | |||
128,399,324 | |||||
INFORMATION TECHNOLOGY — 28.6% | |||||
Accenture PLC Class A | 35,282 | 8,465,210 | |||
Adobe, Inc. (a) | 26,813 | 13,765,526 | |||
Advanced Micro Devices, Inc. (a) | 64,600 | 5,866,973 | |||
Akamai Technologies, Inc. (a) | 8,734 | 1,016,900 | |||
Amphenol Corp. Class A | 15,680 | 1,721,664 | |||
Analog Devices, Inc. | 20,970 | 2,450,974 | |||
ANSYS, Inc. (a) | 4,800 | 1,627,248 | |||
Apple, Inc. | 903,056 | 116,530,346 | |||
Applied Materials, Inc. | 49,953 | 3,077,105 | |||
Arista Networks, Inc. (a) | 3,100 | 692,695 | |||
Autodesk, Inc. (a) | 11,970 | 2,941,029 | |||
Automatic Data Processing, Inc. | 23,965 | 3,333,292 | |||
Broadcom, Inc. | 22,035 | 7,649,450 | |||
Broadridge Financial Solutions, Inc. | 6,200 | 851,880 | |||
Cadence Design Systems, Inc. (a) | 14,900 | 1,652,559 | |||
CDW Corp. | 7,700 | 875,105 | |||
Cisco Systems, Inc. | 235,329 | 9,935,590 | |||
Citrix Systems, Inc. | 6,378 | 926,086 | |||
Cognizant Technology Solutions Corp. Class A | 29,027 | 1,940,745 | |||
Corning, Inc. | 39,550 | 1,283,793 | |||
DXC Technology Co. | 15,691 | 313,506 | |||
F5 Networks, Inc. (a) | 3,759 | 497,428 | |||
Fidelity National Information Services, Inc. | 33,986 | 5,126,788 | |||
Fiserv, Inc. (a) | 31,284 | 3,115,261 | |||
FleetCor Technologies, Inc. (a) | 4,500 | 1,131,525 | |||
FLIR Systems, Inc. | 8,239 | 304,019 | |||
Fortinet, Inc. (a) | 7,800 | 1,029,639 | |||
Gartner, Inc. (a) | 4,900 | 636,118 | |||
Global Payments, Inc. | 16,718 | 2,952,733 | |||
Hewlett Packard Enterprise Co. | 77,363 | 748,100 | |||
HP, Inc. | 82,663 | 1,616,062 | |||
Intel Corp. | 235,220 | 11,984,459 | |||
International Business Machines Corp. | 48,547 | 5,986,331 | |||
Intuit, Inc. | 14,326 | 4,948,057 | |||
IPG Photonics Corp. (a) | 2,200 | 355,806 | |||
Jack Henry & Associates, Inc. | 4,100 | 678,222 | |||
Juniper Networks, Inc. | 16,444 | 411,100 | |||
Keysight Technologies, Inc. (a) | 10,500 | 1,034,460 | |||
KLA Corp. | 8,273 | 1,697,123 | |||
Lam Research Corp. | 8,081 | 2,717,964 | |||
Leidos Holdings, Inc. | 7,200 | 651,528 | |||
Mastercard, Inc. Class A | 49,149 | 17,604,680 | |||
Maxim Integrated Products, Inc. | 14,900 | 1,019,756 | |||
Microchip Technology, Inc. | 13,406 | 1,470,638 | |||
Micron Technology, Inc. (a) | 60,028 | 2,731,874 | |||
Microsoft Corp. | 420,077 | 94,739,966 | |||
Motorola Solutions, Inc. | 9,428 | 1,458,983 | |||
NetApp, Inc. | 13,243 | 627,586 |
Security Description | Shares | Value | |||
NortonLifeLock, Inc. | 31,003 | $ 729,191 | |||
NVIDIA Corp. | 34,012 | 18,195,740 | |||
Oracle Corp. | 114,970 | 6,578,583 | |||
Paychex, Inc. | 18,531 | 1,417,066 | |||
Paycom Software, Inc. (a) | 2,900 | 868,434 | |||
PayPal Holdings, Inc. (a) | 65,258 | 13,321,768 | |||
Qorvo, Inc. (a) | 6,100 | 782,447 | |||
QUALCOMM, Inc. | 61,685 | 7,346,683 | |||
salesforce.com, Inc. (a) | 50,005 | 13,633,863 | |||
Seagate Technology PLC | 12,076 | 579,527 | |||
ServiceNow, Inc. (a) | 10,700 | 5,157,614 | |||
Skyworks Solutions, Inc. | 9,700 | 1,405,045 | |||
Synopsys, Inc. (a) | 8,000 | 1,770,400 | |||
TE Connectivity, Ltd. | 18,549 | 1,791,833 | |||
Texas Instruments, Inc. | 50,706 | 7,207,858 | |||
Tyler Technologies, Inc. (a) | 2,300 | 794,213 | |||
VeriSign, Inc. (a) | 5,920 | 1,271,616 | |||
Visa, Inc. Class A | 93,140 | 19,744,749 | |||
Western Digital Corp. | 17,506 | 672,580 | |||
Western Union Co. | 22,040 | 519,924 | |||
Xerox Holdings Corp. | 10,023 | 189,034 | |||
Xilinx, Inc. | 12,742 | 1,327,207 | |||
Zebra Technologies Corp. Class A (a) | 2,700 | 773,631 | |||
460,272,888 | |||||
MATERIALS — 2.5% | |||||
Air Products & Chemicals, Inc. | 12,007 | 3,509,166 | |||
Albemarle Corp. | 6,400 | 582,464 | |||
Amcor PLC (a) | 90,130 | 996,838 | |||
Avery Dennison Corp. | 4,618 | 532,871 | |||
Ball Corp. | 18,716 | 1,504,205 | |||
Celanese Corp. | 5,800 | 586,670 | |||
CF Industries Holdings, Inc. | 13,030 | 425,169 | |||
Corteva, Inc. | 43,477 | 1,241,268 | |||
Dow, Inc. | 40,510 | 1,827,811 | |||
DuPont de Nemours, Inc. | 40,477 | 2,256,998 | |||
Eastman Chemical Co. | 6,872 | 502,412 | |||
Ecolab, Inc. | 13,689 | 2,697,828 | |||
FMC Corp. | 7,022 | 750,371 | |||
Freeport-McMoRan, Inc. | 84,464 | 1,318,483 | |||
International Flavors & Fragrances, Inc. | 6,280 | 777,401 | |||
International Paper Co. | 21,908 | 794,603 | |||
Linde PLC | 28,929 | 7,224,728 | |||
LyondellBasell Industries NV Class A | 13,922 | 911,613 | |||
Martin Marietta Materials, Inc. | 3,455 | 700,916 | |||
Mosaic Co. | 20,816 | 379,476 | |||
Newmont Corp. | 44,573 | 2,998,871 | |||
Nucor Corp. | 17,606 | 800,369 | |||
Packaging Corp. of America | 4,800 | 485,952 | |||
PPG Industries, Inc. | 13,088 | 1,575,795 | |||
Sealed Air Corp. | 9,669 | 379,992 | |||
Sherwin-Williams Co. | 4,487 | 3,011,001 | |||
Vulcan Materials Co. | 7,090 | 850,800 |
Security Description | Shares | Value | |||
Westrock Co. | 16,448 | $ 498,868 | |||
40,122,939 | |||||
REAL ESTATE — 2.6% | |||||
Alexandria Real Estate Equities, Inc. REIT | 7,300 | 1,229,174 | |||
American Tower Corp. REIT | 24,282 | 6,049,860 | |||
Apartment Investment and Management Co. Class A, REIT | 9,769 | 351,977 | |||
AvalonBay Communities, Inc. REIT | 7,729 | 1,221,646 | |||
Boston Properties, Inc. REIT | 7,221 | 627,288 | |||
CBRE Group, Inc. Class A (a) | 16,908 | 795,183 | |||
Crown Castle International Corp. REIT | 23,242 | 3,794,256 | |||
Digital Realty Trust, Inc. REIT | 15,300 | 2,381,445 | |||
Duke Realty Corp. REIT | 19,900 | 767,145 | |||
Equinix, Inc. REIT | 4,938 | 3,899,934 | |||
Equity Residential REIT | 19,938 | 1,125,500 | |||
Essex Property Trust, Inc. REIT | 3,555 | 769,693 | |||
Extra Space Storage, Inc. REIT | 7,500 | 799,125 | |||
Federal Realty Investment Trust REIT | 4,600 | 364,504 | |||
Healthpeak Properties, Inc. REIT | 30,777 | 850,676 | |||
Host Hotels & Resorts, Inc. REIT | 39,259 | 440,879 | |||
Iron Mountain, Inc. REIT (b) | 18,074 | 543,847 | |||
Kimco Realty Corp. REIT | 23,116 | 277,161 | |||
Mid-America Apartment Communities, Inc. REIT | 6,900 | 808,128 | |||
Prologis, Inc. REIT | 41,545 | 4,231,774 | |||
Public Storage REIT | 7,952 | 1,689,005 | |||
Realty Income Corp. REIT | 19,800 | 1,228,194 | |||
Regency Centers Corp. REIT | 10,499 | 416,915 | |||
SBA Communications Corp. REIT | 6,400 | 1,958,848 | |||
Simon Property Group, Inc. REIT | 16,735 | 1,135,470 | |||
SL Green Realty Corp. REIT (b) | 4,600 | 215,096 | |||
UDR, Inc. REIT | 17,800 | 619,618 | |||
Ventas, Inc. REIT | 18,803 | 774,872 | |||
Vornado Realty Trust REIT (b) | 10,446 | 374,280 | |||
Welltower, Inc. REIT | 23,381 | 1,344,875 | |||
Weyerhaeuser Co. REIT | 40,898 | 1,239,618 | |||
42,325,986 | |||||
UTILITIES — 2.8% | |||||
AES Corp. | 35,559 | 631,172 | |||
Alliant Energy Corp. | 14,700 | 796,005 | |||
Ameren Corp. | 14,356 | 1,135,703 | |||
American Electric Power Co., Inc. | 27,743 | 2,186,981 | |||
American Water Works Co., Inc. | 9,900 | 1,399,266 | |||
Atmos Energy Corp. | 7,400 | 738,668 | |||
CenterPoint Energy, Inc. | 31,335 | 628,893 | |||
CMS Energy Corp. | 14,501 | 877,165 | |||
Consolidated Edison, Inc. | 17,500 | 1,248,450 | |||
Dominion Energy, Inc. | 45,924 | 3,602,279 | |||
DTE Energy Co. | 10,539 | 1,250,663 |
Security Description | Shares | Value | |||
Duke Energy Corp. | 40,091 | $ 3,220,911 | |||
Edison International | 21,305 | 1,118,086 | |||
Entergy Corp. | 11,200 | 1,110,368 | |||
Evergy, Inc. | 11,599 | 617,299 | |||
Eversource Energy | 18,443 | 1,580,750 | |||
Exelon Corp. | 54,459 | 2,010,082 | |||
FirstEnergy Corp. | 32,329 | 924,286 | |||
NextEra Energy, Inc. | 26,957 | 7,525,586 | |||
NiSource, Inc. | 23,078 | 511,408 | |||
NRG Energy, Inc. | 13,698 | 471,348 | |||
Pinnacle West Capital Corp. | 6,556 | 480,883 | |||
PPL Corp. | 44,756 | 1,236,608 | |||
Public Service Enterprise Group, Inc. | 27,936 | 1,459,377 | |||
Sempra Energy | 16,524 | 2,043,193 | |||
Southern Co. | 57,484 | 2,999,515 | |||
WEC Energy Group, Inc. | 17,487 | 1,645,177 | |||
Xcel Energy, Inc. | 29,200 | 2,028,670 | |||
45,478,792 | |||||
TOTAL COMMON STOCKS (Cost $385,733,872) | 1,604,321,393 |
SHORT-TERM INVESTMENTS — 0.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.08% (d) (e) | 5,765,914 | 5,765,914 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (c) (f) | 1,303,868 | $ 1,303,868 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,069,782) | 7,069,782 | ||||
TOTAL INVESTMENTS — 100.1% (Cost $392,803,654) | 1,611,391,175 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (1,934,880) | ||||
NET ASSETS — 100.0% | $ 1,609,456,295 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2020. |
(c) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended August 31, 2020 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, 2020 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at August 31, 2020. |
(f) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini S&P 500 Index (long) | 55 | 09/18/2020 | $9,503,255 | $9,620,643 | $117,388 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,604,321,393 | $— | $— | $1,604,321,393 | ||||
Short-Term Investments | 7,069,782 | — | — | 7,069,782 | ||||
TOTAL INVESTMENTS | $1,611,391,175 | $— | $— | $1,611,391,175 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 117,388 | — | — | 117,388 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 117,388 | $— | $— | $ 117,388 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,611,508,563 | $— | $— | $1,611,508,563 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/19 | Value at 8/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/20 | Value at 8/31/20 | Dividend Income | |||||||||
State Street Corp. | 24,347 | $ 1,249,245 | $ — | $ 294,013 | $53,859 | $362,718 | 20,147 | $1,371,809 | $ 45,858 | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 17,289,872 | 17,291,600 | 92,977,093 | 110,273,455 | 4,711 | 51 | — | — | 191,533 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 178,689,607 | 172,923,693 | — | — | 5,765,914 | 5,765,914 | 85,523 | ||||||||
State Street Navigator Securities Lending Portfolio II | 2,175,869 | 2,175,869 | 32,794,289 | 33,666,291 | — | — | 1,303,868 | 1,303,868 | 20,685 | ||||||||
Total | $20,716,714 | $304,460,989 | $317,157,452 | $58,570 | $362,769 | $8,441,591 | $343,599 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,602,949,584 |
Investments in affiliated issuers, at value | 8,441,591 |
Total Investments | 1,611,391,175 |
Net cash at broker | 592,130 |
Cash | 10,501 |
Receivable from broker — accumulated variation margin on futures contracts | 55,071 |
Receivable for fund shares sold | 302,128 |
Dividends receivable — unaffiliated issuers | 2,504,408 |
Dividends receivable — affiliated issuers | 40,400 |
Securities lending income receivable — unaffiliated issuers | 361 |
Securities lending income receivable — affiliated issuers | 575 |
Receivable from Adviser | 73,264 |
Prepaid expenses and other assets | 19,847 |
TOTAL ASSETS | 1,614,989,860 |
LIABILITIES | |
Payable upon return of securities loaned | 1,303,868 |
Payable for fund shares repurchased | 3,811,804 |
Advisory fee payable | 127,724 |
Custodian fees payable | 7,998 |
Administration fees payable | 46,128 |
Shareholder servicing fee payable | 32,238 |
Distribution fees payable | 49,700 |
Trustees’ fees and expenses payable | 843 |
Transfer agent fees payable | 57,353 |
Registration and filing fees payable | 2,937 |
Professional fees payable | 39,489 |
Printing and postage fees payable | 48,097 |
Accrued expenses and other liabilities | 5,386 |
TOTAL LIABILITIES | 5,533,565 |
NET ASSETS | $1,609,456,295 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 331,402,525 |
Total distributable earnings (loss) | 1,278,053,770 |
NET ASSETS | $1,609,456,295 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 253.59 |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 6,346,764 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 385,188,847 |
Investments in affiliated issuers | 7,614,807 |
Total cost of investments | $ 392,803,654 |
* Includes investments in securities on loan, at value | $ 2,985,897 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 12,285 |
Dividend income — unaffiliated issuers | 33,027,774 |
Dividend income — affiliated issuers | 322,914 |
Unaffiliated securities lending income | 3,304 |
Affiliated securities lending income | 20,685 |
TOTAL INVESTMENT INCOME (LOSS) | 33,386,962 |
EXPENSES | |
Advisory fee | 459,670 |
Administration fees | 766,117 |
Shareholder servicing fees | 367,736 |
Distribution fees | 566,927 |
Custodian fees | 118,490 |
Trustees’ fees and expenses | 40,368 |
Transfer agent fees | 306,772 |
Registration and filing fees | 50,042 |
Professional fees and expenses | 76,541 |
Printing and postage fees | 98,529 |
Insurance expense | 21,897 |
Miscellaneous expenses | 36,354 |
TOTAL EXPENSES | 2,909,443 |
Expenses waived/reimbursed by the Adviser | (503,835) |
NET EXPENSES | 2,405,608 |
NET INVESTMENT INCOME (LOSS) | $ 30,981,354 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 117,953,489 |
Investments — affiliated issuers | 58,570 |
Futures contracts | 3,642,114 |
Net realized gain (loss) | 121,654,173 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 156,956,657 |
Investments — affiliated issuers | 362,769 |
Futures contracts | (76,141) |
Net change in unrealized appreciation/depreciation | 157,243,285 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 278,897,458 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $309,878,812 |
Year Ended 8/31/20 | Year Ended 8/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 30,981,354 | $ 30,267,486 | |
Net realized gain (loss) | 121,654,173 | 87,856,506 | |
Net change in unrealized appreciation/depreciation | 157,243,285 | 117,155,346 | |
Net increase (decrease) in net assets resulting from operations | 309,878,812 | 235,279,338 | |
Distributions to shareholders | (101,778,161) | (161,580,164) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 326,280,339 | 293,356,913 | |
Reinvestment of distributions | 99,047,950 | 158,648,087 | |
Cost of shares redeemed | (551,757,204) | (604,867,099) | |
Net increase (decrease) in net assets from beneficial interest transactions | (126,428,915) | (152,862,099) | |
Net increase (decrease) in net assets during the period | 81,671,736 | (79,162,925) | |
Net assets at beginning of period | 1,527,784,559 | 1,606,947,484 | |
NET ASSETS AT END OF PERIOD | $1,609,456,295 | $1,527,784,559 | |
SHARES OF BENEFICIAL INTEREST(a): | |||
Shares sold | 1,504,171 | 1,349,280 | |
Reinvestment of distributions | 449,545 | 839,551 | |
Shares redeemed | (2,486,173) | (1,875,782) | |
Net increase (decrease) | (532,457) | 313,049 |
(a) | After the close of trading on April 17, 2020, the State Street S&P 500 Index Fund underwent a 1-for-6 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
Year Ended 8/31/20(a) | Year Ended 8/31/19(a)(b) | Year Ended 8/31/18(a)(b) | Year Ended 8/31/17(a)(b) | Year Ended 8/31/16(a)(b) | |||||
Net asset value, beginning of period | $ 222.06 | $ 244.74 | $ 215.94 | $ 203.10 | $ 188.40 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (c) | 4.55 | 4.38(d)(e) | 3.96(d)(e) | 3.96(d)(e) | 3.96(d)(e) | ||||
Net realized and unrealized gain (loss) | 42.08 | (2.52) | 36.72 | 26.82 | 18.60 | ||||
Total from investment operations | 46.63 | 1.86 | 40.68 | 30.78 | 22.56 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.20) | (4.26) | (4.68) | (3.84) | (3.90) | ||||
Net realized gains | (10.90) | (20.28) | (7.20) | (14.10) | (3.96) | ||||
Total distributions | (15.10) | (24.54) | (11.88) | (17.94) | (7.86) | ||||
Net asset value, end of period | $ 253.59 | $ 222.06 | $ 244.74 | $ 215.94 | $ 203.10 | ||||
Total return (f) | 22.14% | 2.71% | 19.41% | 16.06% | 12.38% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,609,456 | $1,527,785 | $1,606,947 | $1,571,873 | $1,518,948 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net expenses | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.15%(d)(e) | ||||
Net investment income (loss) | 2.02%(d)(e) | 2.00%(d)(e) | 1.74%(d)(e) | 1.91%(d)(e) | 2.03%(d)(e) | ||||
Portfolio turnover rate | 5% | 3%(g) | 2%(g) | 3%(g) | 6%(g) |
(a) | After the close of trading on April 17, 2020, State Street S&P 500 Index Fund underwent a 1-for-6 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. See Note 11. |
(b) | 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. |
(c) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(d) | Reflects amounts waived by the administrator. |
(e) | Reflects amounts waived and/or reimbursed by the investment adviser. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Results represent past performance and are not indicative of future results. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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 | $— | $— | $— | $55,071 | $— | $55,071 |
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 | $— | $— | $— | $3,642,114 | $— | $3,642,114 |
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 | $— | $— | $— | $(76,141) | $— | $(76,141) |
Purchases | Sales | ||
State Street S&P 500 Index Fund | $71,972,248 | $249,686,443 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $28,579,587 | $73,198,574 | $101,778,161 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $ 31,558,640 | $ 130,021,524 | $ 161,580,164 |
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 | $13,816,308 | $— | $90,607,741 | $1,173,629,721 | $— | $1,278,053,770 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street S&P 500 Index Fund | $437,878,842 | $1,195,994,153 | $22,364,432 | $1,173,629,721 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street S&P 500 Index Fund | $ 2,985,897 | $ 1,303,868 | $ 1,809,457 | $ 3,113,325 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of August 31, 2020 | ||||||||||||||
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 | $1,303,868 | $— | $— | $— | $1,303,868 | $1,303,868 |
October 26, 2020
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% | $1,199.40 | $0.88 | $1,024.30 | $0.81 |
(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 366. |
Amount | |
State Street S&P 500 Index Fund | $93,415,002 |
• | 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; |
• | Information about the Adviser’s proxy voting policies and procedures and 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 its 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; |
• | 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 13, 2020; |
• | 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). | 66 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); 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. | 66 | 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 - 2019); Senior Advisor to NGN Capital LLC (2019 - present); and Managing Director, Vice President of Walden Capital Management (1996 - present). | 66 | 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, Muscular Dystrophy Association (since 2019); 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. | 66 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). | |||||
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). | 66 | 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). | 66 | 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). | 48 | 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). | 66 | None. | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected: 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* | 66 | None. | |||||
† 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 individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trusts (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: | ||||||
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Manager, 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 (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); Mutual Funds Controller at 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). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (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). |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: | ||||||
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1975 | Assistant Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
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 trustees and officers 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
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 |
State Street International Stock Selection Fund |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
1 | |
6 | |
10 | |
Schedules of Investments | |
14 | |
20 | |
24 | |
29 | |
35 | |
47 | |
57 | |
58 |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street Dynamic Small Cap Fund Class A | 1.30% | (4.02%) | 5.16% | 4.03% | 11.95% | 11.34% | ||
State Street Dynamic Small Cap Fund Class I | 1.71% | N/A | 5.48% | N/A | 12.17% | N/A | ||
State Street Dynamic Small Cap Fund Class K | 1.71% | N/A | 5.55% | N/A | 12.23% | N/A | ||
State Street Dynamic Small Cap Fund Class N | 1.46% | N/A | 5.29% | N/A | 12.06% | N/A | ||
Russell 2000® Index(1) | 6.02% | N/A | 7.65% | N/A | 11.53% | 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 | ||
TopBuild Corp. | 1.0% | ||
EMCOR Group, Inc. | 1.0 | ||
Meritage Homes Corp. | 0.9 | ||
Werner Enterprises, Inc. | 0.9 | ||
Stifel Financial Corp. | 0.9 | ||
TOTAL | 4.7% |
% of Net Assets | |||
Biotechnology | 8.4% | ||
Specialty Retail | 4.7 | ||
Capital Markets | 4.7 | ||
Equity Real Estate Investment Trusts (REITs) | 4.7 | ||
Health Care Providers & Services | 4.3 | ||
Banks | 4.1 | ||
Trading Companies & Distributors | 4.0 | ||
Chemicals | 3.8 | ||
Household Durables | 3.7 | ||
Semiconductors & Semiconductor Equipment | 3.6 | ||
Thrifts & Mortgage Finance | 3.5 | ||
Software | 3.3 | ||
Pharmaceuticals | 3.1 | ||
Building Products | 2.6 | ||
Electronic Equipment, Instruments & Components | 2.2 | ||
Commercial Services & Supplies | 2.1 | ||
Insurance | 2.1 | ||
Hotels, Restaurants & Leisure | 2.1 | ||
Professional Services | 1.9 | ||
Oil, Gas & Consumable Fuels | 1.7 | ||
Food Products | 1.7 | ||
Construction & Engineering | 1.6 | ||
Machinery | 1.5 | ||
Communications Equipment | 1.5 | ||
Road & Rail | 1.5 | ||
Mortgage Real Estate Investment Trust (REITs) | 1.4 | ||
Household Products | 1.3 | ||
IT Services | 1.3 | ||
Food & Staples Retailing | 1.2 | ||
Health Care Equipment & Supplies | 1.1 | ||
Electric Utilities | 1.1 | ||
Internet & Direct Marketing Retail | 1.1 | ||
Auto Components | 1.1 | ||
Paper & Forest Products | 1.0 | ||
Electrical Equipment | 1.0 | ||
Textiles, Apparel & Luxury Goods | 0.9 | ||
Health Care Technology | 0.9 | ||
Metals & Mining | 0.8 | ||
Personal Products | 0.7 | ||
Consumer Finance | 0.7 | ||
Real Estate Management & Development | 0.5 | ||
Interactive Media & Services | 0.5 | ||
Diversified Telecommunication Services | 0.4 | ||
Leisure Equipment & Products | 0.4 | ||
Energy Equipment & Services | 0.4 | ||
Life Sciences Tools & Services | 0.4 | ||
Technology Hardware, Storage & Peripherals | 0.4 | ||
Diversified Consumer Services | 0.3 | ||
Air Freight & Logistics | 0.3 | ||
Gas Utilities | 0.3 | ||
Independent Power & Renewable Electricity Producers | 0.3 | ||
Media | 0.2 | ||
Multiline Retail | 0.2 | ||
Wireless Telecommunication Services | 0.2 | ||
Aerospace & Defense | 0.2 | ||
Distributors | 0.2 | ||
Marine | 0.1 | ||
Multi-Utilities | 0.1 | ||
Entertainment | 0.1 | ||
Tobacco | 0.1 | ||
Airlines | 0.1 |
% of Net Assets | |||
Short-Term Investments | 4.1% | ||
Liabilities in Excess of Other Assets | (3.8) | ||
TOTAL | 100.0% |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street Defensive Emerging Markets Equity Fund Class A | (0.47%) | (5.74%) | 2.19% | 1.09% | 0.04% | (0.50%) | ||
State Street Defensive Emerging Markets Equity Fund Class I | (0.37%) | N/A | 2.36% | N/A | 0.19% | N/A | ||
State Street Defensive Emerging Markets Equity Fund Class K | (0.14%) | N/A | 2.54% | N/A | 0.29% | N/A | ||
State Street Defensive Emerging Markets Equity Fund Class N | (0.42%) | N/A | 2.27% | N/A | 0.13% | N/A | ||
MSCI ® Emerging Markets Index(1) | 14.49% | N/A | 8.66% | N/A | 3.76% | N/A | ||
(1) | The MSCI® Emerging Markets Index is comprised of 26 countries. MSCI targets to capture 85% of free float-adjusted companies within each industry group in every country. Designation as an emerging market is determined by a number of factors, such as gross domestic product per capita; local government regulations; perceived investment risk; foreign ownership limits and capital controls; or the general perception by the investment community when determining an “emerging” classification of a market. |
Description | % of Net Assets | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2.9% | ||
KT&G Corp. | 2.7 | ||
First Financial Holding Co., Ltd. | 2.6 | ||
O2 Czech Republic A/S | 2.6 | ||
HCL Technologies, Ltd. | 2.6 | ||
TOTAL | 13.4% |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2020 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |||
State Street International Stock Selection Fund Class A | 1.75% | (3.58%) | 1.18% | 0.09% | 4.00% | 3.44% | ||
State Street International Stock Selection Fund Class I | 2.02% | N/A | 1.54% | N/A | 4.29% | N/A | ||
State Street International Stock Selection Fund Class K | 2.21% | N/A | 1.63% | N/A | 4.36% | N/A | ||
State Street International Stock Selection Fund Class N | 1.94% | N/A | 1.40% | N/A | 4.21% | N/A | ||
MSCI ® EAFE® Net Dividend Index (reflects no deduction for fees, expenses or taxes)(1) | 6.13% | N/A | 4.72% | N/A | 5.88% | N/A | ||
(1) | The MSCI® EAFE® Net Dividend Index 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® Net Dividend 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 | 3.3% | ||
Roche Holding AG | 2.6 | ||
Novartis AG | 2.1 | ||
Novo Nordisk A/S | 1.8 | ||
Toyota Motor Corp. | 1.7 | ||
TOTAL | 11.5% |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.7% | |||||
COMMUNICATION SERVICES — 1.4% | |||||
ATN International, Inc. | 583 | $ 33,814 | |||
Consolidated Communications Holdings, Inc. (a) | 4,970 | 38,667 | |||
Glu Mobile, Inc. (a) | 1,788 | 14,197 | |||
Gray Television, Inc. (a) | 2,234 | 34,672 | |||
Meet Group, Inc. (a) | 6,934 | 43,684 | |||
ORBCOMM, Inc. (a) | 959 | 3,845 | |||
Shenandoah Telecommunications Co. | 677 | 37,438 | |||
TEGNA, Inc. | 617 | 7,725 | |||
Yelp, Inc. (a) | 1,615 | 37,339 | |||
251,381 | |||||
CONSUMER DISCRETIONARY — 14.7% | |||||
1-800-Flowers.com, Inc. Class A (a) | 1,048 | 31,367 | |||
Aaron's, Inc. | 1,700 | 95,013 | |||
Adtalem Global Education, Inc. (a) | 989 | 32,835 | |||
American Eagle Outfitters, Inc. (b) | 3,688 | 46,506 | |||
America's Car-Mart, Inc. (a) | 191 | 19,195 | |||
Asbury Automotive Group, Inc. (a) | 459 | 48,558 | |||
Beazer Homes USA, Inc. (a) | 1,718 | 21,028 | |||
Big Lots, Inc. | 855 | 40,313 | |||
Bloomin' Brands, Inc. | 977 | 14,010 | |||
Boyd Gaming Corp. | 2,188 | 58,595 | |||
Brinker International, Inc. | 249 | 11,215 | |||
Buckle, Inc. (b) | 3,023 | 56,651 | |||
Caesars Entertainment, Inc. (a) | 623 | 28,533 | |||
Cavco Industries, Inc. (a) | 56 | 10,691 | |||
Citi Trends, Inc. | 1,309 | 25,303 | |||
Cooper Tire & Rubber Co. | 2,238 | 77,368 | |||
Core-Mark Holding Co., Inc. | 798 | 26,669 | |||
Cracker Barrel Old Country Store, Inc. | 62 | 8,290 | |||
Dana, Inc. | 1,389 | 19,377 | |||
Deckers Outdoor Corp. (a) | 411 | 83,791 | |||
Dine Brands Global, Inc. (b) | 722 | 43,002 | |||
Green Brick Partners, Inc. (a) | 446 | 6,351 | |||
Helen of Troy, Ltd. (a) | 49 | 10,134 | |||
Jack in the Box, Inc. | 1,092 | 89,970 | |||
Johnson Outdoors, Inc. Class A | 456 | 39,084 | |||
K12, Inc. (a) | 224 | 8,335 | |||
KB Home | 621 | 22,207 | |||
LCI Industries | 527 | 59,883 | |||
Lithia Motors, Inc. Class A | 390 | 97,094 | |||
M/I Homes, Inc. (a) | 144 | 6,129 | |||
Malibu Boats, Inc. Class A (a) | 77 | 3,992 | |||
Marine Products Corp. | 800 | 11,560 | |||
MasterCraft Boat Holdings, Inc. (a) | 397 | 8,301 | |||
MDC Holdings, Inc. | 782 | 33,923 | |||
Meritage Homes Corp. (a) | 1,691 | 162,387 | |||
Murphy USA, Inc. (a) | 958 | 129,196 | |||
ODP Corp | 2,274 | 53,166 | |||
Overstock.com, Inc. (a) | 366 | 32,025 |
Security Description | Shares | Value | |||
Penn National Gaming, Inc. (a)(b) | 994 | $ 50,793 | |||
Perdoceo Education Corp. (a) | 1,094 | 15,721 | |||
PetMed Express, Inc. (b) | 1,022 | 35,525 | |||
Rent-A-Center, Inc. | 2,230 | 68,461 | |||
RH (a)(b) | 309 | 102,140 | |||
Rocky Brands, Inc. | 2,537 | 61,091 | |||
Sally Beauty Holdings, Inc. (a) | 678 | 7,566 | |||
Shoe Carnival, Inc. (b) | 730 | 24,002 | |||
Signet Jewelers, Ltd. (b) | 662 | 11,433 | |||
Sleep Number Corp. (a) | 842 | 40,416 | |||
Sonic Automotive, Inc. Class A | 729 | 30,807 | |||
Stamps.com, Inc. (a) | 374 | 93,253 | |||
Standard Motor Products, Inc. | 772 | 35,080 | |||
Steven Madden, Ltd. | 459 | 9,712 | |||
Sturm Ruger & Co., Inc. | 79 | 5,598 | |||
Taylor Morrison Home Corp. (a) | 2,740 | 64,472 | |||
Texas Roadhouse, Inc. | 898 | 56,565 | |||
TopBuild Corp. (a) | 1,172 | 180,254 | |||
TRI Pointe Group, Inc. (a) | 8,843 | 149,270 | |||
Tupperware Brands Corp. | 626 | 10,198 | |||
Wingstop, Inc. | 92 | 15,033 | |||
Wolverine World Wide, Inc. | 518 | 12,940 | |||
2,652,377 | |||||
CONSUMER STAPLES — 4.9% | |||||
Alico, Inc. | 3,048 | 98,511 | |||
B&G Foods, Inc. (b) | 1,691 | 52,658 | |||
BellRing Brands, Inc. Class A (a) | 2,824 | 54,899 | |||
BJ's Wholesale Club Holdings, Inc. (a) | 1,135 | 50,405 | |||
Central Garden & Pet Co. (a) | 2,412 | 98,144 | |||
Central Garden & Pet Co. Class A (a) | 3,527 | 131,063 | |||
Darling Ingredients, Inc. (a) | 2,887 | 92,297 | |||
Ingles Markets, Inc. Class A | 2,506 | 101,242 | |||
Medifast, Inc. | 261 | 42,470 | |||
Seneca Foods Corp. Class A (a) | 1,279 | 60,574 | |||
SpartanNash Co. | 2,895 | 57,842 | |||
United Natural Foods, Inc. (a) | 178 | 3,213 | |||
USANA Health Sciences, Inc. (a) | 411 | 32,227 | |||
Vector Group, Ltd. | 1,401 | 14,108 | |||
889,653 | |||||
ENERGY — 2.1% | |||||
Antero Resources Corp. (a) | 2,968 | 9,557 | |||
Berry Corp. | 4,193 | 16,520 | |||
Bonanza Creek Energy, Inc. (a) | 263 | 5,271 | |||
Cactus, Inc. Class A | 831 | 18,357 | |||
CNX Resources Corp. (a) | 1,628 | 17,843 | |||
Delek US Holdings, Inc. | 2,269 | 35,691 | |||
DHT Holdings, Inc. | 3,719 | 19,674 | |||
Evolution Petroleum Corp. | 5,732 | 15,648 | |||
Liberty Oilfield Services, Inc. Class A | 978 | 6,308 | |||
Matador Resources Co. (a) | 1,298 | 12,630 | |||
Ovintiv, Inc. (b) | 1,007 | 11,158 | |||
Patterson-UTI Energy, Inc. | 7,737 | 29,787 |
Security Description | Shares | Value | |||
ProPetro Holding Corp. (a) | 1,826 | $ 11,467 | |||
Range Resources Corp. | 3,727 | 27,803 | |||
Renewable Energy Group, Inc. (a) | 1,284 | 42,924 | |||
Southwestern Energy Co. (a) | 21,623 | 60,112 | |||
World Fuel Services Corp. | 1,483 | 39,151 | |||
379,901 | |||||
FINANCIALS — 16.5% | |||||
1st Source Corp. | 3,429 | 118,129 | |||
Amalgamated Bank Class A | 1,413 | 16,631 | |||
Ames National Corp. | 927 | 18,494 | |||
Ares Commercial Real Estate Corp. REIT | 2,402 | 23,924 | |||
Artisan Partners Asset Management, Inc. Class A | 4,086 | 158,169 | |||
Bancorp, Inc. (a) | 8,632 | 82,004 | |||
Bank of NT Butterfield & Son, Ltd. | 701 | 17,665 | |||
BankFinancial Corp. | 3,360 | 24,394 | |||
Brightsphere Investment Group, Inc. | 5,159 | 71,504 | |||
Cadence BanCorp | 5,226 | 49,647 | |||
Central Pacific Financial Corp. | 1,417 | 21,949 | |||
Cherry Hill Mortgage Investment Corp. REIT | 2,973 | 28,422 | |||
Civista Bancshares, Inc. | 2,866 | 38,261 | |||
CNO Financial Group, Inc. | 5,580 | 90,954 | |||
Donegal Group, Inc. Class A | 3,335 | 48,124 | |||
Donnelley Financial Solutions, Inc. (a) | 1,483 | 16,165 | |||
eHealth, Inc. (a) | 59 | 3,724 | |||
Ellington Residential Mortgage REIT | 6,478 | 73,590 | |||
ESSA Bancorp, Inc. | 1,274 | 16,307 | |||
Essent Group, Ltd. | 2,518 | 89,893 | |||
Evans Bancorp, Inc. | 268 | 6,110 | |||
Federated Hermes, Inc. | 6,115 | 146,210 | |||
Financial Institutions, Inc. | 257 | 4,428 | |||
First Financial Bancorp | 372 | 5,104 | |||
First Internet Bancorp | 431 | 6,297 | |||
First Northwest Bancorp | 3,101 | 34,421 | |||
Flagstar Bancorp, Inc. | 4,226 | 132,781 | |||
Green Dot Corp. Class A (a) | 443 | 23,063 | |||
HBT Financial, Inc. (b) | 2,709 | 32,102 | |||
HCI Group, Inc. | 1,441 | 78,851 | |||
Heartland Financial USA, Inc. | 130 | 4,476 | |||
International Bancshares Corp. | 3,030 | 95,687 | |||
Investors Bancorp, Inc. | 4,237 | 32,837 | |||
Investors Title Co. | 103 | 14,014 | |||
KKR Real Estate Finance Trust, Inc. REIT | 7,195 | 130,949 | |||
Mr Cooper Group, Inc. (a) | 1,513 | 27,726 | |||
Navient Corp. | 11,425 | 103,853 | |||
Northrim BanCorp, Inc. | 629 | 16,926 | |||
PennyMac Financial Services, Inc. | 1,391 | 73,333 | |||
Piper Sandler Cos. | 485 | 36,593 | |||
Premier Financial Bancorp, Inc. | 566 | 7,256 | |||
Premier Financial Corp. | 2,547 | 46,546 | |||
Radian Group, Inc. | 6,286 | 97,056 |
Security Description | Shares | Value | |||
Sierra Bancorp | 4,414 | $ 78,878 | |||
Stewart Information Services Corp. | 3,197 | 136,416 | |||
Stifel Financial Corp. | 3,121 | 158,266 | |||
Territorial Bancorp, Inc. | 3,280 | 69,405 | |||
UMB Financial Corp. | 510 | 27,397 | |||
Virtus Investment Partners, Inc. | 1,014 | 143,887 | |||
Waddell & Reed Financial, Inc. Class A (b) | 7,672 | 120,834 | |||
Walker & Dunlop, Inc. | 1,428 | 78,226 | |||
Watford Holdings, Ltd. (a) | 777 | 12,432 | |||
2,990,310 | |||||
HEALTH CARE — 18.3% | |||||
Aduro Biotech, Inc. (a)(b) | 6,290 | 19,499 | |||
Akcea Therapeutics, Inc. (a)(b) | 1,547 | 28,279 | |||
Akebia Therapeutics, Inc. (a) | 1,822 | 18,967 | |||
Allakos, Inc. (a)(b) | 130 | 11,645 | |||
Allogene Therapeutics, Inc. (a)(b) | 242 | 8,627 | |||
AMAG Pharmaceuticals, Inc. (a) | 1,668 | 17,280 | |||
Amicus Therapeutics, Inc. (a) | 3,261 | 47,611 | |||
AMN Healthcare Services, Inc. (a) | 1,087 | 58,524 | |||
Amneal Pharmaceuticals, Inc. (a)(b) | 5,944 | 24,430 | |||
Amphastar Pharmaceuticals, Inc. (a) | 6,817 | 138,930 | |||
ANI Pharmaceuticals, Inc. (a) | 519 | 16,276 | |||
Anika Therapeutics, Inc. (a) | 641 | 24,570 | |||
Apellis Pharmaceuticals, Inc. (a)(b) | 300 | 9,249 | |||
Arcturus Therapeutics Holdings, Inc. (a) | 232 | 11,192 | |||
Ardelyx, Inc. (a) | 1,501 | 8,616 | |||
Arena Pharmaceuticals, Inc. (a) | 948 | 66,189 | |||
Arrowhead Pharmaceuticals, Inc. (a)(b) | 1,179 | 49,801 | |||
Assembly Biosciences, Inc. (a) | 426 | 9,317 | |||
Axsome Therapeutics, Inc. (a)(b) | 54 | 3,959 | |||
BioCryst Pharmaceuticals, Inc. (a) | 2,558 | 10,616 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) | 327 | 20,729 | |||
Bioxcel Therapeutics, Inc. (a) | 88 | 3,586 | |||
Blueprint Medicines Corp. (a) | 416 | 32,211 | |||
Bridgebio Pharma, Inc. (a)(b) | 351 | 10,481 | |||
Calithera Biosciences, Inc. (a) | 4,234 | 17,063 | |||
CareDx, Inc. (a) | 121 | 4,132 | |||
Castle Biosciences, Inc. (a) | 170 | 7,774 | |||
Catabasis Pharmaceuticals, Inc. (a) | 600 | 3,960 | |||
Champions Oncology, Inc. (a) | 1,456 | 12,056 | |||
Checkpoint Therapeutics, Inc. (a)(b) | 3,383 | 7,375 | |||
ChemoCentryx, Inc. (a) | 387 | 20,704 | |||
Clovis Oncology, Inc. (a)(b) | 909 | 4,736 | |||
Coherus Biosciences, Inc. (a)(b) | 773 | 14,664 | |||
Community Health Systems, Inc. (a) | 1,525 | 7,884 | |||
Computer Programs & Systems, Inc. | 2,181 | 59,672 | |||
Concert Pharmaceuticals, Inc. (a) | 1,181 | 11,361 | |||
CONMED Corp. | 196 | 16,917 | |||
Corcept Therapeutics, Inc. (a) | 5,078 | 64,491 | |||
CorVel Corp. (a) | 895 | 74,303 | |||
Covetrus, Inc. (a) | 1,591 | 36,450 | |||
Cue Biopharma, Inc. (a) | 382 | 6,826 |
Security Description | Shares | Value | |||
Cytokinetics, Inc. (a) | 176 | $ 4,217 | |||
CytomX Therapeutics, Inc. (a) | 1,955 | 14,271 | |||
Deciphera Pharmaceuticals, Inc. (a) | 181 | 8,147 | |||
Denali Therapeutics, Inc. (a) | 315 | 10,049 | |||
Dicerna Pharmaceuticals, Inc. (a) | 176 | 3,260 | |||
Durect Corp. (a)(b) | 6,074 | 10,538 | |||
Eagle Pharmaceuticals, Inc. (a) | 509 | 20,197 | |||
Editas Medicine, Inc. (a) | 1,250 | 44,037 | |||
Emergent BioSolutions, Inc. (a) | 640 | 72,992 | |||
Enanta Pharmaceuticals, Inc. (a) | 650 | 33,923 | |||
Endo International PLC (a) | 1,512 | 4,551 | |||
Ensign Group, Inc. | 833 | 48,764 | |||
Epizyme, Inc. (a) | 265 | 3,445 | |||
Esperion Therapeutics, Inc. (a)(b) | 695 | 25,089 | |||
Evolent Health, Inc. Class A (a) | 360 | 5,159 | |||
Fate Therapeutics, Inc. (a)(b) | 1,095 | 39,858 | |||
FibroGen, Inc. (a) | 524 | 23,491 | |||
Five Prime Therapeutics, Inc. (a) | 2,039 | 8,707 | |||
FONAR Corp. (a) | 3,644 | 92,448 | |||
Fortress Biotech, Inc. (a) | 5,494 | 21,729 | |||
Halozyme Therapeutics, Inc. (a) | 2,097 | 60,803 | |||
Harvard Bioscience, Inc. (a) | 5,829 | 19,527 | |||
Heron Therapeutics, Inc. (a) | 245 | 3,504 | |||
ImmunoGen, Inc. (a) | 1,410 | 5,217 | |||
InfuSystem Holdings, Inc. (a) | 729 | 10,607 | |||
Innoviva, Inc. (a) | 1,413 | 16,546 | |||
Inovalon Holdings, Inc. Class A (a) | 2,204 | 54,538 | |||
Inovio Pharmaceuticals, Inc. (a)(b) | 1,414 | 16,954 | |||
Insmed, Inc. (a) | 542 | 15,279 | |||
Invitae Corp. (a)(b) | 840 | 29,366 | |||
Ironwood Pharmaceuticals, Inc. (a) | 2,966 | 29,957 | |||
Karuna Therapeutics, Inc. (a) | 50 | 3,820 | |||
Kodiak Sciences, Inc. (a) | 127 | 6,679 | |||
Lannett Co., Inc. (a)(b) | 756 | 3,977 | |||
Lexicon Pharmaceuticals, Inc. (a)(b) | 7,167 | 12,542 | |||
LHC Group, Inc. (a) | 471 | 98,175 | |||
Ligand Pharmaceuticals, Inc. (a)(b) | 352 | 35,904 | |||
Luminex Corp. | 317 | 8,461 | |||
MacroGenics, Inc. (a) | 635 | 18,377 | |||
Magellan Health, Inc. (a) | 746 | 56,293 | |||
Medpace Holdings, Inc. (a) | 115 | 14,926 | |||
Meridian Bioscience, Inc. (a) | 1,919 | 27,135 | |||
Minerva Neurosciences, Inc. (a)(b) | 4,139 | 13,162 | |||
Mirati Therapeutics, Inc. (a)(b) | 280 | 41,824 | |||
MyoKardia, Inc. (a) | 376 | 41,149 | |||
Natera, Inc. (a) | 722 | 45,999 | |||
National HealthCare Corp. | 1,450 | 92,365 | |||
National Research Corp. | 361 | 20,216 | |||
Neogen Corp. (a) | 307 | 23,393 | |||
NeoGenomics, Inc. (a) | 279 | 10,867 | |||
NextGen Healthcare, Inc. (a) | 3,061 | 40,589 | |||
Novavax, Inc. (a)(b) | 604 | 66,645 | |||
NuVasive, Inc. (a) | 147 | 7,663 | |||
OPKO Health, Inc. (a)(b) | 4,021 | 13,028 | |||
Osmotica Pharmaceuticals PLC (a) | 1,825 | 10,840 | |||
Patterson Cos., Inc. (b) | 1,262 | 36,611 |
Security Description | Shares | Value | |||
PetIQ, Inc. (a)(b) | 230 | $ 8,091 | |||
Pfenex, Inc. (a) | 2,042 | 25,586 | |||
Phibro Animal Health Corp. Class A | 1,057 | 22,683 | |||
Prestige Consumer Healthcare, Inc. (a) | 3,308 | 120,510 | |||
Providence Service Corp. (a) | 467 | 43,240 | |||
PTC Therapeutics, Inc. (a) | 437 | 21,599 | |||
Puma Biotechnology, Inc. (a) | 429 | 4,414 | |||
Retractable Technologies, Inc. (a)(b) | 1,582 | 9,998 | |||
Retrophin, Inc. (a) | 1,155 | 22,626 | |||
Sangamo Therapeutics, Inc. (a) | 317 | 3,498 | |||
Select Medical Holdings Corp. (a) | 7,542 | 151,368 | |||
Seres Therapeutics, Inc. (a) | 455 | 12,053 | |||
Simulations Plus, Inc. | 126 | 7,507 | |||
Sorrento Therapeutics, Inc. (a)(b) | 1,664 | 13,329 | |||
Strongbridge Biopharma PLC (a) | 2,801 | 10,756 | |||
Supernus Pharmaceuticals, Inc. (a) | 2,808 | 61,748 | |||
Syndax Pharmaceuticals, Inc. (a) | 869 | 14,173 | |||
Tenet Healthcare Corp. (a) | 1,075 | 30,293 | |||
TG Therapeutics, Inc. (a)(b) | 906 | 22,473 | |||
Turning Point Therapeutics, Inc. (a) | 125 | 9,773 | |||
Twist Bioscience Corp. (a) | 188 | 13,147 | |||
Ultragenyx Pharmaceutical, Inc. (a) | 436 | 37,086 | |||
Utah Medical Products, Inc. | 341 | 28,013 | |||
Vanda Pharmaceuticals, Inc. (a) | 2,392 | 24,614 | |||
Veracyte, Inc. (a)(b) | 190 | 6,329 | |||
Verastem, Inc. (a)(b) | 2,355 | 2,967 | |||
Vir Biotechnology, Inc. (a)(b) | 261 | 10,565 | |||
Voyager Therapeutics, Inc. (a) | 2,005 | 23,639 | |||
Xencor, Inc. (a) | 445 | 15,909 | |||
3,306,749 | |||||
INDUSTRIALS — 17.0% | |||||
Altra Industrial Motion Corp. | 516 | 20,150 | |||
ArcBest Corp. | 1,185 | 40,077 | |||
ASGN, Inc. (a) | 841 | 60,359 | |||
Atkore International Group, Inc. (a) | 4,293 | 114,752 | |||
Barrett Business Services, Inc. | 883 | 50,834 | |||
BMC Stock Holdings, Inc. (a) | 3,590 | 143,313 | |||
Builders FirstSource, Inc. (a) | 4,313 | 132,064 | |||
Comfort Systems USA, Inc. | 64 | 3,243 | |||
Costamare, Inc. | 5,157 | 26,043 | |||
CRA International, Inc. | 733 | 31,160 | |||
CSW Industrials, Inc. | 677 | 48,913 | |||
EMCOR Group, Inc. | 2,376 | 178,224 | |||
Fluor Corp. | 2,928 | 27,875 | |||
GATX Corp. | 212 | 14,179 | |||
GMS, Inc. (a) | 1,127 | 29,854 | |||
Great Lakes Dredge & Dock Corp. (a) | 1,765 | 16,538 | |||
H&E Equipment Services, Inc. | 1,267 | 25,669 | |||
HNI Corp. | 4,682 | 149,122 | |||
Hub Group, Inc. Class A (a) | 1,031 | 55,509 | |||
Insperity, Inc. | 254 | 17,112 | |||
Interface, Inc. | 4,829 | 36,507 | |||
KAR Auction Services, Inc. | 2,921 | 50,650 | |||
Kforce, Inc. | 2,829 | 97,148 |
Security Description | Shares | Value | |||
Marten Transport, Ltd. | 2,905 | $ 52,755 | |||
Masonite International Corp. (a) | 1,095 | 99,963 | |||
Maxar Technologies, Inc. (a) | 994 | 23,011 | |||
McGrath RentCorp | 1,877 | 124,558 | |||
Meritor, Inc. (a) | 2,263 | 51,506 | |||
Mueller Industries, Inc. | 1,500 | 44,550 | |||
National Presto Industries, Inc. | 95 | 8,543 | |||
Orion Energy Systems, Inc. (a) | 7,188 | 45,859 | |||
Patrick Industries, Inc. | 1,043 | 58,627 | |||
Pitney Bowes, Inc. | 4,795 | 26,325 | |||
Plug Power, Inc. (a) | 1,074 | 13,940 | |||
Preformed Line Products Co. | 110 | 5,985 | |||
Primoris Services Corp. | 3,635 | 69,283 | |||
Rexnord Corp. | 1,411 | 40,863 | |||
Rush Enterprises, Inc. Class A | 2,923 | 141,239 | |||
Rush Enterprises, Inc. Class B | 3,170 | 132,474 | |||
Simpson Manufacturing Co., Inc. | 1,298 | 127,645 | |||
SkyWest, Inc. | 358 | 12,047 | |||
Standex International Corp. | 1,253 | 72,473 | |||
TriNet Group, Inc. (a) | 1,291 | 87,581 | |||
Triton International, Ltd. | 4,233 | 152,642 | |||
Universal Logistics Holdings, Inc. | 553 | 11,889 | |||
Wabash National Corp. | 3,914 | 47,790 | |||
Werner Enterprises, Inc. | 3,486 | 160,391 | |||
WESCO International, Inc. (a) | 1,821 | 85,314 | |||
3,066,548 | |||||
INFORMATION TECHNOLOGY — 12.2% | |||||
ADTRAN, Inc. | 898 | 9,959 | |||
Advanced Energy Industries, Inc. (a) | 1,054 | 78,122 | |||
Alarm.com Holdings, Inc. (a) | 671 | 40,173 | |||
Amkor Technology, Inc. (a) | 6,854 | 83,585 | |||
Avaya Holdings Corp. (a) | 2,769 | 42,975 | |||
Axcelis Technologies, Inc. (a) | 1,689 | 39,911 | |||
Cerence, Inc. (a) | 86 | 4,575 | |||
ChannelAdvisor Corp. (a) | 685 | 11,522 | |||
CommVault Systems, Inc. (a) | 152 | 6,571 | |||
CyberOptics Corp. (a) | 283 | 9,070 | |||
Digital Turbine, Inc. (a) | 1,578 | 38,172 | |||
Diodes, Inc. (a) | 2,443 | 119,365 | |||
Domo, Inc. Class B (a) | 231 | 9,406 | |||
Endurance International Group Holdings, Inc. (a) | 7,321 | 47,660 | |||
EVERTEC, Inc. | 1,094 | 38,312 | |||
ExlService Holdings, Inc. (a) | 129 | 8,216 | |||
Extreme Networks, Inc. (a) | 8,796 | 38,438 | |||
Fabrinet (a) | 1,981 | 138,234 | |||
FormFactor, Inc. (a) | 3,035 | 79,305 | |||
II-VI, Inc. (a)(b) | 1,384 | 61,588 | |||
InterDigital, Inc. | 972 | 59,438 | |||
J2 Global, Inc. (a) | 1,191 | 83,358 | |||
MACOM Technology Solutions Holdings, Inc. (a) | 390 | 13,896 | |||
ManTech International Corp. Class A | 289 | 21,632 | |||
MicroStrategy, Inc. Class A (a) | 487 | 70,342 |
Security Description | Shares | Value | |||
NeoPhotonics Corp. (a) | 2,503 | $ 16,670 | |||
NETGEAR, Inc. (a) | 1,193 | 39,787 | |||
NetScout Systems, Inc. (a) | 4,574 | 105,842 | |||
OneSpan, Inc. (a) | 1,070 | 23,058 | |||
Perficient, Inc. (a) | 672 | 28,835 | |||
Perspecta, Inc. | 904 | 18,776 | |||
Photronics, Inc. (a) | 2,350 | 23,570 | |||
Plexus Corp. (a) | 2,070 | 157,465 | |||
Progress Software Corp. | 2,744 | 103,970 | |||
Qualys, Inc. (a) | 878 | 93,191 | |||
Rambus, Inc. (a) | 7,786 | 104,566 | |||
Ribbon Communications, Inc. (a) | 3,177 | 13,598 | |||
Semtech Corp. (a) | 1,251 | 73,371 | |||
SPS Commerce, Inc. (a) | 820 | 65,502 | |||
Super Micro Computer, Inc. (a) | 2,345 | 64,230 | |||
Sykes Enterprises, Inc. (a) | 1,934 | 64,025 | |||
Synaptics, Inc. (a) | 185 | 15,786 | |||
Vishay Intertechnology, Inc. | 2,493 | 39,863 | |||
Xperi Holding Corp. | 744 | 9,322 | |||
2,215,252 | |||||
MATERIALS — 5.7% | |||||
Avient Corp. | 2,703 | 68,981 | |||
Balchem Corp. | 370 | 36,149 | |||
Boise Cascade Co. | 2,334 | 106,897 | |||
Coeur Mining, Inc. (a)(b) | 922 | 7,800 | |||
Hawkins, Inc. | 2,222 | 111,589 | |||
HB Fuller Co. | 643 | 30,973 | |||
Innospec, Inc. | 240 | 17,926 | |||
Koppers Holdings, Inc. (a) | 953 | 22,929 | |||
Kraton Corp. (a) | 669 | 9,393 | |||
Kronos Worldwide, Inc. | 4,506 | 56,280 | |||
Louisiana-Pacific Corp. | 1,842 | 60,675 | |||
Materion Corp. | 1,125 | 61,414 | |||
Minerals Technologies, Inc. | 1,721 | 87,341 | |||
Schnitzer Steel Industries, Inc. Class A | 204 | 4,027 | |||
Schweitzer-Mauduit International, Inc. | 638 | 19,351 | |||
Stepan Co. | 759 | 87,505 | |||
Tredegar Corp. | 7,201 | 121,913 | |||
Trinseo SA | 1,673 | 41,674 | |||
Worthington Industries, Inc. | 1,712 | 71,099 | |||
1,023,916 | |||||
REAL ESTATE — 5.2% | |||||
American Finance Trust, Inc. REIT | 1,952 | 13,342 | |||
Bluerock Residential Growth REIT, Inc. | 2,253 | 16,695 | |||
Clipper Realty, Inc. REIT | 931 | 6,210 | |||
Columbia Property Trust, Inc. REIT | 2,228 | 26,290 | |||
CorePoint Lodging, Inc. REIT | 4,687 | 26,622 | |||
Diversified Healthcare Trust REIT (b) | 7,097 | 26,969 | |||
Farmland Partners, Inc. REIT (b) | 7,256 | 48,543 | |||
Four Corners Property Trust, Inc. REIT | 2,336 | 58,984 |
Security Description | Shares | Value | |||
Franklin Street Properties Corp. REIT | 1,071 | $ 4,745 | |||
GEO Group, Inc. REIT | 2,333 | 26,036 | |||
Investors Real Estate Trust REIT | 324 | 23,036 | |||
Kennedy-Wilson Holdings, Inc. | 1,753 | 25,050 | |||
Kite Realty Group Trust REIT | 3,514 | 39,497 | |||
Lexington Realty Trust REIT | 7,336 | 83,410 | |||
National Health Investors, Inc. REIT | 329 | 20,480 | |||
Office Properties Income Trust REIT | 4,519 | 107,733 | |||
Piedmont Office Realty Trust, Inc. Class A, REIT | 7,621 | 116,678 | |||
Plymouth Industrial REIT, Inc. | 328 | 4,379 | |||
PS Business Parks, Inc. REIT | 932 | 117,619 | |||
Realogy Holdings Corp. (a) | 5,513 | 61,084 | |||
Sabra Health Care REIT, Inc. | 3,906 | 57,926 | |||
UMH Properties, Inc. REIT | 330 | 4,798 | |||
Uniti Group, Inc. REIT | 2,045 | 20,082 | |||
936,208 | |||||
UTILITIES — 1.7% | |||||
Atlantic Power Corp. (a)(b) | 21,486 | 44,476 | |||
Black Hills Corp. | 423 | 23,722 | |||
Brookfield Infrastructure Corp. Class A | 956 | 47,723 | |||
Otter Tail Corp. | 1,244 | 48,329 | |||
Portland General Electric Co. | 3,911 | 149,205 | |||
313,455 | |||||
TOTAL COMMON STOCKS (Cost $17,604,105) | 18,025,750 |
SHORT-TERM INVESTMENTS — 4.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.08% (c) (d) | 97,730 | 97,730 |
Security Description | Shares | Value | |||
State Street Navigator Securities Lending Portfolio II (e) (f) | 649,271 | $ 649,271 | |||
TOTAL SHORT-TERM INVESTMENTS (Cost $747,001) | 747,001 | ||||
TOTAL INVESTMENTS — 103.8% (Cost $18,351,106) | 18,772,751 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.8)% | (683,005) | ||||
NET ASSETS — 100.0% | $ 18,089,746 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2020. |
(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, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at August 31, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended August 31, 2020 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini Russell 2000 Index (long) | 1 | 09/18/2020 | $71,167 | $78,065 | $6,898 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $18,025,750 | $— | $— | $18,025,750 | ||||
Short-Term Investments | 747,001 | — | — | 747,001 | ||||
TOTAL INVESTMENTS | $18,772,751 | $— | $— | $18,772,751 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 6,898 | — | — | 6,898 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 6,898 | $— | $— | $ 6,898 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $18,779,649 | $— | $— | $18,779,649 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/19 | Value at 8/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/20 | Value at 8/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 173,088 | $ 173,106 | $ 3,936,939 | $ 4,110,100 | $38 | $17 | — | $ — | $1,903 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 2,378,478 | 2,280,748 | — | — | 97,730 | 97,730 | 1,159 | ||||||||
State Street Navigator Securities Lending Portfolio II | 916,196 | 916,196 | 4,146,719 | 4,413,644 | — | — | 649,271 | 649,271 | 5,672 | ||||||||
Total | $1,089,302 | $10,462,136 | $10,804,492 | $38 | $17 | $747,001 | $8,734 |
Security Description | Shares | Value | |||
COMMON STOCKS — 96.8% | |||||
BRAZIL — 1.9% | |||||
Cia de Saneamento de Minas Gerais-COPASA | 4,800 | $ 41,705 | |||
EDP - Energias do Brasil SA | 61,900 | 211,173 | |||
SLC Agricola SA | 36,600 | 167,818 | |||
Telefonica Brasil SA ADR | 6,800 | 59,364 | |||
Transmissora Alianca de Energia Eletrica SA | 60,800 | 313,072 | |||
793,132 | |||||
CHILE — 0.2% | |||||
AES Gener SA | 506,998 | 82,484 | |||
CHINA — 26.4% | |||||
Alibaba Group Holding, Ltd. ADR (a) | 2,500 | 717,575 | |||
Bank of China, Ltd. Class A | 85,300 | 40,816 | |||
Bank of Communications Co., Ltd. Class A | 115,800 | 79,905 | |||
Bank of Communications Co., Ltd. Class H | 117,000 | 61,140 | |||
CGN Power Co., Ltd. Class H (b) | 305,000 | 66,114 | |||
China Communications Services Corp., Ltd. Class H | 372,000 | 244,314 | |||
China Construction Bank Corp. Class H | 1,435,000 | 1,016,509 | |||
China Longyuan Power Group Corp., Ltd. Class H | 135,000 | 85,178 | |||
China Meidong Auto Holdings, Ltd. | 14,000 | 47,328 | |||
China Minsheng Banking Corp., Ltd. Class H | 245,500 | 149,514 | |||
China Petroleum & Chemical Corp. Class H | 650,000 | 300,250 | |||
China Railway Construction Corp., Ltd. Class H | 114,500 | 88,052 | |||
China Resources Power Holdings Co., Ltd. | 446,000 | 529,432 | |||
China Shenhua Energy Co., Ltd. Class A | 139,700 | 329,339 | |||
China Shenhua Energy Co., Ltd. Class H | 362,000 | 604,408 | |||
China Telecom Corp., Ltd. Class H | 724,000 | 237,279 | |||
China Yangtze Power Co., Ltd. Class A | 199,800 | 562,546 | |||
Daqin Railway Co., Ltd. Class A | 417,200 | 402,910 | |||
Guangdong Provincial Expressway Development Co., Ltd. Class B | 1,133,400 | 630,300 | |||
Hengan International Group Co., Ltd. | 134,000 | 1,056,411 | |||
JD.com, Inc. ADR (a) | 1,300 | 102,232 | |||
Jiangsu Expressway Co., Ltd. Class H | 370,000 | 370,468 | |||
Lenovo Group, Ltd. | 426,000 | 284,726 | |||
Nanjing Iron & Steel Co., Ltd. Class A | 455,400 | 212,593 | |||
SDIC Power Holdings Co., Ltd. Class A | 389,600 | 514,935 |
Security Description | Shares | Value | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 163,985 | $ 237,073 | |||
Shenzhen Expressway Co., Ltd. Class H | 64,000 | 57,970 | |||
Sinotruk Hong Kong, Ltd. | 28,500 | 74,098 | |||
TangShan Port Group Co., Ltd. Class A | 305,800 | 116,435 | |||
Tencent Holdings, Ltd. | 10,500 | 718,723 | |||
Tianneng Power International, Ltd. (c) | 64,000 | 137,411 | |||
Vipshop Holdings, Ltd. ADR (a) | 11,400 | 188,214 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 226,900 | 161,863 | |||
Zhongsheng Group Holdings, Ltd. | 106,000 | 661,970 | |||
11,088,031 | |||||
CZECH REPUBLIC — 2.9% | |||||
Moneta Money Bank A/S (b) | 19,018 | 47,953 | |||
O2 Czech Republic A/S | 108,812 | 1,094,984 | |||
Philip Morris CR A/S | 118 | 71,729 | |||
1,214,666 | |||||
GREECE — 0.6% | |||||
Aegean Airlines SA (a) | 16,501 | 70,889 | |||
Motor Oil Hellas Corinth Refineries SA | 13,704 | 192,156 | |||
263,045 | |||||
HONG KONG — 4.1% | |||||
China Mobile, Ltd. | 64,200 | 448,560 | |||
China Resources Cement Holdings, Ltd. | 426,000 | 621,119 | |||
Yuexiu Real Estate Investment Trust | 760,000 | 366,752 | |||
Yuexiu Transport Infrastructure, Ltd. | 502,000 | 297,954 | |||
1,734,385 | |||||
HUNGARY — 0.7% | |||||
Magyar Telekom Telecommunications PLC | 242,849 | 298,313 | |||
INDIA — 10.5% | |||||
Coal India, Ltd. | 50,966 | 93,024 | |||
Divi's Laboratories, Ltd. | 7,581 | 321,624 | |||
Dr Reddy's Laboratories, Ltd. | 6,963 | 403,425 | |||
GAIL India, Ltd. | 315,147 | 409,521 | |||
HCL Technologies, Ltd. | 114,352 | 1,078,776 | |||
Hindustan Petroleum Corp., Ltd. | 53,994 | 147,845 | |||
Infosys, Ltd. | 73,067 | 921,781 | |||
Tata Consultancy Services, Ltd. | 10,536 | 323,097 | |||
Tech Mahindra, Ltd. | 56,147 | 565,227 | |||
Wipro, Ltd. | 43,638 | 160,840 | |||
4,425,160 | |||||
MALAYSIA — 2.5% | |||||
AMMB Holdings Bhd | 124,200 | 87,064 | |||
Carlsberg Brewery Malaysia Bhd Class B | 13,000 | 68,097 | |||
IGB Real Estate Investment Trust | 329,400 | 146,295 |
Security Description | Shares | Value | |||
MISC Bhd | 258,600 | $ 472,439 | |||
Petronas Gas Bhd | 10,900 | 43,176 | |||
PPB Group Bhd | 35,220 | 152,193 | |||
RHB Bank Bhd | 87,400 | 96,097 | |||
1,065,361 | |||||
MEXICO — 0.9% | |||||
Altos Hornos de Mexico SA de CV (a)(d) | 499,000 | — | |||
Arca Continental SAB de CV | 42,100 | 192,068 | |||
Gruma SAB de CV Class B | 14,885 | 176,053 | |||
368,121 | |||||
PAKISTAN — 1.5% | |||||
Indus Motor Co., Ltd. | 17,140 | 135,934 | |||
MCB Bank, Ltd. | 56,300 | 58,151 | |||
Oil & Gas Development Co., Ltd. | 599,800 | 415,559 | |||
609,644 | |||||
PHILIPPINES — 2.8% | |||||
Globe Telecom, Inc. | 13,815 | 594,941 | |||
Manila Electric Co. | 108,420 | 601,526 | |||
1,196,467 | |||||
POLAND — 0.3% | |||||
Neuca SA | 814 | 111,837 | |||
QATAR — 3.0% | |||||
Barwa Real Estate Co. | 172,618 | 161,714 | |||
Masraf Al Rayan QSC | 62,132 | 71,159 | |||
Ooredoo QSC | 199,740 | 362,121 | |||
Qatar Gas Transport Co., Ltd. | 253,190 | 189,423 | |||
Qatar Islamic Bank SAQ | 110,760 | 486,724 | |||
1,271,141 | |||||
RUSSIA — 2.8% | |||||
Alrosa PJSC | 880,349 | 780,268 | |||
Mobile TeleSystems PJSC ADR | 26,100 | 243,252 | |||
X5 Retail Group NV GDR | 4,487 | 164,224 | |||
1,187,744 | |||||
SAUDI ARABIA — 5.0% | |||||
Advanced Petrochemical Co. | 11,872 | 174,418 | |||
Al Rajhi Bank | 10,813 | 187,114 | |||
Alinma Bank (a) | 57,640 | 238,217 | |||
Arab National Bank | 20,246 | 112,068 | |||
Bank Al-Jazira | 95,544 | 332,708 | |||
Jarir Marketing Co. | 1,329 | 57,902 | |||
Qassim Cement Co. | 14,089 | 256,201 | |||
Riyad Bank | 25,765 | 131,764 | |||
Samba Financial Group | 12,761 | 93,739 | |||
Saudi Basic Industries Corp. | 4,091 | 95,991 | |||
Saudi Telecom Co. | 14,209 | 363,707 | |||
Yanbu Cement Co. | 5,447 | 47,783 | |||
2,091,612 | |||||
SINGAPORE — 0.5% | |||||
BOC Aviation, Ltd. (b) | 27,500 | 204,559 |
Security Description | Shares | Value | |||
SOUTH KOREA — 6.7% | |||||
Hyundai Glovis Co., Ltd. | 1,261 | $ 154,454 | |||
Hyundai Mobis Co., Ltd. | 267 | 50,348 | |||
KT&G Corp. | 16,202 | 1,133,417 | |||
NongShim Co., Ltd. | 419 | 126,804 | |||
Samsung Card Co., Ltd. | 2,133 | 51,624 | |||
Samsung Electro-Mechanics Co., Ltd. | 383 | 40,141 | |||
Samsung Electronics Co., Ltd. | 12,438 | 565,411 | |||
Shinhan Financial Group Co., Ltd. | 7,426 | 185,353 | |||
SK Hynix, Inc. | 4,317 | 272,924 | |||
SK Telecom Co., Ltd. | 1,113 | 232,363 | |||
2,812,839 | |||||
TAIWAN — 21.8% | |||||
Asustek Computer, Inc. | 47,000 | 389,244 | |||
Cathay Financial Holding Co., Ltd. | 142,746 | 193,870 | |||
Chunghwa Telecom Co., Ltd. | 177,000 | 654,517 | |||
CTBC Financial Holding Co., Ltd. | 1,344,000 | 868,013 | |||
First Financial Holding Co., Ltd. | 1,518,087 | 1,099,444 | |||
Fubon Financial Holding Co., Ltd. | 202,000 | 294,654 | |||
Greatek Electronics, Inc. | 225,000 | 384,950 | |||
Hon Hai Precision Industry Co., Ltd. | 35,000 | 91,730 | |||
Lite-On Technology Corp. | 201,000 | 317,857 | |||
Mega Financial Holding Co., Ltd. | 118,000 | 117,632 | |||
Pegatron Corp. | 123,000 | 262,001 | |||
Pou Chen Corp. | 49,000 | 46,259 | |||
Powertech Technology, Inc. | 163,000 | 479,975 | |||
Sampo Corp. | 330,200 | 262,211 | |||
Taiwan Cement Corp. | 69,000 | 100,884 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2,500 | 198,125 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 84,782 | 1,232,368 | |||
Taiwan Shin Kong Security Co., Ltd. | 290,880 | 360,360 | |||
Tripod Technology Corp. | 17,000 | 67,209 | |||
Ttet Union Corp. | 65,000 | 262,512 | |||
Uni-President Enterprises Corp. | 325,960 | 739,871 | |||
United Microelectronics Corp. | 583,000 | 421,233 | |||
Yuanta Financial Holding Co., Ltd. | 487,760 | 305,873 | |||
9,150,792 | |||||
UNITED ARAB EMIRATES — 1.7% | |||||
Aldar Properties PJSC | 1,042,803 | 576,315 | |||
Dubai Islamic Bank PJSC | 51,920 | 57,953 | |||
Emirates Telecommunications Group Co. PJSC | 19,776 | 89,158 | |||
723,426 | |||||
TOTAL COMMON STOCKS (Cost $39,579,138) | 40,692,759 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 1.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.08% (e) (f) (Cost $752,339) | 752,339 | $ 752,339 | ||||
TOTAL INVESTMENTS — 98.6% (Cost $40,331,477) | 41,445,098 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.4% | 582,711 | |||||
NET ASSETS — 100.0% | $ 42,027,809 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.8% of net assets as of August 31, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | All or a portion of the shares of the security are on loan at August 31, 2020. |
(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. Security value is determined based on Level 3 inputs. As of August 31, 2020, total aggregate fair value of this security is $0, representing less than 0.05% of the Fund's net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2020 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at August 31, 2020. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 16 | 09/18/2020 | $846,320 | $880,320 | $34,000 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $40,692,759 | $— | $ 0(a) | $40,692,759 | ||||
Short-Term Investment | 752,339 | — | — | 752,339 | ||||
TOTAL INVESTMENTS | $41,445,098 | $— | $ 0 | $41,445,098 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 34,000 | — | — | 34,000 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 34,000 | $— | $— | $ 34,000 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $41,479,098 | $— | $ 0 | $41,479,098 |
(a) | The Fund held a Level 3 security that was valued at $0 at August 31, 2020. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Banks | 13.4% | |
Diversified Telecommunication Services | 7.5 | |
IT Services | 7.2 | |
Semiconductors & Semiconductor Equipment | 7.1 | |
Oil, Gas & Consumable Fuels | 5.4 |
% of Net Assets | ||
Independent Power and Renewable Electricity Producers | 4.4% | |
Technology Hardware, Storage & Peripherals | 4.3 | |
Food Products | 3.9 | |
Wireless Telecommunication Services | 3.6 | |
Transportation Infrastructure | 3.5 | |
Real Estate Investment Trusts (REITs) | 3.0 | |
Tobacco | 2.9 | |
Electric Utilities | 2.7 | |
Personal Products | 2.5 | |
Construction Materials | 2.4 | |
Internet & Direct Marketing Retail | 2.4 | |
Specialty Retail | 2.4 | |
Metals & Mining | 2.4 | |
Interactive Media & Services | 1.7 | |
Marine | 1.1 | |
Gas Utilities | 1.1 | |
Pharmaceuticals | 1.0 | |
Road & Rail | 0.9 | |
Commercial Services & Supplies | 0.8 | |
Construction & Engineering | 0.8 | |
Life Sciences Tools & Services | 0.8 | |
Capital Markets | 0.7 | |
Diversified Financial Services | 0.7 | |
Chemicals | 0.6 | |
Household Durables | 0.6 | |
Beverages | 0.6 | |
Trading Companies & Distributors | 0.5 | |
Electronic Equipment, Instruments & Components | 0.5 | |
Insurance | 0.5 | |
Auto Components | 0.4 | |
Food & Staples Retailing | 0.4 | |
Distributors | 0.4 | |
Air Freight & Logistics | 0.4 | |
Automobiles | 0.3 | |
Health Care Providers & Services | 0.3 | |
Machinery | 0.2 | |
Airlines | 0.2 | |
Consumer Finance | 0.1 | |
Textiles, Apparel & Luxury Goods | 0.1 | |
Water Utilities | 0.1 | |
Short-Term Investment | 1.8 | |
Other Assets in Excess of Liabilities | 1.4 | |
TOTAL | 100.0% |
Number of Shares Held at 8/31/19 | Value at 8/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/20 | Value at 8/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 630,190 | $630,253 | $10,234,793 | $10,865,119 | $73 | $— | — | $ — | $6,613 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 8,054,601 | 7,302,262 | — | — | 752,339 | 752,339 | 569 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 749,180 | 749,180 | — | — | — | — | 184 | ||||||||
Total | $630,253 | $19,038,574 | $18,916,561 | $73 | $— | $752,339 | $7,366 |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.0% | |||||
AUSTRALIA — 9.4% | |||||
Aurizon Holdings, Ltd. | 399,380 | $ 1,281,348 | |||
Australia & New Zealand Banking Group, Ltd. | 15,500 | 208,977 | |||
BHP Group PLC (a) | 84,950 | 1,945,003 | |||
BHP Group, Ltd. | 55,368 | 1,548,118 | |||
Brambles, Ltd. | 25,542 | 208,919 | |||
Coca-Cola Amatil, Ltd. | 79,742 | 535,205 | |||
Coles Group, Ltd. | 24,171 | 316,078 | |||
Fortescue Metals Group, Ltd. | 130,524 | 1,676,989 | |||
Qantas Airways, Ltd. | 49,872 | 144,925 | |||
Scentre Group REIT | 502,148 | 837,012 | |||
Sonic Healthcare, Ltd. | 54,017 | 1,276,880 | |||
Stockland REIT | 467,891 | 1,366,569 | |||
Telstra Corp., Ltd. | 456,034 | 972,046 | |||
Vicinity Centres REIT (a) | 826,648 | 881,008 | |||
Wesfarmers, Ltd. | 36,359 | 1,274,324 | |||
Woolworths Group, Ltd. | 55,817 | 1,641,362 | |||
16,114,763 | |||||
AUSTRIA — 0.1% | |||||
BAWAG Group AG (b)(c) | 4,048 | 152,456 | |||
OMV AG (c) | 2,298 | 74,756 | |||
227,212 | |||||
BELGIUM — 0.3% | |||||
Ageas SA/NV | 6,193 | 260,142 | |||
D'ieteren SA | 1,592 | 103,920 | |||
KBC Ancora (c) | 969 | 35,431 | |||
UCB SA | 976 | 115,912 | |||
515,405 | |||||
CHINA — 1.1% | |||||
BOC Hong Kong Holdings, Ltd. | 71,000 | 201,543 | |||
SITC International Holdings Co., Ltd. | 661,000 | 868,233 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 1,140,400 | 766,944 | |||
1,836,720 | |||||
DENMARK — 3.9% | |||||
Carlsberg A/S Class B | 13,227 | 1,858,839 | |||
Danske Bank A/S (c) | 19,594 | 303,256 | |||
Novo Nordisk A/S Class B | 45,550 | 3,016,999 | |||
Pandora A/S | 3,318 | 242,348 | |||
Per Aarsleff Holding A/S | 7,936 | 321,249 | |||
Scandinavian Tobacco Group A/S Class A (b) | 53,874 | 857,213 | |||
Spar Nord Bank A/S (c) | 12,705 | 105,915 | |||
6,705,819 | |||||
FINLAND — 1.1% | |||||
Fortum Oyj | 8,294 | 175,337 | |||
Nokia Oyj | 154,758 | 752,111 | |||
Nordea Bank Abp (c) | 29,364 | 236,377 | |||
Tokmanni Group Corp. | 23,442 | 426,332 |
Security Description | Shares | Value | |||
Valmet Oyj | 7,579 | $ 207,298 | |||
1,797,455 | |||||
FRANCE — 8.9% | |||||
Arkema SA | 3,752 | 415,955 | |||
BNP Paribas SA (c) | 46,025 | 2,008,294 | |||
Cie de Saint-Gobain (c) | 47,190 | 1,913,556 | |||
CNP Assurances (c) | 40,098 | 536,888 | |||
Coface SA (c) | 30,604 | 239,579 | |||
Eiffage SA (c) | 15,861 | 1,461,599 | |||
Electricite de France SA | 40,639 | 426,867 | |||
L'Oreal SA | 2,188 | 723,000 | |||
Mersen SA (c) | 11,323 | 344,564 | |||
Metropole Television SA (c) | 4,834 | 60,340 | |||
Peugeot SA (c) | 83,148 | 1,425,859 | |||
Sanofi | 15,643 | 1,584,317 | |||
Schneider Electric SE | 19,376 | 2,398,944 | |||
Societe BIC SA | 14,020 | 808,431 | |||
TOTAL SE | 18,544 | 732,486 | |||
Veolia Environnement SA | 3,205 | 77,259 | |||
15,157,938 | |||||
GERMANY — 7.6% | |||||
Allianz SE | 12,312 | 2,666,987 | |||
Aurubis AG | 12,160 | 872,700 | |||
Bayer AG | 2,751 | 182,333 | |||
bet-at-home.com AG | 2,049 | 87,170 | |||
Deutsche Telekom AG | 129,619 | 2,281,543 | |||
Deutz AG (c) | 38,023 | 204,640 | |||
Evonik Industries AG | 8,313 | 241,064 | |||
Fresenius Medical Care AG & Co. KGaA | 21,256 | 1,802,497 | |||
Merck KGaA | 13,490 | 1,829,571 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 7,341 | 2,117,385 | |||
SAP SE | 2,168 | 357,135 | |||
STO SE & Co. KGaA Preference Shares | 1,083 | 143,456 | |||
Takkt AG (c) | 9,378 | 123,775 | |||
12,910,256 | |||||
HONG KONG — 1.3% | |||||
HKT Trust & HKT, Ltd. Stapled Security | 346,000 | 494,656 | |||
Kerry Properties, Ltd. | 57,000 | 148,196 | |||
Shun Tak Holdings, Ltd. | 504,000 | 174,932 | |||
Sun Hung Kai & Co., Ltd. | 314,000 | 129,243 | |||
United Laboratories International Holdings, Ltd. | 112,000 | 131,651 | |||
VTech Holdings, Ltd. | 77,800 | 453,738 | |||
WH Group, Ltd. (b) | 819,000 | 706,964 | |||
2,239,380 | |||||
ISRAEL — 0.2% | |||||
Plus500, Ltd. | 15,335 | 298,979 | |||
ITALY — 3.0% | |||||
Anima Holding SpA (b) | 61,304 | 269,657 |
Security Description | Shares | Value | |||
Enel SpA | 91,723 | $ 830,674 | |||
Intesa Sanpaolo SpA (c) | 819,144 | 1,764,629 | |||
Iren SpA | 63,949 | 167,280 | |||
Snam SpA | 317,559 | 1,625,735 | |||
Unipol Gruppo SpA (c) | 95,004 | 458,027 | |||
5,116,002 | |||||
JAPAN — 26.2% | |||||
Alfresa Holdings Corp. | 58,000 | 1,166,407 | |||
Astellas Pharma, Inc. | 81,500 | 1,280,808 | |||
Brother Industries, Ltd. | 54,300 | 899,745 | |||
Bunka Shutter Co., Ltd. | 13,400 | 95,394 | |||
Cawachi, Ltd. | 15,600 | 444,073 | |||
Chiyoda Integre Co., Ltd. | 3,800 | 57,584 | |||
Chubu Shiryo Co., Ltd. | 4,900 | 75,317 | |||
CI Takiron Corp. | 17,400 | 111,055 | |||
Dai-Dan Co., Ltd. | 3,500 | 88,892 | |||
Daihen Corp. | 13,700 | 540,679 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 81,915 | |||
Daiwabo Holdings Co., Ltd. | 4,900 | 295,161 | |||
DCM Holdings Co., Ltd. (a) | 17,100 | 209,562 | |||
Denyo Co., Ltd. | 10,900 | 224,658 | |||
Doshisha Co., Ltd. | 23,800 | 456,608 | |||
Ebara Corp. | 4,500 | 116,074 | |||
EDION Corp. | 18,600 | 210,911 | |||
Foster Electric Co., Ltd. | 15,700 | 172,394 | |||
FUJIFILM Holdings Corp. | 2,300 | 109,577 | |||
Fujitsu, Ltd. | 13,800 | 1,800,651 | |||
Glory, Ltd. | 32,100 | 671,610 | |||
Gunze, Ltd. | 4,100 | 147,873 | |||
Hachijuni Bank, Ltd. | 171,300 | 663,107 | |||
Hosokawa Micron Corp. | 2,000 | 106,689 | |||
Icom, Inc. | 3,100 | 78,089 | |||
Inaba Denki Sangyo Co., Ltd. | 20,500 | 509,040 | |||
Inabata & Co., Ltd. | 37,100 | 458,868 | |||
Inpex Corp. | 46,500 | 295,819 | |||
Itochu Enex Co., Ltd. | 13,900 | 123,232 | |||
Japan Post Insurance Co., Ltd. | 24,500 | 391,852 | |||
Japan Wool Textile Co., Ltd. | 75,100 | 689,915 | |||
J-Oil Mills, Inc. | 4,000 | 139,357 | |||
Kajima Corp. | 31,400 | 391,629 | |||
Kandenko Co., Ltd. | 15,000 | 117,830 | |||
Kanematsu Corp. | 7,800 | 98,757 | |||
KDDI Corp. | 48,300 | 1,403,648 | |||
Kintetsu World Express, Inc. | 40,900 | 842,598 | |||
Komeri Co., Ltd. | 26,500 | 821,909 | |||
K's Holdings Corp. | 64,000 | 908,200 | |||
Meidensha Corp. | 9,800 | 151,282 | |||
Meitec Corp. | 4,900 | 236,407 | |||
Mitsubishi Gas Chemical Co., Inc. | 80,200 | 1,434,158 | |||
NEC Capital Solutions, Ltd. | 12,800 | 218,137 | |||
NEC Corp. | 35,300 | 1,863,069 | |||
Nikkon Holdings Co., Ltd. | 41,300 | 912,449 | |||
Nippon Light Metal Holdings Co., Ltd. | 288,300 | 506,291 | |||
Nippon Telegraph & Telephone Corp. | 49,600 | 1,129,306 |
Security Description | Shares | Value | |||
Nisshin Oillio Group, Ltd. | 6,300 | $ 186,772 | |||
Nitto Kogyo Corp. | 8,100 | 145,229 | |||
Nojima Corp. | 29,800 | 883,463 | |||
Nomura Holdings, Inc. | 241,000 | 1,238,961 | |||
North Pacific Bank, Ltd. | 144,900 | 305,081 | |||
NTT DOCOMO, Inc. | 29,700 | 829,744 | |||
Obayashi Corp. | 75,700 | 741,169 | |||
Ono Pharmaceutical Co., Ltd. | 23,200 | 700,720 | |||
Osaka Soda Co., Ltd. | 2,500 | 59,671 | |||
OSJB Holdings Corp. | 45,200 | 98,154 | |||
PAL GROUP Holdings Co., Ltd. | 12,800 | 138,738 | |||
Prima Meat Packers, Ltd. | 18,600 | 544,399 | |||
Rengo Co., Ltd. | 23,500 | 173,729 | |||
Sanki Engineering Co., Ltd. | 48,000 | 515,281 | |||
Seiren Co., Ltd. | 13,400 | 177,756 | |||
Sekisui Chemical Co., Ltd. | 71,500 | 1,145,593 | |||
Sekisui House, Ltd. | 28,800 | 569,936 | |||
Showa Sangyo Co., Ltd. | 6,500 | 216,329 | |||
Sinko Industries, Ltd. | 8,600 | 110,753 | |||
Sompo Holdings, Inc. | 9,700 | 364,500 | |||
Sony Corp. | 25,900 | 2,031,847 | |||
Starts Corp., Inc. | 1,700 | 35,632 | |||
T&D Holdings, Inc. | 113,600 | 1,190,540 | |||
Taikisha, Ltd. | 6,900 | 188,404 | |||
Takasago Thermal Engineering Co., Ltd. | 38,300 | 525,059 | |||
Tamron Co., Ltd. | 27,300 | 441,532 | |||
TDK Corp. | 7,200 | 748,449 | |||
T-Gaia Corp. | 15,200 | 299,939 | |||
TIS, Inc. | 48,500 | 970,778 | |||
Toa Corp. | 16,300 | 247,774 | |||
Tokyo Electron, Ltd. | 5,500 | 1,409,857 | |||
Toyo Construction Co., Ltd. | 46,900 | 178,894 | |||
Toyota Motor Corp. | 43,600 | 2,884,026 | |||
TS Tech Co., Ltd. | 22,900 | 672,417 | |||
44,719,712 | |||||
NETHERLANDS — 6.0% | |||||
ASM International NV | 5,161 | 776,635 | |||
ASML Holding NV | 747 | 280,177 | |||
EXOR NV | 4,230 | 249,365 | |||
Koninklijke Ahold Delhaize NV | 67,581 | 2,033,937 | |||
Koninklijke KPN NV | 375,584 | 984,703 | |||
Koninklijke Philips NV (c) | 26,215 | 1,239,928 | |||
NN Group NV | 11,283 | 424,807 | |||
PostNL NV | 41,689 | 124,225 | |||
Randstad NV | 30,895 | 1,610,050 | |||
Royal Dutch Shell PLC Class A | 60,031 | 888,168 | |||
Royal Dutch Shell PLC Class B | 55,763 | 792,373 | |||
Signify NV (b)(c) | 26,283 | 877,901 | |||
10,282,269 | |||||
NEW ZEALAND — 0.1% | |||||
Argosy Property, Ltd. | 242,996 | 224,244 | |||
NORWAY — 1.9% | |||||
DNB ASA (c) | 25,163 | 403,843 | |||
Europris ASA (b) | 147,715 | 744,011 |
Security Description | Shares | Value | |||
Gjensidige Forsikring ASA (c) | 31,829 | $ 678,066 | |||
Selvaag Bolig ASA | 14,639 | 89,151 | |||
SpareBank 1 Nord Norge | 54,935 | 423,220 | |||
SpareBank 1 Oestlandet | 23,223 | 236,598 | |||
SpareBank 1 SMN | 60,359 | 601,123 | |||
3,176,012 | |||||
SOUTH AFRICA — 0.7% | |||||
Anglo American PLC | 52,274 | 1,280,571 | |||
SPAIN — 0.9% | |||||
Iberdrola SA | 99,959 | 1,258,468 | |||
Red Electrica Corp. SA | 13,253 | 253,443 | |||
1,511,911 | |||||
SWEDEN — 3.1% | |||||
Betsson AB (c) | 40,159 | 335,672 | |||
Investor AB Class B | 28,514 | 1,817,686 | |||
Inwido AB (c) | 58,703 | 582,632 | |||
Kinnevik AB Class B (a) | 3,906 | 150,847 | |||
Kinnevik AB Class B Redemption shares (a)(c) | 3,906 | 3,139 | |||
Lundin Energy AB | 4,474 | 109,344 | |||
Nobina AB (b)(c) | 63,842 | 386,013 | |||
Swedish Match AB | 19,517 | 1,481,521 | |||
Wihlborgs Fastigheter AB | 27,875 | 445,688 | |||
5,312,542 | |||||
SWITZERLAND — 11.6% | |||||
Coca-Cola HBC AG (c) | 31,995 | 852,820 | |||
Credit Suisse Group AG | 178,321 | 1,959,667 | |||
Givaudan SA | 43 | 180,287 | |||
Nestle SA | 46,365 | 5,568,211 | |||
Novartis AG | 40,784 | 3,520,973 | |||
Roche Holding AG | 12,892 | 4,502,466 | |||
STMicroelectronics NV | 4,277 | 128,671 | |||
Swiss Life Holding AG | 1,883 | 759,907 | |||
Swisscom AG | 394 | 217,932 | |||
UBS Group AG | 173,831 | 2,112,433 | |||
19,803,367 | |||||
UNITED KINGDOM — 10.6% | |||||
Aggreko PLC | 30,687 | 195,751 | |||
Ashtead Group PLC | 9,109 | 317,197 | |||
AstraZeneca PLC | 3,554 | 396,218 | |||
Barratt Developments PLC | 49,707 | 348,974 | |||
Berkeley Group Holdings PLC | 14,986 | 913,283 | |||
British American Tobacco PLC | 26,973 | 913,122 | |||
Coca-Cola European Partners PLC | 32,900 | 1,354,164 |
Security Description | Shares | Value | |||
Dialog Semiconductor PLC (c) | 18,431 | $ 798,185 | |||
Direct Line Insurance Group PLC | 382,658 | 1,508,467 | |||
EMIS Group PLC | 25,077 | 345,273 | |||
GlaxoSmithKline PLC | 122,661 | 2,413,596 | |||
Inchcape PLC (c) | 60,317 | 407,578 | |||
ITV PLC | 169,316 | 137,430 | |||
Keller Group PLC | 13,603 | 114,013 | |||
Legal & General Group PLC | 462,906 | 1,344,630 | |||
Mondi PLC | 87,499 | 1,708,848 | |||
Morgan Advanced Materials PLC | 120,487 | 372,051 | |||
Morgan Sindall Group PLC | 20,975 | 355,526 | |||
Persimmon PLC | 18,398 | 644,350 | |||
Redrow PLC | 72,733 | 443,350 | |||
Rio Tinto PLC | 40,220 | 2,491,965 | |||
Standard Life Aberdeen PLC (a) | 136,837 | 433,879 | |||
Tate & Lyle PLC | 6,481 | 59,068 | |||
Vistry Group PLC | 16,172 | 137,490 | |||
18,154,408 | |||||
TOTAL COMMON STOCKS (Cost $162,571,761) | 167,384,965 |
SHORT-TERM INVESTMENT — 0.0% (d) | |||
State Street Navigator Securities Lending Portfolio II (e) (f) (Cost $28,939) | 28,939 | 28,939 | |
TOTAL INVESTMENTS — 98.0% (Cost $162,600,700) | 167,413,904 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.0% | 3,431,763 | ||
NET ASSETS — 100.0% | $ 170,845,667 |
(a) | All or a portion of the shares of the security are on loan at August 31, 2020. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.3% of net assets as of August 31, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Non-income producing security. |
(d) | Amount is less than 0.05% of net assets. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended August 31, 2020 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) | |||||
Mini MSCI EAFE (long) | 25 | 09/18/2020 | $2,210,360 | $2,375,125 | $164,765 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $167,384,965 | $— | $— | $167,384,965 | ||||
Short-Term Investment | 28,939 | — | — | 28,939 | ||||
TOTAL INVESTMENTS | $167,413,904 | $— | $— | $167,413,904 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 164,765 | — | — | 164,765 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 164,765 | $— | $— | $ 164,765 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $167,578,669 | $�� | $— | $167,578,669 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Pharmaceuticals | 11.5% | |
Insurance | 7.6 | |
Metals & Mining | 6.0 | |
Banks | 4.5 | |
Food Products | 4.4 | |
Household Durables | 4.0 | |
Diversified Telecommunication Services | 3.6 | |
Capital Markets | 3.5 | |
Construction & Engineering | 2.8 | |
IT Services | 2.7 | |
Beverages | 2.7 | |
Electrical Equipment | 2.7 | |
Food & Staples Retailing | 2.6 | |
Automobiles | 2.5 | |
Health Care Providers & Services | 2.5 | |
Equity Real Estate Investment Trusts (REITs) | 2.3 | |
Specialty Retail | 2.0 | |
Semiconductors & Semiconductor Equipment | 2.0 | |
Tobacco | 1.9 | |
Building Products | 1.9 | |
Oil, Gas & Consumable Fuels | 1.8 | |
Electric Utilities | 1.7 | |
Diversified Financial Services | 1.6 | |
Machinery | 1.5 | |
Road & Rail | 1.5 | |
Multiline Retail | 1.4 | |
Chemicals | 1.4 | |
Wireless Telecommunication Services | 1.3 | |
Professional Services | 1.1 | |
Paper & Forest Products | 1.0 | |
Gas Utilities | 1.0 | |
Trading Companies & Distributors | 0.9 | |
Communications Equipment | 0.8 | |
Textiles, Apparel & Luxury Goods | 0.7 | |
Health Care Equipment & Supplies | 0.7 | |
Commercial Services & Supplies | 0.7 | |
Electronic Equipment, Instruments & Components | 0.6 | |
Technology Hardware, Storage & Peripherals | 0.6 | |
Distributors | 0.6 | |
Air Freight & Logistics | 0.6 | |
Marine | 0.5 | |
Personal Products | 0.4 |
% of Net Assets | ||
Auto Components | 0.4% | |
Hotels, Restaurants & Leisure | 0.2 | |
Software | 0.2 | |
Health Care Technology | 0.2 | |
Multi-Utilities | 0.1 | |
Media | 0.1 | |
Industrial Conglomerates | 0.1 | |
Containers & Packaging | 0.1 | |
Real Estate Management & Development | 0.1 | |
Airlines | 0.1 | |
Construction Materials | 0.1 | |
Consumer Finance | 0.1 | |
Internet & Catalog Retail | 0.1 | |
Short-Term Investment | 0.0 * | |
Other Assets in Excess of Liabilities | 2.0 | |
TOTAL | 100.0% | |
* | Amount shown represents less than 0.05% of net assets. |
Number of Shares Held at 8/31/19 | Value at 8/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 8/31/20 | Value at 8/31/20 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 3,395,857 | $3,396,197 | $11,797,633 | $15,193,927 | $97 | $— | — | $ — | $11,691 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 27,151,660 | 27,151,660 | — | — | — | — | 7,340 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,567,995 | 1,567,995 | 34,146,557 | 35,685,613 | — | — | 28,939 | 28,939 | 18,965 | ||||||||
Total | $4,964,192 | $73,095,850 | $78,031,200 | $97 | $— | $28,939 | $37,996 |
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* | $18,025,750 | $40,692,759 | $167,384,965 | ||
Investments in affiliated issuers, at value | 747,001 | 752,339 | 28,939 | ||
Total Investments | 18,772,751 | 41,445,098 | 167,413,904 | ||
Foreign currency, at value | — | 299,445 | 1,450,344 | ||
Net cash at broker | — | 30,989 | 59,380 | ||
Receivable from broker — variation margin on open futures contracts | 6,900 | 34,000 | 164,765 | ||
Receivable for investments sold | 36,797 | — | 1,557 | ||
Receivable for fund shares sold | 8,768 | 2,540 | 462,927 | ||
Dividends receivable — unaffiliated issuers | 16,808 | 204,666 | 704,276 | ||
Dividends receivable — affiliated issuers | 21 | 46 | 161 | ||
Securities lending income receivable — unaffiliated issuers | 64 | 244 | 806 | ||
Securities lending income receivable — affiliated issuers | 572 | 18 | 517 | ||
Receivable from Adviser | 27,902 | 19,822 | 56,323 | ||
Receivable for foreign taxes recoverable | 46 | 271,155 | 885,281 | ||
Prepaid expenses and other assets | 227 | 530 | 2,200 | ||
TOTAL ASSETS | 18,870,856 | 42,308,553 | 171,202,441 | ||
LIABILITIES | |||||
Due to broker | 1,820 | — | — | ||
Due to custodian | — | — | 63,165 | ||
Payable upon return of securities loaned | 649,271 | — | 28,939 | ||
Payable for fund shares repurchased | 71,135 | 107,772 | 31,470 | ||
Deferred foreign taxes payable | — | 70,548 | — | ||
Advisory fee payable | 11,932 | 23,080 | 109,611 | ||
Custodian fees payable | 2,812 | 6,788 | 9,716 | ||
Administration fees payable | 663 | 3,146 | 6,219 | ||
Shareholder servicing fee payable | 1,555 | 508 | 1,762 | ||
Distribution fees payable | 3,328 | 7,705 | 21,438 | ||
Trustees’ fees and expenses payable | 12 | 30 | 116 | ||
Transfer agent fees payable | 1,333 | 5,966 | 19,677 | ||
Sub-transfer agent fee payable | 716 | 276 | 285 | ||
Professional fees payable | 33,514 | 35,795 | 36,967 | ||
Printing and postage fees payable | 2,525 | 11,524 | 26,259 | ||
Accrued expenses and other liabilities | 494 | 7,606 | 1,150 | ||
TOTAL LIABILITIES | 781,110 | 280,744 | 356,774 | ||
NET ASSETS | $18,089,746 | $42,027,809 | $170,845,667 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $18,708,225 | $39,205,279 | $194,782,182 | ||
Total distributable earnings (loss)** | (618,479) | 2,822,530 | (23,936,515) | ||
NET ASSETS | $18,089,746 | $42,027,809 | $170,845,667 | ||
Class A | |||||
Net Assets | $ 154,469 | $ 6,330 | $ 4,141,373 | ||
Shares Outstanding | 3,349 | 1,151 | 437,888 | ||
Net asset value, offering and redemption price per share | $ 46.12 | $ 5.50 | $ 9.46 | ||
Maximum sales charge | 5.25% | 5.25% | 5.25% | ||
Maximum offering price per share | $ 48.68 | $ 5.80 | $ 9.98 | ||
Class I | |||||
Net Assets | $ 946,307 | $ 1,513,941 | $ 2,556,796 | ||
Shares Outstanding | 20,351 | 273,470 | 268,874 | ||
Net asset value, offering and redemption price per share | $ 46.50 | $ 5.54 | $ 9.51 | ||
Class K | |||||
Net Assets | $ 23,907 | $ 749,101 | $ 60,184,767 | ||
Shares Outstanding | 513 | 134,153 | 6,324,361 | ||
Net asset value, offering and redemption price per share | $ 46.59(a) | $ 5.58 | $ 9.52 | ||
Class N | |||||
Net Assets | $16,965,063 | $39,758,437 | $103,962,731 | ||
Shares Outstanding | 364,855 | 7,153,481 | 10,914,556 | ||
Net asset value, offering and redemption price per share | $ 46.50 | $ 5.56 | $ 9.53 |
State Street Dynamic Small Cap Fund | State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | |||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $17,604,105 | $39,579,138 | $162,571,761 | ||
Investments in affiliated issuers | 747,001 | 752,339 | 28,939 | ||
Total cost of investments | $18,351,106 | $40,331,477 | $162,600,700 | ||
Foreign currency, at cost | $ — | $ 298,731 | $ 1,440,597 | ||
* Includes investments in securities on loan, at value | $ 1,116,092 | $ 123,670 | $ 3,188,871 | ||
** Includes deferred foreign taxes | $ — | $ 70,548 | $ — |
(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 | $ 82 | $ 44,291 | $ — | ||
Dividend income — unaffiliated issuers | 318,831 | 2,092,187 | 6,040,932 | ||
Dividend income — affiliated issuers | 3,062 | 7,182 | 19,031 | ||
Unaffiliated securities lending income | 1,021 | 358 | 8,300 | ||
Affiliated securities lending income | 5,672 | 184 | 18,965 | ||
Foreign taxes withheld | (323) | (212,532) | (219,557) | ||
TOTAL INVESTMENT INCOME (LOSS) | 328,345 | 1,931,670 | 5,867,671 | ||
EXPENSES | |||||
Advisory fee | 140,279 | 346,330 | 1,366,304 | ||
Administration fees | 9,352 | 23,089 | 91,087 | ||
Shareholder servicing fees | |||||
Class N | 3,838 | 10,542 | 27,325 | ||
Distribution fees | |||||
Class A | 470 | 66 | 10,257 | ||
Class N | 39,250 | 98,827 | 267,310 | ||
Custodian fees | 32,289 | 98,320 | 135,755 | ||
Trustees’ fees and expenses | 20,260 | 20,646 | 22,526 | ||
Transfer agent fees | 17,132 | 48,260 | 110,901 | ||
Sub-transfer agent fee | |||||
Class A | 238 | — | 8,206 | ||
Class I | — | 1,661 | 4,430 | ||
Registration and filing fees | 66,369 | 65,827 | 68,050 | ||
Professional fees and expenses | 32,298 | 35,972 | 38,673 | ||
Printing and postage fees | 6,079 | 15,888 | 39,364 | ||
Insurance expense | 291 | 751 | 3,007 | ||
Interest expense | — | — | 196 | ||
Miscellaneous expenses | 3,673 | 46,900 | 7,751 | ||
TOTAL EXPENSES | 371,818 | 813,079 | 2,201,142 | ||
Expenses waived/reimbursed by the Adviser | (169,041) | (240,210) | (517,114) | ||
NET EXPENSES | 202,777 | 572,869 | 1,684,028 | ||
NET INVESTMENT INCOME (LOSS) | $ 125,568 | $ 1,358,801 | $ 4,183,643 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers* | (706,235) | 701,470 | (12,779,765) | ||
Investments — affiliated issuers | 38 | 73 | 97 | ||
Foreign currency transactions | — | (21,772) | 50,697 | ||
Futures contracts | 27,686 | (126,345) | 137,215 | ||
Net realized gain (loss) | (678,511) | 553,426 | (12,591,756) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers** | 769,140 | (2,262,400) | 11,029,671 | ||
Investments — affiliated issuers | 17 | — | — | ||
Foreign currency translations | — | (6,102) | 94,567 | ||
Futures contracts | 12,882 | 73,947 | 157,359 | ||
Net change in unrealized appreciation/depreciation | 782,039 | (2,194,555) | 11,281,597 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 103,528 | (1,641,129) | (1,310,159) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 229,096 | $ (282,328) | $ 2,873,484 | ||
* Includes foreign capital gain taxes | $ — | $ (27,676) | $ — | ||
** Includes foreign deferred taxes | $ — | $ (21,705) | $ — |
State Street Dynamic Small Cap Fund | |||
Year Ended 8/31/20 | Year Ended 8/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 125,568 | $ 233,499 | |
Net realized gain (loss) | (678,511) | (473,153) | |
Net change in unrealized appreciation/depreciation | 782,039 | (3,627,912) | |
Net increase (decrease) in net assets resulting from operations | 229,096 | (3,867,566) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class A | (2,153) | (2,466) | |
Class I | (15,571) | (19,441) | |
Class K | (370) | (176) | |
Class N | (206,661) | (218,012) | |
Total distributions to shareholders | (224,755) | (240,095) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from shares sold | 6,050 | 17,732 | |
Reinvestment of distributions | 2,009 | 2,335 | |
Cost of shares redeemed | (58,856) | (44,666) | |
Net increase (decrease) from capital share transactions | (50,797) | (24,599) | |
Class I | |||
Proceeds from shares sold | 309,766 | 89,485 | |
Reinvestment of distributions | 14,844 | 19,165 | |
Cost of shares redeemed | (660,476) | (207,903) | |
Net increase (decrease) from capital share transactions | (335,866) | (99,253) | |
Class K | |||
Proceeds from shares sold | 11,845 | 11,566 | |
Reinvestment of distributions | 190 | 3 | |
Cost of shares redeemed | (10,831) | (10) | |
Net increase (decrease) from capital share transactions | 1,204 | 11,559 | |
Class N | |||
Proceeds from shares sold | 748,458 | 533,656 | |
Reinvestment of distributions | 195,991 | 208,312 | |
Cost of shares redeemed | (1,757,905) | (4,022,256) | |
Net increase (decrease) from capital share transactions | (813,456) | (3,280,288) | |
Net increase (decrease) in net assets from beneficial interest transactions | (1,198,915) | (3,392,581) | |
Net increase (decrease) in net assets during the period | (1,194,574) | (7,500,242) | |
Net assets at beginning of period | 19,284,320 | 26,784,562 | |
NET ASSETS AT END OF PERIOD | $18,089,746 | $19,284,320 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 132 | 364 | |
Reinvestment of distributions | 39 | 57 | |
Shares redeemed | (1,243) | (947) | |
Net increase (decrease) from capital share transactions | (1,072) | (526) | |
Class I | |||
Shares sold | 7,574 | 2,021 | |
Reinvestment of distributions | 286 | 466 | |
Shares redeemed | (15,425) | (4,474) | |
Net increase (decrease) from capital share transactions | (7,565) | (1,987) | |
Class K | |||
Shares sold | 262 | 242 | |
Reinvestment of distributions | 4 | — | |
Shares redeemed | (263) | — | |
Net increase (decrease) from capital share transactions | 3 | 242 | |
Class N | |||
Shares sold | 18,395 | 11,306 | |
Reinvestment of distributions | 3,773 | 5,055 | |
Shares redeemed | (40,889) | (85,140) | |
Net increase (decrease) from capital share transactions | (18,721) | (68,779) |
State Street Defensive Emerging Markets Equity Fund | |||
Year Ended 8/31/20 | Year Ended 8/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 1,358,801 | $ 2,066,889 | |
Net realized gain (loss) | 553,426 | 3,422,026 | |
Net change in unrealized appreciation/depreciation | (2,194,555) | (8,686,714) | |
Net increase (decrease) in net assets resulting from operations | (282,328) | (3,197,799) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class A | (2,450) | (10,784) | |
Class I | (103,955) | (836,047) | |
Class K | (58,644) | (196,466) | |
Class N | (3,166,755) | (12,415,797) | |
Total distributions to shareholders | (3,331,804) | (13,459,094) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from shares sold | 500 | 3,000 | |
Reinvestment of distributions | 2,233 | 9,906 | |
Cost of shares redeemed | (41,974) | — | |
Net increase (decrease) from capital share transactions | (39,241) | 12,906 | |
Class I | |||
Proceeds from shares sold | 5,035,454 | 12,836,193 | |
Reinvestment of distributions | 94,562 | 819,771 | |
Cost of shares redeemed | (4,891,895) | (12,897,225) | |
Net increase (decrease) from capital share transactions | 238,121 | 758,739 | |
Class K | |||
Proceeds from shares sold | 24,906 | 40,155 | |
Reinvestment of distributions | 58,417 | 195,578 | |
Cost of shares redeemed | (100,843) | (122,741) | |
Net increase (decrease) from capital share transactions | (17,520) | 112,992 | |
Class N | |||
Proceeds from shares sold | 1,612,074 | 4,194,174 | |
Reinvestment of distributions | 3,103,681 | 12,065,170 | |
Cost of shares redeemed | (11,328,136) | (17,359,393) | |
Net increase (decrease) from capital share transactions | (6,612,381) | (1,100,049) | |
Net increase (decrease) in net assets from beneficial interest transactions | (6,431,021) | (215,412) | |
Net increase (decrease) in net assets during the period | (10,045,153) | (16,872,305) | |
Net assets at beginning of period | 52,072,962 | 68,945,267 | |
NET ASSETS AT END OF PERIOD | $ 42,027,809 | $ 52,072,962 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 100 | 484 | |
Reinvestment of distributions | 374 | 1,702 | |
Shares redeemed | (8,086) | — | |
Net increase (decrease) from capital share transactions | (7,612) | 2,186 | |
Class I | |||
Shares sold | 834,993 | 1,910,009 | |
Reinvestment of distributions | 15,760 | 139,654 | |
Shares redeemed | (816,134) | (2,006,105) | |
Net increase (decrease) from capital share transactions | 34,619 | 43,558 | |
Class K | |||
Shares sold | 4,450 | 6,405 | |
Reinvestment of distributions | 9,656 | 33,149 | |
Shares redeemed | (17,996) | (19,782) | |
Net increase (decrease) from capital share transactions | (3,890) | 19,772 | |
Class N | |||
Shares sold | 290,379 | 626,840 | |
Reinvestment of distributions | 514,707 | 2,051,900 | |
Shares redeemed | (2,011,525) | (2,598,101) | |
Net increase (decrease) from capital share transactions | (1,206,439) | 80,639 |
State Street International Stock Selection Fund | |||
Year Ended 8/31/20 | Year Ended 8/31/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 4,183,643 | $ 6,616,406 | |
Net realized gain (loss) | (12,591,756) | (14,998,466) | |
Net change in unrealized appreciation/depreciation | 11,281,597 | (8,781,954) | |
Net increase (decrease) in net assets resulting from operations | 2,873,484 | (17,164,014) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class A | (138,939) | (339,292) | |
Class I | (169,933) | (133,041) | |
Class K | (2,160,699) | (3,577,431) | |
Class N | (4,443,899) | (8,560,102) | |
Total distributions to shareholders | (6,913,470) | (12,609,866) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from shares sold | 701,273 | 1,202,213 | |
Reinvestment of distributions | 138,939 | 338,842 | |
Cost of shares redeemed | (799,173) | (3,551,157) | |
Net increase (decrease) from capital share transactions | 41,039 | (2,010,102) | |
Class I | |||
Proceeds from shares sold | 415,383 | 2,463,078 | |
Reinvestment of distributions | 169,932 | 132,543 | |
Cost of shares redeemed | (2,241,802) | (332,586) | |
Net increase (decrease) from capital share transactions | (1,656,487) | 2,263,035 | |
Class K | |||
Proceeds from shares sold | 12,261,888 | 6,974,794 | |
Reinvestment of distributions | 2,160,699 | 3,576,930 | |
Cost of shares redeemed | (6,840,349) | (16,460,811) | |
Net increase (decrease) from capital share transactions | 7,582,238 | (5,909,087) | |
Class N | |||
Proceeds from shares sold | 5,435,833 | 7,397,993 | |
Reinvestment of distributions | 4,365,496 | 8,435,996 | |
Cost of shares redeemed | (33,885,780) | (44,915,136) | |
Net increase (decrease) from capital share transactions | (24,084,451) | (29,081,147) | |
Net increase (decrease) in net assets from beneficial interest transactions | (18,117,661) | (34,737,301) | |
Net increase (decrease) in net assets during the period | (22,157,647) | (64,511,181) | |
Net assets at beginning of period | 193,003,314 | 257,514,495 | |
NET ASSETS AT END OF PERIOD | $170,845,667 | $193,003,314 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 79,548 | 119,308 | |
Reinvestment of distributions | 13,450 | 37,608 | |
Shares redeemed | (87,509) | (356,971) | |
Net increase (decrease) from capital share transactions | 5,489 | (200,055) | |
Class I | |||
Shares sold | 44,403 | 264,974 | |
Reinvestment of distributions | 16,387 | 14,678 | |
Shares redeemed | (269,610) | (32,910) | |
Net increase (decrease) from capital share transactions | (208,820) | 246,742 | |
Class K | |||
Shares sold | 1,294,208 | 699,588 | |
Reinvestment of distributions | 208,562 | 396,116 | |
Shares redeemed | (705,628) | (1,692,438) | |
Net increase (decrease) from capital share transactions | 797,142 | (596,734) | |
Class N | |||
Shares sold | 598,048 | 734,901 | |
Reinvestment of distributions | 420,163 | 932,154 | |
Shares redeemed | (3,653,835) | (4,451,467) | |
Net increase (decrease) from capital share transactions | (2,635,624) | (2,784,412) |
State Street Dynamic Small Cap Fund Class A | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $46.00 | $ 54.62 | $45.02 | $40.42 | $37.21 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.34 | 0.45 | 0.44 | 0.18 | 0.17 | ||||
Net realized and unrealized gain (loss) | 0.32 | (8.58) | 9.40 | 4.50 | 3.33 | ||||
Total from investment operations | 0.66 | (8.13) | 9.84 | 4.68 | 3.50 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.54) | (0.49) | (0.25) | (0.08) | (0.29) | ||||
Net asset value, end of period | $46.12 | $ 46.00 | $54.62 | $45.02 | $40.42 | ||||
Total return (c) | 1.30% | (14.77)% | 21.94%(d) | 11.58% | 9.48% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 154 | $ 203 | $ 270 | $ 354 | $ 170 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 2.13% | 1.95% | 2.09% | 2.09% | 2.39% | ||||
Net expenses (b) | 1.23% | 1.19% | 1.15% | 1.20% | 1.22% | ||||
Net investment income (loss) (b) | 0.74% | 0.95% | 0.88% | 0.40% | 0.46% | ||||
Portfolio turnover rate | 133% | 102% | 110% | 94% | 115% |
(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 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $46.31 | $ 55.01 | $45.25 | $40.54 | $37.25 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.52 | 0.62 | 0.55 | 0.27 | 0.24 | ||||
Net realized and unrealized gain (loss) | 0.34 | (8.67) | 9.49 | 4.54 | 3.36 | ||||
Total from investment operations | 0.86 | (8.05) | 10.04 | 4.81 | 3.60 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.67) | (0.65) | (0.29) | (0.10) | (0.31) | ||||
Net asset value, end of period | $46.50 | $ 46.31 | $55.01 | $45.25 | $40.54 | ||||
Total return (c) | 1.71% | (14.49)% | 22.29%(d) | 11.88% | 9.75% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 946 | $ 1,293 | $1,645 | $1,312 | $1,703 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.75% | 1.62% | 1.79% | 1.85% | 2.14% | ||||
Net expenses (b) | 0.85% | 0.85% | 0.85% | 0.97% | 0.98% | ||||
Net investment income (loss) (b) | 1.13% | 1.29% | 1.10% | 0.61% | 0.65% | ||||
Portfolio turnover rate | 133% | 102% | 110% | 94% | 115% |
(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 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $46.40 | $ 55.11 | $45.36 | $40.67 | $37.33 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.55 | 0.68 | 0.56 | 0.34 | 0.32 | ||||
Net realized and unrealized gain (loss) | 0.31 | (8.74) | 9.50 | 4.53 | 3.37 | ||||
Total from investment operations | 0.86 | (8.06) | 10.06 | 4.87 | 3.69 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.67) | (0.65) | (0.32) | (0.18) | (0.35) | ||||
Net asset value, end of period | $46.59 | $ 46.40 | $55.11 | $45.36 | $40.67 | ||||
Total return (c) | 1.71% | (14.48)% | 22.30%(d) | 11.98% | 9.97% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 24 | $ 24 | $ 15 | $ 12 | $ 11 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.75% | 1.61% | 1.79% | 1.73% | 1.94% | ||||
Net expenses (b) | 0.85% | 0.84% | 0.86% | 0.85% | 0.78% | ||||
Net investment income (loss) (b) | 1.15% | 1.42% | 1.12% | 0.77% | 0.85% | ||||
Portfolio turnover rate | 133% | 102% | 110% | 94% | 115% |
(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 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 46.31 | $ 54.95 | $ 45.27 | $ 40.60 | $ 37.26 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.41 | 0.49 | 0.44 | 0.22 | 0.22 | ||||
Net realized and unrealized gain (loss) | 0.33 | (8.63) | 9.48 | 4.54 | 3.38 | ||||
Total from investment operations | 0.74 | (8.14) | 9.92 | 4.76 | 3.60 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.55) | (0.50) | (0.25) | (0.09) | (0.26) | ||||
Net asset value, end of period | $ 46.50 | $ 46.31 | $ 54.95 | $ 45.27 | $ 40.60 | ||||
Total return (c) | 1.46% | (14.70)% | 21.99%(d) | 11.74% | 9.72% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $16,965 | $17,764 | $24,855 | $25,482 | $29,353 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 2.00% | 1.87% | 2.04% | 1.98% | 2.18% | ||||
Net expenses (b) | 1.10% | 1.10% | 1.10% | 1.10% | 1.02% | ||||
Net investment income (loss) (b) | 0.88% | 1.03% | 0.88% | 0.50% | 0.58% | ||||
Portfolio turnover rate | 133% | 102% | 110% | 94% | 115% |
(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 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 5.90 | $ 7.96 | $ 8.50 | $ 7.48 | $ 9.29 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.10 | 0.24 | 0.22 | 0.11 | 0.14 | ||||
Net realized and unrealized gain (loss) (c) | (0.10) | (0.66) | (0.33) | 1.03 | 0.04 | ||||
Total from investment operations | 0.00 | (0.42) | (0.11) | 1.14 | 0.18 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.15) | (0.33) | (0.13) | (0.12) | — | ||||
Net realized gains | (0.25) | (1.31) | (0.31) | — | (1.99) | ||||
Total distributions | (0.40) | (1.64) | (0.44) | (0.12) | (1.99) | ||||
Net asset value, end of period | $ 5.50 | $ 5.90 | $ 7.96 | $ 8.50 | $ 7.48 | ||||
Total return (d) | (0.47)% | (5.00)% | (1.31)%(e) | 15.57% | 3.35% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 6 | $ 52 | $ 52 | $ 53 | $ 46 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.77% | 1.76% | 1.62% | 1.77% | 1.69% | ||||
Net expenses (b) | 1.25% | 1.25% | 1.25% | 1.37% | 1.41% | ||||
Net investment income (loss) (b) | 1.74% | 3.63% | 2.70% | 1.42% | 1.88% | ||||
Portfolio turnover rate | 42% | 39% | 51% | 38% | 101% |
(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 the year ended August 31, 2018, the total return would have been (1.44)%. |
State Street Defensive Emerging Markets Equity Fund Class I | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 5.94 | $ 8.03 | $ 8.57 | $ 7.52 | $ 9.30 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.17 | 0.21 | 0.26 | 0.14 | 0.14 | ||||
Net realized and unrealized gain (loss) (c) | (0.15) | (0.64) | (0.35) | 1.02 | 0.07 | ||||
Total from investment operations | 0.02 | (0.43) | (0.09) | 1.16 | 0.21 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.17) | (0.35) | (0.15) | (0.11) | — | ||||
Net realized gains | (0.25) | (1.31) | (0.31) | — | (1.99) | ||||
Total distributions | (0.42) | (1.66) | (0.46) | (0.11) | (1.99) | ||||
Net asset value, end of period | $ 5.54 | $ 5.94 | $ 8.03 | $ 8.57 | $ 7.52 | ||||
Total return (d) | (0.37)% | (5.13)% | (1.15)%(e) | 15.96% | 3.70% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,514 | $1,418 | $1,568 | $1,496 | $1,523 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.64% | 1.57% | 1.37% | 1.51% | 1.46% | ||||
Net expenses (b) | 1.12% | 1.06% | 1.00% | 1.11% | 1.18% | ||||
Net investment income (loss) (b) | 3.11% | 3.20% | 3.15% | 1.81% | 1.80% | ||||
Portfolio turnover rate | 42% | 39% | 51% | 38% | 101% |
(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 the year ended August 31, 2018, the total return would have been (1.27)%. |
State Street Defensive Emerging Markets Equity Fund Class K | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 5.98 | $ 8.05 | $ 8.60 | $ 7.55 | $ 9.31 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.18 | 0.25 | 0.20 | 0.15 | 0.20 | ||||
Net realized and unrealized gain (loss) (c) | (0.16) | (0.66) | (0.30) | 1.03 | 0.03 | ||||
Total from investment operations | 0.02 | (0.41) | (0.10) | 1.18 | 0.23 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.17) | (0.35) | (0.15) | (0.13) | — | ||||
Net realized gains | (0.25) | (1.31) | (0.31) | — | (1.99) | ||||
Total distributions | (0.42) | (1.66) | (0.46) | (0.13) | (1.99) | ||||
Net asset value, end of period | $ 5.58 | $ 5.98 | $ 8.05 | $ 8.60 | $ 7.55 | ||||
Total return (d) | (0.14)% | (4.82)% | (1.22)%(e) | 16.02% | 4.07% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 749 | $ 826 | $ 952 | $2,243 | $2,701 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.52% | 1.51% | 1.37% | 1.40% | 1.20% | ||||
Net expenses (b) | 1.00% | 1.00% | 1.00% | 1.00% | 0.92% | ||||
Net investment income (loss) (b) | 3.27% | 3.80% | 2.29% | 1.93% | 2.86% | ||||
Portfolio turnover rate | 42% | 39% | 51% | 38% | 101% |
(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 the year ended August 31, 2018, the total return would have been (1.35)%. |
State Street Defensive Emerging Markets Equity Fund Class N | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 5.95 | $ 8.02 | $ 8.56 | $ 7.52 | $ 9.30 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.17 | 0.23 | 0.21 | 0.12 | 0.13 | ||||
Net realized and unrealized gain (loss) (c) | (0.15) | (0.66) | (0.32) | 1.03 | 0.08 | ||||
Total from investment operations | 0.02 | (0.43) | (0.11) | 1.15 | 0.21 | ||||
Contribution from Adviser (Note 4) | — | — | 0.01 | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.16) | (0.33) | (0.13) | (0.11) | — | ||||
Net realized gains | (0.25) | (1.31) | (0.31) | — | (1.99) | ||||
Total distributions | (0.41) | (1.64) | (0.44) | (0.11) | (1.99) | ||||
Net asset value, end of period | $ 5.56 | $ 5.95 | $ 8.02 | $ 8.56 | $ 7.52 | ||||
Total return (d) | (0.42)% | (5.16)% | (1.29)%(e) | 15.58% | 3.83% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $39,758 | $49,777 | $66,373 | $86,670 | $107,308 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.77% | 1.76% | 1.62% | 1.65% | 1.48% | ||||
Net expenses (b) | 1.25% | 1.25% | 1.25% | 1.25% | 1.21% | ||||
Net investment income (loss) (b) | 2.93% | 3.47% | 2.56% | 1.60% | 1.71% | ||||
Portfolio turnover rate | 42% | 39% | 51% | 38% | 101% |
(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 the year ended August 31, 2018, the total return would have been (1.41)%. |
State Street International Stock Selection Fund Class A | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 9.59 | $10.96 | $11.76 | $10.05 | $10.64 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.19 | 0.22 | 0.26 | 0.27 | 0.27 | ||||
Net realized and unrealized gain (loss) | (0.00)(c) | (1.07) | (0.63) | 1.69 | (0.58) | ||||
Total from investment operations | 0.19 | (0.85) | (0.37) | 1.96 | (0.31) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.32) | (0.52) | (0.43) | (0.25) | (0.28) | ||||
Net asset value, end of period | $ 9.46 | $ 9.59 | $10.96 | $11.76 | $10.05 | ||||
Total return (d) | 1.75% | (7.46)% | (3.35)% | 19.95% | (2.89)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $4,141 | $4,148 | $6,933 | $6,679 | $ 284 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.48% | 1.49% | 1.49% | 1.31% | 1.46% | ||||
Net expenses (b) | 1.20% | 1.22% | 1.25% | 1.07% | 1.19% | ||||
Net investment income (loss) (b) | 2.03% | 2.19% | 2.28% | 2.51% | 2.73% | ||||
Portfolio turnover rate | 104% | 125% | 72% | 94% | 105% |
(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) | Amount is less than $0.005 per share. |
(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. |
State Street International Stock Selection Fund Class I | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 9.65 | $11.05 | $11.81 | $10.10 | $10.65 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.22 | 0.34 | 0.44 | 0.25 | 0.25 | ||||
Net realized and unrealized gain (loss) | 0.00(c) | (1.17) | (0.74) | 1.74 | (0.53) | ||||
Total from investment operations | 0.22 | (0.83) | (0.30) | 1.99 | (0.28) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.36) | (0.57) | (0.46) | (0.28) | (0.27) | ||||
Net asset value, end of period | $ 9.51 | $ 9.65 | $11.05 | $11.81 | $10.10 | ||||
Total return (d) | 2.02% | (7.03)% | (2.84)% | 20.23% | (2.60)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,557 | $4,610 | $2,551 | $ 594 | $ 432 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.15% | 1.12% | 1.00% | 1.09% | 1.21% | ||||
Net expenses (b) | 0.87% | 0.84% | 0.76% | 0.85% | 0.94% | ||||
Net investment income (loss) (b) | 2.33% | 3.38% | 3.84% | 2.33% | 2.45% | ||||
Portfolio turnover rate | 104% | 125% | 72% | 94% | 105% |
(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) | Amount is less than $0.005 per share. |
(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. |
State Street International Stock Selection Fund Class K | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 9.65 | $ 11.04 | $ 11.82 | $ 10.12 | $ 10.67 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.24 | 0.31 | 0.32 | 0.25 | 0.28 | ||||
Net realized and unrealized gain (loss) | (0.00)(c) | (1.12) | (0.64) | 1.75 | (0.54) | ||||
Total from investment operations | 0.24 | (0.81) | (0.32) | 2.00 | (0.26) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.37) | (0.58) | (0.46) | (0.30) | (0.29) | ||||
Net asset value, end of period | $ 9.52 | $ 9.65 | $ 11.04 | $ 11.82 | $ 10.12 | ||||
Total return (d) | 2.21% | (6.98)% | (2.80)% | 20.25% | (2.44)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $60,185 | $53,350 | $67,632 | $80,137 | $75,816 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.03% | 1.03% | 0.99% | 0.99% | 0.99% | ||||
Net expenses (b) | 0.75% | 0.75% | 0.75% | 0.75% | 0.73% | ||||
Net investment income (loss) (b) | 2.52% | 3.07% | 2.72% | 2.37% | 2.79% | ||||
Portfolio turnover rate | 104% | 125% | 72% | 94% | 105% |
(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) | Amount is less than $0.005 per share. |
(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. |
State Street International Stock Selection Fund Class N | |||||||||
Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | Year Ended 8/31/16 | |||||
Net asset value, beginning of period | $ 9.66 | $ 11.04 | $ 11.81 | $ 10.11 | $ 10.65 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.21 | 0.29 | 0.29 | 0.21 | 0.24 | ||||
Net realized and unrealized gain (loss) | 0.01 | (1.12) | (0.63) | 1.76 | (0.52) | ||||
Total from investment operations | 0.22 | (0.83) | (0.34) | 1.97 | (0.28) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.35) | (0.55) | (0.43) | (0.27) | (0.26) | ||||
Net asset value, end of period | $ 9.53 | $ 9.66 | $ 11.04 | $ 11.81 | $ 10.11 | ||||
Total return (c) | 1.94% | (7.19)% | (3.06)% | 20.04% | (2.61)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $103,963 | $130,895 | $180,398 | $213,660 | $228,594 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.28% | 1.28% | 1.23% | 1.24% | 1.26% | ||||
Net expenses (b) | 1.00% | 1.00% | 1.00% | 1.00% | 0.99% | ||||
Net investment income (loss) (b) | 2.20% | 2.85% | 2.49% | 1.98% | 2.41% | ||||
Portfolio turnover rate | 104% | 125% | 72% | 94% | 105% |
(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 | Class A Class I Class K Class N | July 7, 2014 July 7, 2014 July 7, 2014 March 1, 1994 | Diversified |
State Street International Stock Selection Fund | Class A Class I Class K Class N | July 7, 2014 July 7, 2014 July 7, 2014 March 7, 1995 | Diversified |
Funds | Strategies |
State Street Dynamic Small Cap Fund | Exposing cash reserves to markets |
State Street Defensive Emerging Markets Equity Fund | Exposing cash reserves to markets |
State Street International Stock Selection Fund | Exposing cash reserves to markets |
Asset Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Dynamic Small Cap Fund | |||||||||||
Futures Contracts | $— | $— | $— | $ 6,900 | $— | $ 6,900 | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | 34,000 | — | 34,000 | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | 164,765 | — | 164,765 |
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 | $— | $— | $— | $ 27,686 | $— | $ 27,686 | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | (126,345) | — | (126,345) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | 137,215 | — | 137,215 |
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 | $— | $— | $— | $ 12,882 | $— | $ 12,882 | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | — | — | — | 73,947 | — | 73,947 | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | 157,359 | — | 157,359 |
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 | $167,171 |
State Street Defensive Emerging Markets Equity Fund | 235,592 |
State Street International Stock Selection Fund | 498,897 |
Amount Waived | |
State Street Dynamic Small Cap Fund | $ 1,870 |
State Street Defensive Emerging Markets Equity Fund | 4,618 |
State Street International Stock Selection Fund | 18,217 |
Purchases | Sales | ||
State Street Dynamic Small Cap Fund | $ 24,900,260 | $ 24,412,213 | |
State Street Defensive Emerging Markets Equity Fund | 18,476,737 | 25,990,567 | |
State Street International Stock Selection Fund | 184,541,258 | 203,514,894 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Dynamic Small Cap Fund | $ 224,755 | $ — | $ 224,755 | ||
State Street Defensive Emerging Markets Equity Fund | 1,292,885 | 2,038,919 | 3,331,804 | ||
State Street International Stock Selection Fund | 6,913,470 | — | 6,913,470 |
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 |
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 | $ 171,160 | $ (1,208,844) | $ — | $ 419,205 | $— | $ (618,479) | |||||
State Street Defensive Emerging Markets Equity Fund | 1,288,797 | — | 646,846 | 886,887 | — | 2,822,530 | |||||
State Street International Stock Selection Fund | 3,621,376 | (31,682,934) | — | 4,125,043 | — | (23,936,515) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street Dynamic Small Cap Fund | $ 843,482 | $ 365,362 | |
State Street International Stock Selection Fund | 27,136,552 | 4,546,382 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Dynamic Small Cap Fund | $ 18,360,444 | $ 1,995,431 | $1,576,226 | $ 419,205 | |||
State Street Defensive Emerging Markets Equity Fund | 40,469,182 | 6,199,867 | 5,189,951 | 1,009,916 | |||
State Street International Stock Selection Fund | 163,536,318 | 13,522,347 | 9,479,996 | 4,042,351 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Dynamic Small Cap Fund | $ 1,116,092 | $ 649,271 | $ 490,315 | $ 1,139,586 | ||||
State Street Defensive Emerging Markets Equity Fund | 123,670 | — | 152,640 | 152,640 | ||||
State Street International Stock Selection Fund | 3,188,871 | 28,939 | 3,307,363 | 3,336,302 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of August 31, 2020 | ||||||||||||||
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 | $649,271 | $— | $— | $— | $649,271 | $649,271 | |||||||
State Street International Stock Selection Fund | Common Stocks | 28,939 | — | — | — | 28,939 | 28,939 |
October 26, 2020
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 | 1.23% | $ 980.70 | $6.12 | $1,019.00 | $6.24 | ||||
Class I | 0.85 | 982.70 | 4.24 | 1,020.90 | 4.32 | ||||
Class K | 0.85 | 982.70 | 4.24 | 1,020.90 | 4.32 | ||||
Class N | 1.10 | 981.60 | 5.48 | 1,019.60 | 5.58 | ||||
State Street Defensive Emerging Markets Equity Fund | |||||||||
Class A | 1.25 | 1,028.00 | 6.37 | 1,018.90 | 6.34 | ||||
Class I | 1.15 | 1,027.90 | 5.86 | 1,019.40 | 5.84 | ||||
Class K | 1.00 | 1,029.50 | 5.10 | 1,020.10 | 5.08 | ||||
Class N | 1.25 | 1,027.80 | 6.37 | 1,018.90 | 6.34 | ||||
State Street International Stock Selection Fund | |||||||||
Class A | 1.20 | 1,032.80 | 6.13 | 1,019.10 | 6.09 | ||||
Class I | 0.87 | 1,034.80 | 4.45 | 1,020.80 | 4.42 | ||||
Class K | 0.75 | 1,035.90 | 3.84 | 1,021.40 | 3.81 | ||||
Class N | 1.00 | 1,034.70 | 5.11 | 1,020.10 | 5.08 |
(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 366. |
Amount | |
State Street Defensive Emerging Markets Equity Fund | $2,038,919 |
Amount | |
State Street Defensive Emerging Markets Equity Fund | $239,621 |
State Street International Stock Selection Fund | 43,809 |
Amount | |
State Street Defensive Emerging Markets Equity Fund | $2,092,194 |
State Street International Stock Selection Fund | 6,010,590 |
• | 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; |
• | Information about the Adviser’s proxy voting policies and procedures and 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; |
• | 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 13, 2020; |
• | 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). | 66 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); 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. | 66 | 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 - 2019); Senior Advisor to NGN Capital LLC (2019 - present); and Managing Director, Vice President of Walden Capital Management (1996 - present). | 66 | 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, Muscular Dystrophy Association (since 2019); 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. | 66 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). | |||||
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). | 66 | 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). | 66 | 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). | 48 | 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). | 66 | None. | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected: 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* | 66 | None. | |||||
† 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 individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trusts (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: | ||||||
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Manager, 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 (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); Mutual Funds Controller at 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). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (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). |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: | ||||||
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp (October 2010 – October 2019) | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1975 | Assistant Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
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 trustees and officers 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
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 Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, 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 Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended August 31, 2020 and August 31, 2019, 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 $109,376 and $112,180, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended August 31, 2020 and August 31, 2019, 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, 2020 and August 31, 2019, 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 $36,152 and $37,080, respectively.
(d) | All Other Fees |
For the fiscal years ended August 31, 2020 and August 31, 2019, 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, 2020 and August 31, 2019, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $7,019,005 and $6,939,666, respectively.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Fund Entity’s independent auditor for non-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 Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) Percentages of Services
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended August 31, 2020 and August 31, 2019, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $35,152,927 and $35,545,000, respectively.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the 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 Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-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 for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | SSGA FUNDS |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | November 3, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: | November 3, 2020 |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | November 3, 2020 |