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: February 28, 2021
Item 1. Reports to Stockholders.
(a) The Reports to Shareholders are attached herewith.
(b) Not applicable.
State Street S&P 500 Index Fund |
1 | |
3 | |
10 | |
11 | |
12 | |
13 | |
14 | |
21 |
Description | % of Net Assets | ||
Apple, Inc. | 5.9% | ||
Microsoft Corp. | 5.4 | ||
Amazon.com, Inc. | 4.0 | ||
Facebook, Inc. | 1.9 | ||
Alphabet, Inc. | 1.9 | ||
TOTAL | 19.1% |
% of Net Assets | |||
Software | 8.4% | ||
Technology Hardware, Storage & Peripherals | 6.3 | ||
Interactive Media & Services | 5.7 | ||
Semiconductors & Semiconductor Equipment | 5.5 | ||
IT Services | 5.2 | ||
Internet & Direct Marketing Retail | 4.6 | ||
Banks | 4.3 | ||
Health Care Equipment & Supplies | 3.7 | ||
Pharmaceuticals | 3.7 | ||
Capital Markets | 2.8 | ||
Oil, Gas & Consumable Fuels | 2.5 | ||
Health Care Providers & Services | 2.5 | ||
Equity Real Estate Investment Trusts (REITs) | 2.4 | ||
Entertainment | 2.2 | ||
Specialty Retail | 2.1 | ||
Insurance | 1.9 | ||
Automobiles | 1.9 | ||
Biotechnology | 1.8 | ||
Chemicals | 1.8 | ||
Machinery | 1.7 | ||
Hotels, Restaurants & Leisure | 1.7 | ||
Electric Utilities | 1.6 | ||
Aerospace & Defense | 1.5 | ||
Diversified Financial Services | 1.4 | ||
Household Products | 1.4 | ||
Beverages | 1.4 | ||
Media | 1.4 | ||
Diversified Telecommunication Services | 1.3 | ||
Food & Staples Retailing | 1.3 | ||
Industrial Conglomerates | 1.2 | ||
Life Sciences Tools & Services | 1.2 | ||
Road & Rail | 1.0 | ||
Food Products | 0.9 | ||
Communications Equipment | 0.8 | ||
Multi-Utilities | 0.7 | ||
Textiles, Apparel & Luxury Goods | 0.7 | ||
Electronic Equipment, Instruments & Components | 0.7 | ||
Tobacco | 0.6 | ||
Air Freight & Logistics | 0.6 | ||
Consumer Finance | 0.6 | ||
Multiline Retail | 0.5 | ||
Electrical Equipment | 0.5 | ||
Building Products | 0.5 | ||
Household Durables | 0.4 | ||
Professional Services | 0.4 | ||
Commercial Services & Supplies | 0.4 | ||
Metals & Mining | 0.3 | ||
Containers & Packaging | 0.3 | ||
Airlines | 0.3 | ||
Energy Equipment & Services | 0.3 | ||
Wireless Telecommunication Services | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Personal Products | 0.2 | ||
Auto Components | 0.2 | ||
Construction Materials | 0.1 | ||
Distributors | 0.1 | ||
Water Utilities | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
Health Care Technology | 0.1 | ||
Independent Power & Renewable Electricity Producers | 0.1 | ||
Leisure Equipment & Products | 0.0* | ||
Construction & Engineering | 0.0* |
% of Net Assets | |||
Gas Utilities | 0.0*% | ||
Short-Term Investments | 1.5 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.3% | ||||||
COMMUNICATION SERVICES — 10.9% | ||||||
Activision Blizzard, Inc. | 34,400 | $ 3,288,984 | ||||
Alphabet, Inc. Class A (a) | 13,523 | 27,342,289 | ||||
Alphabet, Inc. Class C (a) | 13,045 | 26,570,839 | ||||
AT&T, Inc. | 320,100 | 8,927,589 | ||||
Cars.com, Inc. (a) | 1 | 12 | ||||
Charter Communications, Inc. Class A (a) | 6,700 | 4,109,914 | ||||
Comcast Corp. Class A | 205,230 | 10,819,726 | ||||
Discovery, Inc. Class A (a)(b) | 6,597 | 349,839 | ||||
Discovery, Inc. Class C (a) | 13,760 | 619,200 | ||||
DISH Network Corp. Class A (a) | 12,717 | 400,713 | ||||
Electronic Arts, Inc. | 13,421 | 1,798,011 | ||||
Facebook, Inc. Class A (a) | 108,307 | 27,902,049 | ||||
Fox Corp. Class A | 16,903 | 563,039 | ||||
Fox Corp. Class B | 5,600 | 178,808 | ||||
Interpublic Group of Cos., Inc. | 15,528 | 405,591 | ||||
Live Nation Entertainment, Inc. (a)(b) | 6,000 | 533,160 | ||||
Lumen Technologies, Inc. | 43,887 | 539,371 | ||||
Netflix, Inc. (a) | 19,896 | 10,720,960 | ||||
News Corp. Class A | 18,814 | 441,188 | ||||
News Corp. Class B | 7,500 | 171,900 | ||||
Omnicom Group, Inc. | 10,650 | 731,975 | ||||
Take-Two Interactive Software, Inc. (a) | 5,500 | 1,014,530 | ||||
T-Mobile US, Inc. (a) | 25,950 | 3,113,221 | ||||
Twitter, Inc. (a) | 36,300 | 2,797,278 | ||||
Verizon Communications, Inc. | 185,951 | 10,283,090 | ||||
ViacomCBS, Inc. Class B | 24,831 | 1,601,351 | ||||
Walt Disney Co. (a) | 81,438 | 15,395,040 | ||||
160,619,667 | ||||||
CONSUMER DISCRETIONARY — 12.2% | ||||||
Advance Auto Parts, Inc. | 3,300 | 529,155 | ||||
Amazon.com, Inc. (a) | 19,202 | 59,390,442 | ||||
Aptiv PLC | 11,881 | 1,780,249 | ||||
AutoZone, Inc. (a) | 1,088 | 1,261,993 | ||||
Best Buy Co., Inc. | 10,713 | 1,075,049 | ||||
Booking Holdings, Inc. (a) | 1,808 | 4,209,946 | ||||
BorgWarner, Inc. | 12,323 | 554,535 | ||||
CarMax, Inc. (a) | 7,197 | 860,113 | ||||
Carnival Corp. | 35,949 | 961,636 | ||||
Chipotle Mexican Grill, Inc. (a) | 1,214 | 1,750,588 | ||||
D.R. Horton, Inc. | 15,579 | 1,197,558 | ||||
Darden Restaurants, Inc. | 6,217 | 853,781 | ||||
Dollar General Corp. | 10,787 | 2,038,635 | ||||
Dollar Tree, Inc. (a) | 11,182 | 1,098,072 | ||||
Domino's Pizza, Inc. | 1,700 | 589,067 | ||||
eBay, Inc. | 30,158 | 1,701,514 | ||||
Etsy, Inc. (a) | 6,000 | 1,321,620 | ||||
Expedia Group, Inc. | 5,975 | 961,975 |
Security Description | Shares | Value | ||||
Ford Motor Co. | 172,660 | $ 2,020,122 | ||||
Gap, Inc. (a) | 10,064 | 251,097 | ||||
Garmin, Ltd. | 6,560 | 813,571 | ||||
General Motors Co. | 55,977 | 2,873,299 | ||||
Genuine Parts Co. | 6,120 | 644,742 | ||||
Hanesbrands, Inc. (b) | 16,800 | 297,192 | ||||
Hasbro, Inc. | 6,328 | 592,997 | ||||
Hilton Worldwide Holdings, Inc. | 12,200 | 1,508,896 | ||||
Home Depot, Inc. | 48,410 | 12,506,239 | ||||
L Brands, Inc. | 10,346 | 565,512 | ||||
Las Vegas Sands Corp. | 14,800 | 926,480 | ||||
Leggett & Platt, Inc. | 6,444 | 278,832 | ||||
Lennar Corp. Class A | 12,725 | 1,055,793 | ||||
LKQ Corp. (a) | 11,800 | 464,802 | ||||
Lowe's Cos., Inc. | 32,812 | 5,241,717 | ||||
Marriott International, Inc. Class A | 12,252 | 1,814,154 | ||||
McDonald's Corp. | 33,415 | 6,888,168 | ||||
MGM Resorts International | 17,500 | 661,325 | ||||
Mohawk Industries, Inc. (a) | 2,969 | 519,545 | ||||
Newell Brands, Inc. | 19,750 | 457,607 | ||||
NIKE, Inc. Class B | 56,302 | 7,588,384 | ||||
Norwegian Cruise Line Holdings, Ltd. (a) | 12,900 | 381,324 | ||||
NVR, Inc. (a) | 170 | 765,143 | ||||
O'Reilly Automotive, Inc. (a) | 3,320 | 1,485,136 | ||||
Pool Corp. | 2,000 | 669,540 | ||||
PulteGroup, Inc. | 13,443 | 606,414 | ||||
PVH Corp. | 3,351 | 334,966 | ||||
Ralph Lauren Corp. | 2,236 | 261,791 | ||||
Ross Stores, Inc. | 16,544 | 1,929,692 | ||||
Royal Caribbean Cruises, Ltd. | 8,500 | 792,795 | ||||
Starbucks Corp. | 52,592 | 5,681,514 | ||||
Tapestry, Inc. | 13,100 | 552,034 | ||||
Target Corp. | 22,344 | 4,098,783 | ||||
Tesla, Inc. (a) | 34,200 | 23,102,100 | ||||
TJX Cos., Inc. | 53,550 | 3,533,764 | ||||
Tractor Supply Co. | 4,974 | 790,667 | ||||
Ulta Beauty, Inc. (a) | 2,700 | 870,291 | ||||
Under Armour, Inc. Class A (a) | 3,676 | 80,468 | ||||
Under Armour, Inc. Class C (a) | 9,278 | 168,860 | ||||
VF Corp. | 15,228 | 1,204,992 | ||||
Whirlpool Corp. | 2,759 | 524,431 | ||||
Wynn Resorts, Ltd. | 4,559 | 600,557 | ||||
Yum! Brands, Inc. | 13,190 | 1,365,561 | ||||
179,907,225 | ||||||
CONSUMER STAPLES — 5.9% | ||||||
Altria Group, Inc. | 82,870 | 3,613,132 | ||||
Archer-Daniels-Midland Co. | 24,392 | 1,380,099 | ||||
British American Tobacco PLC ADR | 1 | 35 | ||||
Brown-Forman Corp. Class B | 9,127 | 653,311 |
Security Description | Shares | Value | ||||
Campbell Soup Co. | 8,783 | $ 399,451 | ||||
Church & Dwight Co., Inc. | 11,000 | 866,250 | ||||
Clorox Co. | 5,979 | 1,082,498 | ||||
Coca-Cola Co. | 173,722 | 8,510,641 | ||||
Colgate-Palmolive Co. | 39,179 | 2,946,261 | ||||
Conagra Brands, Inc. | 20,751 | 704,082 | ||||
Constellation Brands, Inc. Class A | 7,476 | 1,600,911 | ||||
Costco Wholesale Corp. | 19,734 | 6,531,954 | ||||
Estee Lauder Cos., Inc. Class A | 10,063 | 2,876,609 | ||||
General Mills, Inc. | 26,822 | 1,475,478 | ||||
Hershey Co. | 7,015 | 1,021,735 | ||||
Hormel Foods Corp. | 13,998 | 649,087 | ||||
J.M. Smucker Co. | 5,455 | 610,960 | ||||
Kellogg Co. | 11,607 | 669,840 | ||||
Kimberly-Clark Corp. | 15,873 | 2,036,982 | ||||
Kraft Heinz Co. | 28,051 | 1,020,495 | ||||
Kroger Co. | 36,910 | 1,188,871 | ||||
Lamb Weston Holdings, Inc. | 7,000 | 558,390 | ||||
McCormick & Co., Inc. | 11,822 | 996,358 | ||||
Molson Coors Beverage Co. Class B | 9,209 | 409,340 | ||||
Mondelez International, Inc. Class A | 63,694 | 3,385,973 | ||||
Monster Beverage Corp. (a) | 16,987 | 1,490,439 | ||||
PepsiCo, Inc. | 62,038 | 8,014,689 | ||||
Philip Morris International, Inc. | 69,787 | 5,863,504 | ||||
Procter & Gamble Co. | 111,513 | 13,775,201 | ||||
Sysco Corp. | 22,435 | 1,786,499 | ||||
Tyson Foods, Inc. Class A | 13,991 | 946,771 | ||||
Walmart, Inc. | 62,199 | 8,080,894 | ||||
Walgreens Boots Alliance, Inc. | 32,813 | 1,572,727 | ||||
86,719,467 | ||||||
ENERGY — 2.8% | ||||||
APA Corp. | 18,270 | 360,467 | ||||
Baker Hughes Co. | 32,394 | 793,005 | ||||
Cabot Oil & Gas Corp. | 20,922 | 387,266 | ||||
ChampionX Corp. (a) | 1 | 21 | ||||
Chevron Corp. | 86,498 | 8,649,800 | ||||
ConocoPhillips | 60,327 | 3,137,607 | ||||
Devon Energy Corp. | 28,880 | 622,075 | ||||
Diamondback Energy, Inc. | 6,000 | 415,680 | ||||
EOG Resources, Inc. | 25,663 | 1,656,803 | ||||
Exxon Mobil Corp. | 190,072 | 10,334,215 | ||||
Halliburton Co. | 39,467 | 861,565 | ||||
Hess Corp. | 12,044 | 789,243 | ||||
HollyFrontier Corp. | 7,000 | 265,160 | ||||
Kinder Morgan, Inc. | 84,976 | 1,249,147 | ||||
Marathon Oil Corp. | 41,589 | 461,638 | ||||
Marathon Petroleum Corp. | 28,584 | 1,561,258 | ||||
Nov, Inc. | 18,541 | 279,969 | ||||
Occidental Petroleum Corp. | 39,937 | 1,062,724 | ||||
ONEOK, Inc. | 19,804 | 877,119 |
Security Description | Shares | Value | ||||
Phillips 66 | 19,192 | $ 1,593,896 | ||||
Pioneer Natural Resources Co. | 9,424 | 1,400,124 | ||||
Schlumberger NV | 64,293 | 1,794,418 | ||||
Valero Energy Corp. | 18,886 | 1,453,844 | ||||
Williams Cos., Inc. | 52,910 | 1,208,465 | ||||
41,215,509 | ||||||
FINANCIALS — 11.0% | ||||||
Aflac, Inc. | 29,774 | 1,425,877 | ||||
Allstate Corp. | 13,967 | 1,488,882 | ||||
American Express Co. | 29,152 | 3,943,100 | ||||
American International Group, Inc. | 37,932 | 1,667,111 | ||||
Ameriprise Financial, Inc. | 5,263 | 1,164,386 | ||||
Aon PLC Class A | 8,847 | 2,014,550 | ||||
Arthur J Gallagher & Co. | 8,600 | 1,030,280 | ||||
Assurant, Inc. | 3,046 | 375,328 | ||||
Bank of America Corp. | 342,366 | 11,883,524 | ||||
Bank of New York Mellon Corp. | 35,791 | 1,508,949 | ||||
Berkshire Hathaway, Inc. Class B (a) | 87,619 | 21,073,246 | ||||
BlackRock, Inc. | 6,318 | 4,387,851 | ||||
Capital One Financial Corp. | 20,268 | 2,436,011 | ||||
Cboe Global Markets, Inc. | 4,700 | 465,112 | ||||
Charles Schwab Corp. | 68,189 | 4,208,625 | ||||
Chubb, Ltd. | 20,541 | 3,339,556 | ||||
Cincinnati Financial Corp. | 7,405 | 724,727 | ||||
Citigroup, Inc. | 93,293 | 6,146,143 | ||||
Citizens Financial Group, Inc. | 18,900 | 821,016 | ||||
CME Group, Inc. | 15,992 | 3,193,602 | ||||
Comerica, Inc. | 6,717 | 457,428 | ||||
Discover Financial Services | 14,077 | 1,324,223 | ||||
Everest Re Group, Ltd. | 1,600 | 386,896 | ||||
Fifth Third Bancorp | 33,254 | 1,153,581 | ||||
First Republic Bank | 8,000 | 1,318,000 | ||||
Franklin Resources, Inc. | 10,551 | 276,120 | ||||
Globe Life, Inc. | 4,584 | 428,146 | ||||
Goldman Sachs Group, Inc. | 15,388 | 4,916,158 | ||||
Hartford Financial Services Group, Inc. | 16,130 | 817,630 | ||||
Huntington Bancshares, Inc. | 50,165 | 769,531 | ||||
Intercontinental Exchange, Inc. | 25,625 | 2,826,694 | ||||
Invesco, Ltd. | 16,189 | 362,957 | ||||
JPMorgan Chase & Co. | 137,272 | 20,202,320 | ||||
KeyCorp. | 43,079 | 867,611 | ||||
Lincoln National Corp. | 7,410 | 421,407 | ||||
Loews Corp. | 10,012 | 478,674 | ||||
M&T Bank Corp. | 6,134 | 925,866 | ||||
MarketAxess Holdings, Inc. | 1,800 | 1,000,692 | ||||
Marsh & McLennan Cos., Inc. | 23,434 | 2,700,065 | ||||
MetLife, Inc. | 35,226 | 2,029,018 | ||||
Moody's Corp. | 7,534 | 2,071,021 | ||||
Morgan Stanley | 63,961 | 4,916,682 | ||||
MSCI, Inc. | 3,900 | 1,616,628 |
Security Description | Shares | Value | ||||
Nasdaq, Inc. | 5,025 | $ 694,907 | ||||
Northern Trust Corp. | 9,610 | 914,199 | ||||
People's United Financial, Inc. | 22,434 | 402,466 | ||||
PNC Financial Services Group, Inc. | 18,842 | 3,172,239 | ||||
Principal Financial Group, Inc. | 12,326 | 697,405 | ||||
Progressive Corp. | 25,952 | 2,230,574 | ||||
Prudential Financial, Inc. | 17,337 | 1,503,465 | ||||
Raymond James Financial, Inc. | 5,800 | 677,092 | ||||
Regions Financial Corp. | 41,343 | 852,906 | ||||
S&P Global, Inc. | 10,698 | 3,523,493 | ||||
State Street Corp. (c) | 16,847 | 1,225,956 | ||||
SVB Financial Group (a) | 2,300 | 1,162,328 | ||||
Synchrony Financial | 23,871 | 923,330 | ||||
T Rowe Price Group, Inc. | 10,420 | 1,689,499 | ||||
Travelers Cos., Inc. | 11,098 | 1,614,759 | ||||
Truist Financial Corp. | 61,498 | 3,502,926 | ||||
Unum Group | 9,624 | 254,844 | ||||
US Bancorp | 61,030 | 3,051,500 | ||||
Wells Fargo & Co. | 185,446 | 6,707,582 | ||||
Willis Towers Watson PLC | 8,728 | 1,925,746 | ||||
WR Berkley Corp. | 7,000 | 485,310 | ||||
Zions Bancorp NA | 8,658 | 460,346 | ||||
163,238,096 | ||||||
HEALTH CARE — 12.9% | ||||||
Abbott Laboratories | 79,649 | 9,540,357 | ||||
AbbVie, Inc. | 79,252 | 8,538,611 | ||||
ABIOMED, Inc. (a) | 2,200 | 714,010 | ||||
Agilent Technologies, Inc. | 14,075 | 1,718,135 | ||||
Alexion Pharmaceuticals, Inc. (a) | 10,027 | 1,531,624 | ||||
Align Technology, Inc. (a) | 3,200 | 1,814,752 | ||||
AmerisourceBergen Corp. | 6,752 | 683,437 | ||||
Amgen, Inc. | 26,091 | 5,868,388 | ||||
Anthem, Inc. | 11,119 | 3,371,170 | ||||
Baxter International, Inc. | 23,670 | 1,838,922 | ||||
Becton Dickinson and Co. | 12,877 | 3,105,289 | ||||
Biogen, Inc. (a) | 6,747 | 1,841,121 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 900 | 526,050 | ||||
Boston Scientific Corp. (a) | 65,277 | 2,531,442 | ||||
Bristol-Myers Squibb Co. | 101,277 | 6,211,318 | ||||
Cardinal Health, Inc. | 13,024 | 670,996 | ||||
Catalent, Inc. (a) | 7,200 | 818,712 | ||||
Centene Corp. (a) | 25,378 | 1,485,628 | ||||
Cerner Corp. | 13,763 | 951,574 | ||||
Cigna Corp. | 16,584 | 3,480,982 | ||||
Cooper Cos., Inc. | 2,300 | 888,099 | ||||
CVS Health Corp. | 58,433 | 3,981,040 | ||||
Danaher Corp. | 28,378 | 6,233,795 | ||||
DaVita, Inc. (a) | 2,972 | 303,530 | ||||
DENTSPLY SIRONA, Inc. | 10,866 | 576,659 | ||||
DexCom, Inc. (a) | 4,500 | 1,790,010 |
Security Description | Shares | Value | ||||
Edwards Lifesciences Corp. (a) | 27,570 | $ 2,291,067 | ||||
Eli Lilly & Co. | 35,662 | 7,306,787 | ||||
Gilead Sciences, Inc. | 55,846 | 3,428,944 | ||||
HCA Healthcare, Inc. | 12,300 | 2,115,969 | ||||
Henry Schein, Inc. (a) | 7,100 | 439,135 | ||||
Hologic, Inc. (a) | 11,300 | 814,617 | ||||
Humana, Inc. | 6,117 | 2,322,319 | ||||
IDEXX Laboratories, Inc. (a) | 3,800 | 1,976,646 | ||||
Illumina, Inc. (a) | 6,500 | 2,856,165 | ||||
Incyte Corp. (a) | 9,000 | 707,940 | ||||
Intuitive Surgical, Inc. (a) | 5,356 | 3,946,301 | ||||
IQVIA Holdings, Inc. (a) | 9,000 | 1,735,110 | ||||
Johnson & Johnson | 118,541 | 18,784,007 | ||||
Laboratory Corp. of America Holdings (a) | 4,547 | 1,090,871 | ||||
McKesson Corp. | 7,629 | 1,293,268 | ||||
Medtronic PLC | 60,404 | 7,065,456 | ||||
Merck & Co., Inc. | 113,598 | 8,249,487 | ||||
Mettler-Toledo International, Inc. (a) | 1,100 | 1,227,655 | ||||
PerkinElmer, Inc. | 5,032 | 634,485 | ||||
Perrigo Co. PLC | 6,714 | 270,977 | ||||
Pfizer, Inc. | 249,548 | 8,357,363 | ||||
Quest Diagnostics, Inc. | 6,458 | 746,480 | ||||
Regeneron Pharmaceuticals, Inc. (a) | 4,658 | 2,098,755 | ||||
ResMed, Inc. | 6,300 | 1,214,514 | ||||
STERIS PLC | 4,200 | 734,160 | ||||
Stryker Corp. | 14,595 | 3,542,061 | ||||
Teleflex, Inc. | 2,200 | 875,864 | ||||
Thermo Fisher Scientific, Inc. | 17,812 | 8,016,825 | ||||
UnitedHealth Group, Inc. | 42,722 | 14,193,103 | ||||
Universal Health Services, Inc. Class B | 3,200 | 401,056 | ||||
Varian Medical Systems, Inc. (a) | 4,331 | 759,094 | ||||
Vertex Pharmaceuticals, Inc. (a) | 11,848 | 2,518,292 | ||||
Viatris, Inc. (a) | 55,572 | 825,244 | ||||
Waters Corp. (a) | 2,715 | 743,584 | ||||
West Pharmaceutical Services, Inc. | 3,300 | 926,145 | ||||
Zimmer Biomet Holdings, Inc. | 9,127 | 1,488,249 | ||||
Zoetis, Inc. | 21,128 | 3,279,911 | ||||
190,293,557 | ||||||
INDUSTRIALS — 8.3% | ||||||
3M Co. | 25,743 | 4,506,570 | ||||
A.O. Smith Corp. | 6,500 | 385,905 | ||||
Alaska Air Group, Inc. | 5,900 | 383,618 | ||||
Allegion PLC | 4,537 | 493,535 | ||||
American Airlines Group, Inc. (b) | 24,400 | 510,936 | ||||
AMETEK, Inc. | 10,001 | 1,179,818 | ||||
Boeing Co. | 23,724 | 5,029,725 |
Security Description | Shares | Value | |||
C.H. Robinson Worldwide, Inc. | 6,482 | $ 588,890 | |||
Carrier Global Corp. | 35,579 | 1,299,701 | |||
Caterpillar, Inc. | 24,355 | 5,257,757 | |||
Cintas Corp. | 3,822 | 1,239,627 | |||
Copart, Inc. (a) | 9,900 | 1,080,684 | |||
CSX Corp. | 34,059 | 3,118,101 | |||
Cummins, Inc. | 6,544 | 1,656,941 | |||
Deere & Co. | 14,054 | 4,906,532 | |||
Delta Air Lines, Inc. | 27,866 | 1,335,896 | |||
Dover Corp. | 6,345 | 782,085 | |||
Eaton Corp. PLC | 17,699 | 2,304,233 | |||
Emerson Electric Co. | 26,469 | 2,273,687 | |||
Equifax, Inc. | 5,795 | 938,095 | |||
Expeditors International of Washington, Inc. | 8,344 | 766,313 | |||
Fastenal Co. | 27,384 | 1,269,796 | |||
FedEx Corp. | 10,750 | 2,735,875 | |||
Flowserve Corp. | 6,255 | 231,435 | |||
Fortive Corp. | 15,381 | 1,012,377 | |||
Fortune Brands Home & Security, Inc. | 6,200 | 515,468 | |||
General Dynamics Corp. | 10,689 | 1,747,331 | |||
General Electric Co. | 391,949 | 4,915,040 | |||
Honeywell International, Inc. | 31,503 | 6,374,632 | |||
Howmet Aerospace, Inc. | 18,563 | 521,806 | |||
Huntington Ingalls Industries, Inc. | 2,200 | 387,002 | |||
IDEX Corp. | 3,400 | 663,578 | |||
IHS Markit, Ltd. | 16,300 | 1,469,608 | |||
Illinois Tool Works, Inc. | 12,771 | 2,582,041 | |||
Ingersoll Rand, Inc. (a) | 17,591 | 815,167 | |||
Jacobs Engineering Group, Inc. | 5,457 | 627,992 | |||
JB Hunt Transport Services, Inc. | 4,200 | 616,854 | |||
Johnson Controls International PLC | 33,293 | 1,857,416 | |||
Kansas City Southern | 4,504 | 956,379 | |||
L3Harris Technologies, Inc. | 9,712 | 1,766,710 | |||
Leidos Holdings, Inc. | 6,400 | 566,080 | |||
Lockheed Martin Corp. | 11,290 | 3,728,523 | |||
Masco Corp. | 10,939 | 582,174 | |||
Nielsen Holdings PLC | 17,175 | 384,892 | |||
Norfolk Southern Corp. | 11,568 | 2,915,830 | |||
Northrop Grumman Corp. | 6,886 | 2,008,371 | |||
Old Dominion Freight Line, Inc. | 4,400 | 944,988 | |||
Otis Worldwide Corp. | 19,389 | 1,235,273 | |||
PACCAR, Inc. | 15,135 | 1,377,134 | |||
Parker-Hannifin Corp. | 5,614 | 1,610,993 | |||
Pentair PLC | 7,891 | 441,344 | |||
Quanta Services, Inc. | 6,693 | 561,208 | |||
Raytheon Technologies Corp. | 67,952 | 4,891,864 | |||
Republic Services, Inc. | 9,214 | 820,875 | |||
Robert Half International, Inc. | 4,374 | 340,253 | |||
Rockwell Automation, Inc. | 5,079 | 1,235,619 |
Security Description | Shares | Value | ||||
Rollins, Inc. | 10,425 | $ 345,797 | ||||
Roper Technologies, Inc. | 4,635 | 1,750,269 | ||||
Snap-on, Inc. | 2,272 | 461,466 | ||||
Southwest Airlines Co. | 26,927 | 1,565,267 | ||||
Stanley Black & Decker, Inc. | 6,950 | 1,215,138 | ||||
Teledyne Technologies, Inc. (a) | 1,800 | 667,800 | ||||
Textron, Inc. | 9,706 | 488,600 | ||||
Trane Technologies PLC | 10,516 | 1,611,472 | ||||
TransDigm Group, Inc. (a) | 2,500 | 1,441,675 | ||||
Union Pacific Corp. | 30,238 | 6,227,818 | ||||
United Airlines Holdings, Inc. (a) | 12,400 | 653,232 | ||||
United Parcel Service, Inc. Class B | 31,955 | 5,043,458 | ||||
United Rentals, Inc. (a) | 3,200 | 951,616 | ||||
Verisk Analytics, Inc. | 7,100 | 1,163,335 | ||||
W.W. Grainger, Inc. | 2,212 | 824,435 | ||||
Waste Management, Inc. | 17,104 | 1,896,663 | ||||
Westinghouse Air Brake Technologies Corp. | 8,982 | 650,566 | ||||
Xylem, Inc. | 7,934 | 789,909 | ||||
122,499,093 | ||||||
INFORMATION TECHNOLOGY — 26.8% | ||||||
Accenture PLC Class A | 28,382 | 7,121,044 | ||||
Adobe, Inc. (a) | 21,513 | 9,888,881 | ||||
Advanced Micro Devices, Inc. (a) | 53,800 | 4,546,638 | ||||
Akamai Technologies, Inc. (a) | 7,534 | 711,963 | ||||
Amphenol Corp. Class A | 13,180 | 1,656,462 | ||||
Analog Devices, Inc. | 12,569 | 1,958,502 | ||||
ANSYS, Inc. (a) | 3,800 | 1,295,762 | ||||
Apple, Inc. | 720,956 | 87,423,125 | ||||
Applied Materials, Inc. | 40,853 | 4,828,416 | ||||
Arista Networks, Inc. (a) | 2,700 | 755,568 | ||||
Autodesk, Inc. (a) | 10,070 | 2,779,320 | ||||
Automatic Data Processing, Inc. | 19,065 | 3,317,691 | ||||
Broadcom, Inc. | 18,135 | 8,521,092 | ||||
Broadridge Financial Solutions, Inc. | 5,200 | 740,948 | ||||
Cadence Design Systems, Inc. (a) | 12,300 | 1,735,407 | ||||
CDW Corp. | 6,600 | 1,035,474 | ||||
Cisco Systems, Inc. | 189,729 | 8,513,140 | ||||
Citrix Systems, Inc. | 5,778 | 771,825 | ||||
Cognizant Technology Solutions Corp. Class A | 24,827 | 1,824,288 | ||||
Corning, Inc. | 35,350 | 1,351,784 | ||||
DXC Technology Co. | 12,091 | 304,935 | ||||
Enphase Energy, Inc. (a) | 6,000 | 1,056,360 | ||||
F5 Networks, Inc. (a) | 2,959 | 562,151 | ||||
Fidelity National Information Services, Inc. | 27,686 | 3,820,668 | ||||
Fiserv, Inc. (a) | 26,484 | 3,055,459 |
Security Description | Shares | Value | |||
FleetCor Technologies, Inc. (a) | 3,900 | $ 1,081,509 | |||
FLIR Systems, Inc. | 4,639 | 247,723 | |||
Fortinet, Inc. (a) | 6,000 | 1,013,100 | |||
Gartner, Inc. (a) | 3,900 | 698,256 | |||
Global Payments, Inc. | 13,618 | 2,696,228 | |||
Hewlett Packard Enterprise Co. | 55,063 | 801,717 | |||
HP, Inc. | 60,363 | 1,748,716 | |||
Intel Corp. | 184,220 | 11,196,892 | |||
International Business Machines Corp. | 39,847 | 4,739,004 | |||
Intuit, Inc. | 12,026 | 4,691,824 | |||
IPG Photonics Corp. (a) | 1,400 | 318,290 | |||
Jack Henry & Associates, Inc. | 3,600 | 534,384 | |||
Juniper Networks, Inc. | 16,444 | 382,816 | |||
Keysight Technologies, Inc. (a) | 8,800 | 1,245,376 | |||
KLA Corp. | 7,173 | 2,232,453 | |||
Lam Research Corp. | 6,381 | 3,619,239 | |||
Mastercard, Inc. Class A | 39,549 | 13,994,414 | |||
Maxim Integrated Products, Inc. | 21,624 | 2,014,708 | |||
Microchip Technology, Inc. | 11,506 | 1,756,161 | |||
Micron Technology, Inc. (a) | 49,728 | 4,551,604 | |||
Microsoft Corp. | 341,077 | 79,259,473 | |||
Monolithic Power Systems, Inc. | 2,000 | 749,040 | |||
Motorola Solutions, Inc. | 7,428 | 1,303,465 | |||
NetApp, Inc. | 10,943 | 685,032 | |||
NortonLifeLock, Inc. | 27,003 | 526,828 | |||
NVIDIA Corp. | 27,812 | 15,257,107 | |||
Oracle Corp. | 84,870 | 5,474,964 | |||
Paychex, Inc. | 13,931 | 1,268,696 | |||
Paycom Software, Inc. (a) | 2,200 | 823,328 | |||
PayPal Holdings, Inc. (a) | 52,758 | 13,709,166 | |||
Qorvo, Inc. (a) | 5,000 | 873,650 | |||
QUALCOMM, Inc. | 50,685 | 6,902,790 | |||
salesforce.com, Inc. (a) | 41,105 | 8,899,232 | |||
Seagate Technology PLC | 9,676 | 708,573 | |||
ServiceNow, Inc. (a) | 8,700 | 4,641,102 | |||
Skyworks Solutions, Inc. | 7,300 | 1,298,086 | |||
Synopsys, Inc. (a) | 6,700 | 1,642,907 | |||
TE Connectivity, Ltd. | 14,549 | 1,891,806 | |||
Teradyne, Inc. | 7,900 | 1,016,019 | |||
Texas Instruments, Inc. | 41,206 | 7,098,558 | |||
Trimble, Inc. (a) | 11,900 | 882,266 | |||
Tyler Technologies, Inc. (a) | 1,700 | 787,814 | |||
VeriSign, Inc. (a) | 4,820 | 935,225 | |||
Visa, Inc. Class A | 76,340 | 16,213,853 | |||
Vontier Corp. (a) | 6,152 | 193,173 | |||
Western Digital Corp. | 13,106 | 898,154 | |||
Western Union Co. | 18,240 | 423,533 | |||
Xerox Holdings Corp. | 10,023 | 255,386 | |||
Xilinx, Inc. | 11,542 | 1,503,923 |
Security Description | Shares | Value | ||||
Zebra Technologies Corp. Class A (a) | 2,500 | $ 1,248,575 | ||||
396,513,041 | ||||||
MATERIALS — 2.6% | ||||||
Air Products & Chemicals, Inc. | 10,207 | 2,609,113 | ||||
Albemarle Corp. | 5,300 | 833,213 | ||||
Amcor PLC | 68,730 | 751,906 | ||||
Avery Dennison Corp. | 3,618 | 633,910 | ||||
Ball Corp. | 14,216 | 1,213,904 | ||||
Celanese Corp. | 5,000 | 694,550 | ||||
CF Industries Holdings, Inc. | 10,430 | 472,270 | ||||
Corteva, Inc. | 32,677 | 1,475,367 | ||||
Dow, Inc. | 34,310 | 2,034,926 | ||||
DuPont de Nemours, Inc. | 23,574 | 1,657,724 | ||||
Eastman Chemical Co. | 5,872 | 641,575 | ||||
Ecolab, Inc. | 10,989 | 2,300,657 | ||||
FMC Corp. | 5,622 | 571,701 | ||||
Freeport-McMoRan, Inc. | 66,164 | 2,243,621 | ||||
International Flavors & Fragrances, Inc. | 10,944 | 1,483,022 | ||||
International Paper Co. | 17,308 | 859,342 | ||||
Linde PLC | 23,529 | 5,747,429 | ||||
LyondellBasell Industries NV Class A | 12,022 | 1,239,348 | ||||
Martin Marietta Materials, Inc. | 2,855 | 961,764 | ||||
Mosaic Co. | 13,716 | 403,250 | ||||
Newmont Corp. | 36,473 | 1,983,402 | ||||
Nucor Corp. | 12,906 | 772,037 | ||||
Packaging Corp. of America | 4,800 | 633,696 | ||||
PPG Industries, Inc. | 10,288 | 1,387,028 | ||||
Sealed Air Corp. | 7,569 | 317,141 | ||||
Sherwin-Williams Co. | 3,787 | 2,576,448 | ||||
Vulcan Materials Co. | 6,190 | 1,033,668 | ||||
Westrock Co. | 13,348 | 581,839 | ||||
38,113,851 | ||||||
REAL ESTATE — 2.4% | ||||||
Alexandria Real Estate Equities, Inc. REIT | 5,500 | 878,295 | ||||
American Tower Corp. REIT | 19,882 | 4,297,097 | ||||
AvalonBay Communities, Inc. REIT | 6,629 | 1,165,047 | ||||
Boston Properties, Inc. REIT | 6,121 | 606,775 | ||||
CBRE Group, Inc. Class A (a) | 16,008 | 1,212,926 | ||||
Crown Castle International Corp. REIT | 19,142 | 2,981,366 | ||||
Digital Realty Trust, Inc. REIT | 13,100 | 1,764,963 | ||||
Duke Realty Corp. REIT | 17,700 | 694,725 | ||||
Equinix, Inc. REIT | 4,038 | 2,617,997 | ||||
Equity Residential REIT | 16,338 | 1,068,669 | ||||
Essex Property Trust, Inc. REIT | 2,955 | 752,904 | ||||
Extra Space Storage, Inc. REIT | 5,500 | 691,350 | ||||
Federal Realty Investment Trust REIT | 3,400 | 343,978 |
Security Description | Shares | Value | ||||
Healthpeak Properties, Inc. REIT | 22,877 | $ 665,492 | ||||
Host Hotels & Resorts, Inc. REIT | 33,659 | 558,403 | ||||
Iron Mountain, Inc. REIT (b) | 14,174 | 493,113 | ||||
Kimco Realty Corp. REIT | 23,116 | 423,716 | ||||
Mid-America Apartment Communities, Inc. REIT | 5,500 | 741,015 | ||||
Prologis, Inc. REIT | 32,945 | 3,263,861 | ||||
Public Storage REIT | 6,652 | 1,556,169 | ||||
Realty Income Corp. REIT | 15,600 | 940,056 | ||||
Regency Centers Corp. REIT | 8,299 | 454,619 | ||||
SBA Communications Corp. REIT | 5,300 | 1,352,189 | ||||
Simon Property Group, Inc. REIT | 15,335 | 1,731,628 | ||||
SL Green Realty Corp. (b) | 3,524 | 243,403 | ||||
UDR, Inc. REIT | 14,600 | 601,082 | ||||
Ventas, Inc. REIT | 17,503 | 925,909 | ||||
Vornado Realty Trust REIT | 7,646 | 328,319 | ||||
Welltower, Inc. REIT | 18,181 | 1,234,490 | ||||
Weyerhaeuser Co. REIT | 35,598 | 1,205,704 | ||||
35,795,260 | ||||||
UTILITIES — 2.5% | ||||||
AES Corp. | 31,759 | 843,519 | ||||
Alliant Energy Corp. | 12,400 | 572,384 | ||||
Ameren Corp. | 10,856 | 762,851 | ||||
American Electric Power Co., Inc. | 23,043 | 1,724,769 | ||||
American Water Works Co., Inc. | 8,600 | 1,220,168 | ||||
Atmos Energy Corp. | 6,100 | 516,121 | ||||
CenterPoint Energy, Inc. | 27,035 | 525,560 | ||||
CMS Energy Corp. | 12,501 | 676,429 | ||||
Consolidated Edison, Inc. | 15,900 | 1,043,835 | ||||
Dominion Energy, Inc. | 36,224 | 2,474,824 | ||||
DTE Energy Co. | 9,239 | 1,087,615 | ||||
Duke Energy Corp. | 33,591 | 2,875,054 | ||||
Edison International | 18,005 | 972,090 | ||||
Entergy Corp. | 9,200 | 798,652 | ||||
Evergy, Inc. | 9,399 | 504,068 | ||||
Eversource Energy | 15,943 | 1,267,150 | ||||
Exelon Corp. | 45,259 | 1,746,997 | ||||
FirstEnergy Corp. | 25,829 | 855,973 | ||||
NextEra Energy, Inc. | 87,828 | 6,453,601 | ||||
NiSource, Inc. | 18,878 | 407,765 | ||||
NRG Energy, Inc. | 11,598 | 423,443 |
Security Description | Shares | Value | |||
Pinnacle West Capital Corp. | 4,756 | $ 332,587 | |||
PPL Corp. | 35,556 | 931,212 | |||
Public Service Enterprise Group, Inc. | 22,036 | 1,186,198 | |||
Sempra Energy | 12,624 | 1,464,132 | |||
Southern Co. | 46,884 | 2,659,260 | |||
WEC Energy Group, Inc. | 15,087 | 1,216,616 | |||
Xcel Energy, Inc. | 23,000 | 1,347,570 | |||
36,890,443 | |||||
TOTAL COMMON STOCKS (Cost $327,261,584) | 1,451,805,209 |
SHORT-TERM INVESTMENTS — 1.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d) (e) | 21,351,157 | 21,351,157 | |
State Street Navigator Securities Lending Portfolio II (c) (f) | 665,631 | 665,631 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $22,016,788) | 22,016,788 | ||
TOTAL INVESTMENTS — 99.8% (Cost $349,278,372) | 1,473,821,997 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 2,715,884 | ||
NET ASSETS — 100.0% | $ 1,476,537,881 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at February 28, 2021. |
(c) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2021 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 February 28, 2021 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at February 28, 2021. |
(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) | 134 | 03/19/2021 | $25,911,184 | $25,521,640 | $(389,544) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,451,805,209 | $— | $— | $1,451,805,209 | ||||
Short-Term Investments | 22,016,788 | — | — | 22,016,788 | ||||
TOTAL INVESTMENTS | $1,473,821,997 | $— | $— | $1,473,821,997 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (389,544) | — | — | (389,544) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (389,544) | $— | $— | $ (389,544) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/21 | Value at 2/28/21 | Dividend Income | |||||||||
State Street Corp. | 20,147 | $1,371,809 | $ — | $ 228,658 | $128,079 | $(45,274) | 16,847 | $ 1,225,956 | $17,989 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,765,914 | 5,765,914 | 122,236,099 | 106,650,856 | — | — | 21,351,157 | 21,351,157 | 3,434 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,303,868 | 1,303,868 | 6,048,646 | 6,686,883 | — | — | 665,631 | 665,631 | 6,867 | ||||||||
Total | $8,441,591 | $128,284,745 | $ 113,566,397 | $128,079 | $(45,274) | $23,242,744 | $28,290 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,450,579,253 |
Investments in affiliated issuers, at value | 23,242,744 |
Total Investments | 1,473,821,997 |
Net cash at broker | 2,134,713 |
Receivable for fund shares sold | 1,427,104 |
Dividends receivable — unaffiliated issuers | 2,079,358 |
Dividends receivable — affiliated issuers | 39,795 |
Securities lending income receivable — unaffiliated issuers | 93 |
Securities lending income receivable — affiliated issuers | 461 |
Receivable from Adviser | 55,417 |
Prepaid expenses and other assets | 9,578 |
TOTAL ASSETS | 1,479,568,516 |
LIABILITIES | |
Payable upon return of securities loaned | 665,631 |
Payable for fund shares repurchased | 1,514,289 |
Payable to broker – accumulated variation margin on open futures contracts | 452,653 |
Advisory fee payable | 123,307 |
Custodian fees payable | 23,701 |
Administration fees payable | 40,238 |
Shareholder servicing fee payable | 28,704 |
Distribution fees payable | 44,252 |
Transfer agent fees payable | 60,478 |
Professional fees payable | 24,808 |
Printing and postage fees payable | 45,588 |
Accrued expenses and other liabilities | 6,986 |
TOTAL LIABILITIES | 3,030,635 |
NET ASSETS | $1,476,537,881 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 263,168,188 |
Total distributable earnings (loss) | 1,213,369,693 |
NET ASSETS | $1,476,537,881 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 241.65 |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 6,110,294 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 326,817,138 |
Investments in affiliated issuers | 22,461,234 |
Total cost of investments | $ 349,278,372 |
* Includes investments in securities on loan, at value | $ 2,067,628 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 391 |
Dividend income — unaffiliated issuers | 12,207,132 |
Dividend income — affiliated issuers | 21,423 |
Affiliated securities lending income | 6,867 |
Foreign taxes withheld | (106) |
TOTAL INVESTMENT INCOME (LOSS) | 12,235,707 |
EXPENSES | |
Advisory fee | 221,777 |
Administration fees | 369,629 |
Shareholder servicing fees | 177,422 |
Distribution fees | 273,526 |
Custodian fees | 67,470 |
Trustees’ fees and expenses | 17,526 |
Transfer agent fees | 130,560 |
Registration and filing fees | 47,525 |
Professional fees and expenses | 28,657 |
Printing and postage fees | 35,585 |
Insurance expense | 10,268 |
Miscellaneous expenses | 19,616 |
TOTAL EXPENSES | 1,399,561 |
Expenses waived/reimbursed by the Adviser | (238,926) |
NET EXPENSES | 1,160,635 |
NET INVESTMENT INCOME (LOSS) | $ 11,075,072 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 217,423,055 |
Investments — affiliated issuers | 128,079 |
Futures contracts | 1,690,074 |
Net realized gain (loss) | 219,241,208 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (93,998,622) |
Investments — affiliated issuers | (45,274) |
Futures contracts | (507,892) |
Net change in unrealized appreciation/depreciation | (94,551,788) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 124,689,420 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $135,764,492 |
Six Months Ended 2/28/21 (Unaudited) | Year Ended 8/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 11,075,072 | $ 30,981,354 | |
Net realized gain (loss) | 219,241,208 | 121,654,173 | |
Net change in unrealized appreciation/depreciation | (94,551,788) | 157,243,285 | |
Net increase (decrease) in net assets resulting from operations | 135,764,492 | 309,878,812 | |
Distributions to shareholders | (200,448,569) | (101,778,161) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 108,640,356 | 326,280,339 | |
Reinvestment of distributions | 195,200,329 | 99,047,950 | |
Cost of shares redeemed | (372,075,022) | (551,757,204) | |
Net increase (decrease) in net assets from beneficial interest transactions | (68,234,337) | (126,428,915) | |
Net increase (decrease) in net assets during the period | (132,918,414) | 81,671,736 | |
Net assets at beginning of period | 1,609,456,295 | 1,527,784,559 | |
NET ASSETS AT END OF PERIOD | $1,476,537,881 | $1,609,456,295 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 435,073 | 1,504,171 | |
Reinvestment of distributions | 835,113 | (449,545) | |
Shares redeemed | (1,506,656) | (2,486,173) | |
Net increase (decrease) | (236,470) | (532,457) |
Six Months Ended 2/28/21(a) (Unaudited) | 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 | $ 253.59 | $ 222.06 | $ 244.74 | $ 215.94 | $ 203.10 | $ 188.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (c) | 1.85 | 4.55 | 4.38(d)(e) | 3.96(d)(e) | 3.96(d)(e) | 3.96(d)(e) | |||||
Net realized and unrealized gain (loss) | 21.38 | 42.08 | (2.52) | 36.72 | 26.82 | 18.60 | |||||
Total from investment operations | 23.23 | 46.63 | 1.86 | 40.68 | 30.78 | 22.56 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.28) | (4.20) | (4.26) | (4.68) | (3.84) | (3.90) | |||||
Net realized gains | (33.89) | (10.90) | (20.28) | (7.20) | (14.10) | (3.96) | |||||
Total distributions | (35.17) | (15.10) | (24.54) | (11.88) | (17.94) | (7.86) | |||||
Net asset value, end of period | $ 241.65 | $ 253.59 | $ 222.06 | $ 244.74 | $ 215.94 | $ 203.10 | |||||
Total return (f) | 9.68% | 22.14% | 2.71% | 19.41% | 16.06% | 12.38% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,476,538 | $1,609,456 | $1,527,785 | $1,606,947 | $1,571,873 | $1,518,948 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.19%(g) | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net expenses | 0.16%(d)(e)(g) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.15%(d)(e) | |||||
Net investment income (loss) | 1.50%(d)(e)(g) | 2.02%(d)(e) | 2.00%(d)(e) | 1.74%(d)(e) | 1.91%(d)(e) | 2.03%(d)(e) | |||||
Portfolio turnover rate | 2%(h) | 5% | 3%(i) | 2%(i) | 3%(i) | 6%(i) |
(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 period. |
(d) | Reflects amounts waived by the administrator. |
(e) | Reflects amounts waived and/or reimbursed by the investment adviser. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | 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 |
Liability 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 | $— | $— | $— | $(452,653) | $— | $(452,653) |
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 | $— | $— | $— | $1,690,074 | $— | $1,690,074 |
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 | $— | $— | $— | $(507,892) | $— | $(507,892) |
Purchases | Sales | ||
State Street S&P 500 Index Fund | $35,775,547 | $311,798,969 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street S&P 500 Index Fund | $393,201,967 | $1,089,187,885 | $8,957,399 | $1,080,230,486 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
State Street S&P 500 Index Fund | $ 2,067,628 | $ 665,631 | $ 1,426,814 | $ 2,092,445 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of February 28, 2021 | ||||||||||||||
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 | $665,631 | $— | $— | $— | $665,631 | $665,631 |
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% | $1,096.80 | $0.83 | $1,024.00 | $0.80 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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 Defensive Emerging Markets Equity Fund |
State Street International Stock Selection Fund |
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
3 | |
7 | |
12 | |
17 | |
25 | |
35 |
Description | % of Net Assets | ||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3.9% | ||
Baidu, Inc. ADR | 3.4 | ||
Alrosa PJSC | 2.5 | ||
United Microelectronics Corp. | 2.4 | ||
KT&G Corp. | 2.4 | ||
TOTAL | 14.6% |
Description | % of Net Assets | ||
Roche Holding AG | 2.2% | ||
Novartis AG | 2.1 | ||
Sony Corp. | 1.7 | ||
Allianz SE | 1.4 | ||
Schneider Electric SE | 1.4 | ||
TOTAL | 8.8% |
Security Description | Shares | Value | |||
COMMON STOCKS — 98.1% | |||||
BRAZIL — 1.5% | |||||
EDP - Energias do Brasil SA | 30,900 | $ 99,302 | |||
SLC Agricola SA | 36,600 | 267,633 | |||
Transmissora Alianca de Energia Eletrica SA | 60,800 | 331,437 | |||
698,372 | |||||
CHILE — 0.2% | |||||
AES Gener SA | 506,998 | 87,197 | |||
CHINA — 31.2% | |||||
Alibaba Group Holding, Ltd. ADR (a) | 3,800 | 903,489 | |||
Baidu, Inc. ADR (a) | 5,400 | 1,530,684 | |||
Bank of Communications Co., Ltd. Class A | 115,800 | 81,920 | |||
Bank of Communications Co., Ltd. Class H | 117,000 | 66,069 | |||
China Communications Services Corp., Ltd. Class H | 372,000 | 175,534 | |||
China Construction Bank Corp. Class H | 1,167,000 | 937,337 | |||
China Hongqiao Group, Ltd. | 147,500 | 182,938 | |||
China Longyuan Power Group Corp., Ltd. Class H | 135,000 | 200,852 | |||
China Meidong Auto Holdings, Ltd. | 14,000 | 53,246 | |||
China Minsheng Banking Corp., Ltd. Class H | 245,500 | 146,545 | |||
China Petroleum & Chemical Corp. Class H | 650,000 | 359,507 | |||
China Resources Cement Holdings, Ltd. | 406,000 | 483,654 | |||
China Resources Power Holdings Co., Ltd. | 424,000 | 493,618 | |||
China Shenhua Energy Co., Ltd. Class A | 132,200 | 363,243 | |||
China Shenhua Energy Co., Ltd. Class H | 347,000 | 659,423 | |||
China Yangtze Power Co., Ltd. Class A | 157,200 | 480,604 | |||
Daqin Railway Co., Ltd. Class A | 395,500 | 399,786 | |||
Guangdong Provincial Expressway Development Co., Ltd. Class B | 898,100 | 523,360 | |||
Hengan International Group Co., Ltd. | 129,000 | 893,102 | |||
JD.com, Inc. ADR (a) | 1,300 | 122,031 | |||
Jiangsu Expressway Co., Ltd. Class H | 350,000 | 406,565 | |||
Lenovo Group, Ltd. | 606,000 | 766,441 | |||
Meituan Class B (a)(b) | 2,900 | 127,120 | |||
Nanjing Iron & Steel Co., Ltd. Class A | 455,400 | 238,274 | |||
NetEase, Inc. ADR | 900 | 98,865 | |||
SDIC Power Holdings Co., Ltd. Class A | 371,300 | 479,931 |
Security Description | Shares | Value | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 163,985 | $ 256,893 | |||
Sinotruk Hong Kong, Ltd. | 28,500 | 90,940 | |||
TangShan Port Group Co., Ltd. Class A | 305,800 | 113,610 | |||
Tencent Holdings, Ltd. | 10,100 | 862,669 | |||
Tianneng Power International, Ltd. | 64,000 | 123,768 | |||
Vipshop Holdings, Ltd. ADR (a) | 11,400 | 425,448 | |||
Yuexiu Transport Infrastructure, Ltd. | 502,000 | 359,845 | |||
Zhongsheng Group Holdings, Ltd. | 133,500 | 826,151 | |||
14,233,462 | |||||
CZECH REPUBLIC — 2.5% | |||||
Moneta Money Bank A/S (a)(b) | 19,018 | 69,265 | |||
O2 Czech Republic A/S (a) | 84,040 | 987,988 | |||
Philip Morris CR A/S | 118 | 83,669 | |||
1,140,922 | |||||
GREECE — 0.2% | |||||
Aegean Airlines SA (a) | 16,501 | 104,325 | |||
HONG KONG — 1.0% | |||||
Nine Dragons Paper Holdings, Ltd. | 51,000 | 82,321 | |||
Yuexiu Real Estate Investment Trust | 760,000 | 384,093 | |||
466,414 | |||||
HUNGARY — 0.7% | |||||
Magyar Telekom Telecommunications PLC | 242,849 | 329,774 | |||
INDIA — 8.4% | |||||
Coal India, Ltd. | 50,966 | 105,559 | |||
Divi's Laboratories, Ltd. | 7,581 | 346,951 | |||
Dr Reddy's Laboratories, Ltd. | 2,224 | 133,968 | |||
HCL Technologies, Ltd. | 85,361 | 1,056,427 | |||
Hindustan Petroleum Corp., Ltd. | 53,994 | 178,143 | |||
Infosys, Ltd. | 51,343 | 875,664 | |||
Tata Consultancy Services, Ltd. | 5,325 | 209,732 | |||
Tech Mahindra, Ltd. | 53,885 | 673,773 | |||
Wipro, Ltd. | 43,638 | 243,651 | |||
3,823,868 | |||||
MALAYSIA — 1.5% | |||||
AMMB Holdings Bhd | 124,200 | 96,966 | |||
IGB Real Estate Investment Trust | 228,800 | 95,534 | |||
MISC Bhd | 110,000 | 184,262 | |||
PPB Group Bhd | 25,720 | 119,720 | |||
RHB Bank Bhd | 87,400 | 117,037 | |||
Supermax Corp. Bhd | 41,800 | 49,984 | |||
663,503 | |||||
MEXICO — 0.8% | |||||
Altos Hornos de Mexico SA de CV (a)(c) | 499,000 | — |
Security Description | Shares | Value | |||
Arca Continental SAB de CV | 42,100 | $ 190,708 | |||
Gruma SAB de CV Class B | 14,885 | 162,233 | |||
352,941 | |||||
PAKISTAN — 1.2% | |||||
Indus Motor Co., Ltd. | 17,140 | 120,794 | |||
MCB Bank, Ltd. | 56,300 | 65,203 | |||
Oil & Gas Development Co., Ltd. | 568,268 | 376,401 | |||
562,398 | |||||
PHILIPPINES — 2.5% | |||||
Globe Telecom, Inc. | 13,205 | 551,388 | |||
Manila Electric Co. | 103,790 | 579,701 | |||
1,131,089 | |||||
POLAND — 0.3% | |||||
Neuca SA | 814 | 151,614 | |||
QATAR — 2.7% | |||||
Barwa Real Estate Co. | 172,618 | 152,660 | |||
Masraf Al Rayan QSC | 62,132 | 73,791 | |||
Ooredoo QSC | 168,584 | 355,239 | |||
Qatar Gas Transport Co., Ltd. | 253,190 | 227,913 | |||
Qatar Islamic Bank SAQ | 95,186 | 408,793 | |||
1,218,396 | |||||
RUSSIA — 3.6% | |||||
Alrosa PJSC (a) | 849,749 | 1,134,329 | |||
Mobile TeleSystems PJSC ADR | 36,100 | 296,742 | |||
X5 Retail Group NV GDR | 4,487 | 145,827 | |||
Yandex NV Class A (a)(d) | 1,300 | 83,181 | |||
1,660,079 | |||||
SAUDI ARABIA — 4.4% | |||||
Advanced Petrochemical Co. | 11,872 | 212,035 | |||
Al Rajhi Bank | 10,813 | 260,774 | |||
Bank Al-Jazira | 95,544 | 340,700 | |||
Jarir Marketing Co. | 9,030 | 411,713 | |||
Qassim Cement Co. | 14,089 | 321,257 | |||
Riyad Bank | 12,745 | 66,888 | |||
Samba Financial Group | 12,761 | 114,175 | |||
Saudi Telecom Co. | 6,981 | 219,918 | |||
Yanbu Cement Co. | 5,447 | 66,807 | |||
2,014,267 | |||||
SINGAPORE — 0.6% | |||||
BOC Aviation, Ltd. (b)(d) | 27,500 | 265,908 | |||
SOUTH KOREA — 9.4% | |||||
Hyundai Glovis Co., Ltd. | 1,261 | 216,620 | |||
Hyundai Mobis Co., Ltd. | 267 | 72,008 | |||
Kia Motors Corp. | 4,390 | 310,250 | |||
KT&G Corp. | 15,638 | 1,089,858 | |||
Kumho Petrochemical Co., Ltd. (a) | 341 | 64,042 | |||
LG Electronics, Inc. | 2,080 | 271,224 | |||
NongShim Co., Ltd. | 419 | 102,559 | |||
POSCO | 1,716 | 429,954 | |||
Samsung Card Co., Ltd. | 2,133 | 62,557 |
Security Description | Shares | Value | |||
Samsung Electro-Mechanics Co., Ltd. | 383 | $ 64,600 | |||
Samsung Electronics Co., Ltd. | 11,984 | 880,000 | |||
Shinhan Financial Group Co., Ltd. | 7,426 | 217,790 | |||
SK Hynix, Inc. | 2,151 | 270,909 | |||
SK Telecom Co., Ltd. | 1,113 | 245,187 | |||
4,297,558 | |||||
TAIWAN — 23.0% | |||||
Asustek Computer, Inc. | 45,000 | 491,159 | |||
Cathay Financial Holding Co., Ltd. | 142,746 | 214,997 | |||
Chunghwa Telecom Co., Ltd. | 31,000 | 121,874 | |||
CTBC Financial Holding Co., Ltd. | 1,294,000 | 929,180 | |||
First Financial Holding Co., Ltd. | 1,326,087 | 992,691 | |||
Fubon Financial Holding Co., Ltd. | 202,000 | 361,899 | |||
Greatek Electronics, Inc. | 215,000 | 548,066 | |||
Hon Hai Precision Industry Co., Ltd. | 35,000 | 140,741 | |||
Lite-On Technology Corp. | 201,000 | 428,665 | |||
Pegatron Corp. | 123,000 | 329,443 | |||
Pou Chen Corp. | 49,000 | 53,130 | |||
Powertech Technology, Inc. | 156,000 | 560,093 | |||
Sampo Corp. | 330,200 | 317,130 | |||
Taiwan Cement Corp. | 69,000 | 104,048 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2,500 | 314,850 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 81,782 | 1,779,370 | |||
Taiwan Shin Kong Security Co., Ltd. | 290,880 | 394,768 | |||
Tripod Technology Corp. | 17,000 | 84,535 | |||
Ttet Union Corp. | 41,000 | 194,309 | |||
Uni-President Enterprises Corp. | 267,960 | 646,510 | |||
United Microelectronics Corp. | 563,000 | 1,095,578 | |||
Yuanta Financial Holding Co., Ltd. | 487,760 | 372,135 | |||
10,475,171 | |||||
UNITED ARAB EMIRATES — 2.4% | |||||
Aldar Properties PJSC | 1,004,515 | 978,437 | |||
Emirates Telecommunications Group Co. PJSC | 19,776 | 106,070 | |||
1,084,507 | |||||
TOTAL COMMON STOCKS (Cost $36,284,818) | 44,761,765 |
SHORT-TERM INVESTMENTS — 3.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (e)(f) | 1,099,489 | 1,099,489 |
Security Description | Shares | Value | ||||
State Street Navigator Securities Lending Portfolio II (g)(h) | 329,963 | $ 329,963 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,429,452) | 1,429,452 | |||||
TOTAL INVESTMENTS — 101.2% (Cost $37,714,270) | 46,191,217 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.2)% | (537,002) | |||||
NET ASSETS — 100.0% | $ 45,654,215 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.0% of net assets as of February 28, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | 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 February 28, 2021, total aggregate fair value of this security is $0. |
(d) | All or a portion of the shares of the security are on loan at February 28, 2021. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended February 28, 2021 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at February 28, 2021. |
(g) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2021 are shown in the Affiliate Table below. |
(h) | Investment of cash collateral for securities loaned. |
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) | 5 | 03/19/2021 | $339,526 | $334,525 | $(5,001) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $ 40,923,115 | $3,838,650 | $ 0(a) | $44,761,765 | ||||
Short-Term Investments | 1,429,452 | — | — | 1,429,452 | ||||
TOTAL INVESTMENTS | $42,352,567 | $3,838,650 | $ 0 | $46,191,217 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (5,001) | — | — | (5,001) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (5,001) | $ — | $— | $ (5,001) |
(a) | The Fund held a Level 3 security that was valued at $0 at February 28, 2021. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Banks | 10.9% |
% of Net Assets | ||
Semiconductors & Semiconductor Equipment | 10.0% | |
IT Services | 6.7 | |
Technology Hardware, Storage & Peripherals | 6.3 | |
Interactive Media & Services | 5.4 | |
Oil, Gas & Consumable Fuels | 5.0 | |
Diversified Telecommunication Services | 4.7 | |
Metals & Mining | 4.4 | |
Independent Power and Renewable Electricity Producers | 3.8 | |
Real Estate Investment Trusts (REITs) | 3.5 | |
Internet & Direct Marketing Retail | 3.5 | |
Specialty Retail | 3.4 | |
Food Products | 3.3 | |
Transportation Infrastructure | 3.1 | |
Tobacco | 2.6 | |
Wireless Telecommunication Services | 2.4 | |
Electric Utilities | 2.2 | |
Construction Materials | 2.1 | |
Personal Products | 2.0 | |
Household Durables | 1.3 | |
Automobiles | 0.9 | |
Road & Rail | 0.9 | |
Commercial Services & Supplies | 0.9 | |
Capital Markets | 0.8 | |
Diversified Financial Services | 0.8 | |
Life Sciences Tools & Services | 0.8 | |
Electronic Equipment, Instruments & Components | 0.6 | |
Chemicals | 0.6 | |
Trading Companies & Distributors | 0.6 | |
Air Freight & Logistics | 0.5 | |
Insurance | 0.5 | |
Auto Components | 0.4 | |
Beverages | 0.4 | |
Marine | 0.4 | |
Construction & Engineering | 0.4 | |
Health Care Providers & Services | 0.3 | |
Food & Staples Retailing | 0.3 | |
Pharmaceuticals | 0.3 | |
Airlines | 0.2 | |
Entertainment | 0.2 | |
Machinery | 0.2 | |
Paper & Forest Products | 0.2 | |
Consumer Finance | 0.1 | |
Textiles, Apparel & Luxury Goods | 0.1 | |
Health Care Equipment & Supplies | 0.1 | |
Short-Term Investments | 3.1 | |
Liabilities in Excess of Other Assets | (1.2) | |
TOTAL | 100.0% |
Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/21 | Value at 2/28/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 752,339 | $752,339 | $4,964,059 | $4,616,909 | $— | $— | 1,099,489 | $1,099,489 | $174 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 1,392,593 | 1,062,630 | — | — | 329,963 | 329,963 | 121 | ||||||||
Total | $752,339 | $6,356,652 | $5,679,539 | $— | $— | $1,429,452 | $295 |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.5% | |||||
AUSTRALIA — 10.1% | |||||
Aurizon Holdings, Ltd. | 14,813 | $ 43,426 | |||
Australia & New Zealand Banking Group, Ltd. | 15,500 | 312,116 | |||
BHP Group PLC (a) | 81,535 | 2,578,029 | |||
BHP Group, Ltd. | 53,756 | 2,032,142 | |||
Brambles, Ltd. | 112,442 | 856,533 | |||
Coles Group, Ltd. | 75,924 | 895,574 | |||
Computershare, Ltd. | 105,577 | 1,078,004 | |||
Fortescue Metals Group, Ltd. | 114,956 | 2,132,599 | |||
JB Hi-Fi, Ltd. (a) | 13,408 | 447,851 | |||
Metcash, Ltd. (a) | 81,127 | 210,366 | |||
Rio Tinto PLC | 28,787 | 2,481,361 | |||
Rio Tinto, Ltd. | 7,189 | 703,561 | |||
Scentre Group REIT | 362,198 | 802,636 | |||
Sonic Healthcare, Ltd. | 66,398 | 1,621,083 | |||
Stockland REIT | 370,910 | 1,190,104 | |||
Wesfarmers, Ltd. | 34,839 | 1,319,970 | |||
18,705,355 | |||||
AUSTRIA — 0.6% | |||||
ANDRITZ AG | 6,451 | 309,159 | |||
BAWAG Group AG (b) | 4,048 | 210,212 | |||
OMV AG | 5,296 | 254,701 | |||
Semperit AG Holding (c) | 9,127 | 282,463 | |||
1,056,535 | |||||
BELGIUM — 0.7% | |||||
Ageas SA/NV | 6,193 | 347,157 | |||
bpost SA (c) | 38,516 | 417,082 | |||
Etablissements Franz Colruyt NV | 2,729 | 163,448 | |||
Telenet Group Holding NV | 7,317 | 291,688 | |||
UCB SA | 976 | 97,081 | |||
1,316,456 | |||||
CHINA — 0.2% | |||||
SITC International Holdings Co., Ltd. | 51,000 | 134,133 | |||
Yangzijiang Shipbuilding Holdings, Ltd. | 314,900 | 252,695 | |||
386,828 | |||||
DENMARK — 2.4% | |||||
AP Moller - Maersk A/S Class A | 534 | 1,071,778 | |||
AP Moller - Maersk A/S Class B (a) | 663 | 1,424,279 | |||
Carlsberg AS Class B | 2,923 | 460,039 | |||
Per Aarsleff Holding A/S | 11,478 | 516,800 | |||
Scandinavian Tobacco Group A/S Class A (b) | 42,224 | 784,438 | |||
Spar Nord Bank A/S | 12,705 | 132,138 | |||
4,389,472 | |||||
FINLAND — 2.1% | |||||
Kesko Oyj Class B | 74,925 | 1,902,033 | |||
Nordea Bank Abp | 50,914 | 460,185 |
Security Description | Shares | Value | |||
Tokmanni Group Corp. | 23,442 | $ 509,111 | |||
Uponor Oyj | 31,598 | 661,843 | |||
Valmet Oyj | 7,579 | 254,399 | |||
3,787,571 | |||||
FRANCE — 8.8% | |||||
AKWEL | 9,801 | 345,893 | |||
Arkema SA | 3,752 | 414,218 | |||
BNP Paribas SA (c) | 43,749 | 2,601,000 | |||
Cie de Saint-Gobain (c) | 41,670 | 2,233,303 | |||
CNP Assurances (c) | 107,787 | 1,939,052 | |||
Coface SA (c) | 30,604 | 334,174 | |||
Derichebourg SA (c) | 27,898 | 221,317 | |||
Electricite de France SA (c) | 35,814 | 428,139 | |||
Iliad SA | 1,698 | 300,343 | |||
L'Oreal SA | 218 | 79,645 | |||
LVMH Moet Hennessy Louis Vuitton SE | 244 | 154,559 | |||
Maisons du Monde SA (b)(c) | 20,570 | 371,288 | |||
Manitou BF SA | 4,668 | 150,097 | |||
Mersen SA (c) | 9,728 | 333,927 | |||
Metropole Television SA (c) | 22,251 | 444,586 | |||
Publicis Groupe SA | 10,764 | 630,404 | |||
Sanofi | 14,301 | 1,307,920 | |||
Schneider Electric SE | 17,621 | 2,611,868 | |||
Societe BIC SA | 8,644 | 484,968 | |||
Television Francaise 1 (c) | 110,973 | 967,388 | |||
16,354,089 | |||||
GERMANY — 8.1% | |||||
ADVA Optical Networking SE (c) | 6,724 | 74,070 | |||
Allianz SE | 10,901 | 2,627,891 | |||
Aurubis AG | 3,226 | 281,416 | |||
Daimler AG | 32,646 | 2,609,525 | |||
Deutsche Post AG | 47,345 | 2,345,517 | |||
Deutsche Telekom AG | 134,293 | 2,435,331 | |||
Fresenius Medical Care AG & Co. KGaA | 17,668 | 1,222,762 | |||
Hornbach Baumarkt AG | 3,020 | 122,796 | |||
Hornbach Holding AG & Co. KGaA | 3,405 | 321,269 | |||
Jungheinrich AG Preference Shares | 15,933 | 686,296 | |||
Merck KGaA | 12,057 | 1,957,350 | |||
STO SE & Co. KGaA Preference Shares | 1,083 | 186,073 | |||
United Internet AG | 2,265 | 99,694 | |||
14,969,990 | |||||
HONG KONG — 2.1% | |||||
Chow Sang Sang Holdings International, Ltd. | 149,000 | 202,087 | |||
Cowell e Holdings, Inc. | 308,000 | 243,813 | |||
Hang Lung Group, Ltd. | 23,000 | 57,526 | |||
K Wah International Holdings, Ltd. | 1,601,000 | 823,571 | |||
Luk Fook Holdings International, Ltd. | 23,000 | 58,357 |
Security Description | Shares | Value | |||
Pacific Textiles Holdings, Ltd. | 587,000 | $ 376,124 | |||
Stella International Holdings, Ltd. | 144,000 | 172,099 | |||
Sun Hung Kai & Co., Ltd. | 314,000 | 134,807 | |||
VTech Holdings, Ltd. | 113,900 | 955,230 | |||
WH Group, Ltd. (b) | 836,000 | 750,158 | |||
Yue Yuen Industrial Holdings, Ltd. (c) | 91,500 | 195,116 | |||
3,968,888 | |||||
IRELAND — 0.3% | |||||
Smurfit Kappa Group PLC | 10,683 | 504,756 | |||
ISRAEL — 0.2% | |||||
Plus500, Ltd. | 21,170 | 403,184 | |||
ITALY — 2.4% | |||||
Anima Holding SpA (b) | 61,304 | 294,238 | |||
Enel SpA | 87,449 | 827,633 | |||
Intesa Sanpaolo SpA (c) | 812,801 | 2,092,783 | |||
Iren SpA | 63,949 | 158,482 | |||
Mediobanca Banca di Credito Finanziario SpA (c) | 52,742 | 548,414 | |||
Snam SpA | 11,715 | 60,723 | |||
Unipol Gruppo SpA (c) | 83,590 | 434,083 | |||
4,416,356 | |||||
JAPAN — 26.1% | |||||
Arcs Co., Ltd. | 5,800 | 119,433 | |||
Brother Industries, Ltd. | 89,500 | 1,757,338 | |||
Cawachi, Ltd. | 24,900 | 668,314 | |||
Daihen Corp. | 10,700 | 454,219 | |||
Daikokutenbussan Co., Ltd. | 3,100 | 170,421 | |||
Dexerials Corp. | 16,500 | 239,462 | |||
Doshisha Co., Ltd. | 23,800 | 394,527 | |||
Ebara Corp. | 14,900 | 557,728 | |||
FUJIFILM Holdings Corp. | 35,100 | 1,998,752 | |||
Fujitsu, Ltd. | 14,500 | 2,089,404 | |||
GungHo Online Entertainment, Inc. | 12,200 | 249,391 | |||
Hitachi Zosen Corp. | 41,300 | 262,302 | |||
Hitachi, Ltd. | 47,000 | 2,149,932 | |||
Hokuto Corp. | 6,100 | 121,090 | |||
Honda Motor Co., Ltd. | 19,800 | 540,811 | |||
Iida Group Holdings Co., Ltd. | 67,100 | 1,518,319 | |||
Itochu Enex Co., Ltd. | 64,300 | 617,695 | |||
Japan Post Insurance Co., Ltd. | 87,700 | 1,792,751 | |||
KDDI Corp. | 34,300 | 1,058,652 | |||
Kintetsu World Express, Inc. | 33,600 | 873,452 | |||
Komeri Co., Ltd. | 22,200 | 597,720 | |||
K's Holdings Corp. | 54,300 | 727,939 | |||
Mitsubishi Gas Chemical Co., Inc. | 75,900 | 1,765,149 | |||
NEC Corp. | 15,300 | 832,497 | |||
NGK Spark Plug Co., Ltd. | 49,100 | 830,041 | |||
NH Foods, Ltd. | 36,300 | 1,527,328 | |||
Nippon Telegraph & Telephone Corp. | 44,900 | 1,161,726 | |||
Nippon Yusen KK | 65,800 | 1,885,820 | |||
Nitto Denko Corp. | 21,400 | 1,824,907 |
Security Description | Shares | Value | |||
Nitto Kogyo Corp. | 8,100 | $ 150,153 | |||
Nomura Holdings, Inc. | 323,400 | 1,877,386 | |||
NTT Data Corp. | 55,400 | 844,552 | |||
Ono Pharmaceutical Co., Ltd. | 66,800 | 1,794,786 | |||
Prima Meat Packers, Ltd. | 28,200 | 822,759 | |||
Relia, Inc. | 7,600 | 95,111 | |||
Sanwa Holdings Corp. | 29,000 | 357,756 | |||
Sekisui Chemical Co., Ltd. | 52,400 | 931,545 | |||
Sekisui House, Ltd. | 25,100 | 470,235 | |||
Sinko Industries, Ltd. | 8,600 | 151,919 | |||
SKY Perfect JSAT Holdings, Inc. | 66,600 | 281,158 | |||
SoftBank Group Corp. | 2,700 | 250,636 | |||
Sompo Holdings, Inc. | 9,700 | 371,274 | |||
Sony Corp. | 30,600 | 3,192,195 | |||
Sumitomo Chemical Co., Ltd. | 87,500 | 422,745 | |||
T&D Holdings, Inc. | 139,400 | 1,877,934 | |||
TDK Corp. | 12,300 | 1,758,544 | |||
Toa Corp. | 16,300 | 346,506 | |||
Tokyo Electron, Ltd. | 5,900 | 2,410,479 | |||
Toyota Tsusho Corp. | 10,200 | 426,774 | |||
Tsubakimoto Chain Co. | 2,100 | 56,817 | |||
Valor Holdings Co., Ltd. | 29,900 | 631,408 | |||
48,309,792 | |||||
JORDAN — 0.5% | |||||
Hikma Pharmaceuticals PLC | 31,757 | 989,293 | |||
LUXEMBOURG — 0.4% | |||||
SES SA | 96,941 | 773,835 | |||
MALTA — 0.2% | |||||
Kindred Group PLC SDR (c) | 25,000 | 396,884 | |||
NETHERLANDS — 5.6% | |||||
ASM International NV | 1,531 | 413,040 | |||
ASML Holding NV | 1,569 | 880,944 | |||
Koninklijke Ahold Delhaize NV | 65,692 | 1,731,054 | |||
Koninklijke KPN NV | 341,536 | 1,115,914 | |||
Koninklijke Philips NV (c) | 26,902 | 1,459,178 | |||
NN Group NV | 15,083 | 695,179 | |||
PostNL NV (c) | 18,025 | 76,619 | |||
Randstad NV (c) | 27,899 | 1,862,831 | |||
Royal Dutch Shell PLC Class A | 37,837 | 761,619 | |||
Royal Dutch Shell PLC Class B | 36,135 | 698,563 | |||
Signify NV (b)(c) | 17,183 | 747,394 | |||
10,442,335 | |||||
NEW ZEALAND — 1.1% | |||||
Argosy Property, Ltd. | 248,858 | 267,920 | |||
Spark New Zealand, Ltd. | 552,094 | 1,831,023 | |||
2,098,943 | |||||
NORWAY — 1.6% | |||||
Europris ASA (b) | 140,573 | 824,411 | |||
SpareBank 1 Nord Norge | 74,025 | 656,531 | |||
SpareBank 1 Oestlandet | 20,927 | 244,735 | |||
SpareBank 1 SMN | 77,747 | 896,674 | |||
Veidekke ASA | 31,349 | 408,557 | |||
3,030,908 |
Security Description | Shares | Value | |||
PORTUGAL — 0.3% | |||||
Sonae SGPS SA | 564,748 | $ 463,350 | |||
RUSSIA — 0.8% | |||||
Evraz PLC | 184,437 | 1,467,228 | |||
SINGAPORE — 1.8% | |||||
BW LPG, Ltd. (b) | 133,259 | 791,507 | |||
DBS Group Holdings, Ltd. | 91,200 | 1,822,085 | |||
IGG, Inc. | 60,000 | 89,577 | |||
Japfa, Ltd. | 996,900 | 672,874 | |||
3,376,043 | |||||
SPAIN — 0.8% | |||||
Iberdrola SA | 88,163 | 1,108,940 | |||
Unicaja Banco SA (b)(c) | 501,747 | 439,508 | |||
1,548,448 | |||||
SWEDEN — 3.0% | |||||
AcadeMedia AB (b) | 8,075 | 80,808 | |||
Betsson AB (c) | 33,964 | 276,534 | |||
Bilia AB Class A (c) | 5,298 | 71,026 | |||
Bravida Holding AB (b) | 10,302 | 130,790 | |||
Electrolux AB Class B | 5,053 | 119,355 | |||
Husqvarna AB Class B | 135,421 | 1,656,698 | |||
Investor AB Class B (c) | 10,794 | 798,694 | |||
Inwido AB (c) | 62,149 | 943,581 | |||
Kinnevik AB Class B | 3,906 | 181,517 | |||
Lundin Energy AB | 4,474 | 144,702 | |||
Mekonomen AB (c) | 33,819 | 446,573 | |||
NCC AB Class B | 26,595 | 441,260 | |||
Trelleborg AB Class B (c) | 8,836 | 224,879 | |||
5,516,417 | |||||
SWITZERLAND — 9.9% | |||||
ABB, Ltd. | 46,720 | 1,341,534 | |||
Coca-Cola HBC AG (c) | 20,139 | 627,930 | |||
Credit Suisse Group AG (c) | 158,911 | 2,292,868 | |||
LafargeHolcim, Ltd. (c) | 6,744 | 371,878 | |||
Nestle SA | 15,658 | 1,635,255 | |||
Novartis AG | 45,598 | 3,919,428 | |||
Roche Holding AG | 12,602 | 4,127,704 | |||
Sonova Holding AG (c) | 2,242 | 573,779 | |||
STMicroelectronics NV | 998 | 38,496 | |||
Swiss Life Holding AG (c) | 1,726 | 858,209 | |||
UBS Group AG | 162,235 | 2,514,718 | |||
Zehnder Group AG | 1,739 | 131,718 | |||
18,433,517 | |||||
UNITED KINGDOM — 7.4% | |||||
3i Group PLC | 88,198 | 1,360,253 | |||
Airtel Africa PLC (a)(b) | 153,891 | 170,878 | |||
Ashtead Group PLC | 38,459 | 2,078,946 | |||
AstraZeneca PLC | 3,554 | 343,877 | |||
Barratt Developments PLC (c) | 5,686 | 52,632 | |||
Berkeley Group Holdings PLC | 10,689 | 603,569 | |||
British American Tobacco PLC | 22,578 | 781,831 | |||
Direct Line Insurance Group PLC | 8,436 | 37,680 |
Security Description | Shares | Value | |||
EMIS Group PLC | 15,874 | $ 234,868 | |||
GlaxoSmithKline PLC | 135,767 | 2,252,405 | |||
ITV PLC (c) | 169,316 | 259,126 | |||
Keller Group PLC | 10,194 | 111,488 | |||
Kingfisher PLC (c) | 265,094 | 980,199 | |||
Legal & General Group PLC | 398,540 | 1,439,753 | |||
M&G PLC | 118,335 | 303,186 | |||
Mondi PLC | 15,302 | 367,642 | |||
Morgan Advanced Materials PLC | 64,759 | 279,689 | |||
Royal Mail PLC (c) | 134,050 | 845,456 | |||
SSE PLC | 59,399 | 1,096,086 | |||
Tate & Lyle PLC | 6,481 | 65,642 | |||
13,665,206 | |||||
TOTAL COMMON STOCKS (Cost $160,778,030) | 180,771,679 |
SHORT-TERM INVESTMENTS — 2.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d)(e) | 3,437,498 | 3,437,498 | |
State Street Navigator Securities Lending Portfolio II (f)(g) | 1,407,454 | 1,407,454 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $4,844,952) | 4,844,952 | ||
TOTAL INVESTMENTS — 100.1% (Cost $165,622,982) | 185,616,631 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (97,116) | ||
NET ASSETS — 100.0% | $ 185,519,515 |
(a) | All or a portion of the shares of the security are on loan at February 28, 2021. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.0% of net assets as of February 28, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Non-income producing security. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended February 28, 2021 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at February 28, 2021. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2021 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
SDR | Swedish Depositary Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI EAFE (long) | 26 | 03/19/2021 | $2,857,877 | $2,813,200 | $(44,677) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $180,771,679 | $— | $— | $180,771,679 | ||||
Short-Term Investments | 4,844,952 | — | — | 4,844,952 | ||||
TOTAL INVESTMENTS | $185,616,631 | $— | $— | $185,616,631 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (44,677) | — | — | (44,677) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (44,677) | $— | $— | $ (44,677) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Pharmaceuticals | 9.1% | |
Insurance | 6.9 | |
Metals & Mining | 6.3 | |
Banks | 5.6 | |
Household Durables | 4.6 | |
Capital Markets | 4.5 | |
Food & Staples Retailing | 3.8 | |
Diversified Telecommunication Services | 3.7 | |
Electrical Equipment | 3.0 | |
Food Products | 3.0 | |
IT Services | 2.6 | |
Air Freight & Logistics | 2.5 | |
Marine | 2.4 | |
Building Products | 2.4 | |
Chemicals | 2.4 | |
Electronic Equipment, Instruments & Components | 2.4 | |
Specialty Retail | 2.2 | |
Technology Hardware, Storage & Peripherals | 2.0 | |
Semiconductors & Semiconductor Equipment | 2.0 | |
Media | 2.0 | |
Electric Utilities | 1.9 | |
Machinery | 1.8 | |
Oil, Gas & Consumable Fuels | 1.8 | |
Automobiles | 1.7 | |
Health Care Providers & Services | 1.5 | |
Multiline Retail | 1.4 | |
Trading Companies & Distributors | 1.4 | |
Equity Real Estate Investment Trusts (REITs) | 1.2 | |
Health Care Equipment & Supplies | 1.1 | |
Professional Services | 1.0 | |
Construction & Engineering | 1.0 | |
Commercial Services & Supplies | 1.0 | |
Diversified Financial Services | 0.9 | |
Tobacco | 0.8 |
% of Net Assets | ||
Wireless Telecommunication Services | 0.8% | |
Auto Components | 0.6 | |
Textiles, Apparel & Luxury Goods | 0.6 | |
Beverages | 0.6 | |
Communications Equipment | 0.6 | |
Real Estate Management & Development | 0.5 | |
Hotels, Restaurants & Leisure | 0.4 | |
Construction Materials | 0.3 | |
Containers & Packaging | 0.3 | |
Distributors | 0.2 | |
Paper & Forest Products | 0.2 | |
Entertainment | 0.2 | |
Health Care Technology | 0.1 | |
Multi-Utilities | 0.1 | |
Consumer Finance | 0.1 | |
Diversified Consumer Services | 0.0* | |
Personal Products | 0.0* | |
Gas Utilities | 0.0* | |
Road & Rail | 0.0* | |
Short-Term Investments | 2.6 | |
Liabilities in Excess of Other Assets | (0.1) | |
TOTAL | 100.0% | |
* | Amount shown represents less than 0.05% of net assets. |
Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/21 | Value at 2/28/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $ — | $18,217,867 | $14,780,369 | $— | $— | 3,437,498 | $3,437,498 | $ 540 | ||||||||
State Street Navigator Securities Lending Portfolio II | 28,939 | 28,939 | 11,973,386 | 10,594,871 | — | — | 1,407,454 | 1,407,454 | 5,464 | ||||||||
Total | $28,939 | $30,191,253 | $25,375,240 | $— | $— | $4,844,952 | $6,004 |
State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | ||
ASSETS | |||
Investments in unaffiliated issuers, at value* | $44,761,765 | $180,771,679 | |
Investments in affiliated issuers, at value | 1,429,452 | 4,844,952 | |
Total Investments | 46,191,217 | 185,616,631 | |
Foreign currency, at value | — | 456,949 | |
Net cash at broker | 21,759 | 209,631 | |
Cash | 715 | — | |
Receivable for investments sold | — | 14,699,571 | |
Receivable for fund shares sold | 646 | 103,261 | |
Dividends receivable — unaffiliated issuers | 196,754 | 251,475 | |
Dividends receivable — affiliated issuers | 43 | 121 | |
Securities lending income receivable — unaffiliated issuers | 886 | 190 | |
Securities lending income receivable — affiliated issuers | 87 | 322 | |
Receivable from Adviser | 27,779 | 55,097 | |
Net receivable for foreign taxes recoverable | 114,818 | 786,351 | |
Prepaid expenses and other assets | 256 | 1,062 | |
TOTAL ASSETS | 46,554,960 | 202,180,661 | |
LIABILITIES | |||
Due to custodian | 279,055 | — | |
Payable upon return of securities loaned | 329,963 | 1,407,454 | |
Payable for investments purchased | — | 14,904,963 | |
Payable for fund shares repurchased | 13,576 | 61,135 | |
Payable to broker – variation margin on open futures contracts | 4,990 | 44,620 | |
Deferred foreign taxes payable | 161,480 | — | |
Advisory fee payable | 23,059 | 108,023 | |
Custodian fees payable | 9,936 | 14,410 | |
Administration fees payable | 3,145 | 6,134 | |
Shareholder servicing fee payable | 508 | 1,644 | |
Distribution fees payable | 7,709 | 20,257 | |
Trustees’ fees and expenses payable | 28 | — | |
Transfer agent fees payable | 11,684 | 28,281 | |
Sub-transfer agent fee payable | 490 | 719 | |
Registration and filing fees payable | 910 | 9,678 | |
Professional fees payable | 20,185 | 26,298 | |
Printing and postage fees payable | 13,444 | 25,202 | |
Accrued expenses and other liabilities | 20,583 | 2,328 | |
TOTAL LIABILITIES | 900,745 | 16,661,146 | |
NET ASSETS | $45,654,215 | $185,519,515 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $36,809,203 | $190,919,334 | |
Total distributable earnings (loss)** | 8,845,012 | (5,399,819) | |
NET ASSETS | $45,654,215 | $185,519,515 | |
Class A | |||
Net Assets | $ 7,433 | $ 4,288,952 | |
Shares Outstanding | 1,177 | 408,457 | |
Net asset value, offering and redemption price per share | $ 6.32(a) | $ 10.50 | |
Maximum sales charge | 5.25% | 5.25% | |
Maximum offering price per share | $ 6.67 | $ 11.08 | |
Class I | |||
Net Assets | $ 1,565,663 | $ 2,913,153 | |
Shares Outstanding | 247,116 | 275,993 | |
Net asset value, offering and redemption price per share | $ 6.34 | $ 10.56 | |
Class K | |||
Net Assets | $ 816,131 | $ 68,659,050 | |
Shares Outstanding | 127,692 | 6,505,865 | |
Net asset value, offering and redemption price per share | $ 6.39 | $ 10.55 |
State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | ||
Class N | |||
Net Assets | $43,264,988 | $109,658,360 | |
Shares Outstanding | 6,793,344 | 10,367,834 | |
Net asset value, offering and redemption price per share | $ 6.37 | $ 10.58 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $36,284,818 | $160,778,030 | |
Investments in affiliated issuers | 1,429,452 | 4,844,952 | |
Total cost of investments | $37,714,270 | $165,622,982 | |
Foreign currency, at cost | $ — | $ 460,573 | |
* Includes investments in securities on loan, at value | $ 314,157 | $ 3,692,601 | |
** Includes deferred foreign taxes | $ 162,446 | $ — |
(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 Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 20,264 | $ — | |
Dividend income — unaffiliated issuers | 424,418 | 1,354,390 | |
Dividend income — affiliated issuers | 174 | 540 | |
Unaffiliated securities lending income | 6,439 | 2,393 | |
Affiliated securities lending income | 121 | 5,464 | |
Other income, net of taxes and fees (Note 2) | 285,823 | — | |
Foreign taxes withheld | (69,833) | (58,253) | |
TOTAL INVESTMENT INCOME (LOSS) | 667,406 | 1,304,534 | |
EXPENSES | |||
Advisory fee | 164,448 | 662,785 | |
Administration fees | 10,963 | 44,186 | |
Shareholder servicing fees | |||
Class N | 4,985 | 12,203 | |
Distribution fees | |||
Class A | 9 | 5,411 | |
Class N | 46,732 | 119,376 | |
Custodian fees | 41,952 | 55,035 | |
Trustees’ fees and expenses | 10,966 | 11,509 | |
Transfer agent fees | 21,584 | 50,638 | |
Sub-transfer agent fee | |||
Class A | — | 6,175 | |
Class I | 1,010 | 1,688 | |
Registration and filing fees | 34,321 | 34,790 | |
Professional fees and expenses | 20,768 | 20,315 | |
Printing and postage fees | 8,923 | 18,408 | |
Insurance expense | 274 | 1,138 | |
Miscellaneous expenses | 13,504 | 3,289 | |
TOTAL EXPENSES | 380,439 | 1,046,946 | |
Expenses waived/reimbursed by the Adviser | (108,441) | (239,267) | |
NET EXPENSES | 271,998 | 807,679 | |
NET INVESTMENT INCOME (LOSS) | $ 395,408 | $ 496,855 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 186,901 | 6,133,126 | |
Foreign currency transactions | (70,720) | 27,990 | |
Futures contracts | 211,101 | 572,952 | |
Net realized gain (loss) | 327,282 | 6,734,068 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers* | 7,271,428 | 15,180,445 | |
Foreign currency translations | 4,055 | (38,191) | |
Futures contracts | (38,962) | (209,380) | |
Net change in unrealized appreciation/depreciation | 7,236,521 | 14,932,874 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 7,563,803 | 21,666,942 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 7,959,211 | $22,163,797 | |
* Includes foreign deferred taxes | $ (91,898) | $ — |
State Street Defensive Emerging Markets Equity Fund | |||
Six Months Ended 2/28/21 (Unaudited) | Year Ended 8/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 395,408 | $ 1,358,801 | |
Net realized gain (loss) | 327,282 | 553,426 | |
Net change in unrealized appreciation/depreciation | 7,236,521 | (2,194,555) | |
Net increase (decrease) in net assets resulting from operations | 7,959,211 | (282,328) | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class A | (294) | (2,450) | |
Class I | (67,968) | (103,955) | |
Class K | (37,618) | (58,644) | |
Class N | (1,830,849) | (3,166,755) | |
Total distributions to shareholders | (1,936,729) | (3,331,804) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from shares sold | — | 500 | |
Reinvestment of distributions | 157 | 2,233 | |
Cost of shares redeemed | — | (41,974) | |
Net increase (decrease) from capital share transactions | 157 | (39,241) | |
Class I | |||
Proceeds from shares sold | 72,253 | 5,035,454 | |
Reinvestment of distributions | 63,541 | 94,562 | |
Cost of shares redeemed | (286,453) | (4,891,895) | |
Net increase (decrease) from capital share transactions | (150,659) | 238,121 | |
Class K | |||
Proceeds from shares sold | 6 | 24,906 | |
Reinvestment of distributions | 37,465 | 58,417 | |
Cost of shares redeemed | (79,983) | (100,843) | |
Net increase (decrease) from capital share transactions | (42,512) | (17,520) | |
Class N | |||
Proceeds from shares sold | 918,227 | 1,612,074 | |
Reinvestment of distributions | 1,797,944 | 3,103,681 | |
Cost of shares redeemed | (4,919,233) | (11,328,136) | |
Net increase (decrease) from capital share transactions | (2,203,062) | (6,612,381) | |
Net increase (decrease) in net assets from beneficial interest transactions | (2,396,076) | (6,431,021) | |
Net increase (decrease) in net assets during the period | 3,626,406 | (10,045,153) | |
Net assets at beginning of period | 42,027,809 | 52,072,962 | |
NET ASSETS AT END OF PERIOD | $45,654,215 | $ 42,027,809 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | — | 100 | |
Reinvestment of distributions | 26 | 374 | |
Shares redeemed | — | (8,086) | |
Net increase (decrease) from capital share transactions | 26 | (7,612) | |
Class I | |||
Shares sold | 11,679 | 834,993 | |
Reinvestment of distributions | 10,555 | 15,760 | |
Shares redeemed | (48,588) | (816,134) | |
Net increase (decrease) from capital share transactions | (26,354) | 34,619 | |
Class K | |||
Shares sold | 1 | 4,450 | |
Reinvestment of distributions | 6,182 | 9,656 | |
Shares redeemed | (12,644) | (17,996) | |
Net increase (decrease) from capital share transactions | (6,461) | (3,890) | |
Class N | |||
Shares sold | 150,943 | 290,379 | |
Reinvestment of distributions | 297,181 | 514,707 | |
Shares redeemed | (808,261) | (2,011,525) | |
Net increase (decrease) from capital share transactions | (360,137) | (1,206,439) |
State Street International Stock Selection Fund | |||
Six Months Ended 2/28/21 (Unaudited) | Year Ended 8/31/20 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 496,855 | $ 4,183,643 | |
Net realized gain (loss) | 6,734,068 | (12,591,756) | |
Net change in unrealized appreciation/depreciation | 14,932,874 | 11,281,597 | |
Net increase (decrease) in net assets resulting from operations | 22,163,797 | 2,873,484 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class A | (79,462) | (138,939) | |
Class I | (55,371) | (169,933) | |
Class K | (1,427,961) | (2,160,699) | |
Class N | (2,064,307) | (4,443,899) | |
Total distributions to shareholders | (3,627,101) | (6,913,470) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from shares sold | 175,382 | 701,273 | |
Reinvestment of distributions | 79,462 | 138,939 | |
Cost of shares redeemed | (572,243) | (799,173) | |
Net increase (decrease) from capital share transactions | (317,399) | 41,039 | |
Class I | |||
Proceeds from shares sold | 193,088 | 415,383 | |
Reinvestment of distributions | 54,572 | 169,932 | |
Cost of shares redeemed | (168,401) | (2,241,802) | |
Net increase (decrease) from capital share transactions | 79,259 | (1,656,487) | |
Class K | |||
Proceeds from shares sold | 5,197,898 | 12,261,888 | |
Reinvestment of distributions | 1,427,961 | 2,160,699 | |
Cost of shares redeemed | (4,789,823) | (6,840,349) | |
Net increase (decrease) from capital share transactions | 1,836,036 | 7,582,238 | |
Class N | |||
Proceeds from shares sold | 2,499,251 | 5,435,833 | |
Reinvestment of distributions | 2,043,169 | 4,365,496 | |
Cost of shares redeemed | (10,003,164) | (33,885,780) | |
Net increase (decrease) from capital share transactions | (5,460,744) | (24,084,451) | |
Net increase (decrease) in net assets from beneficial interest transactions | (3,862,848) | (18,117,661) | |
Net increase (decrease) in net assets during the period | 14,673,848 | (22,157,647) | |
Net assets at beginning of period | 170,845,667 | 193,003,314 | |
NET ASSETS AT END OF PERIOD | $185,519,515 | $170,845,667 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 18,955 | 79,548 | |
Reinvestment of distributions | 7,604 | 13,450 | |
Shares redeemed | (55,990) | (87,509) | |
Net increase (decrease) from capital share transactions | (29,431) | 5,489 | |
Class I | |||
Shares sold | 18,388 | 44,403 | |
Reinvestment of distributions | 5,202 | 16,387 | |
Shares redeemed | (16,471) | (269,610) | |
Net increase (decrease) from capital share transactions | 7,119 | (208,820) | |
Class K | |||
Shares sold | 514,514 | 1,294,208 | |
Reinvestment of distributions | 136,126 | 208,562 | |
Shares redeemed | (469,136) | (705,628) | |
Net increase (decrease) from capital share transactions | 181,504 | 797,142 | |
Class N | |||
Shares sold | 247,236 | 598,048 | |
Reinvestment of distributions | 194,218 | 420,163 | |
Shares redeemed | (988,176) | (3,653,835) | |
Net increase (decrease) from capital share transactions | (546,722) | (2,635,624) |
State Street Defensive Emerging Markets Equity Fund Class A | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 5.50 | $ 5.90 | $ 7.96 | $ 8.50 | $ 7.48 | $ 9.29 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.05(c) | 0.10 | 0.24 | 0.22 | 0.11 | 0.14 | |||||
Net realized and unrealized gain (loss) (d) | 1.03 | (0.10) | (0.66) | (0.33) | 1.03 | 0.04 | |||||
Total from investment operations | 1.08 | 0.00 | (0.42) | (0.11) | 1.14 | 0.18 | |||||
Contribution from Adviser (Note 4) | — | — | — | 0.01 | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.17) | (0.15) | (0.33) | (0.13) | (0.12) | — | |||||
Net realized gains | (0.09) | (0.25) | (1.31) | (0.31) | — | (1.99) | |||||
Total distributions | (0.26) | (0.40) | (1.64) | (0.44) | (0.12) | (1.99) | |||||
Net asset value, end of period | $ 6.32 | $ 5.50 | $ 5.90 | $ 7.96 | $ 8.50 | $ 7.48 | |||||
Total return (e) | 19.84%(c) | (0.47)% | (5.00)% | (1.31)%(f) | 15.57% | 3.35% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 7 | $ 6 | $ 52 | $ 52 | $ 53 | $ 46 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.74%(g) | 1.77% | 1.76% | 1.62% | 1.77% | 1.69% | |||||
Net expenses (b) | 1.24%(g) | 1.25% | 1.25% | 1.25% | 1.37% | 1.41% | |||||
Net investment income (loss) (b) | 1.78%(c)(g) | 1.74% | 3.63% | 2.70% | 1.42% | 1.88% | |||||
Portfolio turnover rate | 9%(h) | 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) | Net investment income per share includes approximately $0.04 per share related to income received for EU reclaims (Note 2) in connection with certain Fund holdings. Excluding this amount, the ratio of net investment income to average net assets would have been 0.42% and the total return would have been 19.12%. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.44)%. |
(g) | Annualized. |
(h) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class I | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 5.54 | $ 5.94 | $ 8.03 | $ 8.57 | $ 7.52 | $ 9.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.06(c) | 0.17 | 0.21 | 0.26 | 0.14 | 0.14 | |||||
Net realized and unrealized gain (loss) (d) | 1.02 | (0.15) | (0.64) | (0.35) | 1.02 | 0.07 | |||||
Total from investment operations | 1.08 | 0.02 | (0.43) | (0.09) | 1.16 | 0.21 | |||||
Contribution from Adviser (Note 4) | — | — | — | 0.01 | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.19) | (0.17) | (0.35) | (0.15) | (0.11) | — | |||||
Net realized gains | (0.09) | (0.25) | (1.31) | (0.31) | — | (1.99) | |||||
Total distributions | (0.28) | (0.42) | (1.66) | (0.46) | (0.11) | (1.99) | |||||
Net asset value, end of period | $ 6.34 | $ 5.54 | $ 5.94 | $ 8.03 | $ 8.57 | $ 7.52 | |||||
Total return (e) | 19.98%(c) | (0.37)% | (5.13)% | (1.15)%(f) | 15.96% | 3.70% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,566 | $1,514 | $1,418 | $1,568 | $1,496 | $1,523 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.62%(g) | 1.64% | 1.57% | 1.37% | 1.51% | 1.46% | |||||
Net expenses (b) | 1.13%(g) | 1.12% | 1.06% | 1.00% | 1.11% | 1.18% | |||||
Net investment income (loss) (b) | 1.87%(c)(g) | 3.11% | 3.20% | 3.15% | 1.81% | 1.80% | |||||
Portfolio turnover rate | 9%(h) | 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) | Net investment income per share includes approximately $0.04 per share related to income received for EU reclaims (Note 2) in connection with certain Fund holdings. Excluding this amount, the ratio of net investment income to average net assets would have been 0.57% and the total return would have been 19.26%. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.27)%. |
(g) | Annualized. |
(h) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class K | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 5.58 | $ 5.98 | $ 8.05 | $ 8.60 | $ 7.55 | $ 9.31 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.06(c) | 0.18 | 0.25 | 0.20 | 0.15 | 0.20 | |||||
Net realized and unrealized gain (loss) (d) | 1.04 | (0.16) | (0.66) | (0.30) | 1.03 | 0.03 | |||||
Total from investment operations | 1.10 | 0.02 | (0.41) | (0.10) | 1.18 | 0.23 | |||||
Contribution from Adviser (Note 4) | — | — | — | 0.01 | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.20) | (0.17) | (0.35) | (0.15) | (0.13) | — | |||||
Net realized gains | (0.09) | (0.25) | (1.31) | (0.31) | — | (1.99) | |||||
Total distributions | (0.29) | (0.42) | (1.66) | (0.46) | (0.13) | (1.99) | |||||
Net asset value, end of period | $ 6.39 | $ 5.58 | $ 5.98 | $ 8.05 | $ 8.60 | $ 7.55 | |||||
Total return (e) | 19.95%(c) | (0.14)% | (4.82)% | (1.22)%(f) | 16.02% | 4.07% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 816 | $ 749 | $ 826 | $ 952 | $2,243 | $2,701 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.49%(g) | 1.52% | 1.51% | 1.37% | 1.40% | 1.20% | |||||
Net expenses (b) | 1.00%(g) | 1.00% | 1.00% | 1.00% | 1.00% | 0.92% | |||||
Net investment income (loss) (b) | 2.09%(c)(g) | 3.27% | 3.80% | 2.29% | 1.93% | 2.86% | |||||
Portfolio turnover rate | 9%(h) | 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) | Net investment income per share includes approximately $0.04 per share related to income received for EU reclaims (Note 2) in connection with certain Fund holdings. Excluding this amount, the ratio of net investment income to average net assets would have been 0.81% and the total return would have been 19.24%. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.35)%. |
(g) | Annualized. |
(h) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class N | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 5.56 | $ 5.95 | $ 8.02 | $ 8.56 | $ 7.52 | $ 9.30 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.05(c) | 0.17 | 0.23 | 0.21 | 0.12 | 0.13 | |||||
Net realized and unrealized gain (loss) (d) | 1.03 | (0.15) | (0.66) | (0.32) | 1.03 | 0.08 | |||||
Total from investment operations | 1.08 | 0.02 | (0.43) | (0.11) | 1.15 | 0.21 | |||||
Contribution from Adviser (Note 4) | — | — | — | 0.01 | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.18) | (0.16) | (0.33) | (0.13) | (0.11) | — | |||||
Net realized gains | (0.09) | (0.25) | (1.31) | (0.31) | — | (1.99) | |||||
Total distributions | (0.27) | (0.41) | (1.64) | (0.44) | (0.11) | (1.99) | |||||
Net asset value, end of period | $ 6.37 | $ 5.56 | $ 5.95 | $ 8.02 | $ 8.56 | $ 7.52 | |||||
Total return (e) | 19.95%(c) | (0.42)% | (5.16)% | (1.29)%(f) | 15.58% | 3.83% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $43,265 | $39,758 | $49,777 | $66,373 | $86,670 | $107,308 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.73%(g) | 1.77% | 1.76% | 1.62% | 1.65% | 1.48% | |||||
Net expenses (b) | 1.25%(g) | 1.25% | 1.25% | 1.25% | 1.25% | 1.21% | |||||
Net investment income (loss) (b) | 1.80%(c)(g) | 2.93% | 3.47% | 2.56% | 1.60% | 1.71% | |||||
Portfolio turnover rate | 9%(h) | 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) | Net investment income per share includes approximately $0.04 per share related to income received for EU reclaims (Note 2) in connection with certain Fund holdings. Excluding this amount, the ratio of net investment income to average net assets would have been 0.49% and the total return would have been 19.23%. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.41)%. |
(g) | Annualized. |
(h) | Not annualized. |
State Street International Stock Selection Fund Class A | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 9.46 | $ 9.59 | $10.96 | $ 11.76 | $10.05 | $10.64 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.01 | 0.19 | 0.22 | 0.26 | 0.27 | 0.27 | |||||
Net realized and unrealized gain (loss) | 1.21 | (0.00)(c) | (1.07) | (0.63) | 1.69 | (0.58) | |||||
Total from investment operations | 1.22 | 0.19 | (0.85) | (0.37) | 1.96 | (0.31) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.18) | (0.32) | (0.52) | (0.43) | (0.25) | (0.28) | |||||
Net asset value, end of period | $10.50 | $ 9.46 | $ 9.59 | $10.96 | $ 11.76 | $10.05 | |||||
Total return (d) | 12.92% | 1.75% | (7.46)% | (3.35)% | 19.95% | (2.89)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,289 | $4,141 | $4,148 | $6,933 | $6,679 | $ 284 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.55%(e) | 1.48% | 1.49% | 1.49% | 1.31% | 1.46% | |||||
Net expenses (b) | 1.29%(e) | 1.20% | 1.22% | 1.25% | 1.07% | 1.19% | |||||
Net investment income (loss) (b) | 0.11%(e) | 2.03% | 2.19% | 2.28% | 2.51% | 2.73% | |||||
Portfolio turnover rate | 53%(f) | 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. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class I | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 9.51 | $ 9.65 | $ 11.05 | $ 11.81 | $10.10 | $10.65 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.03 | 0.22 | 0.34 | 0.44 | 0.25 | 0.25 | |||||
Net realized and unrealized gain (loss) | 1.23 | 0.00(c) | (1.17) | (0.74) | 1.74 | (0.53) | |||||
Total from investment operations | 1.26 | 0.22 | (0.83) | (0.30) | 1.99 | (0.28) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.21) | (0.36) | (0.57) | (0.46) | (0.28) | (0.27) | |||||
Net asset value, end of period | $10.56 | $ 9.51 | $ 9.65 | $ 11.05 | $ 11.81 | $10.10 | |||||
Total return (d) | 13.24% | 2.02% | (7.03)% | (2.84)% | 20.23% | (2.60)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,913 | $2,557 | $4,610 | $2,551 | $ 594 | $ 432 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.14%(e) | 1.15% | 1.12% | 1.00% | 1.09% | 1.21% | |||||
Net expenses (b) | 0.88%(e) | 0.87% | 0.84% | 0.76% | 0.85% | 0.94% | |||||
Net investment income (loss) (b) | 0.53%(e) | 2.33% | 3.38% | 3.84% | 2.33% | 2.45% | |||||
Portfolio turnover rate | 53%(f) | 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. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class K | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 9.52 | $ 9.65 | $ 11.04 | $ 11.82 | $ 10.12 | $ 10.67 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.03 | 0.24 | 0.31 | 0.32 | 0.25 | 0.28 | |||||
Net realized and unrealized gain (loss) | 1.22 | (0.00)(c) | (1.12) | (0.64) | 1.75 | (0.54) | |||||
Total from investment operations | 1.25 | 0.24 | (0.81) | (0.32) | 2.00 | (0.26) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.22) | (0.37) | (0.58) | (0.46) | (0.30) | (0.29) | |||||
Net asset value, end of period | $ 10.55 | $ 9.52 | $ 9.65 | $ 11.04 | $ 11.82 | $ 10.12 | |||||
Total return (d) | 13.17% | 2.21% | (6.98)% | (2.80)% | 20.25% | (2.44)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $68,659 | $60,185 | $53,350 | $67,632 | $80,137 | $75,816 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.01%(e) | 1.03% | 1.03% | 0.99% | 0.99% | 0.99% | |||||
Net expenses (b) | 0.75%(e) | 0.75% | 0.75% | 0.75% | 0.75% | 0.73% | |||||
Net investment income (loss) (b) | 0.65%(e) | 2.52% | 3.07% | 2.72% | 2.37% | 2.79% | |||||
Portfolio turnover rate | 53%(f) | 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. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class N | |||||||||||
Six Months Ended 2/28/21 (Unaudited) | 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 | $ 9.53 | $ 9.66 | $ 11.04 | $ 11.81 | $ 10.11 | $ 10.65 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.02 | 0.21 | 0.29 | 0.29 | 0.21 | 0.24 | |||||
Net realized and unrealized gain (loss) | 1.23 | 0.01 | (1.12) | (0.63) | 1.76 | (0.52) | |||||
Total from investment operations | 1.25 | 0.22 | (0.83) | (0.34) | 1.97 | (0.28) | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.20) | (0.35) | (0.55) | (0.43) | (0.27) | (0.26) | |||||
Net asset value, end of period | $ 10.58 | $ 9.53 | $ 9.66 | $ 11.04 | $ 11.81 | $ 10.11 | |||||
Total return (c) | 13.09% | 1.94% | (7.19)% | (3.06)% | 20.04% | (2.61)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $109,658 | $103,963 | $130,895 | $180,398 | $213,660 | $228,594 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.26%(d) | 1.28% | 1.28% | 1.23% | 1.24% | 1.26% | |||||
Net expenses (b) | 1.00%(d) | 1.00% | 1.00% | 1.00% | 1.00% | 0.99% | |||||
Net investment income (loss) (b) | 0.41%(d) | 2.20% | 2.85% | 2.49% | 1.98% | 2.41% | |||||
Portfolio turnover rate | 53%(e) | 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. Total return for periods less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
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 Defensive Emerging Markets Equity Fund | Exposing cash reserves to markets |
State Street International Stock Selection Fund | Exposing cash reserves to markets |
Liability Derivatives | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | $— | $— | $— | $ (4,990) | $— | $ (4,990) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | (44,620) | — | (44,620) |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | $— | $— | $— | $ 211,101 | $— | $ 211,101 | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | 572,952 | — | 572,952 |
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 Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | $— | $— | $— | $ (38,962) | $— | $ (38,962) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | (209,380) | — | (209,380) |
Annual Rate | |
State Street Defensive Emerging Markets Equity Fund | 0.75% |
State Street International Stock Selection Fund | 0.75 |
Expense Limitations | |
State Street Defensive Emerging Markets Equity Fund | 1.00% |
State Street International Stock Selection Fund | 0.75 |
Funds | Amount Waived or Reimbursed |
State Street Defensive Emerging Markets Equity Fund | $106,248 |
State Street International Stock Selection Fund | 230,430 |
Amount Waived | |
State Street Defensive Emerging Markets Equity Fund | $2,193 |
State Street International Stock Selection Fund | 8,837 |
Purchases | Sales | ||
State Street Defensive Emerging Markets Equity Fund | $ 3,812,680 | $ 7,293,901 | |
State Street International Stock Selection Fund | 90,447,986 | 98,393,372 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Emerging Markets Equity Fund | $ 37,851,975 | $ 11,463,031 | $3,128,790 | $ 8,334,241 | |||
State Street International Stock Selection Fund | 166,558,600 | 23,831,883 | 4,818,529 | 19,013,354 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Defensive Emerging Markets Equity Fund | $ 314,157 | $ 329,963 | $ — | $ 329,963 | ||||
State Street International Stock Selection Fund | 3,692,601 | 1,407,454 | 2,627,421 | 4,034,875 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of February 28, 2021 | ||||||||||||||
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 Defensive Emerging Markets Equity Fund | Common Stocks | $ 329,963 | $— | $— | $— | $ 329,963 | $ 329,963 | |||||||
State Street International Stock Selection Fund | Common Stocks | 1,407,454 | — | — | — | 1,407,454 | 1,407,454 |
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 Defensive Emerging Markets Equity Fund | |||||||||
Class A | 1.24% | $1,198.40 | $6.98 | $1,018.40 | $6.41 | ||||
Class I | 1.13 | 1,199.80 | 6.16 | 1,019.20 | 5.66 | ||||
Class K | 1.00 | 1,199.50 | 5.45 | 1,019.80 | 5.01 | ||||
Class N | 1.25 | 1,199.50 | 6.82 | 1,018.60 | 6.26 | ||||
State Street International Stock Selection Fund | |||||||||
Class A | 1.29 | 1,129.20 | 6.81 | 1,018.40 | 6.46 | ||||
Class I | 0.88 | 1,132.40 | 4.65 | 1,020.40 | 4.41 | ||||
Class K | 0.75 | 1,131.70 | 3.96 | 1,021.10 | 3.76 | ||||
Class N | 1.00 | 1,130.90 | 5.28 | 1,019.80 | 5.01 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this 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.
(a)(1) | Not applicable; this Form N-CSR is a Semi-Annual Report. | |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto. | |
(a)(3) | Not applicable to the Registrant. | |
(a)(4) | Not applicable. | |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, 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: | May 7, 2021 |
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: | May 7, 2021 |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) |
Date: | May 7, 2021 |