Ssga Funds N-CSRS Certified semi-annual shareholder report (management investment company)

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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)

1301 2nd Avenue 18^th Floor, Seattle Washington 98101
(Address of principal executive offices) (Zip code)

Sandra G. Richardson, Secretary and Chief Legal Officer
1301 2nd Avenue
18^th Floor
Seattle, Washington 98101
206-505-3598

(Name and address of agent for service)

Registrant’s telephone number, including area code: 206-505-7877

Date of fiscal year end:                       August 31

Date of reporting period:                    September 1, 2010 to February 28, 2011

TABLE OF CONTENTS

	Item 1. Reports to Stockholders
Balanced Fund
Growth Fund
Income and Growth Fund
Statements of Assets and Liabilities
Statements of Operations
Statements of Changes in Net Assets
Financial Highlights
Notes to Financial Highlights
Notes to Financial Statements
Shareholder Requests for Additional Information
Disclosure of Information about Fund Trustees and Officers
State Street Financial Center
Money Market Fund
U.S. Government Money Market Fund
Tax Free Money Market Fund
Notes to Schedules of Investments
Statements of Assets and Liabilities
Statements of Operations
Financial Highlights
Notes to Financial Statements
Shareholder Requests for Additional Information
Disclosure of Information about Fund Trustees and Officers
State Street Financial Center
U.S. Treasury Money Market Fund
Prime Money Market Fund
Notes to Schedules of Investments
Statements of Assets and Liabilities
Statements of Operations
Statements of Changes in Net Assets
Financial Highlights
Notes to Financial Statements
Shareholder Requests for Additional Information
Disclosure of Information about Fund Trustees and Officers
State Street Financial Center
Bond Market Fund
Intermediate Fund
High Yield Bond Fund
Notes to Schedules of Investments
Statements of Assets and Liabilities
Statements of Operations
Statements of Changes in Net Assets
Financial Highlights
Notes to Financial Statements
Shareholder Requests for Additional Information
Disclosure of Information about Fund Trustees and Officers
State Street Financial Center
Emerging Markets Fund
International Stock Selection Fund
Notes to Schedules of Investments
Statements of Assets and Liabilities
Statements of Operations
Statements of Changes in Net Assets
Financial Highlights
Notes to Financial Statements
Shareholder Requests for Additional Information
Disclosure of Information about Fund Trustees and Officers
State Street Financial Center
S&P 500 Index Fund
Statements of Operations
Notes to Financial Statements
Shareholder Requests for Additional Information
Disclosure of Information about Fund Trustees and Officers
Fund Management and Service Providers
Financial Highlights
Notes to Financial Statements
General Information
Disciplined Equity Fund
Small Cap Fund
Tuckerman Active REIT Fund
IAM SHARES Fund
Enhanced Small Cap Fund
Directional Core Equity Fund
Notes to Schedules of Investments
Statements of Assets and Liabilities
Statements of Operations
Statements of Changes in Net Assets
Financial Highlights
Notes to Financial Highlights
Notes to Financial Statements
Shareholder Requests for Additional Information
Disclosure of Information about Fund Trustees and Officers
State Street Financial Center
	Item 2. Code of Ethics. [Annual Report Only]
	Item 3. Audit Committee Financial Expert. [Annual Report Only]
	Item 4. Principal Accountant Fees and Services. [Annual Report Only]
	Item 5. Audit Committee of Listed Registrants. [Not Applicable]
	Item 6. [Schedules of Investments are included as part of the Report to Shareholders filed under Item 1 of this form]
	Items 7-9. [Not Applicable]
	Item 10. Submission of Matters to a Vote of Security Holders
	Item 11. Controls and Procedures
	Item 12. Exhibit List
SIGNATURES
Section 302 Certifications
Section 906 Certifications

Item 1. Reports to Stockholders

LIFE SOLUTIONS FUNDS

LS Balanced Fund
LS Balanced Fund – Class R
LS Growth Fund
LS Growth Fund – Class R
LS Income and Growth Fund
LS Income and Growth Fund – Class R

Semiannual Report
February 28, 2011

SSgA Funds

Life Solutions^sm Funds

Semiannual Report

February 28, 2011 (Unaudited)

Table of Contents

	Page
Balanced Fund	3
Growth Fund	7
Income and Growth Fund	11
Statements of Assets and Liabilities	14
Statements of Operations	15
Statements of Changes in Net Assets	16
Financial Highlights	18
Notes to Financial Highlights	20
Notes to Financial Statements	21
Shareholder Requests for Additional Information	33
Disclosure of Information about Fund Trustees and Officers	34
Fund Management and Service Providers	38

“SSgA” is a registered trademark and “Life Solutions^sm” is a registered service mark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

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SSgA Life Solutions
Balanced Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs:(1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,164.90	$	1,022.56
Expenses Paid During Period*	$	2.42	$	2.26

*  Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,160.10	$	1,019.24
Expenses Paid During Period*	$	6.00	$	5.61

*  Expenses are equal to the Fund’s annualized expense ratio of 1.12% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Life Solutions Balanced Fund 3

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SSgA Life Solutions
Balanced Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
			Market
			Value
	Shares		$
Investments - 100.1%
Bonds - 36.7%
SPDR Barclays Capital Aggregate Bond ETF		21,728		1,208
SPDR Barclays Capital Intermediate Term Credit Bond ETF		27,890		918
SSgA Bond Market Fund		1,077,602		9,450
SSgA High Yield Bond Fund		41,372		349
				11,925
Domestic Equities - 50.6%
SPDR S&P Dividend ETF		7,910		427
SPDR S&P MidCap 400 ETF		1,860		326
SSgA Enhanced Small Cap Fund		62,222		691
SSgA S&P 500 Index Fund		684,715		14,982
				16,426
International Equities - 12.8%
SSgA Emerging Markets Fund		27,680		601
SSgA International Stock Selection Fund		329,000		3,573
				4,174
Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		3,786		4
Total Investments - 100.1%* (identified cost $26,220)				32,529
Other Assets and Liabilities, Net - (0.1%)				(36	)
Net Assets - 100.0%				32,493

*   Unless otherwise indicated, the values of securities of the Fund are determined based on Level 1 inputs. (Note 2)

See accompanying notes which are an integral part of the financial statements.

Life Solutions Balanced Fund 5

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SSgA Life Solutions
Growth Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs:(1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,222.90	$	1,022.56
Expenses Paid During Period*	$	2.48	$	2.26

*  Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,219.70	$	1,019.98
Expenses Paid During Period*	$	5.34	$	4.86

*  Expenses are equal to the Fund’s annualized expense ratio of 0.97% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Life Solutions Growth Fund 7

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SSgA Life Solutions
Growth Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
			Market
			Value
	Shares		$
Investments - 100.8%
Bonds - 16.6%
SPDR Barclays Capital Aggregate Bond ETF		1,805		100
SPDR Barclays Capital Intermediate Term Credit Bond ETF		2,745		90
SSgA Bond Market Fund		31,442		276
SSgA High Yield Bond Fund		3,663		31
				497
Domestic Equities - 66.0%
SPDR S&P Dividend ETF		870		47
SPDR S&P MidCap 400 ETF		185		33
SSgA Enhanced Small Cap Fund		8,414		93
SSgA S&P 500 Index Fund		82,359		1,802
				1,975
International Equities - 18.2%
SSgA Emerging Markets Fund		2,521		55
SSgA International Stock Selection Fund		45,034		489
				544
Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		313		—	±
Total Investments - 100.8%* (identified cost $1,997)				3,016
Other Assets and Liabilities, Net - (0.8%)				(25	)
Net Assets - 100.0%				2,991

*	Unless otherwise indicated, the values of securities of the Fund are determined based on Level 1 inputs. (Note 2)
±	Less than $500.

See accompanying notes which are an integral part of the financial statements.

Life Solutions Growth Fund 9

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SSgA Life Solutions
Income and Growth Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs:(1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,110.30	$	1,022.56
Expenses Paid During Period*	$	2.35	$	2.26

*  Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,106.60	$	1,019.79
Expenses Paid During Period*	$	5.28	$	5.06

*  Expenses are equal to the Fund’s annualized expense ratio of 1.01% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Life Solutions Income and Growth Fund 11

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SSgA Life Solutions
Income and Growth Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
			Market
			Value
	Shares		$
Investments - 102.2%
Bonds - 57.7%
SPDR Barclays Capital Aggregate Bond ETF		1,635		91
SPDR Barclays Capital Intermediate Term Credit Bond ETF		1,170		39
SSgA Bond Market Fund		66,984		587
SSgA High Yield Bond Fund		1,569		13
				730
Domestic Equities - 36.3%
SPDR S&P Dividend ETF		415		22
SPDR S&P MidCap 400 ETF		105		19
SSgA Enhanced Small Cap Fund		1,199		13
SSgA S&P 500 Index Fund		18,527		405
				459
International Equities - 8.2%
SSgA Emerging Markets Fund		1,166		25
SSgA International Stock Selection Fund		7,213		79
				104
Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		72		—	±
Total Investments - 102.2%* (identified cost $1,018)				1,293
Other Assets and Liabilities, Net - (2.2%)				(28	)
Net Assets - 100.0%				1,265

*	Unless otherwise indicated, the values of securities of the Fund are determined based on Level 1 inputs. (Note 2)
±	Less than $500.

See accompanying notes which are an integral part of the financial statements.

Life Solutions Income and Growth Fund 13

SSgA
Life Solutions Funds

Statements of Assets and Liabilities — February 28, 2011 (Unaudited)

	Life Solutions			Life Solutions			Life Solutions
Amounts in thousands	Balanced			Growth			Income and Growth
Assets
Investments, at identified cost	$	26,220		$	1,997		$	1,018
Investments, at market		32,529			3,016			1,293
Receivables:
Fund shares sold		2			5			1
From Advisor		5			13			30
Prepaid expenses		2			1			—
Total assets		32,538			3,035			1,324
Liabilities
Payables:
Investments purchased		2			5			—
Accrued fees to affiliates		18			18			39
Other accrued expenses		25			21			20
Total liabilities		45			44			59
Net Assets	$	32,493		$	2,991		$	1,265
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(28	)	$	7		$	22
Accumulated net realized gain (loss)		(9,099	)		(4,791	)		(1,951	)
Unrealized appreciation (depreciation) on investments		6,309			1,019			275
Shares of beneficial interest		3			—			—
Additional paid-in capital		35,308			6,756			2,919
Net Assets	$	32,493		$	2,991		$	1,265
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class(a)	$	11.92		$	11.96		$	10.89
Net assets	$	32,064,224		$	2,726,862		$	1,052,727
Shares outstanding ($.001 par value)		2,689,671			228,007			96,646
Net asset value per share: Class R(a)	$	11.97		$	12.00		$	10.76
Net assets	$	428,751		$	264,263		$	212,262
Shares outstanding ($.001 par value)		35,809			22,017			19,733

(a) Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.

14 Statements of Assets and Liabilities

SSgA
Life Solutions Funds

Statements of Operations — For the Period Ended February 28, 2011 (Unaudited)

	Life Solutions			Life Solutions			Life Solutions
Amounts in thousands	Balanced			Growth			Income and Growth
Investment Income
Income distribution from Underlying Funds	$	440		$	73		$	27
Expenses
Fund accounting fees		14			14			14
Distribution fees — Institutional Class		4			2			1
Distribution fees — Class R		—			—			1
Transfer agent fees		32			32			33
Professional fees		14			15			14
Registration fees		21			21			21
Shareholder servicing fees — Institutional Class		1			2			—
Shareholder servicing fees — Class R		2			—			—
Insurance fees		—	*		—	*		—	*
Printing fees		10			2			1
Miscellaneous		4			2			2
Expenses before reductions		102			90			87
Expense reductions		(34	)		(79	)		(82	)
Net expenses		68			11			5
Net investment income (loss)		372			62			22
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		165			499			71
Net change in unrealized appreciation (depreciation) on investments		3,895			363			70
Net realized and unrealized gain (loss)		4,060			862			141
Net Increase (Decrease) in Net Assets from Operations	$	4,432		$	924		$	163

* Less than $500.

See accompanying notes which are an integral part of the financial statements.

Statements of Operations 15

SSgA
Life Solutions Funds

Statements of Changes in Net Assets — For the Periods Ended February 28,

	Life Solutions						Life Solutions
	Balanced						Growth						Life Solutions Income and Growth
	Six Months			Fiscal Year			Six Months			Fiscal Year			Six Months			Fiscal Year
	Ended February 28, 2011			Ended August 31,			Ended February 28, 2011			Ended August 31,			Ended February 28, 2011			Ended August 31,
Amounts in thousands	(Unaudited)			2010			(Unaudited)			2010			(Unaudited)			2010
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	372		$	581		$	62		$	87		$	22		$	92
Net realized gain (loss)		165			(129	)		499			(25	)		71			284
Net change in unrealized appreciation (depreciation)		3,895			689			363			141			70			(134	)
Net increase (decrease) in net assets from operations		4,432			1,141			924			203			163			242
Distributions
From net investment income
Institutional Class		(661	)		(508	)		(93	)		(104	)		(58	)		(89	)
Class R		(8	)		(14	)		(2	)		(8	)		(35	)		(20	)
Net decrease in net assets from distributions		(669	)		(522	)		(95	)		(112	)		(93	)		(109	)
Share Transactions
Net increase (decrease) in net assets from share transactions		2,566			145			(2,625	)		(1,069	)		(393	)		(2,487	)
Total Net Increase (Decrease) in Net Assets		6,329			764			(1,796	)		(978	)		(323	)		(2,354	)
Net Assets
Beginning of period		26,164			25,400			4,787			5,765			1,588			3,942
End of period	$	32,493		$	26,164		$	2,991		$	4,787		$	1,265		$	1,588
Undistributed (overdistributed) net investment income included in net assets	$	(28	)	$	269		$	7		$	40		$	22		$	93

See accompanying notes which are an integral part of the financial statements.

16 Statements of Changes in Net Assets

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SSgA
Life Solutions Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.

	$		$		$			$			$			$
	Net Asset Value,		Net		Net Realized			Total			Distributions			Distributions
	Beginning of		Investment		and Unrealized			from Investment			from Net			from Net
	Period		Income (Loss)(a)(b)		Gain (Loss)			Operations			Investment Income			Realized Gain
Life Solutions Balanced
Institutional Class
February 28, 2011*		10.47		.14		1.57			1.71			(.26	)		—
August 31, 2010		10.30		.23		.15			.38			(.21	)		—
August 31, 2009		11.52		.22		(1.15	)		(.93	)		(.29	)		—
August 31, 2008		13.18		.53		(1.64	)		(1.11	)		(.55	)		—
August 31, 2007		12.66		.44		.50			.94			(.42	)		—
August 31, 2006		11.97		.27		.60			.87			(.18	)		—
Class R
February 28, 2011*		10.45		.12		1.55			1.67			(.15	)		—
August 31, 2010		10.28		.16		.16			.32			(.15	)		—
August 31, 2009		11.42		.15		(1.13	)		(.98	)		(.16	)		—
August 31, 2008		13.05		.45		(1.60	)		(1.15	)		(.48	)		—
August 31, 2007		12.54		.31		.55			.86			(.35	)		—
August 31, 2006		11.91		.11		.68			.79			(.16	)		—
Life Solutions Growth
Institutional Class
February 28, 2011*		9.96		.15		2.05			2.20			(.20	)		—
August 31, 2010		9.95		.17		.04			.21			(.20	)		—
August 31, 2009		11.82		.20		(1.89	)		(1.69	)		(.18	)		—
August 31, 2008		13.77		.64		(2.01	)		(1.37	)		(.58	)		—
August 31, 2007		12.79		.37		.97			1.34			(.36	)		—
August 31, 2006		11.78		.15		.96			1.11			(.10	)		—
Class R
February 28, 2011*		9.93		.10		2.07			2.17			(.10	)		—
August 31, 2010		9.94		.10		.05			.15			(.16	)		—
August 31, 2009		11.77		.10		(1.84	)		(1.74	)		(.09	)		—
August 31, 2008		13.67		.47		(1.88	)		(1.41	)		(.49	)		—
August 31, 2007		12.69		.31		.94			1.25			(.27	)		—
August 31, 2006		11.75		.02		1.02			1.04			(.10	)		—
Life Solutions Income and Growth
Institutional Class
February 28, 2011*		10.41		.15		.97			1.12			(.64	)		—
August 31, 2010		10.16		.33		.21			.54			(.29	)		—
August 31, 2009		11.04		.28		(.55	)		(.27	)		(.59	)		(.01	)
August 31, 2008		12.51		.50		(1.29	)		(.79	)		(.52	)		(.16	)
August 31, 2007		12.42		.47		.06			.53			(.44	)		—
August 31, 2006		12.05		.36		.26			.62			(.25	)		—
Class R
February 28, 2011*		10.28		.14		.93			1.07			(.59	)		—
August 31, 2010		10.07		.23		.25			.48			(.27	)		—
August 31, 2009		10.97		.15		(.49	)		(.34	)		(.55	)		(.01	)
August 31, 2008		12.39		.44		(1.25	)		(.81	)		(.45	)		(.16	)
August 31, 2007		12.31		.37		.08			.45			(.37	)		—
August 31, 2006		12.01		.21		.33			.54			(.24	)		—

See accompanying notes which are an integral part of the financial statements.

18 Financial Highlights

										%		%		%
			$					$		Ratio of Expenses		Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average		to Average		Investment Income		%
Total			End of		Total			End of Period		Net Assets,		Net Assets,		to Average		Portfolio
Distributions			Period		Return(e)			(000)		Net(c)(d)(f)		Gross(c)(f)		Net Assets(c)(d)(f)		Turnover Rate(e)
	(.26	)		11.92		16.49			32,064		.45		.68		1.26		19
	(.21	)		10.47		3.66			25,565		.45		.74		2.18		74
	(.29	)		10.30		(7.79	)		24,411		.45		.78		2.37		73
	(.55	)		11.52		(8.73	)		27,962		.44		.45		4.27		94
	(.42	)		13.18		7.51			58,036		.33		.33		3.31		31
	(.18	)		12.66		7.37			81,570		.31		.31		2.24		29
	(.15	)		11.97		16.01			429		1.12		1.35		1.05		19
	(.15	)		10.45		3.09			599		1.10		1.39		1.52		74
	(.16	)		10.28		(8.42	)		989		1.06		1.38		1.64		73
	(.48	)		11.42		(9.10	)		965		.98		.99		3.71		94
	(.35	)		13.05		6.91			1,891		.90		.90		2.40		31
	(.16	)		12.54		6.71			1,340		.88		.88		.87		29
	(.20	)		11.96		22.29			2,727		.45		3.97		1.39		25
	(.20	)		9.96		2.05			4,583		.45		3.15		1.59		73
	(.18	)		9.95		(14.12	)		5,282		.45		2.30		2.21		82
	(.58	)		11.82		(10.38	)		11,379		.45		.72		4.97		75
	(.36	)		13.77		10.53			37,358		.45		.45		2.74		30
	(.10	)		12.79		9.45			51,495		.42		.42		1.21		29
	(.10	)		12.00		21.97			264		.97		4.49		.92		25
	(.16	)		9.93		1.46			204		1.03		3.74		.98		73
	(.09	)		9.94		(14.65	)		483		1.17		3.02		1.10		82
	(.49	)		11.77		(10.65	)		591		.85		1.12		3.72		75
	(.27	)		13.67		9.86			1,041		1.01		1.01		2.37		30
	(.10	)		12.69		8.92			1,208		.95		.95		.14		29
	(.64	)		10.89		11.03			1,053		.45		11.01		1.40		43
	(.29	)		10.41		5.39			878		.45		5.37		3.13		89
	(.61	)		10.16		(1.73	)		3,268		.45		3.52		2.99		81
	(.68	)		11.04		(6.59	)		7,604		.45		1.10		4.33		99
	(.44	)		12.51		4.30			19,939		.45		.70		3.67		32
	(.25	)		12.42		5.27			28,382		.45		.60		3.00		30
	(.59	)		10.76		10.66			212		1.01		11.57		1.38		43
	(.27	)		10.28		4.84			710		.99		5.91		2.25		89
	(.56	)		10.07		(2.42	)		674		1.30		4.37		1.62		81
	(.61	)		10.97		(6.80	)		248		.86		1.53		3.81		99
	(.37	)		12.39		3.66			428		1.02		1.27		3.00		32
	(.24	)		12.31		4.56			375		.98		1.14		1.66		30

See accompanying notes which are an integral part of the financial statements.

Financial Highlights 19

SSgA
Life Solutions Funds

Notes to Financial Highlights — February 28, 2011 (Unaudited)

*	For the six months ended February 28, 2011 (unaudited).
(a)	Average daily shares outstanding were used for this calculation.
(b)	Recognition of net investment income by the Funds is affected by the timing of the declaration of dividends by the Underlying Funds in which the Funds invest.
(c)	The calculation includes only those expenses charged directly to the Funds and does not include expenses charged to the Underlying Funds in which the Funds invest.
(d)	May reflect amounts waived and/or reimbursed by the investment advisor.
(e)	Periods less than one year are not annualized.
(f)	The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.

20 Financial Highlights

SSgA
Life Solutions Funds

Notes to Financial Statements — February 28, 2011 (Unaudited)

1. Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 28, 2011. These financial statements report on three funds: the SSgA Life Solutions Balanced Fund, SSgA Life Solutions Growth Fund and SSgA Life Solutions Income and Growth Fund, each a “Fund” and collectively referred to as the “Funds.” Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (“the Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

Class R shares of the Investment Company, which became effective on July 31, 2003, may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.

The Funds are designed primarily for tax-advantaged retirement accounts and other long-term investment strategies. Each Fund allocates its assets by investing in shares of a combination of the Investment Company’s portfolios (the “Underlying Funds”) and exchange-traded funds (the “Underlying ETFs”) that are advised or sponsored by SSgA Funds Management, Inc. (“SSgA FM” or the “Advisor”) or its affiliates. This arrangement is referred to as a “fund of funds.” The table below illustrates the equity, bond and short-term fund asset allocation ranges for each Fund.

	Asset Allocation Ranges
			Income and
Asset Class/Underlying Fund or ETF	Balanced	Growth	Growth
Equities*	40 - 80%	60 - 100%	20 - 60%
US Equities SPDR S&P Dividend ETF SPDR S&P MidCap 400 ETF SSgA Enhanced Small Cap Fund SSgA S&P 500 Index Fund
International Equities SSgA Emerging Markets Fund SSgA International Stock Selection Fund
Bonds	20 - 60%	0 - 40%	40 - 80%
SPDR Barclays Capital Aggregate Bond ETF SPDR Barclays Capital Intermediate Term Credit Bond ETF SPDR Barclays Capital Short Term Corporate Bond ETF SPDR Barclays Capital TIPS ETF SSgA Bond Market Fund SSgA High Yield Bond Fund
Short Term Assets	0 - 20%	0 - 20%	0 - 20%
SSgA Prime Money Market Fund

*  International equities are included in the total equity exposure indicated above and should not exceed the listed percentages.

Objectives of the Underlying Funds and Underlying ETFs

The Life Solutions Funds are comprised of various combinations of the Underlying Funds and Underlying ETFs. The Board has approved investment in all of the Underlying Funds and Underlying ETFs presented above. The investment objectives of the Underlying Funds and Underlying ETFs utilized by the Life Solutions Funds are listed below.

SPDR Barclays Capital Aggregate Bond ETF

To provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the US dollar denominated investment grade bond market.

Notes to Financial Statements 21

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

SPDR Barclays Capital Intermediate Term Credit Bond ETF

To provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the intermediate term (1-10 years) sector of the United States investment bond market.

SPDR Barclays Capital Short Term Corporate Bond ETF

To provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the short-term U.S. corporate bond market.

SPDR Barclays Capital TIPS ETF

To provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the inflation protected sector of the United States Treasury market.

SPDR S&P Dividend ETF

To closely match the returns and characteristics, before fees and expenses, of the S&P High Yield Dividend Aristocrats^tm Index. The approach is designed to provide portfolios with low portfolio turnover, accurate tracking, and lower costs.

SPDR S&P MidCap 400 ETF

To generally correspond to the price and yield performance of the S&P MidCap 400 Index^tm. The approach is designed to provide portfolios with low portfolio turnover, accurate tracking, and lower costs.

SSgA Enhanced Small Cap Fund

To maximize total return through investment primarily in small capitalization equity securities.

SSgA S&P 500 Index Fund

To seek to replicate the total return of the S&P 500 Index.

SSgA Emerging Markets Fund

To provide maximum total return, primarily through capital appreciation, by investing primarily in securities of foreign issuers.

SSgA International Stock Selection Fund

To provide long-term capital growth by investing primarily in securities of foreign issuers.

SSgA Bond Market Fund

To maximize total return by investing in fixed income securities, including, but not limited to, those represented by the Barclays Capital U.S. Aggregate Bond Index.

SSgA High Yield Bond Fund

To maximize total return by investing primarily in fixed income securities, including, but not limited to, those represented by the Barclays Capital U.S. Corporate High-Yield Bond Index.

SSgA Prime Money Market Fund

To maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value, by investing in dollar-denominated securities.

2. Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) which require the use of management estimates and assumptions at the date of the financial statements.

22 Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

Investments in Underlying Funds are valued at the net asset value (“NAV”) per share of each Underlying Fund as of the close of regular trading on the New York Stock Exchange. Underlying ETFs are valued at the last sales price as of the close of the customary trading session on the exchange where the Underlying ETF is principally traded, or lacking any sales price on a particular day, the Underlying ETF may be valued at the closing bid price on that day.

The Underlying Funds value portfolio securities according to Securities Valuation Procedures approved by the Board, including Market Value Procedures and Fair Value Procedures described below.

Fair value of securities is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. To increase consistency and comparability in fair value measurement, the fair value hierarchy was established to maximize the use of observable market data and minimize the use of unobservable inputs to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy of inputs is summarized in the three broad levels listed below.

•   Level 1 — quoted prices (unadjusted) in active markets for identical investments

•   Level 2 — other significant observable inputs including quoted market prices in non-active markets or prices derived from market data. Included are the following:

•   common stocks traded or quoted only on inactive markets

•   privately placed bonds whose values are derived from a similar bond that is publicly traded

•   interest rate swaps valued based on compilation of primarily observable swap curves incorporated into a model or matrix price

•   euro commercial paper valued at amortized cost which approximates market and is not priced daily or a broker quote in a non-active market with inputs incorporated into a model or matrix price

•   non registered mutual funds that are daily priced, but not publicly traded

•   currency forwards valued based on a compilation of primarily observable market currency spot rates incorporated into a model or matrix price

•   corporate bonds and notes, domestic commercial paper, time deposits, U.S. Government Agencies, U.S. Treasury and Yankee Certificates of Deposit using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs incorporated into a model or matrix price

•   mortgage-related and other asset backed securities are valued based on evaluators analyzing features such as the pricing speed, spread and volatility in order to confirm the deal structure. Spreads and other information solicited from Wall Street buy and sell-side sources, including primary and secondary dealers, portfolio managers, and research analysts are used as model inputs. Using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs are incorporated into a model or matrix price (security characteristics including coupon rates and maturity dates are disclosed in the Statement of Investments).

Notes to Financial Statements 23

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

•   Level 3 — significant unobservable inputs including a Fund’s own assumptions in determining the fair value of investments. Included are the following:

•   OTC securities using the Company’s own data/models

•   prices with significant haircuts applied

•   staled securities — fair valuation procedures are applied

•   securities that have broken tolerance outlined in the Board-approved securities valuation procedures

•   no current market quotations — fair valuation procedures are applied

•   unreliable prices — fair valuation procedures are applied

Level 3 investments include positions with prices not derived from existing market data. As such, Level 3 assets typically involve the use of financial models, such as discounted cash flow analysis for investments in privately held companies, or other non-market based methods to determine an investment’s Fair Value. One may consider Level 3 investments as those that cannot be quickly liquidated for their stated market value.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Distributions of income and capital gains are recorded from the Underlying Funds on the ex-dividend date.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This required each Fund to distribute all of its taxable income and capital gains. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2011, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statue of limitations remains open to examine the Funds’ U.S. tax returns filed August 31, 2007 through August 31, 2009, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

24 Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

The following Funds had net tax basis capital loss carryovers, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first. At August 31, 2010, the capital loss carryovers and expiration dates are as follows:

	Expiration Year
	8/31/2011		8/31/2012		8/31/2017		8/31/2018		Total
Balanced	$	203,577	$	609,595	$	2,853,693	$	3,807,786	$	7,474,651
Growth		1,740,113		—		33,733		2,852,199		4,626,045
Income and Growth		—		—		1,397,985		433,362		1,831,347

As of February 28, 2011, the Funds’ aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:

					Income and
	Balanced		Growth		Growth
Cost of Investments for Tax Purposes	$	27,674,971	$	2,377,455	$	1,187,550
Gross Tax Unrealized Appreciation		4,853,933		638,854		105,759
Gross Tax Unrealized Depreciation		—		—		—
Net Tax Unrealized Appreciation (Depreciation)	$	4,853,933	$	638,854	$	105,759

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid quarterly. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

Capital gain distributions are generally declared and paid annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes. These differences primarily relate to wash sale deferrals, capital loss carryforwards, and post October losses. Permanent differences between book and tax accounting are reclassified to paid-in-capital.

Expenses

Most expenses can be directly attributed to each fund. Expenses of the Investment Company which cannot be directly attributed to a fund are allocated among the funds based principally on their relative average net assets. Expenses included in the accompanying Statements of Operations reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Funds may own different proportions of Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Funds will vary.

The Life Solutions Funds offer Institutional and Class R Shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

Notes to Financial Statements 25

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

3. Investment Transactions

Securities

During the period ended February 28, 2011, purchases and sales of the Underlying Funds, excluding money market funds, aggregated to the following:

	Purchases		Sales
Balanced	$	7,731,941	$	5,638,982
Growth		1,045,232		3,727,253
Income and Growth		668,372		1,126,745

4. Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to a written investment advisory agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations.

The Funds are not charged a fee by the Advisor. However, each Fund pays advisory fees to the Advisor indirectly as a shareholder in the Underlying Funds and Underlying ETFs. The Funds will bear their proportionate share of any investment advisory fees and other expenses paid by the Underlying Funds and Underlying ETFs. Each Underlying Fund and Underlying ETFs pays the Advisor a fee, calculated daily and paid monthly that on an annual basis is equal to a certain percentage of each Underlying Fund’s and Underlying ETF’s average daily net assets.

If the total expenses of the Institutional Class are above its cap, the Advisor will waive its advisory fee for both Institutional and Class R in an equal amount to reduce the total expenses to the level of the cap in effect for the Institutional Class.

The Advisor has contractually agreed to waive up to the full amount of the Funds’ advisory fee and reimburse the Institutional Class and Class R for all expenses of the Institutional Class in excess of 0.45% of average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the waiver for the Balanced Fund Institutional Class and Class R for the period ended February 28, 2011 was $33,766 and $645, respectively. The total amount of the waiver for the Growth Fund Institutional Class and Class R for the period ended February 28, 2011 was $75,062 and $4,170, respectively. The total amount of the waiver for the Income and Growth Fund Institutional Class and Class R for the period ended February 28, 2011 was $52,614 and $28,972, respectively.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Investment Company also has a contract with State Street Bank and Trust Company (“State Street”) to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 28, 2011, $4,171 of the Central Fund’s net assets represents investments by these Funds, and $12,403,020 represents the investments of other Investment Company funds not presented herein.

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc., and State Street Corporation serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund.

26 Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

The Funds have entered into arrangements with State Street Corporation whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. As of February 28, 2011, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

	Amount Paid
Balanced	$	1

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an Administration Agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”).

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and the Distributor, to promote and offer shares of the Investment Company. The Distributor may enter into sub-distribution agreements with other non-related parties. The amounts paid to the Distributor are included in the accompanying Statement of Operations.

Institutional Class

The Investment Company maintains a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts. Each Fund has Shareholder Service Agreements with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers.

For these services, each Institutional Class pays a maximum of 0.13%, based upon the average daily value of all Institutional Class shares held by or for customers of these Agents. For the period ended February 28, 2011, each Institutional Class paid the following shareholder servicing expenses to the Agents:

	Global Markets
Balanced	$	638
Growth		65
Income and Growth		1

Each Institutional Class did not incur any expenses from Fiduciary Investors Services and High Net Worth Services during the period.

Payments to the Distributor, as well as payments to service organizations from each institutional class, are not permitted by the Plan to exceed 0.25% of each institutional class’ average net asset value per year. Any payments that are required to be made by the Distribution Agreement and any Service Agreement but could not be made because of the 0.25% limitation may be carried forward and paid in subsequent years so long as the Plan is in effect. Each class’ liability for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Trustees or a majority of each class’ shareholders have the right, however, to terminate the Plan and all payments thereunder at anytime. The Institutional Class will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or noncontinuance.

Notes to Financial Statements 27

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Class R

The Investment Company maintains a distribution plan with respect to the Class R Shares pursuant to Rule 12b-1 (the “R Plan”) under the 1940 Act. The R Plan allows a fund to pay fees for the sale and distribution of fund shares and for services provided to shareholders by the Distributor or other financial intermediaries. Payments to the Distributor for distribution, marketing, shareholder and administrative services provided to a fund by the Distributor or a financial intermediary are not permitted by the R Plan to exceed 0.70% of a class’ average daily net asset value on an annual basis. The Distributor pays financial intermediaries for shareholder and administrative services provided to a fund out of the fee the Distributor receives from the fund. Fees paid to the financial intermediaries providing these services are not permitted by the R Plan to exceed 0.65% of a class’ average daily net asset value on an annual basis. Any payments that are required to be made to the Distributor or financial intermediaries that cannot be made because of the limitations contained in the R Plan may be carried forward and paid in the following two fiscal years as long as the R Plan is in effect.

Under the R Plan, the Funds have a distribution agreement with the Distributor. For these services, Class R pays the Distributor up to 0.05% of the daily net asset value. For the period ended February 28, 2011, this amounted to:

	Global
	Markets
Balanced	$	138
Growth		59
Income and Growth		137

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2011 were as follows:

					Income and
	Balanced		Growth		Growth
Fund accounting fees	$	1,456	$	1,503	$	23,326
Shareholder servicing fees		1,066		604		680
Transfer agent fees		15,826		15,999		14,681
	$	18,348	$	18,106	$	38,687

Transactions with Affiliated Companies

A company is an affiliate of the Fund within the meaning of the Investment Company Act of 1940 if, among other things, the Fund owns at least 5% of the voting securities of the company or if the Fund and the company are under common control. Each

28 Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Underlying Fund and Underlying ETF is an affiliate of the Fund. Transactions with the Underlying Funds and Underlying ETFs during the period ended February 28, 2011 were as follows:

	Market		Purchases		Sales		Realized Gain			Income
	Value		Cost		Cost		(Loss)			Distributions
Balanced
SPDR Barclays Capital Aggregate Bond ETF	$	1,208,077	$	—	$	284,766	$	17,560		$	33,715
SPDR Barclays Capital Intermediate Term Credit Bond ETF		918,195		610,084		213,218		(1,943	)		10,773
SPDR Barclays Capital Short Term Corporate Bond ETF		—		—		241,562		(660	)		391
SPDR S&P Dividend ETF		427,061		400,034		—		—			3,949
SPDR Barclays Capital TIPS ETF		—		—		5,958		969			2
SPDR S&P MidCap 400 ETF		326,374		304,268		—		—			847
SSgA Bond Market Fund		9,450,568		2,472,220		902,792		1,724			145,192
SSgA Emerging Markets Fund		600,923		783,525		321,189		(8,714	)		4,871
SSgA Enhanced Small Cap Fund		690,659		509,318		541,428		79,205			4,318
SSgA High Yield Bond Fund		348,762		951,405		909,656		17,371			30,320
SSgA International Stock Selection Fund		3,572,936		857,139		542,923		8,931			79,664
SSgA Prime Money Market Fund		3,786		616,158		616,096		—			32
SSgA S&P 500 Index Fund		14,981,563		843,948		1,510,941		50,106			125,918
	$	32,528,904	$	8,348,099	$	6,090,529	$	164,549		$	439,992
Growth									��
SPDR Barclays Capital Aggregate Bond ETF	$	100,358	$	—	$	56,764	$	4,332		$	3,010
SPDR Barclays Capital Intermediate Term Credit Bond ETF		90,371		35,059		44,243		(403	)		1,809
SPDR Barclays Capital Short Term Corporate Bond ETF		—		—		47,972		(154	)		78
SPDR S&P Dividend ETF		46,971		68,188		24,219		598			671
SPDR Barclays Capital TIPS ETF		—		—		1,375		224			—
SPDR S&P MidCap 400 ETF		32,462		54,801		24,538		612			153
SSgA Bond Market Fund		275,750		226,101		545,402		11,102			8,447
SSgA Emerging Markets Fund		54,730		149,439		121,410		280			896
SSgA Enhanced Small Cap Fund		93,397		95,659		179,259		26,329			1,059
SSgA High Yield Bond Fund		30,876		171,794		193,362		2,688			5,283
SSgA International Stock Selection Fund		489,070		133,780		344,146		163,090			21,372
SSgA Prime Money Market Fund		313		53,504		53,232		—			2
SSgA S&P 500 Index Fund		1,802,011		110,411		1,645,609		290,256			29,799
	$	3,016,309	$	1,098,736	$	3,281,531	$	498,954		$	72,579

Notes to Financial Statements 29

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

	Market		Purchases		Sales		Realized Gain			Income
	Value		Cost		Cost		(Loss)			Distributions
Income and Growth
SPDR Barclays Capital Aggregate Bond ETF	$	90,906	$	—	$	154,070	$	11,149		$	3,432
SPDR Barclays Capital Intermediate Term Credit Bond ETF		38,519		19,987		17,306		(158	)		656
SPDR Barclays Capital Short Term Corporate Bond ETF		—		20,974		16,087		(47	)		26
SPDR S&P Dividend ETF		22,406		—		—		—			207
SPDR Barclays Capital TIPS ETF		—		—		687		112			—
SPDR S&P MidCap 400 ETF		18,424		17,176		—		—			48
SSgA Bond Market Fund		587,446		359,389		399,795		183			12,287
SSgA Emerging Markets Fund		25,305		45,517		28,309		376			283
SSgA Enhanced Small Cap Fund		13,305		31,766		39,758		4,592			167
SSgA High Yield Bond Fund		13,223		54,441		59,404		1,177			1,702
SSgA International Stock Selection Fund		78,333		41,735		47,364		13,256			2,459
SSgA Prime Money Market Fund		72		35,004		35,122		—			1
SSgA S&P 500 Index Fund		405,369		77,387		292,869		40,456			5,296
	$	1,293,308	$	703,376	$	1,090,771	$	71,096		$	26,564

5. Fund Share Transactions

	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
	February 28,						August 31,
Balanced	2011						2010
Institutional Class
Proceeds from shares sold		211		$	2,401			569		$	6,063
Proceeds from reinvestment of distributions		59			661			48			508
Payments for shares redeemed		(22	)		(249	)		(546	)		(6,019	)
		248			2,813			71			552
Class R
Proceeds from shares sold		4		$	47			41		$	443
Proceeds from reinvestment of distributions		0			8			1			14
Payments for shares redeemed		(26	)		(302	)		(81	)		(864	)
		(22	)		(247	)		(39	)		(407	)
Total net increase (decrease)		226		$	2,566			32		$	145

30 Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Growth
Institutional Class
Proceeds from shares sold	25		$	269		140		$	1,449
Proceeds from reinvestment of distributions	8			92		10			104
Payments for shares redeemed	(265	)		(3,002	)	(221	)		(2,330	)
	(232	)		(2,641	)	(71	)		(777	)
Class R
Proceeds from shares sold	2		$	26		28		$	295
Proceeds from reinvestment of distributions	0			2		1			8
Payments for shares redeemed	(1	)		(12	)	(57	)		(595	)
	1			16		(28	)		(292	)
Total net increase (decrease)	(231	)	$	(2,625	)	(99	)	$	(1,069	)
Income and Growth
Institutional Class
Proceeds from shares sold	16		$	175		53		$	547
Proceeds from reinvestment of distributions	5			56		9			89
Payments for shares redeemed	(9	)		(100	)	(299	)		(3,138	)
	12			131		(237	)		(2,502	)
Class R
Proceeds from shares sold	9		$	94		43		$	440
Proceeds from reinvestment of distributions	3			34		2			19
Payments for shares redeemed	(61	)		(652	)	(43	)		(444	)
	(49	)		(524	)	2			15
Total net increase (decrease)	(37	)	$	(393	)	(235	)	$	(2,487	)

6. Interfund Lending Program

The Funds participate in a joint lending and borrowing facility. Portfolios of the Funds may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2011, the Funds did not utilize the Interfund Lending Program.

7. Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or

Notes to Financial Statements 31

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.

8. Subsequent Events

Management has evaluated events or transactions that may have occurred since February 28, 2011, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require further disclosure within the Financial Statements.

32 Notes to Financial Statements

SSgA
Life Solutions Funds

Shareholder Requests for Additional Information — February 28, 2011 (Unaudited)

The Funds have adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds semiannual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

Shareholder Requests for Additional Information 33

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

			Principal Occupation(s)	Number of
	Position(s) Held		During Past 5 Years;	Portfolios in		Other
Name,	with SSgA Funds;	Term	and Other	Fund Complex		Directorships Held
Age,	Length of	of	Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since November 2008	Until successor is elected by Trustees	•   2008 to Present, Director of SSgA FM; •   2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors; •   2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee; •   2009 to Present, Member of Board of Virginia Tech Foundation and Investment Committee; and •   June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.		20	None
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 1301 Second Avenue, 18th Floor Seattle, WA 98101	Member, Board of Trustees (Chairman of the Board from 1988 to December 2008) Member, Audit Committee, Member Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired); •   March 2007 to September 2010, member, IDC Board of Governors; •   September 2007 to September 2010, member Investment Company Institute Board of Governors; •   September 2008 to September 2010, member Investment Company Institutie and IDC Investment Committee; and •   Until December 2008, Director, Russell Trust Company (Retired).		20	Until December 2005, Chairman of the Board, 34 Russell Investment Company and 5 Russell Investment Funds (registered investment companies) (Retired).
Diane B. Glossman(2) Born March 9, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since October 2009 Audit Committee Financial Expert Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2003 to Present, Consultant to financial institutions; •   1998 to Present, Director, A.M. Todd Group, Inc. (flavorings manufacturer); •   2004 to Present, Director and member of the finance committee (2007-2010, President; 2010-2011, Vice President), Bucks County SPCA (animal welfare non-profit); and •   Chartered Financial Analyst.		20	None

34 Disclosure of Information about Fund Trustees and Officers

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
William L. Marshall Born December 12, 1942 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   April 2011 to Present, Chairman, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (until April 2011, CEO and President) (a registered investment advisor and provider of financial and related consulting services); •   Certified Financial Planner and Member, Financial Planners Association; •   Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa; •   Director, SPCA of Bucks County, PA; and •   Director, The Anne Silverman Community Clinic of Doylestown, PA		20	None
Steven J. Mastrovich Born November 3, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   June 2010 to Present, Managing Director and Head of Private Capital Markets, J.P. Morgan Real Estate and Lodging Investment Banking Group; •   January 2009 to June 2010, Managing Director, Head of Investor Relations, Highbridge Principal Strategies (a J.P. Morgan subsidiary); and •   October 2000 to January 2009, Global Head of Structured Real Estate and Business Development, J.P. Morgan Investment Management (private real estate investment for clients primarily outside of the US to locate private real estate investments within the US).		20	None
Patrick J. Riley Born November 30, 1948 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Independent Chairman of the Board since January 2009 Member (ex-officio), Audit Committee Member (ex-officio), Governance Committee Member (ex-officio), Valuation Committee Member (ex-officio), Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; •   1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); •   January 2009 to Present, Independent Director, SSgA Fixed Income plc; and •   January 2009 to Present, Independent Director, SSgA Qualified Funds plc.		20	None

Disclosure of Information about Fund Trustees and Officers 35

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); •   1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); •   1998 to December 2008, Chairman, Board Member and Investment Committee Member, Healthcare Georgia Foundation (private foundation); •   September 2002 to May 2011, Lead Director and Board Member, Amerigroup Corp. (managed health care); •   1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and •   2003 to 2009, Trustee, Gettysburg College.		20	None
Bruce D. Taber Born April 25, 1943 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc; •   Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and •   Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		20	None
Henry W. Todd(2) Born May 4, 1947 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until May 30, 2010, Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc (investment company); and •   Until July 2005, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company).		20	None

(1)	The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.
(2)	Ceased to be a Trustee effective April 28, 2011.

36 Disclosure of Information about Fund Trustees and Officers

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	•   2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); •   March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and •   President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds; and Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).
Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	•   Chief Operating Officer and Vice President, SSgA Funds Management, Inc. (investment advisor); •   March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and •   Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).
Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	•   July 2008 to Present, Vice President, State Street Global Advisors; and •   April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.
Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	•   2009 to Present, Global Head of Fund Operations, Russell Investments; •   1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company, and Russell Financial Services Company; •   Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.
Sandra G. Richardson Born January 12, 1971 1301 Second Avenue, 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2010		•   September 2010 to Present, Associate General Counsel (January 2008 to September 2010, Associate Counsel), Russell Investments; and •   November 2003 to November 2007, Associate, Kirkpatrick & Lockhart Preston Gates Ellis LLP.

Disclosure of Information about Fund Trustees and Officers 37

SSgA
Life Solutions Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327

Trustees
Lynn L. Anderson
Diane B. Glossman*
Shawn C.D. Johnson
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley, Chairman
Richard D. Shirk
Bruce D. Taber
Henry W. Todd*
Officers
James E. Ross, President, Chief Executive Offices and Principal Executive Officer
Mark E. Swanson, Treasurer and Principal Accounting Officer
Ellen M. Needham, Vice President
Jacqueline Angell, Chief Compliance Officer
Sandra G. Richardson, Secretary and Chief Legal Officer
Ross E Erickson, Assistant Treasurer
Kimberlee A. Lloyd, Assistant
David J. Craig, Assistant Treasurer
Carla L. Anderson, Assistant Secretary
Investment Advisor
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900 Custodian and Office of Shareholder Inquiries
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
Transfer and Dividend Paying Agent
Boston Financial Data Services, Inc.
Two Heritage Drive
North Quincy, Massachusetts 02171
Distributor
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Administrator
Russell Fund Services Company
1301 Second Avenue
18th Floor
Seattle, Washington 98101
Legal Counsel
Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, Massachusetts 02116

* Ceased to be a Trustee effective April 28, 2011.

Distributor:  State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

38 Fund Management and Service Providers

LSSAR-02/11

MONEY MARKET FUNDS

Money Market Fund
U.S. Government Money Market Fund
Tax Free Money Market Fund

Semiannual Report
February 28, 2011

SSgA Funds

Money Market Funds

Semiannual Report

February 28, 2011 (Unaudited)

Table of Contents

	Page
Money Market Fund	3
U.S. Government Money Market Fund	9
Tax Free Money Market Fund	15
Notes to Schedules of Investments	21
Statements of Assets and Liabilities	23
Statements of Operations	24
Statements of Changes in Net Assets	25
Financial Highlights	26
Notes to Financial Statements	28
Shareholder Requests for Additional Information	35
Disclosure of Information about Fund Trustees and Officers	36
Fund Management and Service Providers	40

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or another governmental agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

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SSgA
Money Market Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,000.00	$	1,023.11
Expenses Paid During Period*	$	1.69	$	1.71

*  Expenses are equal to the Fund’s annualized expense ratio of 0.34% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Money Market Fund 3

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SSgA
Money Market Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal
	Amount ($)		Rate			Date of	Value
	or Shares		%			Maturity	$
Asset Backed Commercial Paper - 4.0%
Gemini Securitization Corp. LLC (λ)		100,000		0	.300	04/04/11		99,972
Kells Funding LLC (λ)		150,000		0	.360	06/20/11		149,833
Solitaire Funding LLC (λ)		34,000		0	.310	03/07/11		33,998
Total Asset Backed Commercial Paper (amortized cost $283,803)								283,803
Certificate of Deposit - 52.8%
Bank of Nova Scotia		25,000		0	.280	05/26/11		25,000
Bank of Nova Scotia		25,000		0	.290	06/10/11		25,000
Bank of Nova Scotia (next reset date 05/16/11) (Ê)		30,000		0	.384	03/16/12		30,000
Bank of Tokyo - Mitsubishi		50,000		0	.310	04/14/11		50,000
Barclays Bank (next reset date 03/24/11) (Ê)		150,000		0	.641	05/24/11		150,000
Barclays Bank (next reset date 03/14/11) (Ê)		150,000		0	.594	06/13/11		150,000
BNP Paribas		150,000		0	.430	03/21/11		150,000
BNP Paribas		150,000		0	.560	08/11/11		150,000
Canadian Imperial Bank of Commerce (next reset date 03/21/11) (Ê)		50,000		0	.312	07/19/11		50,000
Credit Agricole Corporate and Investment Bank		50,000		0	.500	03/02/11		50,000
Credit Agricole Corporate and Investment Bank (Ê)		150,000		0	.363	03/03/11		150,000
Credit Agricole Corporate and Investment Bank		75,000		0	.330	03/10/11		75,000
Credit Agricole Corporate and Investment Bank		75,000		0	.430	07/06/11		75,000
Credit Suisse		50,000		0	.320	07/25/11		50,000
Deutsche Bank AG		100,000		0	.340	05/16/11		100,007
DnB NOR Bank ASA		40,000		0	.353	03/03/11		40,000
DnB NOR Bank ASA		150,000		0	.340	03/14/11		150,000
HSBC Bank PLC		100,000		0	.350	08/15/11		100,000
ING Bank NV		75,000		0	.550	03/01/11		75,000
ING Bank NV		75,000		0	.370	04/08/11		75,000
ING Bank NV		75,000		0	.480	08/15/11		75,000
Lloyds TSB Bank		75,000		0	.390	04/11/11		75,000
National Australia Bank Ltd.		100,000		0	.275	03/11/11		100,000
National Australia Bank Ltd.		50,000		0	.332	05/16/11		50,000
Nordea Bank Finland		200,000		0	.300	04/13/11		200,000
Rabobank Nederland NV		200,000		0	.330	03/07/11		200,000
Rabobank Nederland NV		50,000		0	.320	05/10/11		50,000
Royal Bank of Canada		35,000		0	.330	08/15/11		35,000
Royal Bank of Scotland		75,000		0	.425	03/14/11		75,000
Royal Bank of Scotland		50,000		0	.510	08/12/11		50,000
Royal Bank of Scotland		200,000		0	.510	08/15/11		200,000
Societe Generale		200,000		0	.420	03/21/11		200,000
Societe Generale		50,000		0	.450	07/05/11		50,000
Standard Chartered Bank		50,000		0	.350	05/16/11		50,000
Standard Chartered Bank		30,000		0	.350	06/20/11		30,000
Sumitomo Mitsui Banking Corp.		100,000		0	.310	05/10/11		100,000
Sumitomo Mitsui Banking Corp.		100,000		0	.295	05/12/11		100,000
Toronto Dominion Bank		20,000		0	.264	03/10/11		20,000
Toronto Dominion Bank (next reset date 03/28/11) (Ê)		21,000		0	.331	10/28/11		21,000
Toronto Dominion Bank (next reset date 03/14/11) (Ê)		27,000		0	.344	01/12/12		27,000
UBS AG		155,000		0	.350	03/18/11		155,000

Money Market Fund 5

SSgA
Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal
	Amount ($)		Rate			Date of	Value
	or Shares		%			Maturity	$
UBS AG		50,000		0	.380	04/11/11		50,000
UBS AG		75,000		0	.380	06/27/11		75,000
Total Certificate of Deposit (amortized cost $3,708,007)								3,708,007
Financial Company Commercial Paper - 6.1%
Credit Suisse		30,000		0	.325	05/17/11		29,980
Credit Suisse		70,000		0	.325	05/20/11		69,950
DnB NOR Bank ASA (λ)		100,000		0	.345	03/28/11		99,975
General Electric Capital Corp.		50,000		0	.325	04/11/11		49,982
Societe Generale		75,000		0	.380	04/05/11		74,972
Svenska Handelsbanken AB (λ)		100,000		0	.285	05/13/11		99,942
Total Financial Company Commercial Paper (amortized cost $424,801)								424,801
Other Note - 9.8%
Bank of America NA		100,000		0	.360	03/14/11		100,000
Bank of America NA (next reset date 04/26/11) (Ê)		6,200		0	.603	05/20/11		6,200
Bank of America NA		150,000		0	.370	06/20/11		150,000
Bank of America NA (next reset date 03/22/11) (Ê)		100,000		0	.343	08/22/11		100,000
Commonwealth Bank of Australia (next reset date 04/27/11) (Ê)(λ)		24,000		0	.374	02/27/12		24,000
Nordea Bank AB (next reset date 05/18/11) (Ê)(λ)		74,000		0	.413	03/16/12		74,000
Rabobank Nederland NV (next reset date 05/16/11) (Ê)(λ)		80,000		0	.384	03/16/12		80,000
Svenska Handelsbanken AB (next reset date 05/09/11) (Ê)(λ)		26,000		0	.412	03/09/12		26,000
Svenska Handelsbanken AB (next reset date 05/17/11) (Ê)(λ)		100,000		0	.363	03/12/12		100,000
Westpac Banking Corp. (next reset date 04/28/11) (Ê)		27,000		0	.374	02/28/12		27,000
Total Other Note (amortized cost $687,200)								687,200
Total Investments - 72.7% (amortized cost $5,103,811)								5,103,811
Repurchase Agreements - 27.1%
Government Agency Repurchase Agreement - 25.0%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $500,000 dated February 28, 2011, at 0.190% to be repurchased at $500,003 on March 1, 2011, collateralized by: $509,799 par various United States Government Agency Obligations, valued at $510,005								500,000
Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.210% to be repurchased at $150,001 on March 1, 2011, collateralized by: $245,028 par various United States Government Agency Mortgage Obligations, valued at $153,000								150,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.210% to be repurchased at $150,001 on March 1, 2011, collateralized by: $250,794 par various United States Government Agency Mortgage Obligations, valued at $153,000								150,000

6 Money Market Fund

SSgA
Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Value
	$
Agreement with Deutsche Bank and The Bank of New York Mellon Corp. (Tri-Party) of $253,297 dated February 28, 2011, at 0.200% to be repurchased at $253,298 on March 1, 2011, collateralized by: $401,477 par various United States Government Agency Mortgage Obligations, valued at $258,363		253,297
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $500,000 dated February 28, 2011, at 0.210% to be repurchased at $500,003 on March 1, 2011, collateralized by: $685,390 par various United States Government Agency Mortgage Obligations, valued at $510,000		500,000
Agreement with Morgan Stanley and The Bank of New York Mellon Corp. (Tri-Party) of $50,000 dated February 28, 2011, at 0.200% to be repurchased at $50,00 on March 1, 2011, collateralized by: $54,910 par various United States Government Agency Mortgage Obligations, valued at $51,000		50,000
Agreement with UBS AG and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.220% to be repurchased at $150,001 on March 1, 2011, collateralized by: $176,819 par various United States Government Agency Mortgage Obligations, valued at $153,000		150,000
Total Government Agency Repurchase Agreement (identified cost $1,753,297)		1,753,297
Treasury Repurchase Agreement - 2.1%
Agreement with Credit Suisse Securities LLC and JPMorgan Chase & Co. (Tri-Party) of $150,000 dated February 28, 2011, at 0.180% to be repurchased at $150,001 on March 1, 2011, collateralized by: $122,645 par various United States Treasury Obligations, valued at $153,001		150,000
Total Treasury Repurchase Agreement (identified cost $150,000)		150,000
Total Repurchase Agreements (identified cost $1,903,297)		1,903,297
Total Investments and Repurchase Agreements - 99.8%* (cost $7,007,108) (†)		7,007,108
Other Assets and Liabilities, Net - 0.2%		14,326
Net Assets - 100.0%		7,021,434

See accompanying notes which are an integral part of the financial statements.

Money Market Fund 7

SSgA
Money Market Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
	% of
	Net
Categories	Assets
Asset Backed Commercial Paper		4.0
Certificate of Deposit		52.8
Financial Company Commercial Paper		6.1
Other Note		9.8
Repurchase Agreements		27.1
Total Investments and Repurchase Agreements		99.8
Other Assets and Liabilities, Net		0.2
		100.0

See accompanying notes which are an integral part of the financial statements.

8 Money Market Fund

SSgA
U.S. Government Money Market Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,000.00	$	1,023.80
Expenses Paid During Period*	$	0.99	$	1.00

*  Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

U.S. Government Money Market Fund 9

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SSgA
U.S. Government Money Market Fund

Schedule of Investments — February 28, 2011(Unaudited)

Amounts in thousands (except share amounts)
	Principal
	Amount ($)		Rate			Date of	Value
	or Shares		%			Maturity	$
Government Agency Debt - 33.9%
Federal Home Loan Bank		67,000		0	.200	04/20/11		66,981
Federal Home Loan Bank		100,000		0	.200	04/25/11		99,970
Federal Home Loan Bank (next reset date 03/25/11) (Ê)		45,000		0	.192	05/25/11		44,995
Federal Home Loan Bank		39,000		0	.200	06/30/11		38,974
Federal Home Loan Bank (next reset date 03/20/11) (Ê)		100,000		0	.168	07/20/11		99,988
Federal Home Loan Bank (next reset date 03/28/11) (Ê)		26,000		0	.167	07/28/11		25,995
Federal Home Loan Bank		128,000		0	.190	08/25/11		127,993
Federal Home Loan Bank (next reset date 03/26/11) (Ê)		46,000		0	.182	08/26/11		45,988
Federal Home Loan Mortgage Corp.		61,000		0	.200	04/25/11		60,981
Federal Home Loan Mortgage Corp.		53,000		0	.200	05/27/11		52,974
Federal Home Loan Mortgage Corp.		9,000		0	.200	06/13/11		8,995
Federal Home Loan Mortgage Corp.		27,000		0	.200	06/20/11		26,983
Federal Home Loan Mortgage Corp.		182,000		0	.200	07/07/11		181,871
Federal National Mortgage Assoc.		72,000		0	.200	03/23/11		71,991
Federal National Mortgage Assoc.		94,000		0	.200	05/02/11		93,968
Federal National Mortgage Assoc.		114,000		0	.190	06/01/11		113,945
Federal National Mortgage Assoc.		16,000		0	.200	06/22/11		15,990
Federal National Mortgage Assoc. (next reset date 03/11/11) (Ê)		81,000		0	.174	08/11/11		80,986
Total Government Agency Debt (amortized cost $1,259,568)								1,259,568
Total Investments - 33.9% (amortized cost $1,259,568)								1,259,568
Repurchase Agreements - 66.1%
Government Agency Repurchase Agreement - 51.2%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $500,000 dated February 28, 2011, at 0.190% to be repurchased at $500,003 on March 1, 2011, collateralized by: $501,081 par various United States Government Agency Obligations, valued at $510,001								500,000
Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.190% to be repurchased at $150,001 on March 1, 2011, collateralized by: $145,551 par various United States Government Agency Obligations, valued at $153,000								150,000
Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.190% to be repurchased at $150,001 on March 1, 2011, collateralized by: $153,079 par various United States Government Agency Obligations, valued at $153,001								150,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $500,000 dated February 28, 2011, at 0.190% to be repurchased at $500,003 on March 1, 2011, collateralized by: $494,836 par various United States Government Agency Obligations, valued at $510,001								500,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.190% to be repurchased at $150,001 on March 1, 2011, collateralized by: $150,793 par various United States Government Agency Obligations, valued at $153,001								150,000
Agreement with Goldman Sachs and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.190% to be repurchased at $150,001 on March 1, 2011, collateralized by: $153,398 par various United States Government Agency Obligations, valued at $153,001								150,000

U.S. Government Money Market Fund 11

SSgA
U.S. Government Money Market Fund

Schedule of Investments, continued — February 28, 2011(Unaudited)

Amounts in thousands (except share amounts)
	Value
	$
Agreement with Royal Bank of Scotland and JPMorgan Chase & Co. (Tri-Party) of $150,000 dated February 28, 2011, at 0.190% to be repurchased at $150,001 on March 1, 2011, collateralized by: $141,343 par various United States Government Agency Obligations, valued at $153,000		150,000
Agreement with UBS AG and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.190% to be repurchased at $150,001 on March 1, 2011, collateralized by: $153,005 par various United States Government Agency Obligations, valued at $153,000		150,000
Total Government Agency Repurchase Agreement (identified cost $1,900,000)		1,900,000
Treasury Repurchase Agreement - 14.9%
Agreement with Credit Suisse Securities LLC and JPMorgan Chase &Co. (Tri-Party) of $150,000 dated February 28, 2011, at 0.180% to be repurchased at $150,001 on March 1, 2011, collateralized by: $125,650 par various United States Government Treasury Obligations, valued at $153,000		150,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $201,224 dated February 28, 2011, at 0.170% to be repurchased at $201,225 on March 1, 2011, collateralized by: $175,397 par various United States Treasury Obligations, valued at $205,249		201,224
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $50,000 dated February 28, 2011, at 0.170% to be repurchased at $50,000 on March 1, 2011, collateralized by: $50,578 par various United States Treasury Obligations, valued at $51,000		50,000
Agreement with Morgan Stanley and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.170% to be repurchased at $150,001 on March 1, 2011, collateralized by: $134,602 par various United States Treasury Obligations, valued at $153,000		150,000
Total Treasury Repurchase Agreement (identified cost $551,224)		551,224
Total Repurchase Agreements (identified cost $2,451,224)		2,451,224
Total Investments and Repurchase Agreements - 100.0%* (cost $3,710,792) (†)		3,710,792
Other Assets and Liabilities, Net - (0.0%)		(466	)
Net Assets - 100.0%		3,710,326

See accompanying notes which are an integral part of the financial statements.

12 U.S. Government Money Market Fund

SSgA
U.S. Government Money Market Fund

Presentation of Portfolio Holdings — February 28, 2011(Unaudited)
	% of
	Net
Categories	Assets
Government Agency Debt		33.9
Repurchase Agreements		66.1
Total Investments and Repurchase Agreements		100.0
Other Assets and Liabilities, Net		—	*
		100.0

*  Less than .05% of net assets

See accompanying notes which are an integral part of the financial statements.

U.S. Government Money Market Fund 13

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SSgA
Tax Free Money Market Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,000.00	$	1,023.65
Expenses Paid During Period*	$	1.14	$	1.15

*  Expenses are equal to the Fund’s annualized expense ratio of 0.23% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Tax Free Money Market Fund 15

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Tax Free Money Market Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal					Next	Date	Market
	Amount ($)		Rate			Reset	of	Value
	or Shares		%			Date	Maturity	$
Variable Rate Demand Note - 79.0%
Arizona - 5.8%
Arizona State University Revenue Bonds, Weekly demand (µ)(Ê)		2,925		0	.210	03/07/11	07/01/34		2,925
Pima County Industrial Development Authority Revenue Bonds, Weekly demand (µ)(Ê)		2,400		0	.280	03/04/11	12/01/22		2,400
									5,325
California - 2.7%
Metropolitan Water District of Southern California Revenue Bonds, Weekly demand (Ê)		1,500		0	.160	03/01/11	07/01/35		1,500
Metropolitan Water District of Southern California Revenue Bonds, Weekly demand (Ê)		1,000		0	.210	03/07/11	07/01/35		1,000
									2,500
Colorado - 4.0%
Colorado Housing & Finance Authority Revenue Bonds, Weekly demand (Ê)		1,445		0	.270	03/07/11	11/01/21		1,445
Colorado Housing & Finance Authority Revenue Bonds, Weekly demand (Ê)		725		0	.270	03/07/11	10/01/30		725
Colorado Housing & Finance Authority Revenue Bonds, Weekly demand (Ê)		1,500		0	.250	03/07/11	05/01/34		1,500
									3,670
	��
Connecticut - 4.4%
Connecticut State Health & Educational Facility Authority Revenue Bonds, Weekly demand (Ê)		1,000		0	.180	03/01/11	07/01/35		1,000
Connecticut State Health & Educational Facility Authority Revenue Bonds, Weekly demand (Ê)		2,000		0	.150	03/01/11	07/01/36		2,000
Connecticut State Health & Educational Facility Authority Revenue Bonds, Weekly demand (Ê)		1,000		0	.180	03/01/11	07/01/36		1,000
									4,000
Georgia - 2.2%
Gwinnett County Housing Authority Revenue Bonds, Weekly demand (Ê)		2,000		0	.290	03/07/11	06/15/25		2,000
Idaho - 1.6%
Idaho Housing & Finance Association Revenue Bonds, Weekly demand (µ)(Ê)		1,500		0	.280	03/07/11	01/01/33		1,500
Kansas - 3.3%
Kansas State Department of Transportation Revenue Bonds, Weekly demand (Ê)		3,000		0	.190	03/07/11	09/01/19		3,000
Maryland - 1.0%
Maryland Stadium Authority Revenue Bonds, Weekly demand (Ê)		910		0	.220	03/07/11	12/15/14		910
Massachusetts - 5.7%
Massachusetts Bay Transportation Authority Revenue Bonds, Weekly demand (Ê)		2,000		0	.230	03/07/11	07/01/21		2,000
Massachusetts Health & Educational Facilities Authority Revenue Bonds, Weekly demand (Ê)		2,000		0	.170	03/07/11	07/01/35		2,000

Tax Free Money Market Fund 17

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Tax Free Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal					Next	Date	Market
	Amount ($)		Rate			Reset	of	Value
	or Shares		%			Date	Maturity	$
Massachusetts Health & Educational Facilities Authority Revenue Bonds, Weekly demand (Ê)		1,200		0	.210	03/01/11	12/01/37		1,200
									5,200
Minnesota - 1.1%
City of Rochester Minnesota Revenue Bonds, Weekly demand (Ê)		1,000		0	.250	03/07/11	08/15/32		1,000
Missouri - 4.6%
Missouri State Health & Educational Facilities Authority Revenue Bonds, Weekly demand (Ê)		1,600		0	.230	03/01/11	09/01/30		1,600
Missouri State Health & Educational Facilities Authority Revenue Bonds, Weekly demand (Ê)		1,000		0	.170	03/01/11	02/15/34		1,000
Missouri State Health & Educational Facilities Authority Revenue Bonds, Weekly demand (µ)(Ê)		1,600		0	.190	03/01/11	10/01/35		1,600
									4,200
New York - 5.5%
City of New York New York General Obligation Unlimited, Weekly demand (µ)(Ê)		1,000		0	.340	03/07/11	08/01/11		1,000
City of New York New York General Obligation Unlimited, Weekly demand (µ)(Ê)		1,000		0	.250	03/07/11	08/01/31		1,000
City of New York New York General Obligation Unlimited, Weekly demand (µ)(Ê)		2,000		0	.220	03/07/11	03/01/34		2,000
Metropolitan Transportation Authority Revenue Bonds, Weekly demand (µ)(Ê)		1,000		0	.240	03/07/11	11/01/34		1,000
New York City Transitional Finance Authority Revenue Bonds, Weekly demand (Ê)		60		0	.260	03/07/11	11/15/22		60
									5,060
North Carolina - 6.3%
City of Greensboro North Carolina Revenue Bonds, Weekly demand (Ê)		1,100		0	.280	03/07/11	06/01/28		1,100
North Carolina Educational Facilities Finance Agency Revenue Bonds, Weekly demand (Ê)		500		0	.200	03/07/11	12/01/17		500
State of North Carolina General Obligation Unlimited, Weekly demand (Ê)		1,000		0	.230	03/07/11	05/01/21		1,000
State of North Carolina General Obligation Unlimited, Weekly demand (Ê)		3,110		0	.280	03/07/11	05/01/21		3,110
									5,710
Oregon - 3.5%
Clackamas County Hospital Facility Authority Revenue Bonds, Weekly demand (µ)(Ê)		2,000		0	.230	03/07/11	06/01/37		2,000
Oregon State Facilities Authority Revenue Bonds, Weekly demand (µ)(Ê)		1,200		0	.260	03/07/11	11/01/28		1,200
									3,200
South Carolina - 1.1%
City of North Charleston South Carolina Tax Allocation, Weekly demand (Ê)		1,000		0	.400	03/07/11	09/01/37		1,000

18 Tax Free Money Market Fund

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Tax Free Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal					Next	Date	Market
	Amount ($)		Rate			Reset	of	Value
	or Shares		%			Date	Maturity	$
Tennessee - 4.2%
Jackson Health Educational & Housing Facility Board Revenue Bonds, Weekly demand (Ê)		750		0	.250	03/07/11	10/15/32		750
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd Revenue Bonds, Weekly demand (µ)(Ê)		3,095		0	.310	03/07/11	01/01/30		3,095
									3,845
Texas - 7.7%
Austin County Industrial Development Corp. Revenue Bonds, Weekly demand (µ)(Ê)		1,400		0	.260	03/07/11	12/01/14		1,400
Harris County Health Facilities Development Corp. Revenue Bonds, Weekly demand (Ê)		2,400		0	.270	03/07/11	10/01/29		2,400
Houston Higher Education Finance Corp. Revenue Bonds, Weekly demand (Ê)		1,900		0	.250	03/07/11	11/15/29		1,900
Lubbock Health Facilities Development Corp. Revenue Bonds, Weekly demand (µ)(Ê)		1,370		0	.190	03/01/11	07/01/23		1,370
									7,070
Utah - 7.4%
County of Morgan Utah Revenue Bonds, Weekly demand (µ)(Ê)		1,750		0	.420	03/07/11	08/01/31		1,750
County of Utah Utah Revenue Bonds, Weekly demand (Ê)		2,500		0	.250	03/07/11	05/15/35		2,500
Utah Transit Authority Revenue Bonds, Weekly demand (µ)(Ê)		2,500		0	.170	03/01/11	06/15/36		2,500
									6,750
Virginia - 3.6%
Fairfax County Economic Development Authority Revenue Bonds, Weekly demand (Ê)		1,050		0	.250	03/07/11	12/01/33		1,050
Loudoun County Industrial Development Authority Revenue Bonds, Weekly demand (Ê)		2,200		0	.220	03/07/11	02/15/38		2,200
									3,250
Wisconsin - 3.3%
Wisconsin Housing & Economic Development Authority Revenue Bonds, Weekly demand (Ê)		3,000		0	.340	03/07/11	09/01/33		3,000
Total Variable Rate Demand Note (cost $72,190)									72,190
Investment Company - 21.0%
AIM Tax Free Cash Reserve Money Market Fund		19,203,000							19,203
Total Investment Company (cost $19,203)									19,203
Total Investments - 100.0%* (cost $91,393)									91,393
Other Assets and Liabilities, Net - (0.0%)									(7	)
Net Assets - 100.0%									91,386

See accompanying notes which are an integral part of the financial statements.

Tax Free Money Market Fund 19

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Tax Free Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Quality Ratings as of % of Value
AAA	100	%

Economic Sector Emphasis as a of % of Value
Education Revenue	23	%
Housing Revenue	19
Health Care Revenue	18
Transportation	12
General Obligation	11
Development Revenue	8
Water and Sewer Revenue	5
Pollution Control Revenue	2
Other Revenue	2
	100	%

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
	% of
	Net
Categories	Assets
Arizona		5.8
California		2.7
Colorado		4.0
Connecticut		4.4
Georgia		2.2
Idaho		1.6
Kansas		3.3
Maryland		1.0
Massachusetts		5.7
Minnesota		1.1
Missouri		4.6
New York		5.5
North Carolina		6.3
Oregon		3.5
South Carolina		1.1
Tennessee		4.2
Texas		7.7
Utah		7.4
Virginia		3.6
Wisconsin		3.3
Investment Company		21.0
Total Investments		100.0
Other Assets and Liabilities, Net		—	*
		100.0

*  Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.

20 Tax Free Money Market Fund

SSgA
Money Market Funds

Notes to Schedules of Investments — February 28, 2011 (Unaudited)

(E)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(mu)	Bond is insured by a guarantor.
(æ)	Pre-refunded: These bonds are collateralized by U.S. Treasury securities, which are held in escrow by a trustee and used to pay principal and interest in the tax-exempt issue and to retire the bonds in full at the earliest refunding date. The rate noted is for descriptive purposes; effective yield may vary.
(†)	The identified cost for Federal income tax purposes.
(λ)	Restricted security (144A, 4(2)). Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
*	Unless otherwise indicated, the value of securities of the Fund are determined based on level 2 inputs. (Note 2)

Notes to Schedules of Investments 21

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Money Market Funds

Statements of Assets and Liabilities — February 28, 2011 (Unaudited)

	Money		U.S. Government Money Market
Amounts in thousands	Market Fund		Fund			Tax Free Money Market Fund
Assets
Investments, at identified cost	$	5,103,811	$	1,259,568		$	91,393
Investments at amortized cost which approximates value		5,103,811		1,259,568			91,393
Repurchase agreements at cost which approximates value		1,903,297		2,451,224			—
Receivables:
Interest		3,250		36			21
Fund shares sold		463		8			—
From Advisor		—		—			27
From interfund lending		13,000		—			—
Prepaid expenses		95		64			12
Total assets		7,023,916		3,710,900			91,453
Liabilities
Payables:
Fund shares redeemed		463		8			—
Accrued fees to affiliates		1,885		499			42
Other accrued expenses		107		67			25
Dividends payable		27		—			—
Total liabilities		2,482		574			67
Net Assets	$	7,021,434	$	3,710,326		$	91,386
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	8	$	5		$	—
Accumulated net realized gain (loss)		97		(34	)		(170	)
Shares of beneficial interest		7,021		3,710			91
Additional paid-in capital		7,014,308		3,706,645			91,465
Net Assets	$	7,021,434	$	3,710,326		$	91,386
Net Asset Value, offering and redemption price per share:
Net asset value per share (a)	$	1.00	$	1.00		$	1.00
Net assets	$	7,021,433,824	$	3,710,326,212		$	91,386,494
Shares outstanding ($.001 par value)		7,021,332,401		3,710,412,391			91,369,825

(a) Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.

Statements of Assets and Liabilities 23

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Money Market Funds

Statements of Operations — For the Period Ended February 28, 2011 (Unaudited)

	Money			U.S. Government
Amounts in thousands	Market Fund			Money Market Fund			Tax Free Money Market Fund
Investment Income
Dividends	$	—		$	—		$	1
Interest		12,168			3,784			91
Total investment income		12,168			3,784			92
Expenses
Advisory fees		8,696			4,637			99
Administrative fees		1,051			561			27
Custodian fees		451			238			16
Distribution fees		745			414			9
Transfer agent fees		45			27			17
Professional fees		52			37			16
Registration fees		38			35			15
Shareholder servicing fees		2,321			1,173			45
Trustees’ fees		110			63			7
Insurance fees		80			55			1
Printing fees		47			16			—
Miscellaneous		29			23			12
Expenses before reductions		13,665			7,279			264
Expense reductions		(1,690	)		(3,495	)		(172	)
Net expenses		11,975			3,784			92
Net investment income (loss)		193			—			—
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		45			—			—
Net Increase (Decrease) in Net Assets from Operations	$	238		$	—		$	—

See accompanying notes which are an integral part of the financial statements.

24 Statements of Operations

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Money Market Funds

Statements of Changes in Net Assets — For the Periods Ended February 28,

	Money Market Fund						U.S. Government Money Market Fund					Tax Free Money Market Fund
	Six Months Ended			Fiscal Year			Six Months Ended		Fiscal Year			Six Months Ended			Fiscal Year
	February 28, 2011			Ended August 31,			February 28, 2011		Ended August 31,			February 28, 2011			Ended August 31,
Amounts in thousands	(Unaudited)			2010			(Unaudited)		2010			(Unaudited)			2010
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	193		$	1,571		$	—	$	2		$	—		$	—
Net realized gain (loss)		45			165			—		—			—			9
Net increase (decrease) in net assets from operations		238			1,736			—		2			—			9
Distributions
From net investment income		(193	)		(1,571	)		—		(114	)		—			—
Net decrease in net assets from distributions		(193	)		(1,571	)		—		(114	)		—			—
Share Transactions
Net increase (decrease) in net assets from share transactions		1,726			(1,579,778	)		218,358		(816,617	)		(14,183	)		8,997
Total Net Increase (Decrease) in Net Assets		1,771			(1,579,613	)		218,358		(816,729	)		(14,183	)		9,006
Net Assets
Beginning of period		7,019,663			8,599,276			3,491,968		4,308,697			105,569			96,563
End of period	$	7,021,434		$	7,019,663		$	3,710,326	$	3,491,968		$	91,386		$	105,569
Undistributed (overdistributed) net investment income included in net assets	$	8		$	8		$	5	$	5		$	—		$	—

See accompanying notes which are an integral part of the financial statements.

Statements of Changes in Net Assets 25

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Money Market Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.

	$		$			$			$			$			$
	Net Asset Value,		Net			Net Realized			Total Income			Distributions			Distributions
	Beginning of		Investment			and Unrealized			from			from Net			from Net
	Period		Income (Loss)(a)			Gain (Loss)			Operations			Investment Income			Realized Gain
Money Market Fund
February 28, 2011*		1.0000		—	(b)		—	(b)		—	(b)		—	(b)		—
August 31, 2010		1.0000		.0002			—	(b)		.0002			(.0002	)		—
August 31, 2009		1.0000		.0080			.0006			.0086			(.0084	)		(.0002	)
August 31, 2008		1.0000		.0339			.0004			.0343			(.0343	)		—
August 31, 2007		1.0000		.0497			—			.0497			(.0497	)		—
August 31, 2006		1.0000		.0418			—	(b)		.0418			(.0418	)		—
U.S. Government Money Market Fund
February 28, 2011*		1.0000		—	(b)		—			—	(b)		—			—
August 31, 2010		1.0000		—	(b)		—			—	(b)		—	(b)		—
August 31, 2009		1.0000		.0028			.0012			.0040			(.0040	)		—
August 31, 2008		1.0000		.0308			—			.0308			(.0308	)		—
August 31, 2007		1.0000		.0489			—			.0489			(.0489	)		—
August 31, 2006		1.0000		.0412			—	(b)		.0412			(.0412	)		—
														��
Tax Free Money Market Fund
February 28, 2011*		1.0000		—			—	(b)		—	(b)		—			—
August 31, 2010		1.0000		—			—	(b)		—	(b)		—			—
August 31, 2009		1.0000		.0137			(.0036	)		.0101			(.0101	)		—
August 31, 2008		1.0000		.0250			(.0017	)		.0233			(.0233	)		—
August 31, 2007		1.0000		.0310			—	(b)		.0310			(.0310	)		—
August 31, 2006		1.0000		.0262			—	(b)		.0262			(.0262	)		—

*	For the six months ended February 28, 2011 (Unaudited).
(a)	Average daily shares outstanding were used for this calculation.
(b)	Less than $.0001 per share.
(c)	May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005%.
(d)	Includes expenses related to the U.S. Treasury Guarantee Program.
(e)	Less than .005% of average net assets.
(f)	Periods less than one year are not annualized.
(g)	The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.

26 Financial Highlights

									%			%		%
			$				$		Ratio of Expenses			Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%		Net Assets,		to Average			to Average		Investment Income
Total			End of		Total		End of Period		Net Assets,			Net Assets,		to Average
Distributions			Period		Return(f)		(000)		Net(c)(g)			Gross(g)		Net Assets(c)(g)
	—	(b)		1.0000		—		7,021,434		.34			.39		.01
	(.0002	)		1.0000		.02		7,019,663		.32			.39		.02
	(.0086	)		1.0000		.86		8,599,276		.41	(d)		.41		.80
	(.0343	)		1.0000		3.48		7,407,992		.39			.39		3.39
	(.0497	)		1.0000		5.08		7,774,602		.40			.42		4.97
	(.0418	)		1.0000		4.26		7,801,242		.40			.43		4.19
	—			1.0000		—		3,710,326		.20			.39		—	(e)
	—	(b)		1.0000		—		3,491,968		.20			.37		—	(e)
	(.0040	)		1.0000		.40		4,308,697		.35			.38		.28
	(.0308	)		1.0000		3.12		2,148,495		.37			.37		3.04
	(.0489	)		1.0000		5.00		1,607,878		.42			.42		4.89
	(.0412	)		1.0000		4.19		1,216,443		.42			.42		4.05
	—			1.0000		—		91,386		.23			.67		—	(e)
	—			1.0000		—		105,569		.24			.59		—
	(.0101	)		1.0000		1.01		96,563		.53	(d)		.55		1.36
	(.0233	)		1.0000		2.35		342,319		.46			.46		2.49
	(.0310	)		1.0000		3.14		463,266		.52			.53		3.09
	(.0262	)		1.0000		2.65		522,007		.53			.53		2.65

See accompanying notes which are an integral part of the financial statements.

Financial Highlights 27

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Money Market Funds

Notes to Financial Statements — February 28, 2011 (Unaudited)

1. Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 28, 2011. These financial statements report on three funds: the SSgA Money Market Fund, SSgA U.S. Government Money Market Fund and SSgA Tax Free Money Market Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

2. Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

As permitted in accordance with Rule 2a-7 of the 1940 Act, each Fund values portfolio investments using the amortized cost method. Under this method, each portfolio instrument is initially valued at cost, and thereafter assumes the constant accretion/amortization to maturity date or next reset date of any discount or premium. While amortized cost provides certainty in valuation, it may result in periods when the value of an instrument is higher or lower than a price the Fund would receive if it sold the instrument.

Fair value of securities is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. To increase consistency and comparability in fair value measurement, the fair value hierarchy was established to maximize the use of observable market data and minimize the use of unobservable inputs to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy of inputs is summarized in the three broad levels listed below.

•   Level 1 — quoted prices (unadjusted) in active markets for identical investments

•   Level 2 — other significant observable inputs including quoted market prices in non-active markets or prices derived from market data. Included are the following:

•   common stocks traded or quoted only on inactive markets

•   privately placed bonds whose values are derived from a similar bond that is publicly traded

•   interest rate swaps valued based on compilation of primarily observable swap curves incorporated into a model or matrix price

•   euro commercial paper valued at amortized cost which approximates market and is not priced daily or a broker quote in a non-active market with inputs incorporated into a model or matrix price

•   non registered mutual funds that are daily priced, but not publicly traded

28 Notes to Financial Statements

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

•   currency forwards valued based on a compilation of primarily observable market currency spot rates incorporated into a model or matrix price

•   corporate bonds and notes, domestic commercial paper, time deposits, U.S. Government Agencies, U.S. Treasury and Yankee Certificates of Deposit using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs incorporated into a model or matrix price

•   mortgage-related and other asset backed securities are valued based on evaluators analyzing features such as the pricing speed, spread and volatility in order to confirm the deal structure. Spreads and other information solicited from Wall Street buy and sell-side sources, including primary and secondary dealers, portfolio managers, and research analysts are used as model inputs. Using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs are incorporated into a model or matrix price (security characteristics including coupon rates and maturity dates are disclosed in the Statement of Investments).

Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

•   Level 3 — significant unobservable inputs including a Fund’s own assumptions in determining the fair value of investments. Included are the following:

•   OTC securities using the Company’s own data/models

•   prices with significant haircuts applied

•   staled securities — fair valuation procedures are applied

•   securities that have broken tolerance outlined in the Board-approved securities valuation procedures

•   no current market quotations — fair valuation procedures are applied

•   unreliable prices — fair valuation procedures are applied

Level 3 investments include positions with prices not derived from existing market data. As such, Level 3 assets typically involve the use of financial models, such as discounted cash flow analysis for investments in privately held companies, or other non-market based methods to determine an investment’s Fair Value. One may consider Level 3 investments as those that cannot be quickly liquidated for their stated market value.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Securities Transactions

Securities transactions are recorded on the trade date basis, which in most instances is the same as the settlement date. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Interest income is recorded daily on an accrual basis. Distributions received on securities that represent a return on capital or capital gain are recorded as a reduction on cost of investments and/or as a realized gain.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.

Notes to Financial Statements 29

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This required each Fund to distribute all of its taxable income and capital gains. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2011, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statue of limitations remains open to examine the Funds’ U.S. tax returns filed August 31, 2007 through August 31, 2009, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

At August 31, 2010, the following Funds had net tax basis capital loss carryovers, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first, as follows:

	Expiration Year
	8/31/2011		8/31/2012		8/31/2013		8/31/2014		8/31/2015		8/31/2017		Total
Money Market	$	—	$	—	$	—	$	—	$	—	$	—	$	—
U.S. Government Money Market		5,172		16,922		8,920		2,635		—		—		33,649
Tax Free Money Market		—		—		—		13,781		41,331		115,383		170,495

Dividends and Distributions to Shareholders

The Funds declare and record dividends on net investment income daily and pay them monthly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. Each Fund may periodically make reclassifications among certain of its capital accounts without impacting net asset value for differences between federal tax regulations and generally accepted accounting principles.

The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes. These differences relate primarily to non-deductible deferred compensation and capital loss carryforwards. For the period ended February 28, 2011, there were no permanent differences between book and tax accounting.

Expenses

Most expenses can be directly attributed to a fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all funds of the Investment Company based principally on their relative average net assets.

Repurchase Agreements

A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed upon price and time. The total amount received by the Funds on repurchase is calculated to exceed the price paid by the Funds, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities, but may consist of other securities in which the Funds are permitted to invest. Repurchase agreements are fully collateralized at all times. The use of repurchase agreements involves certain risks. For example, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) the Funds will seek to dispose of such securities; this action could involve costs or delays. The Funds may enter into repurchase agreements maturing within a specified date with domestic dealers, banks and other financial institutions deemed to be creditworthy by SSgA Funds Management, Inc. (“SSgA FM” or the “Advisor”), a wholly-owned subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”).

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

30 Notes to Financial Statements

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

3. Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to a written Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of each Fund in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Advisor, calculated daily and paid monthly at the annual rate of 0.25% of their daily net assets.

The Advisor has contractually agreed to waive up to the full amount of the Money Market Fund’s advisory fee and reimburse the Fund for all expenses in excess of 0.40% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). For the period ended February 28, 2011, there were no contractual waivers or reimbursements for the Money Market Fund.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Advisor may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 28, 2011, the Advisor voluntarily waived $1,689,732 and $3,494,754 on the Money Market Fund and U.S. Government Money Market Fund, respectively. The Advisor voluntarily waived $98,887 and reimbursed $73,020 on the Tax Free Money Market Fund. There is no guarantee that the Fund will be able to avoid a negative yield.

The Investment Company also has a contract with State Street to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc., and State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. The custody credits are included in the expense reductions in the Statement of Operations. For the period ended February 28, 2011, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

	Amount Paid
Money Market	$	13
U.S. Government Money Market		1
Tax Free Money Market		17

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an Administration Agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of all five of the Investment Company’s money market portfolios: $0 up to $15 billion — 0.0315%; over $15 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. The Funds also reimburse the Administrator for out-of-pocket expenses.

Notes to Financial Statements 31

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and State Street Global Markets, LLC (the “Distributor”), which is a wholly-owned subsidiary of State Street Corporation, to promote and offer shares of the Investment Company. The Distributor may enter into sub-distribution agreements with other related and non-related parties. The amounts paid to the Distributor are included in the accompanying Statement of Operations.

The Investment Company maintains a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has shareholder service agreements with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”), High Net Worth Services Division of State Street (“High Net Worth Services”) and Wealth Management Systems (collectively, the “Agents”), as well as several unaffiliated service providers. For these services, each Fund pays 0.025% to State Street, and a maximum of 0.175% to each of the Agents, based upon the average daily value of all Fund shares held by or for customers of these Agents. For the period ended February 28, 2011, each Fund paid the following shareholder servicing expenses to the Agents:

					Fiduciary		High Net		Wealth
					Investors		Worth		Management
	State Street		Global Markets		Services		Services		Systems
Money Market	$	869,580	$	712,485	$	558	$	84,396	$	191,582
U.S. Government Money Market		463,712		—		—		643,518		66,182
Tax Free Money Market		9,889		—		—		11,065		23,957

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of a Fund on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of a Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Funds’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Trustees or a majority of the Funds’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Funds will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or noncontinuance.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

32 Notes to Financial Statements

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Accrued fees payable to affiliates and trustees as of February 28, 2011 were as follows:

			U.S.
			Government		Tax Free
	Money		Money		Money
	Market		Market		Market
Advisory fees	$	1,007,912	$	106,083	$	15,888
Administration fees		143,519		82,019		5,320
Custodian fees		74,410		52,130		2,233
Distribution fees		145,572		69,588		1,415
Shareholder servicing fees		463,337		156,680		6,534
Transfer agent fees		25,838		16,024		8,626
Trustee fees		24,720		16,679		2,344
	$	1,885,308	$	499,203	$	42,360

4. Fund Share Transactions (On a Constant Dollar Basis)

	(amounts in thousands)
	For the Periods Ended
Money Market	February 28, 2011			August 31, 2010
Proceeds from shares sold	$	31,010,836		$	70,057,633
Proceeds from reinvestment of distributions		160			1,017
Payments for shares redeemed		(31,009,270	)		(71,638,428	)
Total net increase (decrease)	$	1,726		$	(1,579,778	)
U.S. Government Money Market
Proceeds from shares sold	$	17,489,500		$	40,690,425
Proceeds from reinvestment of distributions		6			21
Payments for shares redeemed		(17,271,148	)		(41,507,063	)
Total net increase (decrease)	$	218,358		$	(816,617	)
Tax Free Money Market
Proceeds from shares sold	$	404,962		$	908,912
Proceeds from reinvestment of distributions		—			—
Payments for shares redeemed		(419,145	)		(899,915	)
Total net increase (decrease)	$	(14,183	)	$	8,997

5. Interfund Lending Program

The Funds participate in a joint lending and borrowing facility. Portfolios of the funds may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in additional borrowing costs. Interest Income on the Statement of Operations for the Money Market Fund includes $17,548 received from the Interfund Lending Program for the period ended February 28, 2011.

Notes to Financial Statements 33

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

6. Restricted Securities

Restricted securities are subject to contractual limitations on resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933 (the “Act”). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act.

A Fund may invest a portion of its net assets not to exceed 5% in securities that are illiquid. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

For the period ended February 28, 2011, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.

7. Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Fund to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statements of Assets and Liabilities.

8. Subsequent Events

Management has evaluated events or transactions that may have occurred since February 28, 2011, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require further disclosure within the financial statements.

34 Notes to Financial Statements

SSgA
Money Market Funds

Shareholder Requests for Additional Information — February 28, 2011 (Unaudited)

The Funds have adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds semiannual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

Shareholder Requests for Additional Information 35

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

			Principal Occupation(s)	Number of
	Position(s) Held		During Past 5 Years;	Portfolios in		Other
Name,	with SSgA Funds;	Term	and Other	Fund Complex		Directorships Held
Age,	Length of	of	Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INTERESTED TRUSTEES
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since November 2008	Until successor is elected by Trustees	•   2008 to Present, Director of SSgA FM; •   2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors; •   2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee; •   2009 to Present, Member of Board of Virginia Tech Foundation and Investment Committee; and •   June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.		20	None
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 1301 Second Avenue, 18th Floor Seattle, WA 98101	Member, Board of Trustees (Chairman of the Board from 1988 to December 2008) Member, Audit Committee, Member Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired); •   March 2007 to September 2010, member, IDC Board of Governors; •   September 2007 to September 2010, member Investment Company Institute Board of Governors; •   September 2008 to September 2010, member Investment Company Institutie and IDC Investment Committee; and •   Until December 2008, Director, Russell Trust Company (Retired).		20	Until December 2005, Chairman of the Board, 34 Russell Investment Company and 5 Russell Investment Funds (registered investment companies) (Retired).
Diane B. Glossman(2) Born March 9, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since October 2009 Audit Committee Financial Expert Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2003 to Present, Consultant to financial institutions; •   1998 to Present, Director, A.M. Todd Group, Inc. (flavorings manufacturer); •   2004 to Present, Director and member of the finance committee (2007-2010, President; 2010-2011, Vice President), Bucks County SPCA (animal welfare non-profit); and •   Chartered Financial Analyst.		20	None

36 Disclosure of Information about Fund Trustees and Officers

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued — February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
William L. Marshall Born December 12, 1942 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   April 2011 to Present, Chairman, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (until April 2011, CEO and President) (a registered investment advisor and provider of financial and related consulting services); •   Certified Financial Planner and Member, Financial Planners Association; •   Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa; •   Director, SPCA of Bucks County, PA; and •   Director, The Anne Silverman Community Clinic of Doylestown, PA		20	None
Steven J. Mastrovich Born November 3, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   June 2010 to Present, Managing Director and Head of Private Capital Markets, J.P. Morgan Real Estate and Lodging Investment Banking Group; •   January 2009 to June 2010, Managing Director, Head of Investor Relations, Highbridge Principal Strategies (a J.P. Morgan subsidiary); and •   October 2000 to January 2009, Global Head of Structured Real Estate and Business Development, J.P. Morgan Investment Management (private real estate investment for clients primarily outside of the U.S. to locate private real estate investments within the U.S.).		20	None
Patrick J. Riley Born November 30, 1948 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Independent Chairman of the Board since January 2009 Member (ex-officio), Audit Committee Member (ex-officio), Governance Committee Member (ex-officio), Valuation Committee Member (ex-officio), Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; •   1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); •   January 2009 to Present, Independent Director, SSgA Fixed Income plc; and •   January 2009 to Present, Independent Director, SSgA Qualified Funds plc.		20	None

Disclosure of Information about Fund Trustees and Officers 37

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued — February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); •   1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); •   1998 to December 2008, Chairman, Board Member and Investment Committee Member, Healthcare Georgia Foundation (private foundation); •   September 2002 to May 2011, Lead Director and Board Member, Amerigroup Corp. (managed health care); •   1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and •   2003 to 2009, Trustee, Gettysburg College.		20	None
Bruce D. Taber Born April 25, 1943 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc; •   Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and •   Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		20	None
Henry W. Todd(2) Born May 4, 1947 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until May 30, 2010, Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc (investment company); and •   Until July 2005, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company).		20	None

(1)	The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.
(2)	Ceased to be a Trustee effective April 28, 2011.

38 Disclosure of Information about Fund Trustees and Officers

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued — February 28, 2011 (Unaudited)

	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	•   2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); •   March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and •   President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds; and Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).
Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	•   Chief Operating Officer and Vice President, SSgA Funds Management, Inc. (investment advisor); •   March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and •   Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).
Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	•   July 2008 to Present, Vice President, State Street Global Advisors; and •   April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.
Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	•   2009 to Present, Global Head of Fund Operations, Russell Investments; •   1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company, and Russell Financial Services Company; •   Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.
Sandra G. Richardson Born January 12, 1971 1301 Second Avenue, 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2010		•   September 2010 to Present, Associate General Counsel (January 2008 to September 2010, Associate Counsel), Russell Investments; and •   November 2003 to November 2007, Associate, Kirkpatrick & Lockhart Preston Gates Ellis LLP.

Disclosure of Information about Fund Trustees and Officers 39

SSgA
Money Market Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327

Trustees
Lynn L. Anderson
Diane B. Glossman*
Shawn C.D. Johnson
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley, Chairman
Richard D. Shirk
Bruce D. Taber
Henry W. Todd*
Officers
James E. Ross, President, Chief Executive Offices and Principal Executive Officer
Mark E. Swanson, Treasurer and Principal Accounting Officer
Ellen M. Needham, Vice President
Jacqueline Angell, Chief Compliance Officer
Sandra G. Richardson, Secretary and Chief Legal Officer
Ross E. Erickson, Assistant Treasurer
Kimberlee A. Lloyd, Assistant
David J. Craig, Assistant Treasurer
Carla L. Anderson, Assistant Secretary
Investment Advisor
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900 Custodian and Office of Shareholder Inquiries
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
Transfer and Dividend Paying Agent
Boston Financial Data Services, Inc.
Two Heritage Drive
North Quincy, Massachusetts 02171
Distributor
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Administrator
Russell Fund Services Company
1301 Second Avenue
18th Floor
Seattle, Washington 98101
Legal Counsel
Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, Massachusetts 02116

* Ceased to be a Trustee effective April 28, 2011.

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

40 Fund Management and Service Providers

MMSAR-02/11

00080144

INSTITUTIONAL

MONEY MARKET FUNDS

U.S. Treasury Money Market Fund
Prime Money Market Fund

Semiannual Report
February 28, 2011

SSgA Funds

Institutional Money Market Funds

Semiannual Report

February 28, 2011 (Unaudited)

Table of Contents

	Page
U.S. Treasury Money Market Fund	3
Prime Money Market Fund	7
Notes to Schedules of Investments	13
Statements of Assets and Liabilities	14
Statements of Operations	15
Statements of Changes in Net Assets	16
Financial Highlights	18
Notes to Financial Statements	20
Shareholder Requests for Additional Information	27
Disclosure of Information about Fund Trustees and Officers	28
Fund Management and Service Providers	32

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds. This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or another governmental agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

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SSgA
U.S. Treasury Money Market Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,000.00	$	1,024.00
Expenses Paid During Period*	$	0.79	$	0.80

*  Expenses are equal to the Fund’s annualized expense ratio of 0.16% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

U.S. Treasury Money Market Fund 3

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SSgA
U.S. Treasury Money Market Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		%			Maturity	$
Treasury Debt - 68.7%
U.S. Treasury Bill		500,000		0	.155	03/10/11		499,980
U.S. Treasury Bill		400,000		0	.157	03/17/11		399,972
U.S. Treasury Bill		100,000		0	.160	03/24/11		99,990
U.S. Treasury Bill		277,000		0	.180	03/31/11		276,958
U.S. Treasury Bill		73,000		0	.185	03/31/11		72,989
U.S. Treasury Bill		400,000		0	.150	04/14/11		399,927
U.S. Treasury Bill		350,000		0	.155	04/21/11		349,923
U.S. Treasury Bill		300,000		0	.160	04/28/11		299,923
U.S. Treasury Bill		350,000		0	.155	05/12/11		349,891
U.S. Treasury Bill		500,000		0	.145	06/02/11		499,820
Total Treasury Debt (amortized cost $3,249,373)								3,249,373
Total Investments - 68.7% (amortized cost $3,249,373)								3,249,373
Repurchase Agreements - 41.9%
Treasury Repurchase Agreement - 41.9%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $115,000 dated February 28, 2011, at 0.180% to be repurchased at $115,001 on March 1, 2011, collateralized by: $122,711 par various United States Treasury Obligations, valued at $117,300								115,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.180% to be repurchased at $150,001 on March 1, 2011, collateralized by: $147,886 par various United States Treasury Obligations, valued at $153,000								150,000
Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.180% to be repurchased at $150,001 on March 1, 2011, collateralized by: $134,264 par various United States Treasury Obligations, valued at $153,000								150,000
Agreement with Credit Suisse Securities LLC and JPMorgan Chase & Co. (Tri-Party) of $150,000 dated February 28, 2011, at 0.180% to be repurchased at $150,001 on March 1, 2011, collateralized by: $118,511 par various United States Treasury Obligations, valued at $153,000								150,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $265,122 dated February 28, 2011, at 0.170% to be repurchased at $265,123 on March 1, 2011, collateralized by: $241,254 par various United States Treasury Obligations, valued at $270,425								265,122
Agreement with HSBC Securities, Inc. and JPMorgan Chase & Co. (Tri-Party) of $500,000 dated February 28, 2011, at 0.170% to be repurchased at $500,002 on March 1, 2011, collateralized by: $620,181 par various United States Treasury Obligations, valued at $510,001								500,000
Agreement with Morgan Stanley and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.170% to be repurchased at $150,001 on March 1, 2011, collateralized by: $173,312 par various United States Treasury Obligations, valued at $153,000								150,000
Agreement with Royal Bank of Scotland and JP Morgan Chase & Co. (Tri-Party) of $200,000 dated February 28, 2011, at 0.180% to be repurchased at $200,001 on March 1, 2011, collateralized by: $190,052 par various United States Treasury Obligations, valued at $204,005								200,000

U.S. Treasury Money Market Fund 5

SSgA
U.S. Treasury Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Value
	$
Agreement with Societe Generale and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.180% to be repurchased at $150,001 on March 1, 2011, collateralized by: $138,836 par various United States Treasury Obligations, valued at $153,000		150,000
Agreement with UBS AG and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 28, 2011, at 0.180% to be repurchased at $150,001 on March 1, 2011, collateralized by: $152,922 par various United States Treasury Obligations, valued at $153,000		150,000
Total Treasury Repurchase Agreement (identified cost $1,980,122)		1,980,122
Total Repurchase Agreements (identified cost $1,980,122)		1,980,122
Total Investments and Repurchase Agreements - 110.6%* (cost $5,229,495) (†)		5,229,495
Other Assets and Liabilities, Net - (10.6%)		(500,339	)
Net Assets - 100.0%		4,729,156

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
	% of
	Net
Categories	Assets
Treasury Debt		68.7
Repurchase Agreements		41.9
Total Investments and Repurchase Agreements		110.6
Other Assets and Liabilities, Net		(10.6	)
		100.0

See accompanying notes which are an integral part of the financial statements.

6 U.S. Treasury Money Market Fund

SSgA
Prime Money Market Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,000.70	$	1,023.80
Expenses Paid During Period*	$	0.99	$	1.00

*  Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Prime Money Market Fund 7

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SSgA
Prime Money Market Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		%			Maturity	$
Asset Backed Commercial Paper - 2.1%
Kells Funding LLC (λ)		99,000		0	.310	05/13/11		98,938
Newport Funding Corp. (λ)		150,000		0	.310	04/04/11		149,956
Total Asset Backed Commercial Paper (amortized cost $248,894)								248,894
Certificate of Deposit - 52.8%
Bank of Nova Scotia		200,000		0	.270	04/21/11		200,000
Bank of Nova Scotia		40,000		0	.280	05/26/11		40,000
Bank of Nova Scotia		40,000		0	.290	06/10/11		40,000
Bank of Nova Scotia (next reset date 05/16/11) (Ê)		45,000		0	.384	03/16/12		45,000
Bank of Tokyo - Mitsubishi		200,000		0	.300	04/20/11		200,000
Barclays Bank (next reset date 03/14/11) (Ê)		100,000		0	.654	05/13/11		100,000
Barclays Bank (next reset date 03/14/11) (Ê)		200,000		0	.594	06/14/11		200,000
Barclays Bank (next reset date 03/15/11) (Ê)		200,000		0	.585	07/15/11		200,000
BNP Paribas		400,000		0	.500	06/06/11		400,000
BNP Paribas		100,000		0	.560	08/11/11		100,000
Credit Agricole Corporate and Investment Bank (Ê)		300,000		0	.363	03/03/11		300,000
Credit Agricole Corporate and Investment Bank		75,000		0	.330	03/10/11		75,000
Credit Agricole Corporate and Investment Bank		200,000		0	.350	04/01/11		200,000
Credit Suisse		100,000		0	.320	07/25/11		100,000
Deutsche Bank AG		350,000		0	.370	06/20/11		350,000
DnB NOR Bank ASA		90,000		0	.353	03/03/11		90,000
HSBC Bank PLC		200,000		0	.330	03/23/11		200,000
HSBC Bank PLC		50,000		0	.350	08/15/11		50,000
ING Bank NV		150,000		0	.470	03/28/11		150,000
ING Bank NV		300,000		0	.390	04/05/11		300,000
ING Bank NV		75,000		0	.430	06/13/11		75,000
Lloyds TSB Bank		250,000		0	.390	04/11/11		250,000
National Australia Bank Ltd.		75,000		0	.275	03/11/11		75,000
National Australia Bank Ltd.		100,000		0	.332	05/16/11		100,001
Nordea Bank Finland		150,000		0	.300	04/13/11		150,000
Nordea Bank Finland		75,000		0	.375	07/15/11		75,015
Rabobank Nederland NV		225,000		0	.320	05/10/11		225,000
Rabobank Nederland NV		175,000		0	.380	07/13/11		175,000
Royal Bank of Canada		55,000		0	.330	08/15/11		55,000
Royal Bank of Scotland		150,000		0	.453	04/15/11		150,000
Royal Bank of Scotland		150,000		0	.510	08/12/11		150,000
Royal Bank of Scotland		100,000		0	.510	08/22/11		100,000
Societe Generale		400,000		0	.420	03/21/11		400,000
Societe Generale		100,000		0	.430	05/16/11		100,000
Standard Chartered Bank		50,000		0	.350	06/20/11		50,000
Sumitomo Mitsui Banking Corp.		100,000		0	.310	05/10/11		100,000
Toronto Dominion Bank		44,000		0	.264	03/10/11		44,000
Toronto Dominion Bank (next reset date 03/28/11) (Ê)		36,000		0	.331	10/28/11		36,000
Toronto Dominion Bank (next reset date 03/14/11) (Ê)		45,000		0	.344	01/12/12		45,000
UBS AG		200,000		0	.350	03/28/11		200,000
UBS AG		250,000		0	.380	04/11/11		250,000
UBS AG (next reset date 03/10/11) (Ê)		100,000		0	.364	08/10/11		100,000
Total Certificate of Deposit (amortized cost $6,245,016)								6,245,016

Prime Money Market Fund 9

SSgA
Prime Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		%			Maturity	$
Financial Company Commercial Paper - 9.8%
Credit Suisse		55,000		0	.320	05/17/11		54,962
Credit Suisse		145,000		0	.322	05/20/11		144,897
DnB NOR Bank ASA (λ)		200,000		0	.345	03/28/11		199,949
DnB NOR Bank ASA (λ)		200,000		0	.304	04/18/11		199,920
General Electric Capital Corp.		125,000		0	.305	03/24/11		124,976
General Electric Capital Corp.		100,000		0	.325	04/13/11		99,962
General Electric Capital Corp.		140,000		0	.300	07/11/11		139,846
Svenska Handelsbanken AB (λ)		200,000		0	.285	05/13/11		199,884
Total Financial Company Commercial Paper (amortized cost $1,164,396)								1,164,396
Other Note - 9.4%
Bank of America NA (next reset date 04/26/11) (Ê)		12,207		0	.603	05/20/11		12,207
Bank of America NA (next reset date 03/01/11) (Ê)		85,000		0	.360	08/01/11		85,000
Bank of America NA (next reset date 03/22/11) (Ê)		100,000		0	.343	08/22/11		100,000
Commonwealth Bank of Australia (next reset date 04/27/11) (Ê)(λ)		49,000		0	.374	02/27/12		49,000
Nordea Bank AB (next reset date 05/18/11) (Ê)(λ)		165,000		0	.413	03/16/12		165,000
PNC Bank NA		300,000		0	.130	03/01/11		300,000
Rabobank Nederland NV (next reset date 05/16/11) (Ê)(λ)		107,000		0	.384	03/16/12		107,000
Svenska Handelsbanken AB (next reset date 05/09/11) (Ê)(λ)		35,000		0	.412	03/09/12		35,000
Svenska Handelsbanken AB (next reset date 05/17/11) (Ê)(λ)		200,000		0	.363	03/12/12		200,000
Westpac Banking Corp. (next reset date 04/28/11) (Ê)		55,000		0	.374	02/28/12		55,000
Total Other Note (amortized cost $1,108,207)								1,108,207
Total Investments - 74.1% (amortized cost $8,766,513)								8,766,513
Repurchase Agreements - 25.9%
Government Agency Repurchase Agreement - 23.3%
Agreement with Barclays Capital, Inc. and Bank of New York Mellon Corp. (Tri-Party) of $500,000 dated February 28, 2011, at 0.190% to be repurchased at $500,002 on March 1, 2011, collateralized by: $503,240 par various United States Government Agency Obligations, valued at $510,004								500,000
Agreement with Barclays Capital, Inc. and Bank of New York Mellon Corp. (Tri-Party) of $108,115 dated February 28, 2011, at 0.190% to be repurchased at $108,116 on March 1, 2011, collateralized by: $110,282 par various United States Government Agency Mortgage Obligations, valued at $110,278								108,115
Agreement with BNP Paribas and Bank of New York Mellon Corp. (Tri-Party) of $300,000 dated February 28, 2011, at 0.210% to be repurchased at $300,002 on March 1, 2011, collateralized by: $611,293 par various United States Government Agency Mortgage Obligations, valued at $306,000								300,000
Agreement with Citigroup and Bank of New York Mellon Corp. (Tri-Party) of $300,000 dated February 28, 2011, at 0.210% to be repurchased at $300,002 on March 1, 2011, collateralized by: $451,295 par various United States Government Agency Mortgage Obligations, valued at $306,000								300,000

10 Prime Money Market Fund

SSgA
Prime Money Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Value
	$
Agreement with Deutsche Bank AG and Bank of New York Mellon Corp. (Tri-Party) of $300,000 dated February 28, 2011, at 0.200% to be repurchased at $300,002 on March 1, 2011, collateralized by: $415,343 par various United States Government Agency Mortgage Obligations, valued at $306,000		300,000
Agreement with Merrill Lynch and Bank of New York Mellon Corp. (Tri-Party) of $750,000 dated February 28, 2011, at 0.210% to be repurchased at $750,004 on March 1, 2011, collateralized by: $925,814 par various United States Government Agency Mortgage Obligations, valued at $765,000		750,000
Agreement with Morgan Stanley and Bank of New York Mellon Corp. (Tri-Party) of $200,000 dated February 28, 2011, at 0.200% to be repurchased at $200,001 on March 1, 2011, collateralized by: $256,092 par various United States Government Agency Mortgage Obligations, valued at $204,000		200,000
Agreement with UBS AG and Bank of New York Mellon Corp. (Tri-Party) of $300,000 dated February 28, 2011, at 0.220% to be repurchased at $300,002 on March 1, 2011, collateralized by: $331,620 par various United States Government Agency Mortgage Obligations, valued at $306,000		300,000
Total Government Agency Repurchase Agreement (identified cost $2,758,115)		2,758,115
Treasury Repurchase Agreement - 2.6%
Agreement with BNP Paribas and Bank of New York Mellon Corp. (Tri-Party) of $300,000 dated February 28, 2011, at 0.180% to be repurchased at $300,002 on March 1, 2011, collateralized by: $302,170 par various United States Treasury Obligations, valued at $306,000		300,000
Total Treasury Repurchase Agreement (identified cost $300,000)		300,000
Total Repurchase Agreements (identified cost $3,058,115)		3,058,115
Total Investments and Repurchase Agreements - 100.0%* (cost $11,824,628) (†)		11,824,628
Other Assets and Liabilities, Net - 0.0%		1,384
Net Assets - 100.0%		11,826,012

See accompanying notes which are an integral part of the financial statements.

Prime Money Market Fund 11

SSgA
Prime Money Market Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
	% of
	Net
Categories	Assets
Asset Backed Commercial Paper		2.1
Certificate of Deposit		52.8
Financial Company Commercial Paper		9.8
Other Note		9.4
Repurchase Agreements		25.9
Total Investments		100.0
Other Assets and Liabilities, Net		—	*
		100.0

* Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.

12 Prime Money Market Fund

SSgA
Institutional Money Market Funds

Notes to Schedules of Investments — February 28, 2011 (Unaudited)

Footnotes

(Ê)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(†)	The identified cost for Federal income tax purposes.
(λ)	Restricted security (144A, 4(2)). Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
*	Unless otherwise indicated, the value of securities of the Fund are determined based on level 2 inputs. (Note 2)

Notes to Schedules of Investments 13

SSgA
Institutional Money Market Funds

Statements of Assets and Liabilities — February 28, 2011 (Unaudited)

	U.S. Treasury		Prime Money
Amounts in thousands	Money Market Fund		Market Fund
Assets
Investments, at identified cost	$	3,249,373	$	8,766,513
Investments, at market		3,249,373		8,766,513
Repurchase Agreements		1,980,122		3,058,115
Receivables:
Interest		10		4,684
From Advisor		—		6
Prepaid expenses		69		181
Total assets		5,229,574		11,829,499
Liabilities
Payables:
Investments purchased		499,820		—
Accrued fees to affiliates		546		2,257
Other accrued expenses		52		173
Dividends payable		—		1,057
Total liabilities		500,418		3,487
Net Assets	$	4,729,156	$	11,826,012
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	19	$	83
Accumulated net realized gain (loss)		34		40
Shares of beneficial interest		4,729		11,826
Additional paid-in capital		4,724,374		11,814,063
Net Assets	$	4,729,156	$	11,826,012
Net Asset Value, offering and redemption price per share:
Net asset value per share(a)	$	1.00	$	1.00
Net assets	$	4,729,155,520	$	11,826,012,261
Shares outstanding ($.001 par value)		4,729,183,746		11,825,951,743

See accompanying notes which are an integral part of the financial statements.

14 Statements of Assets and Liabilities

SSgA
Institutional Money Market Funds

Statements of Operations — For the Period Ended February 28, 2011 (Unaudited)

	U.S. Treasury			Prime Money
Amounts in thousands	Money Market Fund			Market Fund
Investment Income
Interest	$	3,498		$	20,066
Expenses
Advisory fees		3,295			8,673
Administrative fees		658			1,747
Custodian fees		270			766
Distribution fees		441			1,613
Transfer agent fees		23			40
Professional fees		40			94
Registration fees		18			34
Shareholder servicing fees		557			1,637
Trustees’ fees		71			208
Insurance fees		54			160
Printing fees		7			24
Miscellaneous		33			49
Expenses before reductions		5,467			15,045
Expense reductions		(1,969	)		(3,482	)
Net expenses		3,498			11,563
Net investment income (loss)		—			8,503
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		21			35
Net Increase (Decrease) in Net Assets from Operations	$	21		$	8,538

See accompanying notes which are an integral part of the financial statements.

Statements of Operations 15

SSgA
Institutional Money Market Funds

Statements of Changes in Net Assets

	U.S. Treasury Money Market Fund					Prime Money Market Fund
	Six Months					Six Months
	Period Ended		Fiscal Year			Period Ended			Fiscal Year
	February 28, 2011		Ended			February 28, 2011			Ended
Amounts in thousands	(Unaudited)		August 31, 2010			(Unaudited)			August 31, 2010
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	—	$	9		$	8,503		$	20,835
Net realized gain (loss)		21		19			35			5
Net increase (decrease) in net assets from operations		21		28			8,538			20,840
Distributions
From net investment income		—		(81	)		(8,503	)		(20,835	)
From net realized gain		—		—			—			(494	)
Net decrease in net assets from distributions		—		(81	)		(8,503	)		(21,329	)
Share Transactions
Net increase (decrease) in net assets from share transactions		514,051		94,729			(217,354	)		(6,360,321	)
Total Net Increase (Decrease) in Net Assets		514,072		94,676			(217,319	)		(6,360,810	)
Net Assets
Beginning of period		4,215,084		4,120,408			12,043,331			18,404,141
End of period	$	4,729,156	$	4,215,084		$	11,826,012		$	12,043,331
Undistributed (overdistributed) net investment income included in net assets	$	19	$	19		$	83		$	83

See accompanying notes which are an integral part of the financial statements.

16 Statements of Changes in Net Assets

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SSgA
Institutional Money Market Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.

	$		$			$			$			$			$
	Net Asset Value,		Net			Net Realized			Total Income			Distributions			Distributions
	Beginning of		Investment			and Unrealized			from			from Net			from Net
	Period		Income (Loss)(a)			Gain (Loss)			Operations			Investment Income			Realized Gain
U.S. Treasury Money Market Fund
February 28, 2011*		1.0000		—	(b)		—	(b)		—	(b)		—	(b)		—
August 31, 2010		1.0000		—	(b)		—	(b)		—	(b)		—	(b)		—
August 31, 2009		1.0000		.0011			.0001			.0012			(.0007	)		(.0005	)
August 31, 2008		1.0000		.0249			.0027			.0276			(.0276	)		—
August 31, 2007		1.0000		.0501			—	(b)		.0501			(.0501	)		—
August 31, 2006		1.0000		.0427			—	(b)		.0427			(.0427	)		—
Prime Money Market Fund
February 28, 2011*		1.0000		.0007			—	(b)		.0007			—	(b)		—
August 31, 2010		1.0000		.0013			—	(b)		.0013			(.0013	)		—	(b)
August 31, 2009		1.0000		.0094			.0010			.0104			(.0104	)		—	(b)
August 31, 2008		1.0000		.0376			(.0005	)		.0371			(.0371	)		—
August 31, 2007		1.0000		.0517			—	(b)		.0517			(.0517	)		—	(b)
August 31, 2006		1.0000		.0438			—	(b)		.0438			(.0438	)		—

*	For the six months ended February 28, 2011 (Unaudited).
(a)	Average daily shares outstanding were used for this calculation.
(b)	Less than $.0001 per share.
(c)	May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005%.
(d)	Includes expenses related to the U.S. Treasury Guarantee Program.
(e)	Less than .005% of average net assets.
(f)	Periods less than one year are not annualized.
(g)	The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.

18 Financial Highlights

									%			%		%
			$				$		Ratio of Expenses			Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%		Net Assets,		to Average			to Average		Investment Income
Total			End of		Total		End of Period		Net Assets,			Net Assets,		to Average
Distributions			Period		Return(f)		(000)		Net(c)(g)			Gross(g)		Net Assets(c)(g)
	—	(b)		1.0000		—		4,729,156		.16			.25		—	(e)
	—	(b)		1.0000		—		4,215,084		.13			.25		—	(e)
	(.0012	)		1.0000		.12		4,120,408		.16			.25		.11
	(.0276	)		1.0000		2.80		4,769,072		.19			.24		2.49
	(.0501	)		1.0000		5.13		2,360,963		.20			.31		4.97
	(.0427	)		1.0000		4.36		1,452,093		.20			.36		4.25
	(.0007	)		1.0000		.07		11,826,012		.20			.26		.15
	(.0013	)		1.0000		.13		12,043,331		.20	(d)		.26		.13
	(.0104	)		1.0000		1.04		18,404,141		.23	(d)		.28		.94
	(.0371	)		1.0000		3.77		14,717,852		.19			.24		3.76
	(.0517	)		1.0000		5.29		14,476,438		.20			.26		5.17
	(.0438	)		1.0000		4.47		10,996,109		.20			.27		4.39

See accompanying notes which are an integral part of the financial statements.

Financial Highlights 19

SSgA
Institutional Money Market Funds

Notes to Financial Statements — February 28, 2011 (Unaudited)

1. Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 28, 2011. These financial statements report on two funds: the SSgA U.S. Treasury Money Market Fund and SSgA Prime Money Market Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

2. Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

As permitted in accordance with Rule 2a-7 under the 1940 Act, each Fund values portfolio investments using the amortized cost method. Under this method, each portfolio instrument is initially valued at cost, and thereafter assumes a constant accretion/amortization to maturity of any discount or premium. While amortized cost provides certainty in valuation, it may result in periods when the value of an instrument is higher or lower than the price a Fund would receive if it sold the instrument.

Fair value of securities is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. To increase consistency and comparability in fair value measurement, the fair value hierarchy was established to maximize the use of observable market data and minimize the use of unobservable inputs to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy of inputs is summarized in the three broad levels listed below.

•   Level 1 — quoted prices (unadjusted) in active markets for identical investments

•   Level 2 — other significant observable inputs including quoted market prices in non-active markets or prices derived from market data. Included are the following:

•   common stocks traded or quoted only on inactive markets

•   privately placed bonds whose values are derived from a similar bond that is publicly traded

•   interest rate swaps valued based on compilation of primarily observable swap curves incorporated into a model or matrix price

•   euro commercial paper valued at amortized cost which approximates market and is not priced daily or a broker quote in a non-active market with inputs incorporated into a model or matrix price

•   non registered mutual funds that are daily priced, but not publicly traded

20 Notes to Financial Statements

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

•   currency forwards valued based on a compilation of primarily observable market currency spot rates incorporated into a model or matrix price

•   corporate bonds and notes, domestic commercial paper, time deposits, U.S. Government Agencies, U.S. Treasury and Yankee Certificates of Deposit using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs incorporated into a model or matrix price

•   mortgage-related and other asset backed securities are valued based on evaluators analyzing features such as the pricing speed, spread and volatility in order to confirm the deal structure. Spreads and other information solicited from Wall Street buy and sell-side sources, including primary and secondary dealers, portfolio managers, and research analysts are used as model inputs. Using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs are incorporated into a model or matrix price (security characteristics including coupon rates and maturity dates are disclosed in the Statement of Investments).

Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

•   Level 3 — significant unobservable inputs including a Fund’s own assumptions in determining the fair value of investments. Included are the following:

•   OTC securities using the Company’s own data/models

•   prices with significant haircuts applied

•   staled securities — fair valuation procedures are applied

•   securities that have broken tolerance outlined in the Board-approved securities valuation procedures

•   no current market quotations — fair valuation procedures are applied

•   unreliable prices — fair valuation procedures are applied

Level 3 investments include positions with prices not derived from existing market data. As such, Level 3 assets typically involve the use of financial models, such as discounted cash flow analysis for investments in privately held companies, or other non-market based methods to determine an investment’s Fair Value. One may consider Level 3 investments as those that cannot be quickly liquidated for their stated market value.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Securities Transactions

Securities transactions are recorded on the trade date basis, which in most instances is the same as the settlement date. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Interest income is recorded daily on an accrual basis. Distributions received on securities that represent a return on capital or capital gain are recorded as a reduction on cost of investments and/or as a realized gain.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.

Notes to Financial Statements 21

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This required each Fund to distribute all of its taxable income and capital gains. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2011, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statue of limitations remains open to examine the Funds’ U.S. tax returns filed August 31, 2007 through August 31, 2009, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Funds may have net tax basis capital loss carryforwards which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. At August 31, 2010, the Funds had no net tax basis capital loss carryforwards.

Dividends and Distributions to Shareholders

The Funds declare and record dividends on net investment income daily and pay them monthly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. Each Fund may periodically make reclassifications among certain of its capital accounts without impacting net asset value for differences between federal tax regulations and GAAP.

The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes. These differences relate primarily to non-deductible deferred compensation and capital loss carryforwards. For the period ended February 28, 2011, there were no permanent differences between book and tax accounting.

Expenses

Most expenses can be directly attributed to a fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all funds of the Investment Company based principally on their relative average net assets.

Repurchase Agreements

A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed upon price and time. The total amount received by the Funds on repurchase is calculated to exceed the price paid by the Funds, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities, but may consist of other securities in which the Funds are permitted to invest. Repurchase agreements are fully collateralized at all times. The use of repurchase agreements involves certain risks. For example, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) the Funds will seek to dispose of such securities; this action could involve costs or delays. The Funds may enter into repurchase agreements maturing within a specified date with domestic dealers, banks and other financial institutions deemed to be creditworthy by SSgA Funds Management, Inc. (“SSgA FM” or the “Advisor”), a wholly-owned subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”).

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

22 Notes to Financial Statements

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

3. Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to a written Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of each Fund in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Advisor, calculated daily and paid monthly at the annual rate of 0.15% of its daily average net assets.

The Advisor has contractually agreed to waive 0.05% of its 0.15% advisory fee on the U.S. Treasury Money Market Fund until December 31, 2011. The Advisor also contractually agreed to waive up to the full amount of the U.S. Treasury Money Market Fund’s advisory fee and reimburse the Fund for all expenses in excess of 0.20% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring fees, extraordinary expenses and acquired fund fees). The total amounts of the waiver and reimbursement for the period ended February 28, 2011 were $1,098,159 and $0, respectively.

The Advisor has contractually agreed to waive 0.05% of its 0.15% advisory fee on the Prime Money Market Fund until December 31, 2011. The Advisor also contractually agreed to waive up to the full amount of the Prime Money Market Fund’s advisory fee and reimburse the Fund for all expenses in excess of 0.20% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring fees, extraordinary expenses and acquired fund fees). The total amounts of the waiver and reimbursement for the period ended February 28, 2011 were $2,890,880 and $591,133, respectively.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Advisor may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 28, 2011, the Advisor voluntarily waived $870,474 on the U.S. Treasury Money Market Fund. There were no voluntary waivers for the Prime Money Market Fund as of February 28, 2011. There is no guarantee that the Fund will be able to avoid a negative yield.

The Investment Company also has a contract with State Street to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

The SSgA Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”). As of February 28, 2011, $12,407,191 represents the investments of other Investment Company Funds not presented herein.

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc., and State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. The custody credits are included in the expense reductions in the Statement of Operations. For the period ended February 28, 2011, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

	Amount Paid
Prime Money Market	$	15

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell

Notes to Financial Statements 23

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of all five of the Investment Company’s money market portfolios: $0 up to $15 billion — 0.0315%; over $15 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. In addition, the Funds reimburse the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and State Street Global Markets, LLC (the “Distributor”), which is a wholly-owned subsidiary of State Street Corporation, to promote and offer shares of the Investment Company. The Distributor may enter into agreements with other related and non-related parties. The amounts paid to the Distributor are included in the accompanying Statements of Operations.

The Investment Company has a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor, or any Shareholder Servicing Agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

The Funds have shareholder service agreements with State Street and Wealth Management Systems. For these services, each Fund pays a maximum of 0.025% to State Street and 0.05% to Wealth Management Systems, based on the average daily value of all Fund shares held. For the period ended February 28, 2011, the Funds paid the following shareholder servicing expenses to affiliated service providers:

			Wealth
			Management
	State Street		Systems
U.S. Treasury Money Market	$	549,049	$	7,639
Prime Money Market		1,445,440		187,135

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of a Fund on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of a Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Funds’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The trustee or a majority of the Funds’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Funds will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or noncontinuance.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the Funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

24 Notes to Financial Statements

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Accrued fees payable to affiliates and trustees as of February 28, 2011 were as follows:

	U.S. Treasury
	Money		Prime Money
	Market		Market
Advisory fees	$	209,067	$	897,120
Administration fees		109,827		249,332
Custodian Fees		52,444		152,916
Distribution fees		54,663		624,508
Shareholder servicing fees		94,360		229,711
Transfer agent fees		13,134		24,544
Trustee fees		12,739		79,174
	$	546,234	$	2,257,305

4. Fund Share Transactions (On Constant Dollar Basis)

	(amounts in thousands)
	For the Periods Ended
	February 28,			August 31,
U.S. Treasury Money Market	2011			2010
Proceeds from shares sold	$	27,370,146		$	42,595,417
Proceeds from reinvestment of distributions		16			66
Payments for shares redeemed		(26,856,111	)		(42,500,754	)
Total net increase (decrease)	$	514,051		$	94,729
Prime Money Market
Proceeds from shares sold	$	58,396,540		$	148,005,252
Proceeds from reinvestment of distributions		8,700			20,291
Payments for shares redeemed		(58,622,594	)		(154,385,864	)
Total net increase (decrease)	$	(217,354	)	$	(6,360,321	)

5. Restricted Securities

Restricted securities are subject to contractual limitations on resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933 (the “Act”). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act.

A Fund may invest a portion of its net assets not to exceed 5% in securities that are illiquid. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

For the period ended February 28, 2011, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.

Notes to Financial Statements 25

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

6. Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Fund to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statements of Assets and Liabilities.

7. Subsequent Events

Management has evaluated events or transactions that may have occurred since February 28, 2011, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require further disclosure within the Financial Statements.

26 Notes to Financial Statements

SSgA
Institutional Money Market Funds

Shareholder Requests for Additional Information — February 28, 2011 (Unaudited)

The Funds have adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds semiannual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

Shareholder Requests for Additional Information 27

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

			Principal Occupation(s)	Number of
	Position(s) Held		During Past 5 Years;	Portfolios in		Other
Name,	with SSgA Funds;	Term	and Other	Fund Complex		Directorships Held
Age,	Length of	of	Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since November 2008	Until successor is elected by Trustees	•   2008 to Present, Director of SSgA FM; •   2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors; •   2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee; •   2009 to Present, Member of Board of Virginia Tech Foundation and Investment Committee; and •   June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.		20	None
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 1301 Second Avenue, 18th Floor Seattle, WA 98101	Member, Board of Trustees (Chairman of the Board from 1988 to December 2008) Member, Audit Committee, Member Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired); •   March 2007 to September 2010, member, IDC Board of Governors; •   September 2007 to September 2010, member Investment Company Institute Board of Governors; •   September 2008 to September 2010, member Investment Company Institutie and IDC Investment Committee; and •   Until December 2008, Director, Russell Trust Company (Retired).		20	Until December 2005, Chairman of the Board, 34 Russell Investment Company and 5 Russell Investment Funds (registered investment companies) (Retired).
Diane B. Glossman (2) Born March 9, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since October 2009 Audit Committee Financial Expert Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2003 to Present, Consultant to financial institutions; •   1998 to Present, Director, A.M. Todd Group, Inc. (flavorings manufacturer); •   2004 to Present, Director and member of the finance committee (2007-2010, President; 2010-2011, Vice President), Bucks County SPCA (animal welfare non-profit); and •   Chartered Financial Analyst.		20	None

28 Disclosure of Information about Fund Trustees and Officers

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
William L. Marshall Born December 12, 1942 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   April 2011 to Present, Chairman, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (until April 2011, CEO and President) (a registered investment advisor and provider of financial and related consulting services); •   Certified Financial Planner and Member, Financial Planners Association; •   Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa; •   Director, SPCA of Bucks County, PA; and •   Director, The Anne Silverman Community Clinic of Doylestown, PA.		20	None
Steven J. Mastrovich Born November 3, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   June 2010 to Present, Managing Director and Head of Private Capital Markets, J.P. Morgan Real Estate and Lodging Investment Banking Group; •   January 2009 to June 2010, Managing Director, Head of Investor Relations, Highbridge Principal Strategies (a J.P. Morgan subsidiary); and •   October 2000 to January 2009, Global Head of Structured Real Estate and Business Development, J.P. Morgan Investment Management (private real estate investment for clients primarily outside of the U.S. to locate private real estate investments within the U.S.).		20	None
Patrick J. Riley Born November 30, 1948 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Independent Chairman of the Board since January 2009 Member (ex-officio), Audit Committee Member (ex-officio), Governance Committee Member (ex-officio), Valuation Committee Member (ex-officio), Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; •   1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); •   January 2009 to Present, Independent Director, SSgA Fixed Income plc; and •   January 2009 to Present, Independent Director, SSgA Qualified Funds plc.		20	None

Disclosure of Information about Fund Trustees and Officers 29

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); •   1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); •   1998 to December 2008, Chairman, Board Member and Investment Committee Member, Healthcare Georgia Foundation (private foundation); •   September 2002 to May 2011, Lead Director and Board Member, Amerigroup Corp. (managed health care); •   1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and •   2003 to 2009, Trustee, Gettysburg College.		20	None
Bruce D. Taber Born April 25, 1943 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc; •   Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and •   Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		20	None
Henry W. Todd (2) Born May 4, 1947 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until May 30, 2010, Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc (investment company); and •   Until July 2005, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company).		20	None

(1)	The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.
(2)	Ceased to be a Trustee effective April 28, 2011.

30 Disclosure of Information about Fund Trustees and Officers

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	•   2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); •   March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and •   President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds; and Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).
Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	•   Chief Operating Officer and Vice President, SSgA Funds Management, Inc. (investment advisor); •   March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and •   Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).
Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	•   July 2008 to Present, Vice President, State Street Global Advisors; and •   April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.
Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	•   2009 to Present, Global Head of Fund Operations, Russell Investments; •   1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company, and Russell Financial Services Company; •   Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.
Sandra G. Richardson Born January 12, 1971 1301 Second Avenue, 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2010		•   September 2010 to Present, Associate General Counsel (January 2008 to September 2010, Associate Counsel), Russell Investments; and •   November 2003 to November 2007, Associate, Kirkpatrick & Lockhart Preston Gates Ellis LLP.

Disclosure of Information about Fund Trustees and Officers 31

SSgA
Institutional Money Market Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327

Trustees
Lynn L. Anderson
Diane B. Glossman*
Shawn C.D. Johnson
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley, Chairman
Richard D. Shirk
Bruce D. Taber
Henry W. Todd*
Officers
James E. Ross, President, Chief Executive Offices and Principal Executive Officer
Mark E. Swanson, Treasurer and Principal Accounting Officer
Ellen M. Needham, Vice President
Jacqueline Angell, Chief Compliance Officer
Sandra G. Richardson, Secretary and Chief Legal Officer
Ross E. Erickson, Assistant Treasurer
Kimberlee A. Lloyd, Assistant
David J. Craig, Assistant Treasurer
Carla L. Anderson, Assistant Secretary
Investment Advisor
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Custodian and Office of Shareholder Inquiries
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
Transfer and Dividend Paying Agent
Boston Financial Data Services, Inc.
Two Heritage Drive
North Quincy, Massachusetts 02171
Distributor
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Administrator
Russell Fund Services Company
1301 Second Avenue
18th Floor
Seattle, Washington 98101
Legal Counsel
Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, Massachusetts 02116

* Ceased to be a Trustee effective April 28, 2011.

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

32 Fund Management and Service Providers

IMMSAR-02/11

FIXED INCOME FUNDS

Bond Market Fund
Bond Market Fund – Class R
Intermediate Fund
High Yield Bond Fund

Semiannual Report
February 28, 2011

SSgA Funds

Fixed Income Funds

Semiannual Report

February 28, 2011 (Unaudited)

Table of Contents

	Page
Bond Market Fund	3
Intermediate Fund	11
High Yield Bond Fund	17
Notes to Schedules of Investments	25
Statements of Assets and Liabilities	26
Statements of Operations	27
Statements of Changes in Net Assets	28
Financial Highlights	30
Notes to Financial Statements	32
Shareholder Requests for Additional Information	45
Disclosure of Information about Fund Trustees and Officers	46
Fund Management and Service Providers	50

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds. This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

 This page has been intentionally left blank.

SSgA
Bond Market Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,007.30	$	1,022.32
Expenses Paid During Period*	$	2.49	$	2.51

*  Expenses are equal to the Fund’s annualized expense ratio of 0.50% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,006.80	$	1,020.93
Expenses Paid During Period*	$	3.88	$	3.91

*  Expenses are equal to the Fund’s annualized expense ratio of 0.78% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Bond Market Fund 3

This page has been intentionally left blank.

SSgA
Bond Market Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Long-Term Investments - 98.3%
Asset-Backed Securities - 0.2%
Chase Issuance Trust
Series 2007-A17 Class A
5.120% due 10/15/14		100		107
Corporate Bonds and Notes - 30.0%
Alabama Power Co.
5.700% due 02/15/33		50		52
Alcoa, Inc.
6.150% due 08/15/20		250		269
American Honda Finance Corp.
2.500% due 09/21/15 (λ)		250		247
American International Group, Inc.
Series WI
8.175% due 05/15/58		250		274
Anadarko Petroleum Corp.
6.375% due 09/15/17		250		279
Anheuser-Busch InBev Worldwide, Inc.
5.000% due 04/15/20		250		264
8.000% due 11/15/39 (λ)		175		232
Arch Coal, Inc.
7.250% due 10/01/20		250		266
AT&T, Inc.
5.875% due 08/15/12		250		268
Axis Specialty Finance LLC
5.875% due 06/01/20		250		255
Baker Hughes, Inc.
5.125% due 09/15/40		125		119
Ball Corp.
5.750% due 05/15/21		250		245
Bank of America Corp.
2.100% due 04/30/12(Å)		225		229
5.875% due 01/05/21		160		170
Baxter International, Inc.
1.800% due 03/15/13		125		127
Blue Merger Sub, Inc.
7.625% due 02/15/19 (λ)		250		252
Broadcom Corp.
1.500% due 11/01/13 (λ)		250		248
CBS Corp.
4.300% due 02/15/21		250		237
Citigroup, Inc.
4.750% due 05/19/15		225		237
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/13		75		85
Comstock Resources, Inc.
7.750% due 04/01/19		175		175
Daimler Finance NA LLC
8.500% due 01/18/31		125		168
DaVita, Inc.
6.375% due 11/01/18		285		289
Digital Realty Trust, LP
4.500% due 07/15/15		175		180
Discover Bank
Series BKNT
8.700% due 11/18/19		250		301
eBay, Inc.
0.875% due 10/15/13		165		163
Embarq Corp.
7.082% due 06/01/16		250		284
7.995% due 06/01/36		175		199
FIA Card Services NA
6.625% due 06/15/12		150		158
Ford Motor Credit Co. LLC
5.750% due 02/01/21		250		247
General Electric Cap Corp.
5.300% due 02/11/21		315		324
General Electric Capital Corp.
2.200% due 06/08/12(Å)		225		230
5.000% due 01/08/16		50		54
Series GMTN
6.875% due 01/10/39		50		57
General Electric Co.
5.000% due 02/01/13		100		107
Goldman Sachs Group, Inc. (The)
5.750% due 10/01/16		100		109
Hartford Financial Services Group, Inc.
5.500% due 03/30/20		250		257
HCA, Inc.
8.500% due 04/15/19		250		280
Hertz Corp. (The)
6.750% due 04/15/19 (λ)		250		255
Hess Corp.
7.300% due 08/15/31		25		29
Hewlett-Packard Co.
1.250% due 09/13/13		125		125
HSBC Bank USA
Series BKNT
5.625% due 08/15/35		75		72
HSBC Finance Capital Trust IX
5.911% due 11/30/35		300		284
HSBC Finance Corp.
7.000% due 05/15/12		100		106
Huntington Bancshares, Inc.
7.000% due 12/15/20		135		148
Hyundai Capital America
3.750% due 04/06/16 (λ)		250		246
John Deere Capital Corp.
2.800% due 09/18/17		125		122

Bond Market Fund 5

SSgA
Bond Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Juniper Networks, Inc.
5.950% due 03/15/41		185		185
Kellogg Co.
5.125% due 12/03/12		125		134
Kinder Morgan Energy Partners, LP
6.375% due 03/01/41		500		503
Kraft Foods, Inc.
5.250% due 10/01/13		125		136
6.500% due 11/01/31		25		27
Lubrizol Corp.
6.500% due 10/01/34		25		26
Macy’s Retail Holdings, Inc.
5.900% due 12/01/16		250		267
Marathon Petroleum Corp.
6.500% due 03/01/41 (λ)		115		117
Merrill Lynch & Co., Inc.
6.875% due 04/25/18		100		113
MetLife, Inc.
6.750% due 06/01/16		100		116
Morgan Stanley
5.500% due 07/24/20		175		177
5.750% due 01/25/21		225		231
Newell Rubbermaid, Inc.
4.700% due 08/15/20		125		124
News America, Inc.
Series WI
6.900% due 08/15/39		175		196
NRG Energy, Inc.
7.625% due 01/15/18 (λ)		250		260
Philip Morris International, Inc.
4.875% due 05/16/13		125		135
Plum Creek Timberlands, LP
5.875% due 11/15/15		50		53
PPG Industries, Inc.
5.500% due 11/15/40		125		123
Procter & Gamble - Esop
Series A
9.360% due 01/01/21		20		26
ProLogis
6.875% due 03/15/20		10		11
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
6.875% due 02/15/21 (λ)		250		251
SLM Corp.
6.250% due 01/25/16		125		128
Spectra Energy Capital LLC
5.650% due 03/01/20		250		265
Stanley Black & Decker, Inc.
4.900% due 11/01/12		125		132
Verizon Communications, Inc.
5.850% due 09/15/35		150		151
Virginia Electric and Power Co.
Series A
4.750% due 03/01/13		125		133
Wal-Mart Stores, Inc.
5.000% due 10/25/40		150		142
				13,486
International Debt - 10.7%
Aguila 3 SA
7.875% due 01/31/18 (λ)		50		52
Alberta Energy Co., Ltd.
7.375% due 11/01/31		40		48
America Movil SAB de CV
5.000% due 03/30/20		250		258
Anglo American Capital PLC
2.150% due 09/27/13 (λ)		250		252
ArcelorMittal
6.750% due 03/01/41		345		342
Barclays Bank PLC
5.140% due 10/14/20		250		237
BHP Billiton Finance USA, Ltd.
4.800% due 04/15/13		25		27
BNP Paribas
3.600% due 02/23/16		250		252
Brazilian Government International Bond
7.125% due 01/20/37		100		118
Series A
8.000% due 01/15/18		39		46
Canadian Pacific Railway Co.
9.450% due 08/01/21		40		54
CNOOC Finance 2011, Ltd.
5.750% due 01/26/41 (λ)		150		152
Corp. Nacional del Cobre de Chile
3.750% due 11/04/20 (λ)		250		236
Covidien International Finance SA
4.200% due 06/15/20		250		248
European Investment Bank
5.125% due 09/13/16		150		169
Korea Gas Corp.
4.250% due 11/02/20 (λ)		250		238
Kreditanstalt fuer Wiederaufbau
3.250% due 03/15/13		150		157
Lloyds TSB Bank PLC
6.375% due 01/21/21		500		518
Mexico Government International Bond
6.375% due 01/16/13		25		28
6.625% due 03/03/15		100		114
POSCO
4.250% due 10/28/20 (λ)		250		231

6 Bond Market Fund

SSgA
Bond Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Royal Bank of Scotland PLC (The)
3.250% due 01/11/14		125		126
Santander UK PLC
7.950% due 10/26/29		250		264
Santander US Debt SA Unipersonal
2.991% due 10/07/13 (λ)		100		98
Scottish Power, Ltd.
5.810% due 03/15/25		100		94
Talisman Energy, Inc.
5.850% due 02/01/37		25		25
Telefonica Emisiones SAU
5.462% due 02/16/21		210		213
TransCanada PipeLines, Ltd.
4.000% due 06/15/13		125		132
Vale Overseas, Ltd.
6.250% due 01/23/17		50		56
				4,785
Mortgage-Backed Securities - 36.5%
Banc of America Commercial Mortgage, Inc.
Series 2003-2 Class A4
5.061% due 03/11/41		250		266
Citigroup Commercial Mortgage Trust
Series 2004-C2 Class A4
4.623% due 10/15/41		290		300
Credit Suisse Mortgage Capital Certificates
Series 2006-C3 Class AAB
5.826% due 06/15/38		243		260
Fannie Mae
6.000% due 2013		82		90
5.500% due 2014		3		3
6.500% due 2014		115		125
7.500% due 2015		13		15
6.500% due 2016		18		20
5.000% due 2018		322		345
5.500% due 2018		155		168
5.500% due 2019		66		71
4.500% due 2022		539		567
4.500% due 2023		7		7
8.000% due 2023		—		—	±
4.000% due 2025		524		540
9.000% due 2025		202		236
9.000% due 2026		2		2
7.500% due 2027		93		107
6.000% due 2028		9		10
6.000% due 2029		3		3
7.000% due 2029		3		3
6.000% due 2030		3		3
7.500% due 2030		1		2
4.500% due 2033		488		503
6.000% due 2033		165		181
5.500% due 2034		596		642
2.349% due 2036 (Ê)		759		796
6.000% due 2038		945		1,028
4.500% due 2039		325		332
4.000% due 2040		637		629
4.500% due 2040		1,065		1,087
30 Year TBA (Ï)
4.000%		200		197
Freddie Mac
6.000% due 2016		51		55
7.000% due 2016		63		69
4.500% due 2019		219		231
4.500% due 2023		89		94
8.500% due 2025		1		1
6.500% due 2029		72		81
7.000% due 2030		1		2
7.000% due 2031		86		99
6.500% due 2032		215		243
6.000% due 2033		68		75
6.500% due 2033		479		543
7.000% due 2033		134		153
5.000% due 2035		1,245		1,312
5.500% due 2038		1,243		1,335
4.500% due 2039		211		215
Ginnie Mae I
8.000% due 2012		10		10
10.000% due 2013		1		1
7.500% due 2022		—		—	±
7.000% due 2023		61		70
7.500% due 2023		1		1
6.500% due 2024		1		2
7.500% due 2024		30		35
8.500% due 2025		5		6
7.500% due 2027		2		3
6.500% due 2028		8		9
7.000% due 2028		12		14
7.500% due 2028		13		15
8.500% due 2028		11		12
7.500% due 2029		1		1
8.000% due 2029		6		7
7.500% due 2030		13		15
8.000% due 2030		40		47
6.500% due 2032		70		80
7.000% due 2032		82		95
7.500% due 2032		7		8
5.000% due 2033		178		190
5.500% due 2038		219		237
6.000% due 2038		328		361
4.500% due 2039		633		655

Bond Market Fund 7

SSgA
Bond Market Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
4.000% due 2040		448		450
30 Year TBA (Ï)
4.500%		300		310
Greenwich Capital Commercial Funding Corp.
Series 2007-GG9 Class A4
5.444% due 03/10/39		300		321
GS Mortgage Securities Corp. II
Series 2006-GG8 Class A4
5.560% due 11/10/39		200		215
Morgan Stanley Capital I
Series 2005-T19 Class AAB
4.852% due 06/12/47		176		183
				16,399
United States Government Agencies - 1.2%
Federal Home Loan Bank
Series 467
5.250% due 06/18/14		200		225
Federal Home Loan Bank Discount Notes
4.750% due 09/11/15		150		166
Freddie Mac
6.750% due 03/15/31		125		159
				550
United States Government Treasuries - 19.7%
United States Treasury Notes
0.500% due 11/30/12		500		499
2.625% due 12/31/14		250		260
2.000% due 01/31/16		4,166		4,146
2.125% due 02/29/16		200		200
1.875% due 10/31/17		449		425
2.625% due 11/15/20		1,478		1,383
3.625% due 02/15/21		200		204
5.250% due 11/15/28		715		809
4.375% due 05/15/40		47		46
4.250% due 11/15/40		907		870
				8,842
Total Long-Term Investments (cost $42,736)				44,169
Short-Term Investments - 4.7%
SSgA Prime Money Market Fund		1,799,519		1,800
United States Treasury Bills (§)(ç)(ÿ)
Zero coupon due 03/24/11		300		299
Total Short-Term Investments (cost $2,100)				2,099
Total Investments - 103.0% (identified cost $44,836)				46,268
Other Assets and Liabilities, Net - (3.0%)				(1,350	)
Net Assets - 100.0%				44,918

Amounts in thousands (except contracts)
							Unrealized
							Appreciation
	Number of			Notional		Expiration	(Depreciation)
Futures Contracts	Contracts			Amount		Date	$
Long Positions
United States Treasury 2 Year Note Futures		19		USD	4,148	06/11		6
United States Treasury 5 Year Note Futures		7		USD	818	06/11		2
Short Positions
Ultra Long Term United States Treasury Bond Futures		7		USD	865	06/11		(8	)
United States Treasury 10 Year Note Futures		30	��	USD	3,571	06/11		(8	)
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts								(8	)

See accompanying notes which are an integral part of the financial statements.

8 Bond Market Fund

SSgA
Bond Market Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1			Level 2		Level 3		Total			Assets
Asset-Backed Securities	$	—		$	107	$	—	$	107			0.2
Corporate Bonds and Notes		—			13,486		—		13,486			30.0
International Debt		—			4,785		—		4,785			10.7
Mortgage-Backed Securities		—			16,399		—		16,399			36.5
United States Government Agencies		—			550		—		550			1.2
United States Government Treasuries		—			8,842		—		8,842			19.7
Short-Term Investments		1,800			299		—		2,099			4.7
Total Investments		1,800			44,468		—		46,268			103.0
Other Assets and Liabilities, Net												(3.0	)
												100.0
Other Financial Instruments
Futures Contracts		(8	)		—		—		(8	)		—	*
Total Other Financial Instruments**	$	(8	)	$	—	$	—	$	(8	)

*	Less than .05% of net assets.
**	Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Bond Market Fund 9

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SSgA
Intermediate Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,006.40	$	1,021.82
Expenses Paid During Period*	$	2.98	$	3.01

*  Expenses are equal to the Fund’s annualized expense ratio of 0.60% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Intermediate Fund 11

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SSgA
Intermediate Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Long-Term Investments - 95.3%
Corporate Bonds and Notes - 35.4%
Alcoa, Inc.
6.150% due 08/15/20		250		269
Altria Group, Inc.
9.250% due 08/06/19		250		325
American Honda Finance Corp.
2.500% due 09/21/15 (λ)		250		247
American International Group, Inc.
Series WI
8.175% due 05/15/58		250		274
Anadarko Petroleum Corp.
6.375% due 09/15/17		250		279
Anheuser-Busch InBev Worldwide, Inc.
5.000% due 04/15/20		375		396
AT&T, Inc.
5.875% due 08/15/12		250		268
Axis Specialty Finance LLC
5.875% due 06/01/20		250		255
Bank of America Corp.
2.100% due 04/30/12(Å)		175		178
6.500% due 08/01/16		325		365
5.875% due 01/05/21		160		170
Baxter International, Inc.
1.800% due 03/15/13		125		127
Blue Merger Sub, Inc.
7.625% due 02/15/19 (λ)		250		252
Broadcom Corp.
1.500% due 11/01/13 (λ)		250		248
Burlington Northern Santa Fe LLC
5.650% due 05/01/17		50		56
CBS Corp.
4.300% due 02/15/21		250		237
Cisco Systems, Inc.
5.500% due 02/22/16		100		113
Citigroup, Inc.
4.750% due 05/19/15		250		264
Comcast Corp.
6.500% due 01/15/15		50		56
4.950% due 06/15/16		25		27
Comstock Resources, Inc.
7.750% due 04/01/19		175		175
ConocoPhillips
4.750% due 10/15/12		50		53
Cooper US, Inc.
2.375% due 01/15/16		125		123
DaVita, Inc.
6.375% due 11/01/18		285		289
Digital Realty Trust, LP
4.500% due 07/15/15		175		180
Discover Bank
Series BKNT
8.700% due 11/18/19		250		301
Dover Corp.
4.875% due 10/15/15		25		27
eBay, Inc.
0.875% due 10/15/13		165		163
Embarq Corp.
7.082% due 06/01/16		250		285
Ford Motor Credit Co. LLC
5.750% due 02/01/21		250		247
Genentech, Inc.
4.750% due 07/15/15		50		54
General Electric Capital Corp.
2.200% due 06/08/12(Å)		175		179
5.300% due 02/11/21		265		272
Series MTNA
6.000% due 06/15/12		150		159
Genworth Financial, Inc.
4.950% due 10/01/15		50		50
Goldman Sachs Group, Inc. (The)
5.750% due 10/01/16		75		82
5.625% due 01/15/17		50		53
Hartford Financial Services Group, Inc.
5.500% due 03/30/20		250		257
Hershey Co. (The)
4.850% due 08/15/15		50		54
Hertz Corp. (The)
6.750% due 04/15/19 (λ)		250		255
Hewlett-Packard Co.
1.250% due 09/13/13		125		125
HJ Heinz Finance Co.
6.000% due 03/15/12		25		26
HSBC Finance Capital Trust IX
5.911% due 11/30/35		250		237
HSBC Finance Corp.
6.676% due 01/15/21 (λ)		111		116
Huntington Bancshares, Inc.
7.000% due 12/15/20		135		148
Hyundai Capital America
3.750% due 04/06/16 (λ)		220		216
International Business Machines Corp.
4.750% due 11/29/12		50		53
John Deere Capital Corp.
2.800% due 09/18/17		100		98
Juniper Networks, Inc.
5.950% due 03/15/41		185		185
Kellogg Co.
5.125% due 12/03/12		125		134
Kinder Morgan Energy Partners, LP
6.375% due 03/01/41		500		503

Intermediate Fund 13

SSgA
Intermediate Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Kraft Foods, Inc.
5.250% due 10/01/13		125		136
Macy’s Retail Holdings, Inc.
5.900% due 12/01/16		250		267
MetLife, Inc.
6.750% due 06/01/16		100		116
Midamerican Energy Holdings Co.
5.750% due 04/01/18		125		141
Morgan Stanley
4.000% due 07/24/15		175		179
5.500% due 07/24/20		125		127
5.750% due 01/25/21		225		231
National Fuel Gas Co.
5.250% due 03/01/13		20		21
Newell Rubbermaid, Inc.
4.700% due 08/15/20		125		124
NRG Energy, Inc.
7.625% due 01/15/18 (λ)		250		260
Philip Morris International, Inc.
4.875% due 05/16/13		125		135
Plains All American Pipeline, LP / PAA Finance Corp.
3.950% due 09/15/15		125		128
ProLogis
6.875% due 03/15/20		10		11
PSEG Power LLC
5.500% due 12/01/15		50		55
Public Service Electric & Gas Co.
5.000% due 08/15/14		50		55
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
6.875% due 02/15/21 (λ)		250		251
SLM Corp.
6.250% due 01/25/16		125		128
Southern Copper Corp.
5.375% due 04/16/20		180		185
Stanley Black & Decker, Inc.
4.900% due 11/01/12		125		132
United Technologies Corp.
6.100% due 05/15/12		90		96
Verizon Communications, Inc.
8.750% due 11/01/18		125		161
Viacom, Inc.
6.250% due 04/30/16		50		57
Virginia Electric and Power Co.
Series A
4.750% due 03/01/13		175		187
Wells Fargo & Co.
4.375% due 01/31/13		125		132
				12,820
International Debt - 14.2%
Aguila 3 SA
7.875% due 01/31/18 (λ)		50		52
America Movil SAB de CV
5.000% due 03/30/20		250		258
Anglo American Capital PLC
2.150% due 09/27/13 (λ)		250		252
ArcelorMittal
6.750% due 03/01/41		345		342
Barclays Bank PLC
5.140% due 10/14/20		250		237
BHP Billiton Finance USA, Ltd.
8.500% due 12/01/12		26		29
BNP Paribas
3.600% due 02/23/16		250		252
Brazilian Government International Bond
Series A
8.000% due 01/15/18		78		91
Corp. Nacional del Cobre de Chile
3.750% due 11/04/20 (λ)		250		236
Covidien International Finance SA
4.200% due 06/15/20		125		124
Credit Suisse NY
3.450% due 07/02/12		125		129
Deutsche Telekom International Finance BV
5.250% due 07/22/13		75		81
European Investment Bank
4.250% due 07/15/13		225		241
HSBC Holdings PLC
5.250% due 12/12/12		125		133
Hydro Quebec
Series IF
8.000% due 02/01/13		85		96
Iberdrola International BV
6.750% due 06/15/12		55		58
Korea Gas Corp.
4.250% due 11/02/20 (λ)		250		238
Kreditanstalt fuer Wiederaufbau
3.250% due 03/15/13		150		157
Landesbank Baden-Wuerttemberg NY
5.050% due 12/30/15		200		223
Lloyds TSB Bank PLC
6.375% due 01/21/21		500		518
Mexico Government International Bond
Series MTNA
5.875% due 01/15/14		100		110
Petrobras International Finance Co. - Pifco
6.125% due 10/06/16		25		28

14 Intermediate Fund

SSgA
Intermediate Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
POSCO
4.250% due 10/28/20 (λ)		250		231
Republic of Italy
5.250% due 09/20/16		125		132
Series DTC
5.625% due 06/15/12		75		79
Royal Bank of Scotland PLC (The)
3.250% due 01/11/14		125		126
Santander US Debt SA Unipersonal
2.991% due 10/07/13 (λ)		100		98
South Africa Government International Bond
7.375% due 04/25/12		50		54
Telefonica Emisiones SAU
6.421% due 06/20/16		65		72
5.462% due 02/16/21		210		213
TransCanada PipeLines, Ltd.
4.000% due 06/15/13		125		132
Tyco International Finance SA
6.000% due 11/15/13		25		28
Vale Overseas, Ltd.
6.250% due 01/23/17		75		85
				5,135
United States Government Treasuries - 45.7%
United States Treasury Notes
0.625% due 07/31/12		200		201
0.375% due 10/31/12		575		573
1.750% due 04/15/13		1,875		1,915
3.375% due 07/31/13		1,250		1,326
1.750% due 01/31/14		800		814
1.875% due 02/28/14		1,575		1,608
2.625% due 12/31/14		250		260
2.000% due 01/31/16		7,028		6,995
2.125% due 02/29/16		150		150
3.000% due 08/31/16		405		419
1.875% due 10/31/17		663		628
2.625% due 11/15/20		1,577		1,475
3.625% due 02/15/21		200		204
				16,568
Total Long-Term Investments (cost $33,855)				34,523
Short-Term Investments - 5.0%
JPMorgan Chase & Co.
3.125% due 12/01/11(Å)		350		358
Korea Land & Housing Corp.
0.563% due 11/22/11 (Ê)(λ)		90		90
SSgA Prime Money Market Fund		801,341		801
United States Treasury Bills (§)(ç)(ÿ)
Zero coupon due 03/24/11		200		200
Wells Fargo & Co.
3.000% due 12/09/11(Å)		350		357
Total Short-Term Investments (cost $1,798)				1,806
Total Investments - 100.3% (identified cost $35,653)				36,329
Other Assets and Liabilities, Net - (0.3%)				(113	)
Net Assets - 100.0%				36,216

Amounts in thousands (except contracts)
						Unrealized
						Appreciation
	Number of		Notional		Expiration	(Depreciation)
Futures Contracts	Contracts		Amount		Date	$
Long Positions
United States Treasury 2 Year Note Futures		14	USD	3,056	06/11		3
United States Treasury 5 Year Note Futures		2	USD	234	06/11		1
Short Positions
Ultra Long Term United States Treasury 10 Year Bond Futures		7	USD	865	06/11		(8	)
United States Treasury 10 Year Note Futures		19	USD	2,262	06/11		(5	)
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts							(9	)

See accompanying notes which are an integral part of the financial statements.

Intermediate Fund 15

SSgA
Intermediate Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1			Level 2		Level 3		Total			Assets
Corporate Bonds and Notes	$	—		$	12,820	$	—	$	12,820			35.4
International Debt		—			5,135		—		5,135			14.2
United States Government Treasuries		—			16,568		—		16,568			45.7
Short-Term Investments		801			1,005		—		1,806			5.0
Total Investments		801			35,528		—		36,329			100.3
Other Assets and Liabilities, Net												(0.3	)
												100.0
Other Financial Instruments
Futures Contracts		(9	)		—		—		(9	)		—	*
Total Other Financial Instruments**	$	(9	)	$	—	$	—	$	(9	)

*	Less than .05% of net assets.
**	Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

16 Intermediate Fund

SSgA
High Yield Bond Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs:(1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the able under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,117.10	$	1,021.08
Expenses Paid During Period*	$	3.94	$	3.76

*  Expenses are equal to the Fund’s annualized expense ratio of 0.75% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

High Yield Bond Fund 17

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SSgA
High Yield Bond Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Long-Term Investments - 92.7%
Corporate Bonds and Notes - 80.8%
ABI Escrow Corp.
10.250% due 10/15/18 (λ)		525		588
Accuride Corp.
9.500% due 08/01/18		200		223
ACE Cash Express, Inc.
11.000% due 02/01/19 (λ)		300		309
Advanced Micro Devices, Inc.
7.750% due 08/01/20		625		653
AES Corp. (The)
9.750% due 04/15/16		425		494
Affinia Group, Inc.
10.750% due 08/15/16 (λ)		70		80
Aleris International, Inc.
7.625% due 02/15/18 (λ)		500		509
Ally Financial, Inc.
6.250% due 12/01/17 (λ)		250		261
Series*
6.875% due 08/28/12		500		530
8.000% due 11/01/31		300		343
Series 8
6.750% due 12/01/14		525		562
Altra Holdings, Inc.
8.125% due 12/01/16		200		214
American Casino & Entertainment Properties LLC
11.000% due 06/15/14		400		425
American General Finance Corp.
6.900% due 12/15/17		775		695
Series MTNI
4.875% due 07/15/12		200		197
Apria Healthcare Group, Inc.
11.250% due 11/01/14		155		168
Arch Coal, Inc.
7.250% due 10/01/20		400		425
Atkore International, Inc.
9.875% due 01/01/18 (λ)		575		626
Avaya, Inc.
7.000% due 04/01/19 (λ)		215		213
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.
9.625% due 03/15/18		388		434
BAC Capital Trust XIV
5.630% due 09/29/49 (ƒ)		700		521
Basic Energy Services, Inc.
7.750% due 02/15/19 (λ)		425		441
BE Aerospace, Inc.
6.875% due 10/01/20		390		407
Beazer Homes USA, Inc.
8.125% due 06/15/16		400		406
Berry Petroleum Co.
6.750% due 11/01/20		375		386
Berry Plastics Corp.
9.500% due 05/15/18		750		752
Biomet, Inc.
11.625% due 10/15/17		225		254
Blue Merger Sub, Inc.
7.625% due 02/15/19 (λ)		960		970
Boise Paper Holdings LLC / Boise Co.-Issuer Co
8.000% due 04/01/20		150		165
Bon-Ton Department Stores, Inc. (The)
10.250% due 03/15/14		200		205
Burger King Corp.
9.875% due 10/15/18		250		267
Burlington Coat Factory Warehouse Corp.
10.000% due 02/15/19 (λ)		575		581
BWAY Holding Co.
10.000% due 06/15/18 (λ)		200		222
Caesars Entertainment Operating Co., Inc.
11.250% due 06/01/17		250		284
12.750% due 04/15/18 (λ)		475		500
10.000% due 12/15/18		575		540
Capella Healthcare, Inc.
9.250% due 07/01/17 (λ)		200		215
Case New Holland, Inc.
7.875% due 12/01/17 (λ)		200		224
CCO Holdings LLC / CCO Holdings Capital Corp.
7.875% due 04/30/18		400		427
CDW LLC / CDW Finance Corp.
8.000% due 12/15/18 (λ)		500		537
Cengage Learning Acquisitions, Inc.
10.500% due 01/15/15 (λ)		450		467
Cenveo Corp.
7.875% due 12/01/13		200		192
Chaparral Energy, Inc.
9.875% due 10/01/20 (λ)		250		278
8.250% due 09/01/21 (λ)		375		382
Chesapeake Energy Corp.
6.500% due 08/15/17		600		643
6.125% due 02/15/21		250		255
Cincinnati Bell, Inc.
8.750% due 03/15/18		1,000		959
CIT Group, Inc.
7.000% due 05/01/17		2,825		2,846
CityCenter Holdings LLC / CityCenter Finance Corp.
7.625% due 01/15/16 (λ)		300		313

High Yield Bond Fund 19

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Clear Channel Communications, Inc.
5.500% due 09/15/14		500		455
Clear Channel Worldwide Holdings, Inc.
Series B
9.250% due 12/15/17		167		186
Clearwire Communications LLC/Clearwire Finance, Inc.
12.000% due 12/01/15 (λ)		410		447
Cleaver-Brooks, Inc.
12.250% due 05/01/16 (λ)		200		215
Cloud Peak Energy Resources LLC / Cloud Peak Energy Finance Corp.
8.500% due 12/15/19		200		220
CommScope, Inc.
8.250% due 01/15/19 (λ)		515		534
Comstock Resources, Inc.
7.750% due 04/01/19		785		785
Concho Resources, Inc.
7.000% due 01/15/21		600		628
Consol Energy, Inc.
8.250% due 04/01/20 (λ)		200		220
Cott Beverages, Inc.
8.125% due 09/01/18		200		215
CPI International Acquisition, Inc.
8.000% due 02/15/18 (λ)		300		302
CSC Holdings LLC
8.625% due 02/15/19		225		259
DAE Aviation Holdings, Inc.
11.250% due 08/01/15 (λ)		200		211
Delta Air Lines 2007-1 Class C Pass Through Trust
Series 071C
8.954% due 08/10/14		257		270
Delta Air Lines, Inc.
12.250% due 03/15/15 (λ)		625		716
Deluxe Corp.
7.375% due 06/01/15		200		208
Developers Diversified Realty Corp.
5.500% due 05/01/15		250		262
DineEquity, Inc.
9.500% due 10/30/18 (λ)		450		487
DISH DBS Corp.
7.875% due 09/01/19		925		1,002
DJO Finance LLC / DJO Finance Corp.
9.750% due 10/15/17 (λ)		575		608
Dole Food Co., Inc.
8.000% due 10/01/16 (λ)		175		187
Dunkin Finance Corp.
9.625% due 12/01/18 (λ)		475		481
DynCorp International, Inc.
10.375% due 07/01/17 (λ)		200		215
Dynegy Holdings, Inc.
7.500% due 06/01/15		300		244
Edison Mission Energy
7.000% due 05/15/17		350		284
El Paso Corp.
7.250% due 06/01/18		900		1,018
Elizabeth Arden, Inc.
7.375% due 03/15/21 (λ)		800		840
Energy Future Holdings Corp.
10.250% due 01/15/20 (λ)		440		458
Energy XXI Gulf Coast, Inc.
9.250% due 12/15/17 (λ)		300		323
7.750% due 06/15/19 (λ)		1,125		1,136
EnergySolutions, Inc. / EnergySolutions LLC
10.750% due 08/15/18 (λ)		375		424
Equinix, Inc.
8.125% due 03/01/18		200		217
Exide Technologies
8.625% due 02/01/18 (λ)		330		352
Fidelity National Information Services, Inc.
7.875% due 07/15/20		300		333
FireKeepers Development Authority
13.875% due 05/01/15 (λ)		425		506
First Data Corp.
9.875% due 09/24/15		92		93
11.250% due 03/31/16		600		579
8.250% due 01/15/21 (λ)		363		361
12.625% due 01/15/21 (λ)		363		380
Ford Motor Co.
7.450% due 07/16/31		400		435
Ford Motor Credit Co. LLC
6.625% due 08/15/17		400		425
5.750% due 02/01/21		650		642
Freescale Semiconductor, Inc.
8.875% due 12/15/14		50		52
9.250% due 04/15/18 (λ)		600		669
Frontier Communications Corp.
8.750% due 04/15/22		1,300		1,443
Genworth Financial, Inc.
6.150% due 11/15/66		550		432
Geo Group, Inc. (The)
6.625% due 02/15/21 (λ)		250		251
GeoEye, Inc.
9.625% due 10/01/15		625		705
Georgia Gulf Corp.
9.000% due 01/15/17 (λ)		325		362
Georgia-Pacific LLC
5.400% due 11/01/20 (λ)		350		348

20 High Yield Bond Fund

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Giant Funding Corp.
8.250% due 02/01/18 (λ)		220		226
Goodyear Tire & Rubber Co. (The)
10.500% due 05/15/16		235		268
Graham Packaging Co., Inc.
9.875% due 10/15/14		550		569
Gray Television, Inc.
10.500% due 06/29/15		200		213
GWR Operating Partnership LLP
10.875% due 04/01/17		200		215
GXS Worldwide, Inc.
9.750% due 06/15/15		775		789
HCA Holdings, Inc.
7.750% due 05/15/21 (λ)		1,000		1,053
HCA, Inc.
8.500% due 04/15/19		750		840
Headwaters, Inc.
11.375% due 11/01/14		180		212
Healthsouth Corp.
7.250% due 10/01/18		200		208
Hertz Corp. (The)
7.500% due 10/15/18 (λ)		250		265
6.750% due 04/15/19 (λ)		400		408
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC
8.875% due 02/01/18		350		376
9.000% due 11/15/20 (λ)		300		319
Huntsman International LLC
7.375% due 01/01/15		154		158
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
8.000% due 01/15/18		300		311
ILFC E-Capital Trust II
6.250% due 12/21/65 (λ)		350		305
Interactive Data Corp.
10.250% due 08/01/18 (λ)		170		190
International Lease Finance Corp.
6.375% due 03/25/13		350		365
8.250% due 12/15/20		2,750		3,059
KRATON Polymers LLC/KRATON Polymers Capital Corp.
6.750% due 03/01/19 (λ)		500		510
Landry’s Restaurants, Inc.
11.625% due 12/01/15		250		271
Laredo Petroleum, Inc.
9.500% due 02/15/19 (λ)		1,000		1,048
Libbey Glass, Inc.
10.000% due 02/15/15		300		328
Liberty Mutual Group, Inc.
10.750% due 06/15/58 (λ)		175		228
Limited Brands, Inc.
8.500% due 06/15/19		225		258
LIN Television Corp.
6.500% due 05/15/13		175		176
8.375% due 04/15/18		200		217
Linn Energy LLC/Linn Energy Finance Corp.
11.750% due 05/15/17		325		379
Lyondell Chemical Co.
8.000% due 11/01/17 (λ)		319		359
11.000% due 05/01/18		300		344
MacDermid, Inc.
9.500% due 04/15/17 (λ)		650		692
Macy’s Retail Holdings, Inc.
8.375% due 07/15/15		375		434
6.375% due 03/15/37		184		182
Manitowoc Co., Inc. (The)
8.500% due 11/01/20		270		294
MBIA Insurance Corp.
14.000% due 01/15/33 (λ)		125		79
McClatchy Co. (The)
11.500% due 02/15/17		350		397
MedImpact Holdings, Inc.
10.500% due 02/01/18 (λ)		350		365
MetroPCS Wireless, Inc.
6.625% due 11/15/20		950		925
MGM Resorts International
6.750% due 04/01/13		750		758
6.875% due 04/01/16		500		468
9.000% due 03/15/20 (λ)		200		218
Michael Foods, Inc.
9.750% due 07/15/18 (λ)		500		548
Michaels Stores, Inc.
11.375% due 11/01/16		125		137
7.750% due 11/01/18 (λ)		475		490
Mirant Americas Generation LLC
8.500% due 10/01/21		200		211
Momentive Performance Materials, Inc.
11.500% due 12/01/16		275		298
9.000% due 01/15/21 (λ)		500		532
Mueller Water Products, Inc.
8.750% due 09/01/20		175		194
Multiplan, Inc.
9.875% due 09/01/18 (λ)		200		215
Nalco Co.
6.625% due 01/15/19 (λ)		235		243
Navistar International Corp.
8.250% due 11/01/21		280		310
Neiman Marcus Group, Inc. (The)
10.375% due 10/15/15		250		265

High Yield Bond Fund 21

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
NewPage Corp.
11.375% due 12/31/14		200		199
NFR Energy LLC/NFR Energy Finance Corp.
Series 144a
9.750% due 02/15/17 (λ)		200		202
Northern Tier Energy LLC / Norther Tier Finance Corp.
10.500% due 12/01/17 (λ)		250		280
NRG Energy, Inc.
7.375% due 01/15/17		595		627
7.625% due 01/15/18 (λ)		500		521
Nuveen Investments, Inc.
5.500% due 09/15/15		375		328
Oasis Petroleum, Inc.
7.250% due 02/01/19 (λ)		400		406
Packaging Dynamics Corp.
8.750% due 02/01/16 (λ)		400		409
PAETEC Holding Corp.
9.500% due 07/15/15		575		606
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp.
8.250% due 04/15/18		380		405
Petco Animal Supplies, Inc.
9.250% due 12/01/18 (λ)		250		270
Petrohawk Energy Corp.
7.875% due 06/01/15		450		477
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp.
10.625% due 04/01/17		150		161
Plains Exploration & Production Co.
7.750% due 06/15/15		225		236
Ply Gem Industries, Inc.
8.250% due 02/15/18 (λ)		320		328
Polymer Group, Inc.
7.750% due 02/01/19 (λ)		500		521
PolyOne Corp.
7.375% due 09/15/20		285		302
Provident Funding Associates, LP / PFG Finance Corp.
10.250% due 04/15/17 (λ)		200		221
Regions Bank
6.450% due 06/26/37		500		458
Revlon Consumer Products Corp.
9.750% due 11/15/15		200		217
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
6.875% due 02/15/21 (λ)		640		642
8.250% due 02/15/21 (λ)		1,200		1,203
Rite Aid Corp.
10.375% due 07/15/16		250		269
9.500% due 06/15/17		300		276
RSC Equipment Rental, Inc./RSC Holdings III LLC
10.000% due 07/15/17 (λ)		250		287
Sabine Pass LNG, LP
7.500% due 11/30/16		175		177
Salem Communications Corp.
9.625% due 12/15/16		192		211
Sally Holdings LLC/Sally Capital, Inc.
9.250% due 11/15/14		200		210
Seminole Indian Tribe of Florida
7.750% due 10/01/17 (λ)		500		531
ServiceMaster Co. (The)
10.750% due 07/15/15 (λ)		275		296
SM Energy Co.
6.625% due 02/15/19 (λ)		800		809
Solutia, Inc.
8.750% due 11/01/17		350		387
Sprint Nextel Corp.
8.375% due 08/15/17		1,775		1,968
Standard Pacific Corp.
8.375% due 05/15/18		450		477
Steel Dynamics, Inc.
6.750% due 04/01/15		250		256
SunGard Data Systems, Inc.
7.625% due 11/15/20 (λ)		325		336
Surgical Care Affiliates, Inc.
10.000% due 07/15/17 (λ)		275		285
Telcordia Technologies, Inc.
11.000% due 05/01/18 (λ)		350		392
Tenet Healthcare Corp.
10.000% due 05/01/18		200		235
Tenneco, Inc.
7.750% due 08/15/18		200		215
Terremark Worldwide, Inc.
12.000% due 06/15/17		400		496
Tesoro Corp.
9.750% due 06/01/19		200		225
Texas Competitive Electric Holdings Co. LLC
Series A
10.250% due 11/01/15		525		295
Textron Financial Corp.
6.000% due 02/15/67 (λ)		350		295
Tops Holding Corp. / Tops Markets LLC
10.125% due 10/15/15		425		456
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc.
10.625% due 09/01/17 (λ)		235		263

22 High Yield Bond Fund

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Uncle Acquisition 2010 Corp.
8.625% due 02/15/19 (λ)		750		799
Unisys Corp.
14.250% due 09/15/15 (λ)		250		298
United Air Lines, Inc.
9.875% due 08/01/13 (λ)		160		174
United Rentals NA, Inc.
8.375% due 09/15/20		140		148
United Surgical Partners International, Inc.
9.250% due 05/01/17		300		317
Univision Communications, Inc.
7.875% due 11/01/20 (λ)		180		193
Valeant Pharmaceuticals International
6.750% due 08/15/21 (λ)		750		754
Venoco, Inc.
8.875% due 02/15/19 (λ)		1,125		1,142
Verso Paper Holdings LLC / Verso Paper, Inc.
8.750% due 02/01/19 (λ)		500		522
Series B
11.375% due 08/01/16		350		372
Vertellus Specialties, Inc.
9.375% due 10/01/15 (λ)		250		269
West Corp.
11.000% due 10/15/16		375		408
Weyerhaeuser Co.
7.375% due 10/01/19		375		422
Whiting Petroleum Corp.
6.500% due 10/01/18		375		389
Windstream Corp.
7.875% due 11/01/17		675		733
Wyle Services Corp.
10.500% due 04/01/18 (λ)		200		207
Wyndham Worldwide Corp.
9.875% due 05/01/14		100		118
				93,666
International Debt - 11.9%
Aguila 3 SA
7.875% due 01/31/18 (λ)		240		249
Ardagh Packaging Finance PLC
9.125% due 10/15/20 (λ)		600		659
Ashtead Holdings PLC
8.625% due 08/01/15 (λ)		175		183
Connacher Oil and Gas, Ltd.
10.250% due 12/15/15 (λ)		850		899
FMG Resources August 2006 Pty, Ltd.
7.000% due 11/01/15 (λ)		340		353
6.375% due 02/01/16 (λ)		500		507
Gibson Energy ULC / GEP Midstream Finance Corp.
11.750% due 05/27/14		200		224
Global Crossing, Ltd.
12.000% due 09/15/15		425		488
Harvest Operations Corp.
6.875% due 10/01/17 (λ)		300		312
Ineos Group Holdings PLC
8.500% due 02/15/16 (λ)		925		934
ING Groep NV
5.775% due 12/29/49 (ƒ)		550		489
Intelsat Jackson Holdings SA
11.250% due 06/15/16		550		589
Intelsat Luxembourg SA
11.500% due 02/04/17		513		570
Intelsat Subsidiary Holding Co. SA
8.875% due 01/15/15 (λ)		150		154
Series*
8.875% due 01/15/15		275		283
Midwest Vanadium Pty, Ltd.
11.500% due 02/15/18 (λ)		350		365
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US Inc
8.125% due 02/15/19 (λ)		800		800
Nova Chemicals Corp.
8.375% due 11/01/16		250		274
Novelis, Inc.
8.375% due 12/15/17 (λ)		500		551
NXP BV / NXP Funding LLC
Series EXcH
9.500% due 10/15/15		125		133
Offshore Group Investments, Ltd.
11.500% due 08/01/15 (λ)		600		672
Ono Finance II PLC
10.875% due 07/15/19 (λ)		400		430
Resona Preferred Global Securities Cayman, Ltd.
7.191% due 12/29/49 (ƒ)(λ)		250		255
Royal Bank of Scotland Group PLC
7.648% due 09/30/49 (ƒ)		325		297
Series U
7.640% due 03/29/49 (ƒ)		250		192
Seagate HDD Cayman
7.750% due 12/15/18 (λ)		725		743
Teekay Corp.
8.500% due 01/15/20		200		215
Telesat Canada / Telesat LLC
11.000% due 11/01/15		125		140
Trinidad Drilling, Ltd.
7.875% due 01/15/19 (λ)		500		523

High Yield Bond Fund 23

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
UPC Holding BV
9.875% due 04/15/18 (λ)		350		389
Virgin Media Finance PLC
Series 1
9.500% due 08/15/16		175		202
Wind Acquisition Finance SA
11.750% due 07/15/17 (λ)		300		344
XL Group PLC
Series E
6.500% due 03/29/49 (ƒ)		400		370
				13,788
Total Long-Term Investments (cost $101,866)				107,454
Preferred Stocks - 0.4%
Financials - 0.4%
Citigroup Capital XIII		18,145		491
Total Preferred Stocks (cost $461)				491
Short-Term Investments - 4.7%
SSgA Prime Money Market Fund		5,498,949		5,499
Total Short-Term Investments (cost $5,499)				5,499
Total Investments - 97.8% (identified cost $107,826)				113,444
Other Assets and Liabilities, Net - 2.2%				2,522
Net Assets - 100.0%				115,966

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Corporate Bonds and Notes	$	—	$	93,666	$	—	$	93,666		80.8
International Debt		—		13,788		—		13,788		11.9
Preferred Stocks		491		—		—		491		0.4
Short-Term Investments		5,499		—		—		5,499		4.7
Total Investments	$	5,990	$	107,454	$	—	$	113,444		97.8
Other Assets and Liabilities, Net										2.2
										100.0

For a description of the levels see note 2 in the Notes to Financial Statements.

24 High Yield Bond Fund

SSgA
Fixed Income Funds

Notes to Schedules of Investments — February 28, 2011 (Unaudited)

Footnotes

(Æ)	Non-income producing security.
(ö)	Real Estate Investment Trust (REIT).
(§)	All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund.
(å)	Currency balances were held in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund. See Note 2.
(ÿ)	Rate noted is yield-to-maturity from date of acquisition.
(ç)	Fair value is at amortized cost, which approximates market.
(Ê)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(Ï)	Forward commitment.
(ƒ)	Perpetual floating rate security.
(µ)	Bond is insured by a guarantor.
(æ)	Pre-refunded: These bonds are collateralized by US Treasury securities, which are held in escrow by a trustee and used to pay principal and interest in the tax-exempt issue and to retire the bonds in full at the earliest refunding date. The rate noted is for descriptive purposes; effective yield may vary.
(Ñ)	All or a portion of the shares of this security are on loan.
(λ)	Restricted security (144A). Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
(Å)	The timely payment of interest and principal is guaranteed by the FDIC until 2012.
±	Less than $500.

Abbreviations

ADR - American Depositary Receipt
ADS - American Depositary Share
CDO - Collateralized Debt Obligation
CMO - Collateralized Mortgage Obligation
CVO - Contingent Value Obligation
FDIC - Federal Deposit Insurance Company
GDR - Global Depositary Receipt
GDS - Global Depositary Share
LIBOR - London Interbank Offered Rate
PIK - Payment in Kind
REMIC - Real Estate Mortgage Investment Conduit
STRIP - Separate Trading of Registered Interest and Principal of Securities
TBA - To Be Announced Security
TRAINS - Targeted Return Index

Notes to Schedules of Investments 25

SSgA
Fixed Income Funds

Statements of Assets and Liabilities — February 28, 2011 (Unaudited)

	Bond			Intermediate			High Yield
Amounts in thousands	Market Fund			Fund			Bond Fund
Assets
Investments, at identified cost	$	44,836		$	35,653		$	107,826
Investments, at market		46,268			36,329			113,444
Receivables:
Dividends and interest		347			237			2,035
Investments sold		1,215			1,253			4,971
Fund shares sold		3			21			1,160
From Advisor		21			17			1
Prepaid expenses		1			—			9
Total assets		47,855			37,857			121,620
Liabilities
Payables:
Investments purchased		2,812			1,555			5,285
Fund shares redeemed		51			15			285
Accrued fees to affiliates		41			31			56
Other accrued expenses		32			38			28
Daily variation margin on futures contracts		1			2			—
Total liabilities		2,937			1,641			5,654
Net Assets	$	44,918		$	36,216		$	115,966
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	137		$	79		$	606
Accumulated net realized gain (loss)		(42,441	)		(8,066	)		(343	)
Unrealized appreciation (depreciation) on:
Investments		1,432			676			5,618
Futures contracts		(8	)		(9	)		—
Shares of beneficial interest		5			4			14
Additional paid-in capital		85,793			43,532			110,071
Net Assets	$	44,918		$	36,216		$	115,966
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class(a)	$	8.77		$	8.96		$	8.43
Net assets	$	44,675,220		$	36,216,048		$	115,966,105
Shares outstanding ($.001 par value)		5,095,442			4,043,912			13,758,298
Net asset value per share: Class R(a)	$	8.71		$	—		$	—
Net assets	$	243,111		$	—		$	—
Shares outstanding ($.001 par value)		27,912			—			—

(a) Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.

26 Statements of Assets and Liabilities

SSgA
Fixed Income Funds

Statements of Operations — For the Period Ended February 28, 2011 (Unaudited)

	Bond			Intermediate			High Yield
Amounts in thousands	Market Fund			Fund			Bond Fund
Investment Income
Dividends	$	—		$	—		$	12
Dividends from affiliated money market funds		1			1			4
Interest		908			546			2,916
Total investment income		909			547			2,932
Expenses
Advisory fees		68			58			109
Administrative fees		22			21			27
Custodian fees		41			26			33
Distribution fees - Institutional Class		11			31			50
Distribution fees - Class R		—	*		—			—
Transfer agent fees		32			18			19
Professional fees		28			27			20
Registration fees		22			12			21
Shareholder servicing fees - Institutional Class		8			17			12
Shareholder servicing fees - Class R		—	*		—			—
Trustees’ fees		7			7			7
Insurance fees		1			—			1
Printing fees		8			6			8
Miscellaneous		1			1			1
Expenses before reductions		249			224			308
Expense reductions		(136	)		(108	)		(35	)
Net expenses		113			116			273
Net investment income (loss)		796			431			2,659
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		360			128			2,391
Futures contracts		110			106			—
Credit default swap contracts		—			—			93
Net realized gain (loss)		470			234			2,484
Net change in unrealized appreciation (depreciation) on:
Investments		(897	)		(505	)		2,600
Futures contracts		(4	)		(8	)		—
Net change in unrealized appreciation (depreciation)		(901	)		(513	)		2,600
Net realized and unrealized gain (loss)		(431	)		(279	)		5,084
Net Increase (Decrease) in Net Assets from Operations	$	365		$	152		$	7,743

* Less than $500.

See accompanying notes which are an integral part of the financial statements.

Statements of Operations 27

SSgA
Fixed Income Funds

Statements of Changes in Net Assets

	Bond Market Fund						Intermediate Fund						High Yield Bond Fund
	Six Months						Six Months						Six Months
	Ended						Ended						Ended
	February 28,			Fiscal Year			February 28,			Fiscal Year			February 28,			Fiscal Year
	2011			Ended August 31,			2011			Ended August 31,			2011			Ended August 31,
Amounts in thousands	(Unaudited)			2010			(Unaudited)			2010			(Unaudited)			2010
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	796		$	1,703		$	431		$	1,106		$	2,659		$	5,109
Net realized gain (loss)		470			1,624			234			1,731			2,484			7,808
Net change in unrealized appreciation (depreciation)		(901	)		779			(513	)		44			2,600			(2,307	)
Net increase (decrease) in net assets from operations		365			4,106			152			2,881			7,743			10,610
Distributions
From net investment income
Institutional Class		(795	)		(1,686	)		(421	)		(1,125	)		(2,423	)		(5,232	)
Class R		(4	)		(7	)		—			—			—			—
Net decrease in net assets from distributions		(799	)		(1,693	)		(421	)		(1,125	)		(2,423	)		(5,232	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(814	)		2,451			(2,143	)		(4,436	)		59,248			(5,836	)
Total Net Increase (Decrease) in Net Assets		(1,248	)		4,864			(2,412	)		(2,680	)		64,568			(458	)
Net Assets
Beginning of period		46,166			41,302			38,628			41,308			51,398			51,856
End of period	$	44,918		$	46,166		$	36,216		$	38,628		$	115,966		$	51,398
Undistributed (overdistributed) net investment income included in net assets	$	137		$	140		$	79		$	69		$	606		$	370

See accompanying notes which are an integral part of the financial statements.

28 Statements of Changes in Net Assets

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SSgA
Fixed Income Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.

	$		$		$			$			$			$
	Net Asset Value,		Net		Net Realized			Total Income			Distributions			Distributions
	Beginning of		Investment		and Unrealized			from			from Net			from Net
	Period		Income (Loss)(a)		Gain (Loss)			Operations			Investment Income			Realized Gain
Bond Market Fund
Institutional Class
February 28, 2011*		8.86		.15		(.09	)		.06			(.15	)		—
August 31, 2010		8.39		.33		.47			.80			(.33	)		—
August 31, 2009		8.17		.35		.23			.58			(.36	)		—
August 31, 2008		9.14		.44		(.99	)		(.55	)		(.42	)		—
August 31, 2007		9.78		.49		(.63	)		(.14	)		(.50	)		—	(b)
August 31, 2006		10.21		.45		(.31	)		.14			(.50	)		(.07	)
Class R
February 28, 2011*		8.79		.14		(.08	)		.06			(.14	)		—
August 31, 2010		8.33		.30		.47			.77			(.31	)		—
August 31, 2009		8.12		.33		.22			.55			(.34	)		—
August 31, 2008		9.11		.36		(.95	)		(.59	)		(.40	)		—
August 31, 2007		9.78		.47		(.62	)		(.15	)		(.52	)		—	(b)
August 31, 2006		10.21		.46		(.32	)		.14			(.50	)		(.07	)
Intermediate Fund
February 28, 2011*		9.00		.10		(.04	)		.06			(.10	)		—
August 31, 2010		8.59		.24		.41			.65			(.24	)		—
August 31, 2009		8.34		.26		.26			.52			(.27	)		—
August 31, 2008		9.00		.38		(.64	)		(.26	)		(.40	)		—
August 31, 2007		9.62		.47		(.63	)		(.16	)		(.46	)		—
August 31, 2006		9.94		.40		(.26	)		.14			(.45	)		(.01	)
High Yield Bond Fund
February 28, 2011*		7.84		.30		.60			.90			(.31	)		—
August 31, 2010		7.12		.73		.74			1.47			(.75	)		—
August 31, 2009		7.60		.64		(.48	)		.16			(.64	)		—
August 31, 2008		8.27		.61		(.68	)		(.07	)		(.60	)		—
August 31, 2007		8.31		.60		(.04	)(d)		.56			(.60	)		—
August 31, 2006		8.78		.57		(.34	)(d)		.23			(.68	)		(.02	)

*	For the six months ended February 28, 2011 (Unaudited).
(a)	Average daily shares outstanding were used for this calculation.
(b)	Less than $.005 per share.
(c)	May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005% per share.
(d)	Includes redemption fees less than $.005 per share.
(e)	Periods less than one year are not annualized.
(f)	The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.

30 Financial Highlights

										%		%		%
			$					$		Ratio of Expenses		Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average		to Average		Investment Income		%
Total			End of		Total			End of Period		Net Assets,		Net Assets,		to Average		Portfolio
Distributions			Period		Return(e)			(000)		Net(c)(f)		Gross(f)		Net Assets(c)(f)		Turnover Rate(e)
	(.15	)		8.77		.73			44,675		.50		1.10		3.52		292
	(.33	)		8.86		9.79			45,903		.50		1.08		3.89		502
	(.36	)		8.39		7.39			41,151		.50		1.08		4.41		408
	(.42	)		8.17		(6.14	)		52,456		.50		.78		4.96		287
	(.50	)		9.14		(1.64	)		276,017		.50		.61		4.93		368
	(.57	)		9.78		1.45			354,654		.50		.60		4.62		487
	(.14	)		8.71		.68			243		.78		1.38		3.23		292
	(.31	)		8.79		9.43			263		.85		1.43		3.52		502
	(.34	)		8.33		7.02			151		.68		1.27		4.09		408
	(.40	)		8.12		(6.62	)		12		1.00		1.54		4.23		287
	(.52	)		9.11		(1.73	)		20		.57		.68		4.88		368
	(.57	)		9.78		1.51			20		.42		.53		4.75		487
	(.10	)		8.96		.64			36,216		.60		1.15		2.22		339
	(.24	)		9.00		7.75			38,628		.60		1.15		2.78		538
	(.27	)		8.59		6.42			41,308		.60		1.84		3.19		414
	(.40	)		8.34		(2.94	)		38,497		.60		1.06		4.42		330
	(.46	)		9.00		(1.78	)		53,499		.60		.87		4.73		511
	(.46	)		9.62		1.52			88,898		.60		79		4.17		550
	(.31	)		8.43		11.71			115,966		.75		.85		7.31		146
	(.75	)		7.84		21.46			51,398		.75		1.01		9.43		294
	(.64	)		7.12		3.65			51,856		.75		1.06		10.20		289
	(.60	)		7.60		(.87	)		50,365		.75		1.02		7.66		106
	(.60	)		8.27		6.85			33,919		.75		.99		7.01		95
	(.70	)		8.31		2.83			50,406		.75		.77		6.74		167

See accompanying notes which are an integral part of the financial statements.

Financial Highlights 31

SSgA
Fixed Income Funds

Notes to Financial Statements — February 28, 2011 (Unaudited)

1. Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 28, 2011. These financial statements report on three funds: the SSgA Bond Market Fund, SSgA Intermediate Fund and SSgA High Yield Bond Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

Effective July 31, 2003, the Bond Market Fund began offering Class R shares. Class R shares of the Bond Market Fund may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.

2. Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

Debt securities listed and traded principally on any national securities exchange are valued at the evaluated bid price or, if there were no sales on that day, at the last reported bid price on the primary exchange on which the security is traded. Over-the-counter fixed-income securities and options are valued on the basis of the last sale price. Many fixed-income securities do not trade each day, and thus last sale or bid prices are frequently not available. Accordingly, fixed-income securities may be valued using prices provided by a pricing service approved by the Board. Pricing services generally use matrix pricing which take into consideration yield or bond prices of comparable quality, coupon, maturity and type, as well as a “qualified broker quote.” A qualified broker quote is a price that originates from the trading desk of a broker-dealer that is actively trading in the applicable security. At February 28, 2011, none of the Funds’ net assets were priced using a qualified broker quote. Exchange-listed futures contracts will be priced at the settlement price and options on futures will be priced at their last sale price on the exchange on which they principally trade. If there were no sales, futures are valued at the last reported bid price. Investments in other mutual funds are valued at their net asset value (“NAV”) per share.

Short-Term instruments purchased by the Funds and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value.

Money market instruments maturing within 60 days of the valuation date are valued at “amortized cost”.

If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. This generally means that equity securities and fixed income securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, lacking any sales, at the closing bid price, on the primary exchange on which the security is traded. The Funds may use the fair value of a portfolio security to calculate their NAV when, for example: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale

32 Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

price”), or (5) State Street Bank and Trust Company (the “Custodian”), or Russell Fund Services Company, (the “Administrator”), determines that a market quotation is unreliable.

The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded, but rather may be priced by another method that the Board believes reflects fair value. A security valued on the basis of an evaluation of its fair value may be valued at a price higher or lower than available market quotations. A security’s valuation may differ depending on the method used and the factors considered in determining value pursuant to the Fair Value Procedures. There can be no assurance that the Funds’ NAV fairly reflects security values as of the time of pricing when using the Fair Value Procedures to price the Funds’ securities. Events or circumstances affecting the values of fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of fund shares is determined may be reflected in the Investment Company’s calculation of NAVs for each applicable fund when the Investment Company deems that the particular event or circumstance would materially affect such fund’s NAV.

Because foreign securities can trade on days on which the New York Stock Exchange is not open for regular trading, the NAV of a fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem fund shares.

Fair value of securities is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. To increase consistency and comparability in fair value measurement, the fair value hierarchy was established to maximize the use of observable market data and minimize the use of unobservable inputs to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy of inputs is summarized in the three broad levels listed below.

•   Level 1 — quoted prices (unadjusted) in active markets for identical investments

•   Level 2 — other significant observable inputs including quoted market prices in non-active markets or prices derived from market data. Included are the following:

•   common stocks traded or quoted only on inactive markets

•   privately placed bonds whose values are derived from a similar bond that is publicly traded

•   interest rate swaps valued based on compilation of primarily observable swap curves incorporated into a model or matrix price

•   euro commercial paper valued at amortized cost which approximates market and is not priced daily or a broker quote in a non-active market with inputs incorporated into a model or matrix price

•   non registered mutual funds that are daily priced, but not publicly traded

•   currency forwards valued based on a compilation of primarily observable market currency spot rates incorporated into a model or matrix price

•   corporate bonds and notes, domestic commercial paper, time deposits, U.S. Government Agencies, U.S. Treasury and Yankee Certificates of Deposit using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs incorporated into a model or matrix price

Notes to Financial Statements 33

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

•   mortgage-related and other asset backed securities are valued based on evaluators analyzing features such as the pricing speed, spread and volatility in order to confirm the deal structure. Spreads and other information solicited from Wall Street buy and sell-side sources, including primary and secondary dealers, portfolio managers, and research analysts are used as model inputs. Using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs are incorporated into a model or matrix price (security characteristics including coupon rates and maturity dates are disclosed in the Statement of Investments).

Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

•   Level 3 — significant unobservable inputs including a Fund’s own assumptions in determining the fair value of investments. Included are the following:

•   OTC securities using the Company’s own data/models

•   prices with significant haircuts applied

•   staled securities — fair valuation procedures are applied

•   securities that have broken tolerance outlined in the Board-approved securities valuation procedures

•   no current market quotations — fair valuation procedures are applied

•   unreliable prices — fair valuation procedures are applied

Level 3 investments include positions with prices not derived from existing market data. As such, Level 3 assets typically involve the use of financial models, such as discounted cash flow analysis for investments in privately held companies, or other non-market based methods to determine an investment’s Fair Value. One may consider Level 3 investments as those that cannot be quickly liquidated for their stated market value.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

The levels associated with valuing the Funds’ investments for the period ended February 28, 2011 are disclosed in the Presentation of Portfolio Holdings following the Schedule of Investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Dividend income is recorded on the ex-dividend date and interest income is recorded daily on the accrual basis. All premiums and discounts, including original issue discounts, are amortized/accreted using the interest method.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other funds.

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This required each Fund to distribute all of its taxable income and capital gains. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2011, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statue of limitations

34 Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

remains open to examine the Funds’ U.S. tax returns filed August 31, 2007 through August 31, 2009, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

At August 31, 2010, the following Funds had net tax basis capital loss carryovers, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:

	Expiration Year
	08/31/2015		08/31/2016		08/31/2017		08/31/2018		Total
Bond Market	$	2,466,296	$	195,353	$	40,164,567	$	69,818	$	42,896,034
Intermediate		1,312,265		746,581		6,235,911		—		8,294,757
High Yield Bond		—		—		2,586,014		—		2,586,014

As of February 28, 2011, the Funds’ aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:

	Bond Market			Intermediate			High Yield Bond
Cost of Investments for Tax Purposes	$	44,922,053		$	35,747,641		$	108,002,592
Gross Tax Unrealized Appreciation		1,529,742			682,982			5,571,668
Gross Tax Unrealized Depreciation		(183,533	)		(101,164	)		(130,361	)
Net Unrealized Appreciation (Depreciation)	$	1,346,209		$	581,818		$	5,441,307

Dividends and Distributions to Shareholders

The Funds declare and pay dividends monthly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes. These differences relate primarily to investments in futures, options, losses deferred due to wash sales and straddles, and capital loss carryforwards. Permanent differences between book and tax accounting are reclassified to paid in capital. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset value.

Expenses

Most expenses can be directly attributed to a fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all funds of the Investment Company based principally on their relative average net assets.

The Bond Market Fund offers Class R Shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Forward Commitments/Mortgage Dollar Rolls

The Funds may contract to purchase securities for a fixed price at a future date beyond customary settlement time (not to exceed 120 days) (i.e., a “forward commitment” or “delayed settlement” transaction, e.g., to be announced (“TBA”)) consistent with a Fund’s ability to manage its investment portfolio and meet redemption requests. The Funds may enter into mortgage dollar rolls (principally in TBA’s) in which a fund sells a mortgage security and simultaneously contracts to repurchase a substantially similar mortgage security on a specified future date. A forward commitment transaction involves a risk of loss if the value of the security to be purchased or sold by the fund increases or decreases below the repurchase price of those securities or the other party to the transaction fails to complete the transaction. The Funds record forward commitments on trade date and maintain security positions such that sufficient liquid assets will be available to make payments for the securities purchased.

Notes to Financial Statements 35

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

High Yield Securities

The Funds may invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield instruments reflect, among other things, perceived credit risk. The Funds’ investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

Mortgage-Backed Securities

The Funds invest a portion of their assets in securities of issuers that hold mortgage and asset backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Fund.

Credit Default Swaps

The High Yield Bond Fund may enter into credit default swaps. A credit default swap can refer to corporate issues, asset-backed securities or an index of assets, each known as the reference entity or underlying asset. The Fund may act as either the buyer or the seller of a credit default swap involving one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Depending upon the terms of the contract, the credit default swap may be closed via physical settlement. However, due to the possible or potential instability in the market, there is a risk that the Fund may be unable to deliver the underlying debt security to the other party to the agreement. Additionally, the Fund may not receive the expected amount under the swap agreement if the other party to the agreement defaults or becomes bankrupt. In an unhedged credit default swap, the Fund enters into a credit default swap without owning the underlying asset or debt issued by the reference entity. Credit default swaps allow the Fund to acquire or reduce credit exposure to a particular issuer, asset or basket of assets.

Credit default swaps could result in losses if the Fund does not correctly evaluate the creditworthiness of the company or companies on which the credit default swap is based. Credit default swap agreements may involve greater risks than if the fixed income funds had invested in the reference obligation directly since, in addition to risks relating to the reference obligation, credit default swaps are subject to illiquidity and counterparty risk. A Fund will generally incur a greater degree of risk when it sells a credit default swap than when it purchases a credit default swap. As a buyer of a credit default swap, the Fund may lose its investment and recover nothing should a credit event fail to occur and the swap is held to its termination date. As seller of a credit default swap, if a credit event were to occur, the value of any deliverable obligation received by the Fund, coupled with the upfront or periodic payments previously received, may be less than what it pays to the buyer, resulting in a loss of value to Fund.

If the creditworthiness of a Fund’s swap counterparty declines, the risk that the counterparty may not perform could increase, potentially resulting in a loss to the Fund. To limit the counterparty risk involved in swap agreements, the Fund will only enter into swap agreements with counterparties that meet certain standards of creditworthiness. Although there can be no assurance that the Fund will be able to do so, the Fund may be able to reduce or eliminate its exposure under a swap agreement either by assignment or other disposition, or by entering into an offsetting swap agreement with the same party or another creditworthy party. The Fund may have limited ability to eliminate its exposure under a credit default swap if the credit of the reference entity or underlying asset has declined.

United States Treasury Inflation Indexed Bonds

Inflation indexed securities are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. Any increase (decrease) in the principal amount of an inflation indexed security is recorded as interest income, even though the principal is not received until maturity.

36 Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in each Fund’s Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures and options on futures. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objective.

The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by a fund through the use of options and futures to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances. Hedging is used by a Fund to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in a Fund. By purchasing certain instruments, the Fund may more effectively achieve the desired portfolio characteristics that assist in meeting the Fund’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty, interest rate risk or credit risk.

The fair values of the Funds Derivative Instruments as shown on the Statement of Assets and Liabilities, categorized by risk exposure for the period ended February 28, 2011 were as follows:

(Amounts in thousands)
	Bond Market		Intermediate
	Interest Rate		Interest Rate
Derivatives not accounted for as hedging instruments	Contracts		Contracts
Location
Statement of Assets and Liabilities — Assets
Daily variation margin on futures contracts*	$	8	$	4
Location
Statement of Assets and Liabilities — Liabilities
Daily variation margin on futures contracts*	$	16	$	13

*  Includes cumulative appreciation (depreciation) of futures contracts as reported in Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets & Liabilities.

The High Yield Bond Fund had no derivative instruments as of February 28, 2011.

The effects of Derivative Instruments on the Statement of Operations for the period ended February 28, 2011 were as follows:

(Amounts in thousands)
	Bond Market			Intermediate			High Yield Bond
	Interest Rate			Interest Rate
Derivatives not accounted for as hedging instruments	Contracts			Contracts			Credit Contracts
Location
Statement of Operations — Net realized gain (loss)
Futures contracts	$	110		$	106		$	—
Credit default swap contracts		—			—			93
Total	$	110		$	106		$	93
Location
Statement of Operations — Net change in unrealized appreciation (depreciation)
Futures contracts	$	(4	)	$	(8	)	$	—

Derivative balances at February 28, 2011 are representative of derivative use throughout the period.

Notes to Financial Statements 37

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Futures Contracts

The Funds are currently utilizing exchange-traded futures contracts. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by each Fund and the prices of futures contracts and the possibility of an illiquid market or inability of counterparties to meet the terms of their contracts. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as the variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement value are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized.

Options

The Funds may purchase and sell (write) call and put options on securities and securities indices, provided such options are traded on a national securities exchange or in an over-the-counter market. The Funds may also purchase and sell call and put options on foreign currencies.

When a fund writes a covered call or a put option, an amount equal to the premium received by a fund is included in the fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the fund writes a put option it is exposed to a decline in the price of the underlying security. If an option which the fund has written either expires on its stipulated expiration date or the fund enters into a closing purchase transaction, the fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the fund has written is exercised, the fund realizes a capital gain or loss from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. When a put option which a fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.

The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds’ exposure to off balance sheet risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities and interest rates.

Guarantees

In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

3. Investment Transactions

Securities

For the period ended February 28, 2011, purchases and sales of investment securities, excluding US Government and Agency obligations, short-term investments, futures contracts, and repurchase agreements aggregated to the following:

	Purchases		Sales
Bond Market	$	48,775,854	$	48,179,494
Intermediate		43,401,325		38,310,978
High Yield Bond		155,612,475		100,406,799

38 Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

US Government and Agencies

For the period ended February 28, 2011, purchases and sales of US Government and Agency obligations, excluding short-term investments and

	Purchases		Sales
Bond Market	$	83,034,058	$	84,408,672
Intermediate		85,054,407		90,177,281
High Yield Bond		1,368,690		1,373,163

4. Related Party Transactions, Fees and Expenses

Advisor and Affiliates

The Advisor manages the Funds pursuant to a written investment advisory agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, each Fund pays a fee to the Advisor, calculated daily and paid monthly, at the following annual rates of their average daily net assets:

Funds	%
Bond Market		0.30
Intermediate		0.30
High Yield Bond		0.30

If the total expenses of the Institutional Class are above its cap, the Advisor will waive its Advisory fee for both the Institutional and Class R in an equal amount to reduce the total expenses to the level of the cap in effect for the Institutional Class. If thereafter the total expenses for Class R remain above the total expense cap in effect for Class R, then State Street Global Markets, LLC (the “Distributor”) a wholly-owned subsidiary of State Street Corporation will waive up to 0.70% of the average daily net assets of the distribution and service (12b-1) fee to further reduce the total expenses of Class R to the level of its cap. If after waiving the full 0.70% of the average daily net assets of Class R and Class R remains above the total expense cap, then the Advisor will reimburse Class R for all expenses to the level of the cap. If only Class R is above its respective expense cap, then the Distributor will waive up to 0.70% of its average daily net assets of Class R.

The Advisor has contractually agreed to waive up to the full amount of the Bond Market Fund’s Institutional Class and Class R advisory fees and to reimburse the Institutional Class and Class R for all expenses in excess of 0.50% and 1.00%, respectively, of each class’ average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 28, 2011 was $67,406 for the Institutional Class and $401 for Class R. The total amount of reimbursements for the period ended February 28, 2011 was $66,175 for the Institutional Class and $395 for Class R.

The Advisor has contractually agreed to waive up to the full amount of the Intermediate Fund’s advisory fees and reimburse the Fund for all expenses in excess of 0.60% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the waiver for the period ended February 28, 2011 was $58,140. The total amount of reimbursements for the period ended February 28, 2011 was $48,690.

The Advisor has contractually agreed to waive up to the full amount of the High Yield Bond Fund’s advisory fees and reimburse the Fund for all expenses in excess of 0.75% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the waiver for the period ended February 28, 2011 was $31,347. There were no reimbursements for the period ended February 28, 2011.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

Notes to Financial Statements 39

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

The Investment Company also has a contract with State Street to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 28, 2011, $8,099,809 of the Central Fund’s net assets represents investments by these Funds, and $4,307,382 represents the investments of other Investment Company Funds not presented herein.

Effective September 1, 2006, the Advisor has voluntarily agreed to waive a portion of the certain Funds’ advisory fee equal to the advisory fee paid by the Funds to the Central Fund. In addition, if Central Fund shares sold to and/or redeemed from a participating fund are subject under a 12b-1 Plan to any distribution fee or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such fee incurred by the participating fund. For the period ended February 28, 2011, the total advisory fees waived are as follows:

	Amount Paid
Bond Market	$	1,381
Intermediate		696
High Yield Bond		4,084

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc., and State Street Corporation serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each fund.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. During the period, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

	Amount Paid
Bond Market	$	5
Intermediate		5
High Yield Bond		52

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of all three of the Investment Company’s U.S. Fixed Income portfolios: $0 up to $1 billion — 0.0315%; over $1 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per fund on each fund with less than $500 million in assets under management. In addition, the Fund reimburses the administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and the Distributor, to promote and offer shares of the Investment Company. The Distributor may enter into sub-distribution agreements with other non-related parties. The amounts paid to the Distributor are included in the accompanying Statement of Operations.

40 Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Institutional Class

The Investment Company maintains a distribution plan pursuant to Rule (12b-1) (the “Plan”) under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has a shareholder service agreement with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, each Institutional Class pays 0.025% to State Street, and a maximum of 0.175% to each of the Agents, based upon the average daily value of all Institutional Class shares held by or for customers of these Agents.

For the period ended February 28, 2011, each Institutional Class paid the following shareholder servicing expenses to the Agents:

	State Street		Global Markets
Bond Market	$	5,617	$	256
Intermediate		4,845		693
High Yield Bond		9,097		203

The Institutional Class did not incur any expenses from Fiduciary Investors Services or High Net Worth Services during the period.

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of each Institutional Class on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of the Institutional Class on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The class’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the class’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Institutional Class will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or noncontinuance.

Class R

The Investment Company maintains a distribution plan with respect to the Class R Shares pursuant to Rule (12b-1) (the “R Plan”) under the 1940 Act. The R Plan allows a fund to pay fees for the sale and distribution of fund shares and for services provided to shareholders by the Distributor or other financial intermediaries. Payments to the Distributor for distribution, marketing, shareholder and administrative services provided to a fund by the Distributor or a financial intermediary are not permitted by the R Plan to exceed 0.70% of a class’ average daily net asset value on an annual basis. The Distributor pays financial intermediaries for shareholder and administrative services provided to a fund out of the fee the Distributor receives from the fund. Fees paid to the financial intermediaries providing these services are not permitted by the R Plan to exceed 0.65% of a class’ average daily net asset value on an annual basis. Any payments that are required to be made to the Distributor or financial intermediaries that cannot be made because of the limitations contained in the R Plan may be carried forward and paid in the following two fiscal years so long the R Plan is in effect.

Under the R Plan, the Funds have a distribution agreement with the Distributor. For these services, Class R pays Global Markets 0.05% of the daily net asset value. For the period ended February 28, 2011, the Bond Market Fund Class R paid $67.

Notes to Financial Statements 41

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2011 were as follows:

					High Yield
	Bond Market		Intermediate		Bond
Advisory fees	$	10,281	$	8,421	$	34,042
Administration fees		3,561		3,366		5,217
Custodian Fees		5,824		3,054		2,473
Distribution fees		1,231		2,250		523
Shareholder servicing fees		1,093		2,558		1,954
Transfer agent fees		16,736		9,148		9,528
Trustee fees		2,021		2,057		1,994
	$	40,747	$	30,854	$	55,731

5. Fund Share Transactions

	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
	February 28, 2011						August 31, 2010
Bond Market
Institutional Class
Proceeds from shares sold		445		$	3,895			1,585		$	13,536
Proceeds from reinvestment of distributions		90			792			197			1,681
Payments for shares redeemed		(623	)		(5,485	)		(1,505	)		(12,866	)
		(88	)		(798	)		277			2,351
Class R
Proceeds from shares sold		3		$	26			13		$	110
Proceeds from reinvestment of distributions		—			4			1			7
Payments for shares redeemed		(5	)		(46	)		(2	)		(17	)
		(2	)		(16	)		12			100
Total net increase (decrease)		(90	)	$	(814	)		289		$	2,451
Intermediate
Proceeds from shares sold		746		$	6,754			1,272		$	11,224
Proceeds from reinvestment of distributions		47			420			129			1,125
Payments for shares redeemed		(1,039	)		(9,317	)		(1,923	)		(16,785	)
Total net increase (decrease)		(246	)	$	(2,143	)		(522	)	$	(4,436	)

42 Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

High Yield Bond
Proceeds from shares sold	11,289		$	93,034		9,182		$	70,773
Proceeds from reinvestment of distributions	290			2,345		662			5,026
Payments for shares redeemed	(4,376	)		(36,131	)	(10,571	)		(81,635	)
Total net increase (decrease)	7,203		$	59,248		(727	)	$	(5,836	)

6. Interfund Lending Program

The Funds participate in a joint lending and borrowing facility. Portfolios of the Funds may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2011, the Funds did not utilize the Interfund Lending Program.

7. Restricted Securities

Restricted securities are subject to contractual limitations on resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933 (the “Act”). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act.

A Fund may invest a portion of its net assets not to exceed 15% in securities that are illiquid. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

As of February 28, 2011, there were no restricted securities held by a fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.

8. Dividends

On March 1, 2011, the Funds declared the following dividends from net investment income payable on March 7, 2011 to shareholders of record March 2, 2011.

	Net Investment
	Income
Bond Market - Institutional Class	$	0.0239
Bond Market - Class R		0.0222
Intermediate		0.0175
High Yield Bond		0.0414

Notes to Financial Statements 43

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

On April 1, 2011, the Funds declared the following dividends from net investment income payable on April 7, 2011 to shareholders of record April 4, 2011.

	Net Investment
	Income
Bond Market - Institutional Class	$	0.0289
Bond Market - Class R		0.0270
Intermediate		0.0202
High Yield Bond		0.0512

9. Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by each Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these

10. Subsequent Events

Management has evaluated events or transactions that may have occurred since February 28, 2011, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require disclosure within the financial statements.

44 Notes to Financial Statements

SSgA
Fixed Income Funds

Shareholder Requests for Additional Information — February 28, 2011 (Unaudited)

The Funds have adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds semiannual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

Shareholder Requests for Additional Information 45

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

			Principal Occupation(s)	Number of
	Position(s) Held		During Past 5 Years;	Portfolios in		Other
Name,	with SSgA Funds;	Term	and Other	Fund Complex		Directorships Held
Age,	Length of	of	Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since November 2008	Until successor is elected by Trustees	•   2008 to Present, Director of SSgA FM; •   2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors; •   2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee; •   2009 to Present, Member of Board of Virginia Tech Foundation and Investment Committee; and •   June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.		20	None
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 1301 Second Avenue, 18th Floor Seattle, WA 98101	Member, Board of Trustees (Chairman of the Board from 1988 to December 2008) Member, Audit Committee, Member Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired); •   March 2007 to September 2010, member, IDC Board of Governors; •   September 2007 to September 2010, member Investment Company Institute Board of Governors; •   September 2008 to September 2010, member Investment Company Institutie and IDC Investment Committee; and •   Until December 2008, Director, Russell Trust Company (Retired).		20	Until December 2005, Chairman of the Board, 34 Russell Investment Company and 5 Russell Investment Funds (registered investment companies) (Retired).
Diane B. Glossman(2) Born March 9, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since October 2009 Audit Committee Financial Expert Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2003 to Present, Consultant to financial institutions; •   1998 to Present, Director, A.M. Todd Group, Inc. (flavorings manufacturer); •   2004 to Present, Director and member of the finance committee (2007-2010, President; 2010-2011, Vice President), Bucks County SPCA (animal welfare non-profit); and •   Chartered Financial Analyst.		20	None

46 Disclosure of Information about Fund Trustees and Officers

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
William L. Marshall Born December 12, 1942 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   April 2011 to Present, Chairman, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (until April 2011, CEO and President) (a registered investment advisor and provider of financial and related consulting services); •   Certified Financial Planner and Member, Financial Planners Association; •   Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa; •   Director, SPCA of Bucks County, PA; and •   Director, The Anne Silverman Community Clinic of Doylestown, PA.		20	None
Steven J. Mastrovich Born November 3, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   June 2010 to Present, Managing Director and Head of Private Capital Markets, J.P. Morgan Real Estate and Lodging Investment Banking Group; •   January 2009 to June 2010, Managing Director, Head of Investor Relations, Highbridge Principal Strategies (a J.P. Morgan subsidiary); and •   October 2000 to January 2009, Global Head of Structured Real Estate and Business Development, J.P. Morgan Investment Management (private real estate investment for clients primarily outside of the US to locate private real estate investments within the US).		20	None
Patrick J. Riley Born November 30, 1948 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Independent Chairman of the Board since January 2009 Member (ex-officio), Audit Committee Member (ex-officio), Governance Committee Member (ex-officio), Valuation Committee Member (ex-officio), Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; •   1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); •   January 2009 to Present, Independent Director, SSgA Fixed Income plc; and •   January 2009 to Present, Independent Director, SSgA Qualified Funds plc.		20	None

Disclosure of Information about Fund Trustees and Officers 47

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); •   1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); •   1998 to December 2008, Chairman, Board Member and Investment Committee Member, Healthcare Georgia Foundation (private foundation); •   September 2002 to May 2011, Lead Director and Board Member, Amerigroup Corp. (managed health care); •   1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and •   2003 to 2009, Trustee, Gettysburg College.		20	None
Bruce D. Taber Born April 25, 1943 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc; •   Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and •   Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		20	None
Henry W. Todd(2) Born May 4, 1947 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until May 30, 2010, Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc (investment company); and •   Until July 2005, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company).		20	None

(1)	The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.
(2)	Ceased to be a Trustee effective April 28, 2011.

48 Disclosure of Information about Fund Trustees and Officers

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	•   2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); •   March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and •   President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds; and Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).
Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	•   Chief Operating Officer and Vice President, SSgA Funds Management, Inc. (investment advisor); •   March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and •   Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).
Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	•   July 2008 to Present, Vice President, State Street Global Advisors; and •   April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.
Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	•   2009 to Present, Global Head of Fund Operations, Russell Investments; •   1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company, and Russell Financial Services Company; •   Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.
Sandra G. Richardson Born January 12, 1971 1301 Second Avenue, 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2010		•   September 2010 to Present, Associate General Counsel (January 2008 to September 2010, Associate Counsel), Russell Investments; and •   November 2003 to November 2007, Associate, Kirkpatrick & Lockhart Preston Gates Ellis LLP.

Disclosure of Information about Fund Trustees and Officers 49

SSgA
Fixed Income Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327

Trustees
Lynn L. Anderson
Diane B. Glossman*
Shawn C.D. Johnson
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley, Chairman
Richard D. Shirk
Bruce D. Taber
Henry W. Todd*
Officers
James E. Ross, President, Chief Executive Officer and Principal Executive Officer
Mark E. Swanson, Treasurer and Principal Accounting Officer
Ellen M. Needham, Vice President
Jacqueline Angell, Chief Compliance Officer
Sandra G. Richardson, Secretary and Chief Legal Officer
Ross E. Erickson, Assistant Treasurer
Kimberlee A. Lloyd, Assistant Treasurer
David J. Craig, Assistant Treasurer
Carla L. Anderson, Assistant Secretary
Investment Advisor
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900 Custodian and Office of Shareholder Inquiries
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
Transfer and Dividend Paying Agent
Boston Financial Data Services, Inc.
Two Heritage Drive
North Quincy, Massachusetts 02171
Distributor
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Administrator
Russell Fund Services Company
1301 Second Avenue
18th Floor
Seattle, Washington 98101
Legal Counsel
Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, Massachusetts 02116

* Ceased to be a Trustee effective April 28, 2011.

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

50 Fund Management and Service Providers

FISAR-02/11

INTERNATIONAL EQUITY FUNDS

Emerging Markets Fund
Emerging Markets Fund – Select Class
International Stock Selection Fund
International Stock Selection Fund – Class R

Semiannual Report
February 28, 2011

SSgA Funds

International Equity Funds

Semiannual Report

February 28, 2011 (Unaudited)

Table of Contents

	Page
Emerging Markets Fund	3
International Stock Selection Fund	13
Notes to Schedules of Investments	19
Statements of Assets and Liabilities	20
Statements of Operations	22
Statements of Changes in Net Assets	23
Financial Highlights	24
Notes to Financial Statements	26
Shareholder Requests for Additional Information	40
Disclosure of Information about Fund Trustees and Officers	41
Fund Management and Service Providers	45

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

 This page has been intentionally left blank.

SSgA
Emerging Markets Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,150.20	$	1,018.60
Expenses Paid During Period*	$	6.66	$	6.26

*  Expenses are equal to the Fund’s annualized expense ratio of 1.25% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Select Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,151.90	$	1,019.74
Expenses Paid During Period*	$	5.44	$	5.11

*  Expenses are equal to the Fund’s annualized expense ratio of 1.02% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Emerging Markets Fund 3

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SSgA
Emerging Markets Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 92.2%
Bermuda - 0.7%
Credicorp, Ltd.		179,443		18,025
Brazil - 11.4%
Banco Bradesco SA - ADR (Ñ)		1,096,687		21,473
Banco do Brasil SA		1,008,680		18,036
BR Malls Participacoes SA		1,058,426		10,083
Cia de Bebidas das Americas - ADR		734,090		19,828
Cia de Saneamento Basico do Estado de Sao Paulo - ADR (Æ)		91,288		4,559
Cia Energetica de Minas Gerais - ADR		370,342		6,244
Cia Paranaense de Energia - ADR		138,875		3,544
Embraer SA (Æ)		511,400		4,306
Gol Linhas Aereas Inteligentes SA - ADR (Ñ)		291,462		3,923
MRV Engenharia e Participacoes SA		550,647		4,372
Natura Cosmeticos SA (Æ)		531,900		13,494
OGX Petroleo e Gas Participacoes SA (Æ)		417,600		4,882
PDG Realty SA Empreendimentos e Participacoes		2,687,382		14,682
Petroleo Brasileiro SA - ADR		1,773,912		65,437
Tractebel Energia SA		392,700		6,137
Vale SA Class B - ADR (Ñ)		2,295,015		78,558
				279,558
Cayman Islands - 2.9%
Anta Sports Products, Ltd. (Ñ)		2,721,000		4,353
Chaoda Modern Agriculture Holdings, Ltd. (Ñ)		5,280,000		3,383
China Shanshui Cement Group, Ltd.		2,734,000		2,068
China Shineway Pharmaceutical Group, Ltd. (Ñ)		1,009,000		2,896
ENN Energy Holdings, Ltd.		1,532,000		4,554
Evergrande Real Estate Group, Ltd. (Ñ)		15,120,596		7,106
Golden Eagle Retail Group, Ltd.		1,856,500		4,205
Hengan International Group Co., Ltd.		714,000		5,267
Kingboard Chemical Holdings, Ltd.		660,500		3,507
New Oriental Education & Technology Group - ADR (Æ)		57,878		5,591
Soho China, Ltd. (Ñ)		6,355,500		4,562
Tencent Holdings, Ltd. (Ñ)		859,700		22,740
				70,232
China - 9.0%
Agricultural Bank of China, Ltd. Class H (Æ)		7,836,000		3,884
Air China, Ltd. Class H (Æ)(Ñ)		3,629,300		3,388
Bank of China, Ltd.		50,397,100		26,596
BBMG Corp. Class H (Ñ)		4,041,600		5,387
China BlueChemical, Ltd.		3,154,000		2,442
China Construction Bank Corp. Class H		38,358,169		33,541
China Datang Corp. Renewable Power Co., Ltd. Class H (Æ)		14,397,000		3,938
China Life Insurance Co., Ltd. Class H		1,725,000		6,567
China Petroleum & Chemical Corp. Class H (Ñ)		19,021,000		19,392
China Telecom Corp., Ltd. Class H		9,656,000		5,679
Dongfeng Motor Group Co., Ltd. Class H		4,600,000		7,974
Industrial & Commercial Bank of China		40,574,000		31,155
Inner Mongolia Yitai Coal Co. Class B		619,400		4,235
Jiangxi Copper Co., Ltd. Class H (Ñ)		2,167,000		6,803
PetroChina Co., Ltd. Class H		11,364,000		15,467
PICC Property & Casualty Co., Ltd. Class H (Æ)(Ñ)		5,782,000		7,313
Ping An Insurance Group Co. of China, Ltd. Class H		570,000		5,848
Shanghai Electric Group Co., Ltd. Class H (Ñ)		6,652,000		3,895
Weichai Power Co., Ltd. Class H		1,165,000		7,749
Yanzhou Coal Mining Co., Ltd. Class H (Ñ)		3,944,000		11,774
Zhaojin Mining Industry Co., Ltd. (Ñ)		660,400		2,807
Zhejiang Expressway Co., Ltd. Class H		3,592,000		3,219
				219,053
Colombia - 0.8%
BanColombia SA - ADR (Ñ)		115,489		6,575
Ecopetrol SA		3,899,944		8,109
Grupo de Inversiones Suramericana SA		198,736		3,689
				18,373
Cyprus - 0.3%
Globaltrans Investment PLC - GDR		410,062		6,971
Czech Republic - 1.6%
CEZ AS		365,975		16,806
Komercni Banka AS		67,069		16,160
Telefonica O2 Czech Republic AS		249,135		5,650
				38,616

Emerging Markets Fund 5

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Egypt - 1.0%
Commercial International Bank Egypt SAE (ß)		1,094,858		6,110
Egyptian Co. for Mobile Services (ß)		78,504		1,599
Egyptian Financial Group-Hermes Holding (ß)		525,234		2,122
ElSwedy Electric Co. (Æ)(ß)		127,527		892
Ezz Steel (Æ)(ß)		838,288		2,042
National Societe Generale Bank SAE (ß)		21,784		143
Orascom Construction Industries (ß)		138,130		4,797
Orascom Construction Industries - GDR		59,434		2,033
Orascom Hotels & Development (ß)		1		—	±
Orascom Telecom Holding SAE (Æ)(ß)		1,384,549		767
Orascom Telecom Holding SAE - GDR (Æ)		266,880		821
Talaat Moustafa Group (Æ)(ß)		2,288,797		2,286
Telecom Egypt (ß)		757,426		1,857
				25,469
Hong Kong - 3.9%
Agile Property Holdings, Ltd. (Ñ)		4,906,000		6,186
China Mobile, Ltd.		4,305,200		40,382
CNOOC, Ltd.		12,072,500		27,406
COSCO Pacific, Ltd.		1,980,000		3,814
Guangzhou R&F Properties Co., Ltd. (Ñ)		4,418,400		5,923
Lenovo Group, Ltd. (Ñ)		5,792,000		3,503
Shanghai Industrial Holdings, Ltd.		1,224,000		4,385
Shimao Property Holdings, Ltd. (Ñ)		2,570,500		3,512
				95,111
India - 1.0%
ACC, Ltd.		16,183		347
Ambuja Cements, Ltd.		167,612		436
Axis Bank, Ltd.		35,933		967
Bajaj Auto, Ltd.		18,822		528
Dr Reddy’s Laboratories, Ltd.		21,708		741
GAIL India, Ltd.		82,079		773
HDFC Bank, Ltd.		25,392		1,151
Hindalco Industries, Ltd.		316,195		1,407
Hindustan Unilever, Ltd.		147,697		920
Housing Development Finance Corp.		104,799		1,457
ICICI Bank, Ltd.		77,636		1,665
Infosys Technologies, Ltd.		49,607		3,285
ITC, Ltd.		425,531		1,589
Larsen & Toubro, Ltd.		18,713		632
Mahindra & Mahindra, Ltd.		62,910		856
Oil & Natural Gas Corp., Ltd.		109,858		656
Reliance Industries, Ltd.		109,484		2,332
Rural Electrification Corp., Ltd.		64,680		337
Siemens India, Ltd.		21,057		394
State Bank of India		12,175		708
Sun Pharmaceutical Industries, Ltd.		74,975		701
Tata Consultancy Services, Ltd.		66,726		1,637
Tata Motors, Ltd.		36,529		874
Tata Steel, Ltd.		25,235		338
				24,731
Indonesia - 2.5%
Adaro Energy Tbk PT		9,260,000		2,572
Astra International Tbk PT		1,702,620		10,046
Bank Central Asia Tbk PT		6,585,500		4,703
Bank Mandiri Tbk PT		6,149,915		4,043
Bank Rakyat Indonesia Persero Tbk PT		12,120,000		6,457
Bumi Resources Tbk PT		20,538,000		6,985
Charoen Pokphand Indonesia Tbk PT		14,646,000		2,524
Indo Tambangraya Megah PT		626,000		3,243
Indofood Sukses Makmur Tbk PT		7,091,000		3,818
Perusahaan Gas Negara PT		9,837,500		3,959
PT Gudang Garam TBK (Æ)		370,500		1,535
Semen Gresik Persero Tbk PT		5,455,000		5,349
Telekomunikasi Indonesia Tbk PT		6,867,500		5,800
				61,034
Mexico - 4.5%
Alfa SAB de CV Class A		679,200		8,458
America Movil SAB de CV - ADR		754,746		43,338
Coca-Cola Femsa SAB de CV - ADR		34,000		2,484
Compartamos SAB de CV (Æ)		913,700		1,761
Desarrolladora Homex SAB de CV - ADR (Æ)(Ñ)		54,656		1,488
Fomento Economico Mexicano SAB de CV - ADR		159,400		8,963
Grupo Aeroportuario del Pacifico SAB de CV Class B		357,900		1,361
Grupo Financiero Banorte SAB de CV Class O		204,370		928
Grupo Mexico SAB de CV		3,820,479		14,505
Grupo Modelo SAB de CV		385,100		2,330
Grupo Televisa SA - ADR (Æ)		289,018		6,827
Kimberly-Clark de Mexico SAB de CV Class A		739,000		4,302
Mexichem SAB de CV		1,663,500		5,979
Wal-Mart de Mexico SAB de CV (Ñ)		2,696,700		7,714
				110,438

6 Emerging Markets Fund

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Netherlands - 0.1%
New World Resources NV Class A		160,774		2,548
Nigeria - 0.1%
Guaranty Trust Bank PLC - GDR (λ)		418,108		2,598
Peru - 1.0%
Cia de Minas Buenaventura SA - ADR		503,533		23,500
Philippines - 1.5%
Aboitiz Power Corp.		3,045,300		2,012
Alliance Global Group, Inc.		7,626,600		1,995
Ayala Land, Inc.		11,640,800		3,819
Bank of the Philippine Islands		3,208,578		4,096
Energy Development Corp.		35,976,000		4,622
First Philippine Holdings Corp.		1,589,640		1,860
Metro Pacific Investments Corp.		24,087,000		1,895
Metropolitan Bank & Trust - ADR		2,641,178		3,478
Philippine Long Distance Telephone Co. - ADR		130,090		6,463
SM Investments Corp.		443,272		4,688
SM Prime Holdings, Inc.		9,139,000		2,117
				37,045
Poland - 1.5%
Bank Pekao SA		60,558		3,471
KGHM Polska Miedz SA		164,244		10,050
Polski Koncern Naftowy Orlen		468,105		7,442
Powszechna Kasa Oszczednosci Bank Polski SA		759,115		11,113
Powszechny Zaklad Ubezpieczen SA		20,221		2,449
Telekomunikacja Polska SA		406,632		2,451
				36,976
Russia - 12.0%
Federal Hydrogenerating Co. (Æ)		244,481		13
Federal Hydrogenerating Co. JSC (Æ)		37,422,254		1,916
Gazprom OAO - ADR		2,882,464		84,790
IDGC Holding JSC (Æ)		23,129,060		3,994
Lukoil OAO - ADR		396,193		28,205
Lukoil OAO		112,289		7,927
Mechel - ADR (Ñ)		103,848		3,160
MMC Norilsk Nickel OJSC - ADR		944,715		22,815
Mobile Telesystems OJSC - ADR		443,248		8,346
NovaTek OAO - GDR		156,163		20,286
Polymetal JSC (Æ)		178,826		3,386
Polymetal JSC - GDR (Æ)		22,109		417
Rosneft Oil Co. Class T		1,717,896		16,176
RusHydro (Æ)		4,407		23
Sberbank of Russia		10,143,516		35,869
Severstal OAO		566,653		10,768
Sistema JSFC - GDR		415,788		10,598
Surgutneftegas OJSC		5,213,826		6,019
Tatneft - ADR		169,554		7,079
VTB Bank OJSC		6,300,594,917		22,084
				293,871
South Africa - 5.2%
ABSA Group, Ltd. (Ñ)		146,849		2,737
African Bank Investments, Ltd.		266,993		1,373
AngloGold Ashanti, Ltd.		52,088		2,540
Aveng, Ltd.		653,553		3,434
Bidvest Group, Ltd. (Ñ)		172,639		3,868
Exxaro Resources, Ltd. (Ñ)		175,898		3,851
FirstRand, Ltd. (Ñ)		1,849,335		5,203
Gold Fields, Ltd. - ADR (Ñ)		381,478		6,837
Growthpoint Properties, Ltd. (Ñ)		1,381,099		3,366
Impala Platinum Holdings, Ltd. (Ñ)		251,280		7,417
Imperial Holdings, Ltd.		238,900		3,856
Kumba Iron Ore, Ltd. (Ñ)		86,968		5,883
Life Healthcare Group Holdings, Ltd.		1,504,972		3,242
MMI Holdings, Ltd. (Ñ)		682,591		1,593
MTN Group, Ltd. (Ñ)		782,715		13,816
Naspers, Ltd. (Ñ)		69,588		3,997
Remgro, Ltd. (Ñ)		122,575		1,971
Reunert, Ltd.		131,239		1,090
RMB Holdings, Ltd. (Ñ)		862,488		4,762
Royal Bafokeng Platinum, Ltd. (Æ)		208,924		1,896
Sanlam, Ltd.		971,995		3,776
Sappi, Ltd. - ADR (Ñ)		420,059		2,230
Sasol, Ltd. - ADR (Ñ)		275,357		15,067
Shoprite Holdings, Ltd. - ADR		152,293		2,109
Spar Group, Ltd. (The) - ADR		144,013		1,965
Standard Bank Group, Ltd. (Ñ)		447,083		6,412
Steinhoff International Holdings, Ltd. (Æ)(Ñ)		769,148		2,735
Truworths International, Ltd.		346,208		3,171
Vodacom Group, Ltd. - ADR (Ñ)		393,866		4,237
Woolworths Holdings, Ltd.		816,650		3,132
				127,566
South Korea - 14.4%
Daegu Bank, Ltd.		179,290		2,423
Daelim Industrial Co., Ltd.		87,121		7,572
Daewoo Shipbuilding & Marine Engineering Co., Ltd.		157,360		4,810
Dongbu Insurance Co., Ltd.		179,290		7,275
Glovis Co., Ltd.		18,520		2,322
GS Holdings		174,184		10,726
Hana Financial Group, Inc.		263,345		10,500
Hanwha Corp.		101,480		4,001

Emerging Markets Fund 7

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Honam Petrochemical Corp.		25,258		6,960
Hyundai Department Store Co., Ltd.		38,532		4,148
Hyundai Heavy Industries Co., Ltd.		40,587		15,643
Hyundai Mobis		91,031		21,172
Hyundai Motor Co.		143,265		22,594
Hyundai Steel Co.		51,422		5,900
Industrial Bank of Korea (Æ)		599,060		8,970
Kangwon Land, Inc. (Æ)		321,420		7,134
KCC Corp.		11,170		3,103
Korea Exchange Bank		465,470		3,765
Korea Zinc Co., Ltd.		9,741		2,883
KT Corp.		305,180		10,572
KT&G Corp.		178,507		9,063
LG Chem, Ltd.		50,402		16,612
LG Corp. Class H		179,272		12,326
LG Household & Health Care, Ltd. (Ñ)		15,917		5,049
POSCO		43,120		17,574
Samsung Electronics Co., Ltd.		101,381		82,908
Samsung Fire & Marine Insurance Co., Ltd.		43,459		8,606
Shinhan Financial Group Co., Ltd.		419,508		17,507
SK Holdings Co., Ltd.		60,829		7,141
SK Telecom Co., Ltd.		67,267		9,715
Woongjin Coway Co., Ltd.		82,560		2,392
				351,366
Taiwan - 8.0%
Acer, Inc.		2,753,112		6,652
Advanced Semiconductor Engineering, Inc.		1,425,914		1,620
Asia Cement Corp.		1,695,888		1,704
Asustek Computer, Inc.		1,053,183		9,575
AU Optronics Corp. (Æ)		5,420,587		4,922
Catcher Technology Co., Ltd.		632,000		2,645
Cathay Financial Holding Co., Ltd.		2,697,532		4,319
China Steel Corp. Class H		4,307,015		4,855
Chinatrust Financial Holding Co., Ltd.		7,252,404		5,683
Chunghwa Telecom Co., Ltd. (Æ)		1,069,082		3,166
Coretronic Corp.		2,095,000		3,358
Delta Electronics, Inc.		736,000		3,063
Far Eastern New Century Corp.		4,413,712		6,866
Farglory Land Development Co., Ltd.		718,000		1,563
First Financial Holding Co., Ltd.		2,662,000		2,174
Formosa Chemicals & Fibre Corp.		538,000		1,832
Formosa Plastics Corp.		4,644,420		15,553
Fubon Financial Holding Co., Ltd.		5,785,684		7,316
HON HAI Precision Industry Co., Ltd. (λ)		3,860,978		14,189
HTC Corp.		458,055		16,535
MediaTek, Inc.		589,078		6,632
Mega Financial Holding Co., Ltd.		3,593,000		2,598
Pegatron Corp. (Æ)		641,073		756
Pou Chen Corp. Class B		4,833,630		4,220
Powertech Technology, Inc.		1,778,242		6,216
Silitech Technology Corp.		570,207		1,447
Taiwan Cooperative Bank		5,758,600		4,351
Taiwan Fertilizer Co., Ltd. Class H		658,000		2,041
Taiwan Mobile Co., Ltd.		1,737,092		3,886
Taiwan Semiconductor Manufacturing Co., Ltd.		11,003,782		26,194
Tripod Technology Corp.		1,390,595		6,186
U-Ming Marine Transport Corp.		773,000		1,539
Uni-President Enterprises Corp.		974,131		1,241
United Microelectronics Corp.		3,235,000		1,684
Wafer Works Corp. (Æ)		1		—	±
Wistron Corp.		3,148,352		5,604
Yuanta Financial Holding Co., Ltd.		4,357,220		2,985
				195,170
Thailand - 3.4%
Advanced Info Service PCL		1,805,667		4,695
Bangkok Bank PCL		1,572,700		8,230
Banpu PCL		341,050		8,098
BEC World PCL		1,146,300		1,256
Charoen Pokphand Foods PCL		6,213,200		4,836
CP ALL PCL		3,851,828		4,913
Glow Energy PCL - GDR		785,500		1,047
Kasikornbank PCL		2,472,100		9,500
Krung Thai Bank PCL		16,011,900		8,589
PTT Aromatics & Refining PCL		1,447,776		1,752
PTT Chemical PCL		708,000		3,335
PTT Exploration & Production PCL		1,279,975		7,535
PTT PCL		1,315,333		14,498
Siam Cement PCL		320,100		3,256
Thai Oil PCL		707,318		1,706
				83,246
Turkey - 4.1%
Akbank TAS		1,854,804		8,678
Anadolu Efes Biracilik Ve Malt Sanayii AS		323,275		4,368
Arcelik AS		956,344		4,438
BIM Birlesik Magazalar AS		140,596		4,423
Haci Omer Sabanci Holding AS		1,500,169		6,024
KOC Holding AS		2,279,187		9,552
Tupras Turkiye Petrol Rafinerileri AS		373,592		9,300
Turk Telekomunikasyon AS		2,213,904		9,860
Turkiye Garanti Bankasi AS		4,010,019		17,758
Turkiye Halk Bankasi AS		893,212		6,481

8 Emerging Markets Fund

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Turkiye Is Bankasi Class C		3,825,371		11,916
Yapi ve Kredi Bankasi AS (Æ)		2,238,903		6,246
				99,044
United Kingdom - 0.3%
Barclays Bank PLC		10,886		6,363
United States - 1.0%
Southern Copper Corp. (Ñ)		562,315		23,797
X5 Retail Group NV - GDR (Æ)		41,718		1,677
				25,474
Total Common Stocks (cost $1,386,791)				2,252,378
Preferred Stocks - 3.9%
Brazil - 2.8%
Banco do Estado do Rio Grande do Sul		893,783		9,777
Braskem SA (Æ)		806,400		9,829
Investimentos Itau SA		1,688,108		12,317
Itau Unibanco Holding SA		906,137		20,151
Suzano Papel e Celulose SA		679,875		5,807
Ultrapar Participacoes SA		733,600		11,548
				69,429
Russia - 0.3%
Surgutneftegas OJSC		11,994,199		7,083
South Korea - 0.8%
Hyundai Motor Co.		87,303		4,858
Samsung Electronics Co., Ltd.		26,382		14,188
				19,046
Total Preferred Stocks (cost $42,618)				95,558
Certificates of Participation - 3.8%
Netherlands - 1.2%
MSCI Daily Total Return Net Emerging Markets India USD (NDEUSIA) (λ)(Æ) 2011 Warrants		59,547		28,964
Netherlands Antilles - 0.7%
MSCI Daily Trust Net Emerging Markets India USD (Æ) 2012 Warrants		36,020		17,521
United States - 1.9%
MSCI Daily Trust Net Emerging Markets India USD (Æ) 2011 Warrants		90,876		44,725
Tata Motors, Ltd. (λ)(Æ) 2012 Warrants		48,040		1,153
				45,878
Total Certificates of Participation (cost $95,382)				92,363
Short-Term Investments - 0.0%
United States - 0.0%
SSgA Prime Money Market Fund		100		—	±
Total Short-Term Investments (cost $0)				—	±
Other Securities - 2.0%
State Street Navigator Securities Prime Lending Portfolio (X)		50,063,070		50,063
Total Other Securities (cost $50,063)				50,063
Total Investments - 101.9% (identified cost $1,574,854)				2,490,362
Other Assets and Liabilities, Net - (1.9%)				(46,019	)
Net Assets - 100.0%				2,444,343

Emerging Markets Fund 9

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Sector Exposure
	% of			Market
	Net			Value
	Assets			$
Consumer Discretionary		6.0			145,168
Consumer Staples		4.8			118,112
Energy		17.1			419,098
Financials		23.9			582,376
Health Care		0.3			7,581
Industrials		5.6			137,676
Information Technology		9.5			231,804
Materials		14.4			350,867
Telecommunication Services		7.9			193,697
Utilities		2.7			65,999
Preferred Stocks		3.9			95,558
Certificates of Participation		3.8			92,363
Short-Term Investments		—	*		—	±
Other Securities		2.0			50,063
Total Investments		101.9			2,490,362
Other Assets and Liabilities, Net		(1.9	)		(46,019	)
		100.0			2,444,343

Index Swap Contracts
						Unrealized
						Appreciation
Fund Receives	Counter	Notional		Fund Pays	Termination	Depreciation)
Underlying Security	Party	Amount		Fixed Rate	Date	$
MSCI GCC Ex Saudi Arabia Index	Goldman Sachs	USD	6,915	Three Month LIBOR- minus 0.05%	11/16/11		(417	)
Total Unrealized Appreciation (Depreciation) on Open Index Swap Contracts							(417	)

See accompanying notes which are an integral part of the financial statements.

10 Emerging Markets Fund

SSgA
Emerging Markets Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1		Level 2			Level 3		Total			Assets
Common Stocks
Bermuda	$	18,025	$	—		$	—	$	18,025			0.7
Brazil		279,558		—			—		279,558			11.4
Cayman Islands		70,232		—			—		70,232			2.9
China		219,053		—			—		219,053			9.0
Colombia		18,373		—			—		18,373			0.8
Cyprus		6,971		—			—		6,971			0.3
Czech Republic		38,616		—			—		38,616			1.6
Egypt		2,854		—			22,615		25,469			1.0
Hong Kong		95,111		—			—		95,111			3.9
India		24,731		—			—		24,731			1.0
Indonesia		61,034		—			—		61,034			2.5
Mexico		110,438		—			—		110,438			4.5
Netherlands		2,548		—			—		2,548			0.1
Nigeria		2,598		—			—		2,598			0.1
Peru		23,500		—			—		23,500			1.0
Philippines		37,045		—			—		37,045			1.5
Poland		36,976		—			—		36,976			1.5
Russia		293,871		—			—		293,871			12.0
South Africa		127,566		—			—		127,566			5.2
South Korea		351,366		—			—		351,366			14.4
Taiwan		—		195,170			—		195,170			8.0
Thailand		83,246		—			—		83,246			3.4
Turkey		99,044		—			—		99,044			4.1
United Kingdom		6,363		—			—		6,363			0.3
United States		25,474		—			—		25,474			1.0
Preferred Stocks		95,558		—			—		95,558			3.9
Certificates of Participation		92,363		—			—		92,363			3.8
Short-Term Investments		—		—			—		—			—	*
Other Securities		—		50,063			—		50,063			2.0
Total Investments		2,222,514		245,233			22,615		2,490,362			101.9
Other Assets and Liabilities, Net												(1.9	)
												100.0
Other Financial Instruments
Index Swap Contracts		—		(417	)		—		(417	)		—	*
Total Other Financial Instruments**	$	—	$	(417	)	$	—	$	(417	)

*	Less than .05% of net assets.
**	Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Emerging Markets Fund 11

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SSgA
International Stock Selection Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,264.80	$	1,019.84
Expenses Paid During Period*	$	5.62	$	5.01

*  Expenses are equal to the Fund’s annualized expense ratio of 1.00% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,261.50	$	1,017.60
Expenses Paid During Period*	$	8.13	$	7.25

*  Expenses are equal to the Fund’s annualized expense ratio of 1.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

International Stock Selection Fund 13

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SSgA
International Stock Selection Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 96.0%
Australia - 10.1%
Australia & New Zealand Banking Group, Ltd. - ADR (Ñ)		591,604		14,534
Caltex Australia, Ltd. (Ñ)		672,998		10,792
Coca-Cola Amatil, Ltd. (Ñ)		212,176		2,560
Goodman Group (Ñ)(ö)		6,489,301		4,625
Incitec Pivot, Ltd.		2,076,334		9,281
OZ Minerals, Ltd. (Ñ)		4,700,948		7,754
Rio Tinto, Ltd. - ADR (Ñ)		271,732		23,497
Stockland (Ñ)(ö)		1,638,840		6,341
TABCORP Holdings, Ltd.		815,183		6,316
Wesfarmers, Ltd. (Ñ)		166,813		5,603
Westfield Group		556,202		5,521
Westfield Retail Trust (Ñ)(ö)		556,202		1,512
				98,336
Denmark - 4.6%
Carlsberg A/S Class B		97,656		10,393
Danisco A/S		114,446		14,023
Novo Nordisk A/S Class B		163,077		20,539
				44,955
Finland - 1.0%
UPM-Kymmene OYJ		476,795		9,468
France - 9.9%
BNP Paribas		149,567		11,678
Bouygues SA - ADR		113,613		5,253
Casino Guichard Perrachon SA (Ñ)		73,276		7,177
Credit Agricole SA		697,309		12,240
Havas SA		709,173		4,003
L’Oreal SA		60,243		7,003
PPR		34,329		5,211
Renault SA (Æ)		183,987		11,277
Rhodia SA		229,131		6,594
Schneider Electric SA		106,024		17,542
SCOR SE - ADR		97,852		2,875
Vinci SA (Ñ)		100,501		6,050
				96,903
Germany - 5.9%
Allianz SE		114,236		16,458
Deutsche Lufthansa AG (Æ)		101,101		2,067
Fresenius SE & Co. KGaA		94,825		8,651
Muenchener Rueckversicherungs AG (Ñ)		44,472		7,422
Siemens AG		173,436		23,356
				57,954
Hong Kong - 1.3%
Cathay Pacific Airways, Ltd.		2,978,000		6,921
Swire Pacific, Ltd. Class A		444,500		6,210
				13,131
Italy - 2.7%
Enel SpA		1,962,330		11,693
Finmeccanica SpA		175,073		2,191
Telecom Italia SpA		8,078,390		12,619
				26,503
Japan - 23.6%
Canon, Inc.		68,600		3,304
Chubu Electric Power Co., Inc. (Ñ)		495,700		13,070
Daicel Chemical Industries, Ltd.		1,187,000		8,126
Dainippon Screen Manufacturing Co., Ltd.		956,000		9,232
Daiwa House Industry Co., Ltd.		559,000		7,148
FUJIFILM Holdings Corp.		213,600		7,468
Fujitsu, Ltd.		1,233,000		8,320
Hitachi, Ltd.		1,972,000		11,932
Kao Corp.		58,700		1,579
Kyushu Electric Power Co., Inc. (Ñ)		494,400		11,471
Marubeni Corp.		771,000		5,890
Mitsubishi Corp.		276,800		7,650
Mitsubishi Electric Corp.		1,257,000		14,859
Mitsubishi UFJ Financial Group, Inc.		2,093,300		11,592
Mizuho Financial Group, Inc. (Ñ)		8,635,100		17,734
Nippon Telegraph & Telephone Corp.		231,700		11,301
Nissan Motor Co., Ltd.		642,200		6,555
NTT DoCoMo, Inc.		3,368		6,320
ORIX Corp. (Ñ)		79,630		8,907
Osaka Gas Co., Ltd. (Ñ)		3,309,000		12,580
Sega Sammy Holdings, Inc.		275,800		6,261
Sekisui Chemical Co., Ltd.		500,000		3,930
Sumitomo Electric Industries, Ltd.		449,300		6,563
Sumitomo Mitsui Financial Group, Inc.		465,200		17,543
Toyota Motor Corp.		133,800		6,248
Yahoo! Japan Corp. (Ñ)		15,003		5,639
				231,222
Netherlands - 2.6%
ING Groep NV (Æ)		768,455		9,636
Koninklijke Ahold NV		498,583		6,693
Koninklijke DSM NV		89,750		5,270
Randstad Holding NV (Æ)		63,804		3,440
				25,039
Norway - 1.3%
Marine Harvest ASA (Ñ)		10,865,196		12,757

International Stock Selection Fund 15

SSgA
International Stock Selection Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Singapore - 0.8%
Fraser and Neave, Ltd.		553,000		2,439
Singapore Airlines, Ltd.		513,000		5,494
				7,933
Spain - 2.3%
Banco Bilbao Vizcaya Argentaria SA - ADR		284,997		3,518
Repsol YPF SA - ADR		577,664		19,395
				22,913
Sweden - 2.9%
Securitas AB Class B		252,170		2,946
Svenska Handelsbanken AB Class A		327,055		11,040
Swedbank AB Class A		815,672		14,360
				28,346
Switzerland - 5.4%
Cie Financiere Richemont SA		151,734		8,680
Credit Suisse Group AG		206,714		9,563
Nestle SA		209,100		11,838
Novartis AG		121,970		6,840
Roche Holding AG		47,191		7,116
Swisscom AG		19,740		8,715
				52,752
United Kingdom - 21.6%
AstraZeneca PLC - ADR		363,216		17,690
Aviva PLC		1,099,047		8,333
BHP Billiton PLC		110,318		4,364
BP PLC		1,563,837		12,577
British American Tobacco PLC		316,099		12,651
BT Group PLC		5,343,043		15,826
Compass Group PLC		528,826		4,758
HSBC Holdings PLC		2,038,983		22,474
Investec PLC		157,369		1,209
Kazakhmys PLC		343,953		8,074
Kingfisher PLC		775,445		3,207
Legal & General Group PLC		7,103,760		13,719
Logica PLC		2,949,442		6,612
Meggitt PLC		704,342		3,873
Next PLC		126,318		4,058
Rexam PLC		1,554,548		9,224
Royal Dutch Shell PLC Class A (Ñ)		1,000,530		35,982
Shire PLC - ADR		466,183		13,194
Tate & Lyle PLC		173,750		1,638
Xstrata PLC		523,192		11,950
				211,413
Total Common Stocks (cost $731,880)				939,625
Preferred Stocks - 3.1%
Germany - 3.1%
ProSiebenSat.1 Media AG Class A		421,268		13,629
Volkswagen AG		96,486		16,364
				29,993
Total Preferred Stocks (cost $16,856)				29,993
Short-Term Investments - 0.0%
United States - 0.0%
SSgA Prime Money Market Fund		100		—	±
Total Short-Term Investments (cost $0)				—	±
Other Securities - 4.7%
State Street Navigator Securities Prime Lending Portfolio (X)		45,945,440		45,945
Total Other Securities (cost $45,945)				45,945
Total Investments - 103.8% (identified cost $794,681)				1,015,563
Other Assets and Liabilities, Net - (3.8%)				(36,971	)
Net Assets - 100.0%				978,592

See accompanying notes which are an integral part of the financial statements.

16 International Stock Selection Fund

SSgA
International Stock Selection Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands
Sector Exposure
	% of			Market
	Net			Value
	Assets			$
Consumer Discretionary		7.5			73,476
Consumer Staples		9.0			88,311
Energy		10.6			104,362
Financials		26.4			258,311
Health Care		7.6			74,030
Industrials		9.6			93,868
Information Technology		5.4			52,508
Materials		9.3			91,163
Telecommunication Services		5.6			54,781
Utilities		5.0			48,814
Preferred Stocks		3.1			29,993
Short-Term Investments		—	*		—	±
Other Securities		4.7			45,946
Total Investments		103.8			1,015,563
Other Assets and Liabilities, Net		(3.8	)		(36,971	)
		100.0			978,592

Foreign Currency Exchange Contracts
						Unrealized
						Appreciation
		Amount		Amount	Settlement	(Depreciation)
Counterparty		Sold		Bought	Date	$
	Credit Suisse	DKK	2,886	USD 534	03/01/11		—	±
	Credit Suisse	EUR	1,046	USD 1,443	03/02/11		(1	)
	Credit Suisse	HKD	9,023	USD 1,158	03/02/11		—	±
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts							(1	)

See accompanying notes which are an integral part of the financial statements.

International Stock Selection Fund 17

SSgA
International Stock Selection Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1			Level 2		Level 3		Total			Assets
Common Stocks
Australia	$	98,336		$	—	$	—	$	98,336			10.1
Denmark		44,955			—		—		44,955			4.6
Finland		9,468			—		—		9,468			1.0
France		96,903			—		—		96,903			9.9
Germany		57,954			—		—		57,954			5.9
Hong Kong		13,131			—		—		13,131			1.3
Italy		26,503			—		—		26,503			2.7
Japan		231,222			—		—		231,222			23.6
Netherlands		25,039			—		—		25,039			2.6
Norway		12,757			—		—		12,757			1.3
Singapore		7,933			—		—		7,933			0.8
Spain		22,913			—		—		22,913			2.3
Sweden		28,346			—		—		28,346			2.9
Switzerland		52,752			—		—		52,752			5.4
United Kingdom		211,413			—		—		211,413			21.6
Preferred Stocks		29,993			—		—		29,993			3.1
Short-Term Investments		—			—		—		—			—	*
Other Securities		—			45,945		—		45,945			4.7
Total Investments		969,618			45,945		—		1,015,563			103.8
Other Assets and Liabilities, Net												(3.8	)
												100.0
Other Financial Instruments
Foreign Currency Exchange Contracts		(1	)		—		—		(1	)		—	*
Total Other Financial Instruments**	$	(1	)	$	—	$	—	$	(1	)

*	Less than .05% of net assets
**	Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

18 International Stock Selection Fund

SSgA
International Equity Funds

Notes to Schedules of Investments — February 28, 2011 (Unaudited)

Footnotes

(Æ)	Non-income producing security.
(Ê)	Adjustable or floating rate security.
(§)	All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund.
(å)	Cash collateral balances were held in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund. See Note 2.
(ÿ)	Rate noted is yield-to-maturity from date of acquisition.
(ç)	Fair value is at amortized cost, which approximates market.
(Ñ)	All or a portion of the shares of this security are on loan.
(λ)	Restricted security. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
(X)	Affiliate; The security is purchased with the cash collateral from the securities loaned.
(ß)	Illiquid security.
±	Less than $500.

Abbreviations

ADR - American Depositary Receipt
ADS - American Depositary Share
CME - Chicago Mercantile Exchange
CVO - Contingent Value Obligation
GDR - Global Depositary Receipt
GDS - Global Depositary Share
LIBOR - London Interbank Offered Rate
PIK - Payment in Kind

Foreign Currency Abbreviations

ARS - Argentine peso
AUD - Australian dollar
BRL - Brazilian real
CAD - Canadian dollar
CHF - Swiss franc
CLP - Chilean peso
CNY - Chinese renminbi yuan
COP - Colombian peso
CRC - Costa Rica colon
CZK - Czech koruna
DKK - Danish krone
EGP - Egyptian pound
EUR - Euro
GBP - British pound sterling HKD - Hong Kong dollar
HUF - Hungarian forint
IDR - Indonesian rupiah
IEP - Irish pundt
ILS - Israeli shekel
INR - Indian rupee
ITL - Italian lira
JPY - Japanese yen
KES - Kenyan schilling
KRW - South Korean won
MXN - Mexican peso
MYR - Malaysian ringgit
NOK - Norwegian krone
PEN - Peruvian nouveau sol PHP - Philippine peso
PLN - Polish zloty
RUB - Russian ruble
SEK - Swedish krona
SGD - Singapore dollar
SKK - Slovakian koruna
THB - Thai baht
TRY - Turkish lira
USD - United States dollar
VEB - Venezuelan bolivar
VND - Vietnam dong
ZAR - South African rand

Notes to Schedules of Investments 19

SSgA
International Equity Funds

Statements of Assets and Liabilities — February 28, 2011 (Unaudited)

	Emerging
Amounts in thousands	Markets Fund			International Stock Selection Fund
Assets
Investments, at identified cost	$	1,574,854		$	794,681
Investments, at market*		2,490,362			1,015,563
Cash (restricted)		2,460			—
Foreign currency holdings**		5,217			995
Receivables:
Dividends and interest		5,619			2,119
Investments sold		9,897			7,098
Fund shares sold		3,760			624
Foreign taxes recoverable		—			1,060
From Advisor		760			591
Prepaid expenses		24			12
Total assets		2,518,099			1,028,062
Liabilities
Payables:
Due to custodian		1,502			931
Investments purchased		161			—
Fund shares redeemed		2,866			1,717
Accrued fees to affiliates		1,958			803
Other accrued expenses		98			72
Deferred tax liability		3,691			—
For interfund lending		13,000			—
Unrealized depreciation on foreign currency exchange contracts		—			1
Unrealized depreciation on index swap contracts		417			—
Payable upon return of securities loaned		50,063			45,946
Total liabilities		73,756			49,470
Net Assets	$	2,444,343		$	978,592
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(20,856	)	$	(5,599	)
Accumulated net realized gain (loss)		(236,328	)		(651,797	)
Unrealized appreciation (depreciation) on:
Investments		911,817			220,882
Index swap contracts		(417	)		—
Foreign currency-related transactions		47			156
Shares of beneficial interest		112			90
Additional paid-in capital		1,789,968			1,414,860
Net Assets	$	2,444,343		$	978,592

See accompanying notes which are an integral part of the financial statements.

20 Statements of Assets and Liabilities

SSgA
International Equity Funds

Statements of Assets and Liabilities, continued — February 28, 2011 (Unaudited)

	Emerging
Amounts in thousands	Markets Fund		International Stock Selection Fund
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class (a)	$	21.71	$	10.86
Net assets	$	1,583,150,825	$	976,040,376
Shares outstanding ($.001 par value)		72,909,791		89,837,507
Net asset value per share: Class R (a)	$	—	$	10.80
Net assets	$	—	$	2,552,085
Shares outstanding ($.001 par value)		—		236,400
Net asset value per share: Select Class(a)	$	21.78	$	—
Net assets	$	861,192,377	$	—
Shares outstanding ($.01 par value)		39,534,444		—

Amounts in thousands
*	Securities on loan included in investments	$	101,970	$	65,455
**	Foreign currency holdings - cost	$	5,220	$	991
(a)	Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.

Statements of Assets and Liabilities 21

SSgA
International Equity Funds

Statements of Operations — For the Period Ended February 28, 2011 (Unaudited)

	Emerging			International Stock
Amounts in thousands	Markets Fund			Selection Fund
Investment Income
Dividends	$	19,041		$	9,355
Dividends from affiliated money market funds		6			—
Interest		4			1
Securities lending income		281			255
Less foreign taxes withheld		(1,947	)		(756	)
Total investment income		17,385			8,855
Expenses
Advisory fees		9,593			3,801
Administrative fees		711			282
Custodian fees		1,811			288
Distribution fees - Institutional Class		1,441			1,093
Distribution fees - Class R		—			3
Transfer agent fees		400			194
Professional fees		31			26
Registration fees		38			37
Shareholder servicing fees - Institutional Class		525			171
Shareholder servicing fees - Select Class		123			—
Shareholder servicing fees - Class R		—			5
Trustees’ fees		41			23
Insurance fees		27			13
Printing fees		67			67
Miscellaneous		16			8
Expenses before reductions		14,824			6,011
Expense reductions		(6	)		(938	)
Net expenses		14,818			5,073
Net investment income (loss)		2,567			3,782
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (Emerging Markets Fund - net of deferred tax liability for foreign capital gains taxes)		145,262			60,723
Futures contracts		—			(246	)
Index swap contracts		(374	)		—
Foreign currency-related transactions		(490	)		1,117
Net realized gain (loss)		144,398			61,594
Net change in unrealized appreciation (depreciation) on:
Investments (Emerging Markets Fund - net of deferred tax liability for foreign capital gains taxes)		198,119			187,157
Index swap contracts		634			—
Foreign currency-related transactions		70			120
Net change in unrealized appreciation (depreciation)		198,823			187,277
Net realized and unrealized gain (loss)		343,221			248,871
Net Increase (Decrease) in Net Assets from Operations	$	345,788		$	252,653

See accompanying notes which are an integral part of the financial statements.

22 Statements of Operations

SSgA
International Equity Funds

Statements of Changes in Net Assets

	Emerging Markets Fund						International Stock Selection Fund
	Six Months						Six Months
	Ended			Fiscal Year			Ended			Fiscal Year
	February 28, 2011			Ended August 31,			February 28, 2011			Ended August 31,
Amounts in thousands	(Unaudited)			2010			(Unaudited)			2010
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	2,567		$	24,026		$	3,782		$	24,881
Net realized gain (loss)		144,398			292,692			61,594			20,062
Net change in unrealized appreciation (depreciation)		198,823			121,778			187,277			(49,847	)
Net increase (decrease) in net assets from operations		345,788			438,496			252,653			(4,904	)
Distributions
From net investment income
Institutional Class		(27,225	)		(33,555	)		(27,740	)		(40,238	)
Class R		—			—			(49	)		(70	)
Select Class		(20,095	)		(27,077	)		—			—
Net decrease in net assets from distributions		(47,320	)		(60,632	)		(27,789	)		(40,308	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(137,195	)		(630,847	)		(304,390	)		(424,228	)
Total Net Increase (Decrease) in Net Assets		161,273			(252,983	)		(79,526	)		(469,440	)
Net Assets
Beginning of period		2,283,070			2,536,053			1,058,118			1,527,558
End of period	$	2,444,343		$	2,283,070		$	978,592		$	1,058,118
Undistributed (overdistributed) net investment income included in net assets	$	(20,856	)	$	23,897		$	(5,599	)	$	18,408

See accompanying notes which are an integral part of the financial statements.

Statements of Changes in Net Assets 23

SSgA
International Equity Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.

												$
	$		$			$			$			Distributions			$
	Net Asset Value,		Net			Net Realized			Total Income			from Net			Distributions			$
	Beginning of		Investment			and Unrealized			from			Investment			from Net			Total
	Period		Income (Loss)(a)			Gain (Loss)			Operations			Income			Realized Gain			Distributions
Emerging Markets Fund
Institutional Class
February 28, 2011*		19.20		—	(e)		2.89			2.89			(.38	)		—			(.38	)
August 31, 2010		16.61		.17			2.81			2.98			(.39	)		—			(.39	)
August 31, 2009		22.72		.27			(4.71	)		(4.44	)		—			(1.67	)		(1.67	)
August 31, 2008		28.86		.40			(3.59	)		(3.19	)		(.92	)		(2.03	)		(2.95	)
August 31, 2007		21.18		.33			8.79			9.12			(.33	)		(1.11	)		(1.44	)
August 31, 2006		17.47		.26			5.00			5.26			(.48	)		(1.09	)		(1.57	)
Select Class
February 28, 2011*		19.28		.02			2.90			2.92			(.42	)		—			(.42	)
August 31, 2010		16.67		.21			2.82			3.03			(.42	)		—			(.42	)
August 31, 2009		22.75		.30			(4.71	)		(4.41	)		—			(1.67	)		(1.67	)
August 31, 2008		28.89		.46			(3.59	)		(3.13	)		(.98	)		(2.03	)		(3.01	)
August 31, 2007		21.20		.39			8.79			9.18			(.38	)		(1.11	)		(1.49	)
August 31, 2006(1)		21.48		.20			(.48	)		(.28	)		—			—			—
International Stock Selection Fund
Institutional Class
February 28, 2011*		8.81		.04			2.27			2.31			(.26	)		—			(.26	)
August 31, 2010		9.24		.18			(.33	)		(.15	)		(.28	)		—			(.28	)
August 31, 2009		11.79		.24			(2.57	)		(2.33	)		(.22	)		—			(.22	)
August 31, 2008		14.71		.27			(2.52	)		(2.25	)		(.33	)		(.34	)		(.67	)
August 31, 2007		12.88		.33			2.05			2.38			(.19	)		(.36	)		(.55	)
August 31, 2006		10.54		.26			2.56			2.82			(.15	)		(.33	)		(.48	)
Class R
February 28, 2011*		8.74		.01			2.26			2.27			(.21	)		—			(.21	)
August 31, 2010		9.17		.15			(.33	)		(.18	)		(.25	)		—			(.25	)
August 31, 2009		11.68		.21			(2.55	)		(2.34	)		(.17	)		—			(.17	)
August 31, 2008		14.60		.27			(2.55	)		(2.28	)		(.30	)		(.34	)		(.64	)
August 31, 2007		12.80		.28			2.01			2.29			(.13	)		(.36	)		(.49	)
August 31, 2006		10.47		.21			2.53			2.74			(.08	)		(.33	)		(.41	)

*	For six months ended February 28, 2011 (Unaudited).
(1)	For the period March 2, 2006 (commencement of sale) to August 31, 2006.
(a)	Average daily shares outstanding were used for this calculation.
(b)	Periods less than one year are not annualized.
(c)	The ratios for periods less than one year are annualized.
(d)	May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005%.
(e)	Less than $.005 per share.

See accompanying notes which are an integral part of the financial statements.

24 Financial Highlights

SSgA
International Equity Funds

Financial Highlights, continued — For the Periods Ended
For a Share Outstanding Throughout Each Period.

$										%		%		%
Redemption Fees			$					$		Ratio of Expenses		Ratio of Expenses		Ratio of Net
added to			Net Asset Value,		%			Net Assets,		to Average		to Average		Investment Income			%
Additional			End of		Total			End of Period		Net Assets,		Net Assets,		to Average			Portfolio
Paid-in Capital			Period		Return(b)			(000)		Net(c)(d)		Gross(c)		Net Assets(c)(d)			Turnover Rate(b)
	—			21.71		15.02			1,583,151		1.25		1.25		(.03	)		27
	—			19.20		17.98			1,328,720		1.24		1.24		.87			63
	—			16.61		(16.50	)		1,453,575		1.20		1.21		1.99			61
	—			22.72		(13.53	)		1,949,537		1.24		1.25		1.39			42
	—	(e)		28.86		45.69			2,582,843		1.25		1.27		1.35			39
	.02			21.18		33.09			1,358,140		1.25		1.28		1.29			37
	—			21.78		15.19			861,192		1.02		1.02		.19			27
	—			19.28		18.24			954,350		1.01		1.02		1.09			63
	—			16.67		(16.33	)		1,082,478		.98		.99		2.22			61
	—			22.75		(13.33	)		1,205,196		1.02		1.03		1.64			42
	—	(e)		28.89		46.00			1,301,424		1.04		1.06		1.59			39
	—	(e)		21.20		(1.30	)		546,536		1.06		1.12		2.01			37
	—			10.86		26.48			976,040		1.00		1.19		.75			33
	—			8.81		(1.85	)		1,055,967		1.00		1.17		1.95			83
	—			9.24		(19.46	)		1,525,020		1.00		1.16		3.04			122
	—			11.79		(16.20	)		1,823,516		1.00		1.19		1.94			75
	—	(e)		14.71		19.07			3,168,823		1.00		1.18		2.29			54
	—	(e)		12.88		27.98			1,014,605		1.00		1.20		2.21			60
	—			10.80		26.15			2,552		1.45		1.64		.28			33
	—			8.74		(2.19	)		2,151		1.43		1.60		1.56			83
	—			9.17		(19.82	)		2,537		1.44		1.60		2.65			122
	—			11.68		(16.46	)		2,852		1.32		1.51		2.04			75
	—	(e)		14.60		18.41			1,135		1.49		1.67		1.95			54
	—	(e)		12.80		27.28			265		1.49		1.69		1.77			60

See accompanying notes which are an integral part of the financial statements.

Financial Highlights 25

SSgA
International Equity Funds

Notes to Financial Statements — February 28, 2011 (Unaudited)

1. Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 28, 2011. These financial statements report on two funds: the SSgA Emerging Markets Fund and SSgA International Stock Selection Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

Class R shares of International Stock Selection Fund, which became effective July 31, 2003, may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.

Select Class shares of the Emerging Markets Fund, which became effective November 28, 2005, may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company or State Street Global Markets LLC to offer shares (“Select Intermediaries”). Select Intermediaries are advisors, securities brokers, banks and financial institutions or other industry professionals or organizations that have entered into a shareholder servicing agreement with the State Street Global Markets LLC with respect to investments of its accounts in the Select Class.

2. Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

Securities traded on a foreign national securities exchange or an over the counter market (foreign or domestic) are valued on the basis of the official closing price, or lacking the official closing price, at the last sale price on the primary exchange on which the security is traded. Securities traded on a domestic securities exchange, are valued at the last sale price or, lacking any sale, at the last reported bid price on the primary exchange in which the security is traded. In the absence of an official closing or last sale price, respectively, such securities may be valued on the basis of prices provided by a pricing service if those prices are believed to reflect the market value of such securities. Futures contracts are valued on the basis of settlement price established on the exchange on which they are traded. Index swap contracts are valued on the basis of the daily closing value of the underlying securities. Investments in other mutual funds are valued at the net asset value (“NAV”) per share.

Short-term instruments purchased by the Funds and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value.

If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. This generally means that equity securities and fixed income securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, lacking any sales, at the closing bid price, on the primary exchange on which the security is traded. The Funds may use the fair value of a portfolio security to calculate their NAV when, for example: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale

26 Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

price”), or (5) State Street Bank and Trust Company (the “Custodian”), or Russell Fund Services Company, (the “Administrator”), determines that a market quotation is inaccurate.

The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded, but rather may be priced by another method that the Board believes reflects fair value. A security valued on the basis of an evaluation of its fair value may be valued at a price higher or lower than available market quotations. A security’s valuation may differ depending on the method used and the factors considered in determining value pursuant to the Fair Value Procedures. There can be no assurance that the Funds’ NAV fairly reflects security values as of the time of pricing when using the Fair Value Procedures to price the Funds’ securities. Events or circumstances affecting the values of fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of fund shares is determined may be reflected in the Investment Company’s calculation of NAV for each applicable fund when the Investment Company deems that the particular event or circumstance would materially affect such fund’s NAV.

Because foreign securities can trade on days on which the New York Stock Exchange is not open for regular trading, the NAV of a fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem fund shares.

Fair value of securities is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. To increase consistency and comparability in fair value measurement, the fair value hierarchy was established to maximize the use of observable market data and minimize the use of unobservable inputs to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy of inputs is summarized in the three broad levels listed below.

•   Level 1 — quoted prices (unadjusted) in active markets for identical investments

•   Level 2 — other significant observable inputs including quoted market prices in non-active markets or prices derived from market data. Included are the following:

•   common stocks traded or quoted only on inactive markets

•   privately placed bonds whose values are derived from a similar bond that is publicly traded

•   interest rate swaps valued based on compilation of primarily observable swap curves incorporated into a model or matrix price

•   euro commercial paper valued at amortized cost which approximates market and is not priced daily or a broker quote in a non-active market with inputs incorporated into a model or matrix price

•   non registered mutual funds that are daily priced, but not publicly traded

•   currency forwards valued based on a compilation of primarily observable market currency spot rates incorporated into a model or matrix price

•   corporate bonds and notes, domestic commercial paper, time deposits, U.S. Government Agencies, U.S. Treasury and Yankee Certificates of Deposit using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs incorporated into a model or matrix price

Notes to Financial Statements 27

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

•   mortgage-related and other asset backed securities are valued based on evaluators analyzing features such as the pricing speed, spread and volatility in order to confirm the deal structure. Spreads and other information solicited from Wall Street buy and sell-side sources, including primary and secondary dealers, portfolio managers, and research analysts are used as model inputs. Using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs are incorporated into a model or matrix price (security characteristics including coupon rates and maturity dates are disclosed in the Statement of Investments).

Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

•   Level 3 — significant unobservable inputs including a Fund’s own assumptions in determining the fair value of investments. Included are the following:

•   OTC securities using the Company’s own data/models

•   prices with significant haircuts applied

•   staled securities — fair valuation procedures are applied

•   securities that have broken tolerance outlined in the Board-approved securities valuation procedures

•   no current market quotations — fair valuation procedures are applied

•   unreliable prices — fair valuation procedures are applied

Level 3 investments include positions with prices not derived from existing market data. As such, Level 3 assets typically involve the use of financial models, such as discounted cash flow analysis for investments in privately held companies, or other non-market based methods to determine an investment’s Fair Value. One may consider Level 3 investments as those that cannot be quickly liquidated for their stated market value.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

The levels associated with valuing the Funds’ investments for the period ended February 28, 2011 are disclosed in the Presentation of Portfolio Holdings following the Schedule of Investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon thereafter as the Funds are informed of the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Interest income is recorded daily on the accrual basis. Withholding taxes on foreign dividend interest and capital gains have been provided for in accordance with the applicable country’s tax rules and rates.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (losses) of the other Funds.

28 Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This requires each Fund to distribute all of its taxable income and capital gains. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2011, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statue of limitations remains open to examine the Funds’ U.S. tax returns filed August 31, 2007 through August 31, 2009, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

At August 31, 2010 the following Fund had a net tax basis capital loss carryover, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:

	Expiration Year
	08/31/2017		08/31/2018		Total
Emerging Markets	$	75,079,011	$	202,223,396	$	377,302,407
International Stock Selection		274,339,098		428,387,874		702,726,972

As of February 28, 2011, the Funds aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:

	Emerging			International
	Markets			Stock Selection
Cost of Investments for Tax Purposes	$	1,602,442,975		$	801,188,385
Gross Tax Unrealized Appreciation		926,199,450			216,759,437
Gross Tax Unrealized Depreciation		(38,280,900	)		(2,385,301	)
Net Unrealized Appreciation (Depreciation)	$	887,918,550		$	214,374,136

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. The Funds declare and pay dividends annually. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes. Permanent differences between book and tax accounting are reclassified to paid-in-capital. The differences between federal tax regulations and GAAP are primarily due to investments in swaps, futures, forward contracts, passive foreign investment companies, foreign denominated investments, and certain securities sold at a loss.

Expenses

Most expenses can be directly attributed to a Fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all Funds of the Investment Company based principally on their relative average net assets.

The Emerging Markets Fund offers Select Class shares and the International Stock Selection Fund offers Class R shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Notes to Financial Statements 29

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Foreign Currency Translations

The books and records of the Funds are maintained in US dollars. Foreign currency amounts and transactions of the Funds are translated into US dollars on the following basis:

(a)	Market value of investment securities, other assets and liabilities at the closing rate of exchange on the valuation date.
(b)	Purchases and sales of investment securities and income at the closing rate of exchange prevailing on the respective trade dates of such transactions.

Reported net realized gains or losses from foreign currency-related transactions arise from sales and maturities of short-term securities; sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the US dollar equivalent of the amounts actually received or paid. Net unrealized gains (losses) from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities resulting from changes in the exchange rates.

The Funds do not isolate that portion of the results of operations of a Fund that arises as a result of changes in exchange rates from that portion that arises from changes in market prices of investments during the period. Such fluctuations are included with the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (or loss) on debt obligations.

Capital Gains Taxes

The Emerging Markets Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. This Fund has recorded a deferred tax liability in respect of unrealized appreciation on foreign securities for potential capital gains and repatriation taxes at February 28, 2011. The accrual for capital gains and repatriation taxes is included in net unrealized appreciation (depreciation) on investments in the Statement of Assets and Liabilities for the Fund. The amounts related to capital gain taxes are included in net realized gain (loss) on investments in the Statement of Operations for the Fund.

	Deferred		Capital
	Tax Liability		Gains Taxes
Emerging Markets	$	3,691,077	$	413,000

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in the Funds’ Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures and options on futures. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objective.

The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by the Funds through the use of options and futures to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances. Hedging is used by the Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in the Funds. By purchasing certain instruments, the Funds may more effectively achieve the desired portfolio characteristics that assist in meeting the Funds’ investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

30 Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

The fair values of the Funds Derivative Instruments as shown on the Statement of Assets and Liabilities, categorized by risk exposure for the period ended February 28, 2011 were as follows:

(Amounts in thousands)
			International Stock
	Emerging Markets		Selection
			Foreign Currency
Derivatives not accounted for as hedging instruments	Equity Contracts		Contracts
Location
Statement of Assets and Liabilities — Assets
Unrealized appreciation on foreign currency exchange contracts	$	—	$	—	*
Location
Statement of Assets and Liabilities — Liabilities
Unrealized depreciation on foreign currency exchange contracts	$	—	$	1
Unrealized depreciation on index swaps contracts		417		—
	$	417	$	1

The effects of Derivative Instruments on the Statement of Operations for the period ended February 28, 2011 were as follows:

(Amounts in thousands)
							International Stock
	Emerging Markets						Selection
	Equity			Foreign Currency			Equity			Foreign Currency
Derivatives not accounted for as hedging instruments	Contracts			Contracts			Contracts			Contracts
Location
Statement of Operations — Net realized gain (loss)
Futures contracts	$	—		$	—		$	(246	)	$	—
Foreign Currency-related transactions		—			—			—	*		—	*
Index swap contracts		(374	)		—			—			—
Total	$	—		$	—		$	(246	)	$	—	*
Location
Statement of Operations — Net change in unrealized appreciation (depreciation)
Index swap contracts	$	633		$	—		$	—		$	—
Foreign Currency-related transactions		—			(1	)		—			17
	$	633		$	(1	)	$	—		$	17

*  Less than $500.

Foreign Currency Exchange Contracts

In connection with portfolio purchases and sales of securities denominated in a foreign currency, the Funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts (“contracts”). Additionally, from time to time the Funds may enter into contracts to hedge certain foreign currency-denominated assets. Contracts are recorded at market value. Certain risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contracts, if any, that are recognized in the accompanying Statement of Assets and Liabilities. Realized gains (losses) arising from such transactions are included in net realized gain (loss) from foreign currency-related transactions. Open forward currency exchange contracts at February 28, 2011 are presented in the accompanying Schedules of Investments.

Futures Contracts

The Funds are currently utilizing exchange-traded futures contracts. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Funds and the prices of

Notes to Financial Statements 31

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

futures contracts and the possibility of an illiquid market or inability of counterparties to meet the terms of their contracts. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as the variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement value are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized. As of February 28, 2011, the Emerging Markets Fund and International Stock Selection Fund had no cash collateral balances held in connection with futures contracts purchased (sold).

Index Swaps

The Emerging Markets Fund has entered into index swap agreements in order to efficiently participate in certain foreign markets. Pursuant to these agreements, the Fund pays the swap counterparties based on the notional amount an agreed upon rate (e.g., the 12-month USD LIBOR BBA rate). During the terms of the agreements, changes in the underlying values of the swaps are recorded as unrealized gain (loss) and are based on changes in the value of the underlying index or security. The underlying index or security is valued at the published daily closing price. Accrued interest expense to be paid to the swap counterparties or accrued interest income to be paid to the Fund, at the agreed upon dates, are recognized as unrealized gain (loss). Amounts paid to and received from the swap counterparties representing capital appreciation (depreciation) on the underlying securities and accrued interest expense and interest income are recorded as net realized gain (loss). The Fund is exposed to credit and counterparty risk in the event of non-performance by the swap counterparties. The Fund minimizes this risk by entering into agreements only with counterparties that SSgA Funds Management, Inc. (“the Advisor”) deems creditworthy. This risk is also mitigated by investing the portfolio in assets generating cash flows complimentary to the returns it is required to pay. The Fund has segregated certain short-term investments (identified in the accompanying Schedule of Investments) as collateral for the notional amount under the index swap agreements. As of February 28, 2011, the Emerging Markets Fund had a cash collateral balance in the amount of $2,460,000 in connection with swap contracts purchased (sold).

Participation Notes

The Emerging Markets Fund may purchase participation notes, also known as participation certificates or participation interest notes. Participation notes are issued by banks or broker-dealers that are designed to replicate the performance of foreign companies or foreign securities markets and can be used by the Fund as an alternative means to access the securities market of a frontier emerging market country. The performance results of participation notes will not replicate exactly the performance of the foreign companies or foreign securities markets that they seek to replicate due to transaction and other expenses. Investments in participation notes involve certain risks in addition to those associated with a direct investment in the underlying foreign companies or foreign securities markets whose return they seek to replicate. There can be no assurance that there will be a trading market or that the trading price of a participation note will equal the underlying value of the foreign company or foreign securities market that it seeks to replicate. The Fund relies on the creditworthiness of the counterparty issuing the participation note and has no rights against the issuer of the underlying security. The Fund minimizes this risk by entering into agreements only with counterparties that the Advisor deems creditworthy. Due to liquidity and transfer restrictions, the secondary markets on which the participation notes are traded may be less liquid than the markets for other securities, or may be completely illiquid.

Fund Concentration

The investments by the Funds in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency contracts with respect to the potential inability of counterparties to meet the terms of their contracts.

32 Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Investment in Emerging Markets

Investing in emerging markets may involve special risks and considerations not typically associated with investing in the United States markets. These risks include revaluation of currencies, high rates of inflation, repatriation, restrictions on income and capital, and future adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices may be more volatile than those of comparable securities in the United States.

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

3. Investment Transactions

Securities

For the period ended February 28, 2011, purchases and sales of investment securities, excluding short-term investments, aggregated to the following:

	Purchases		Sales
Emerging Markets	$	675,046,429	$	846,211,095
International Stock Selection		328,678,033		657,236,273

Securities Lending

The Investment Company participates in a securities lending program whereby each Fund can loan securities with a value up to 331/3% of its total assets. Each Fund receives cash (U.S. currency), U.S. Government, U.S. Government agency obligations or foreign government securities as collateral against the loaned securities. To the extent that a loan is secured by cash collateral, such collateral must be invested by State Street Bank and Trust Company (“State Street,” the lending agent and an affiliate of the Advisor) in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. Under the securities lending arrangement, the collateral received is recorded on a lending Fund’s statement of assets and liabilities along with the related obligation to return the collateral. At period end, all such cash collateral was invested in the State Street Navigator Securities Prime Lending Portfolio, a money market fund affiliated with the Advisor.

Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and State Street and is recorded as securities lending income for the Funds. To the extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders’ fees, which are divided between the Fund and State Street and are recorded as security lending income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of U.S. securities) or 105% (for non-U.S. securities) of the market value of the loaned securities at the inception of each loan. The market value of the loaned securities is determined at the close of business of the Funds, and any additional required collateral is delivered to the Funds the next day. Should the borrower of the securities fail financially, there is a risk of delay in recovery or loss of rights in the securities loaned or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing.

As of February 28, 2011, the non-cash collateral received for the securities on loan was as follows:

	Non-Cash
	Collateral Value		Non-Cash Collateral Holding
Emerging Markets	$	56,147,174	Pool of US Government and European Government Bonds
International Stock Selection		22,939,120	Pool of US Government and European Government Bonds

The Funds cannot repledge or sell non-cash collateral balances.

Notes to Financial Statements 33

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

4. Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to a written Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street make up State Street Global Advisors, the investment management arm of State Street and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Advisor, calculated daily and paid monthly, at the annual rate of 0.75% of their average daily net assets.

If the total expenses of the Institutional Class are above its cap, the Advisor will waive its advisory fee for both Institutional and Class R in an equal amount to reduce the total expenses to the level of the cap in effect for the Institutional Class. If thereafter the total expenses for Class R remain above the total expense cap in effect for Class R, then State Street Global Markets, LLC (the “Distributor”) which is a wholly-owned subsidiary of State Street Corporation, will waive up to 0.70% of the average daily net assets of the Distribution (12b-1) and Service Fee to further reduce the total expenses of Class R to the level of its cap. If after waiving the full 0.70% of the average daily net assets of Class R and Class R remains above the total expense cap, then the Advisor will reimburse Class R for all expenses to the level of the cap. If only Class R is above its respective expense cap, then the Distributor will waive up to 0.70% of the average daily net assets of Distribution (12b-1) and service fees.

The Advisor has contractually agreed to waive up to the full amount of the Emerging Markets Fund’s advisory fees and to reimburse the Institutional Class for all expenses in excess of 1.25% of average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). There were no waivers or reimbursements for the Institutional Class or Select Class for the period ended February 28, 2011.

The Advisor has contractually agreed to waive up to the full amount of the International Stock Selection Fund’s advisory fees and to reimburse the Institutional Class and Class R for all expenses in excess of 1.00% and 1.60%, respectively, of each class’ average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the waiver for the period ended February 28, 2011 was $935,886 for the Institutional Class and $2,124 for Class R. There were no reimbursements for the Institutional Class or Class R for the period ended February 28, 2011.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Investment Company also has a contract with State Street to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 28, 2011, $200 of the Central Fund’s net assets represents investments by these Funds, and $12,406,991 represents the investments of other Investment Company Funds not presented herein.

Effective September 1, 2006, the Advisor has voluntarily agreed to waive a portion of the Funds’ advisory fee equal to the advisory fee paid by the Funds to the Central Fund. In addition, if Central Fund shares sold to and/or redeemed from a participating fund are subject under a 12b-1 Plan to any distribution fee or service fee, the Advisor will waive its advisory fee for

34 Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

each participating fund in an amount that offsets the amount of such fee incurred by the participating fund. For the period ended February 28, 2011, the total advisory fees waived are as follows:

	Amount Paid
Emerging Markets	$	5,428
International Stock Selection		334

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. During the period, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

	Amount Paid
Emerging Markets	$	677
International Stock Selection		25

Securities Lending

For the period September 1, 2010 through February 28, 2011, State Street earned securities lending agent fees as follows:

	Agent
	Fees Earned
Emerging Markets	$	53,823
International Stock Selection		19,471

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an Administration Agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of the Funds: $0 up to $1 billion — 0.07%; over $1 billion — 0.05%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund of the Investment Company with less than $500 million in assets under management. In addition, the Funds reimburse the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and the Distributor, to promote and offer shares of the Investment Company. The Distributor may enter into sub-distribution agreements with other non-related parties. The amounts paid to the Distributor are included in the accompanying Statement of Operations.

Institutional Class

The Investment Company maintains a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has shareholder service agreements with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several

Notes to Financial Statements 35

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

unaffiliated services providers. For these services, each Institutional Class pays 0.025% to State Street, and a maximum of 0.175% to each of the other named affiliated Agents, based upon the average daily value of all Institutional Class shares held by or for customers of these Agents. For the period ended February 28, 2011, each Institutional Class paid the following shareholder servicing expenses to the Agents:

				Global
	State Street		��	Markets
Emerging Markets	$	196,600		$	5,640
International Stock Selection		126,399			368

Each institutional class did not incur any expenses from Fiduciary Investors Services and High Net Worth Services during the period.

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Institutional Class on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of each Institutional Class on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The class’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the class’ shareholders have the right, however, to terminate the plan and all payments thereunder at any time. The Institutional Class will not be obligated to reimburse the Distributor for carryover expenses subsequent to the plan’s termination or noncontinuance. There were no carryover expenses as of February 28, 2011.

Class R

The Investment Company maintains a distribution plan with respect to the Class R shares pursuant to Rule 12b-1 (the “R Plan”) under the 1940 Act. Under the R Plan, each Fund pays the Distributor a fee not to exceed 0.70% of the fund’s average net value per year, for distribution, shareholder and administrative services provided to the Fund by the Distributor and financial intermediaries. The Distributor pays the financial intermediaries for shareholder and administrative services provided to a Fund out of the fee the Distributor receives from the Fund. Fees paid to the financial intermediaries providing shareholder and administrative services to a Fund are not permitted by the R Plan to exceed 0.65% of the Fund’s average net asset value per year. Any payments that are required to be made to the Distributor or financial intermediaries that cannot be made because of the limitations contained in the R Plan may be carried forward and paid in the following two fiscal years so long as the R Plan is in effect.

Under the R Plan, the Funds have a distribution agreement with the Distributor. For these services, Class R pays the Distributor 0.05% of the daily net asset value. For the period ended February 28, 2011, this amounted to $574 for the International Stock Selection Fund.

Select Class

The Investment Company maintains a distribution plan with respect to the Select Class shares pursuant to Rule 12b-1 (the “Select Plan”) under the 1940 Act. The Select Plan provides that the Select Class pay a service fee for the performance of certain administrative functions in connections with purchases and redemptions of shares of the Funds and related services provided to Select Class shareholders by the Distributor. Payments to State Street for shareholder and administrative services are not permitted by the Select Plan to exceed 0.025% of each Fund’s average net asset value per year. Any payments that are required to be made to State Street that cannot be made because of the limitations contained in the Select Plan may be carried forward and paid in the following two fiscal years so long as the Select Plan is in effect. There were no carryover expenses as of February 28, 2011.

Under the Select Plan, the Funds have a distribution agreement with the Distributor. For these services, Select Class pays the Distributor 0.025% of the daily net asset value. For the period ended February 28, 2011, this amounted to $123,153 for the Emerging Markets Fund.

36 Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2011 were as follows:

	Emerging		International
	Markets		Stock Selection
Advisory fees	$	1,424,979	$	562,770
Administration fees		99,088		37,601
Custodian Fees		167,107		58,114
Shareholder servicing fees		108,999		17,085
Transfer agent fees		151,342		120,691
Trustee fees		6,007		6,927
	$	1,957,522	$	803,188

5. Fund Share Transactions

	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
	February 28, 2011						August 31, 2010
Emerging Markets
Institutional Class
Proceeds from shares sold		15,595		$	342,601			19,491		$	365,574
Proceeds from reinvestment of distributions		1,210			26,421			1,731			32,509
Payments for shares redeemed		(13,092	)		(285,598	)		(39,536	)		(738,741	)
		3,713			83,424			(18,314	)		(340,658	)
Select Class
Proceeds from shares sold		1,044		$	22,889			8,051		$	151,690
Proceeds from reinvestment of distributions		413			9,045			686			12,903
Payments for shares redeemed		(11,422	)		(252,553	)		(24,169	)		(454,782	)
		(9,965	)		(220,619	)		(15,432	)		(290,189	)
Total net increase (decrease)		(6,252	)	$	(137,195	)		(33,746	)	$	(630,847	)

Notes to Financial Statements 37

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
	February 28, 2011						August 31, 2010
International Stock Selection
Institutional Class
Proceeds from shares sold		4,067		$	40,717			23,136		$	213,755
Proceeds from reinvestment of distributions		2,787			27,569			4,127			39,843
Payments for shares redeemed		(36,856	)		(372,596	)		(72,476	)		(677,553	)
		(30,002	)		(304,310	)		(45,213	)		(423,955	)
Class R
Proceeds from shares sold		38		$	391			60		$	556
Proceeds from reinvestment of distributions		5			49			7			70
Payments for shares redeemed		(53	)		(520	)		(98	)		(899	)
		(10	)		(80	)		(31	)		(273	)
Total net increase (decrease)		(30,012	)	$	(304,390	)		(45,244	)	$	(424,228	)

6. Interfund Lending Program

The Funds participate in a joint lending and borrowing facility. Portfolios of the funds may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2011, Miscellaneous expenses on the Statements of Operations for the Emerging Markets and International Stock Selection Funds include $9,100 and $8,448, respectively, paid under the Interfund Lending Program for the period ended February 28, 2011.

7. Restricted Securities

Restricted securities are subject to contractual limitations on resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933 (the “Act”). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act.

38 Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

A Fund may invest a portion of its net assets not to exceed 15% in securities that are illiquid. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

For the period ended February 28, 2011, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.

8. Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by each Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.

9. Subsequent Events

Management has evaluated events or transactions that may have occurred since February 28, 2011, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require further disclosure within the Financial Statements.

Notes to Financial Statements 39

SSgA
International Equity Funds

Shareholder Requests for Additional Information — February 28, 2011 (Unaudited)

The Funds have adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds semiannual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

40 Shareholder Requests for Additional Information

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

			Principal Occupation(s)	Number of
	Position(s) Held		During Past 5 Years;	Portfolios in		Other
Name,	with SSgA Funds;	Term	and Other	Fund Complex		Directorships Held
Age,	Length of	of	Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since November 2008	Until successor is elected by Trustees	•   2008 to Present, Director of SSgA FM; •   2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors; •   2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee; •   2009 to Present, Member of Board of Virginia Tech Foundation and Investment Committee; and •   June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.		20	None
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 1301 Second Avenue, 18th Floor Seattle, WA 98101	Member, Board of Trustees (Chairman of the Board from 1988 to December 2008) Member, Audit Committee, Member Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired); •   March 2007 to September 2010, member, IDC Board of Governors; •   September 2007 to September 2010, member Investment Company Institute Board of Governors; •   September 2008 to September 2010, member Investment Company Institutie and IDC Investment Committee; and •   Until December 2008, Director, Russell Trust Company (Retired).		20	Until December 2005, Chairman of the Board, 34 Russell Investment Company and 5 Russell Investment Funds (registered investment companies) (Retired).
Diane B. Glossman(2) Born March 9, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since October 2009 Audit Committee Financial Expert Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2003 to Present, Consultant to financial institutions; •   1998 to Present, Director, A.M. Todd Group, Inc. (flavorings manufacturer); •   2004 to Present, Director and member of the finance committee (2007-2010, President; 2010-2011, Vice President), Bucks County SPCA (animal welfare non-profit); and •   Chartered Financial Analyst.		20	None

Disclosure of Information about Fund Trustees and Officers 41

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued  —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
William L. Marshall Born December 12, 1942 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   April 2011 to Present, Chairman, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (until April 2011, CEO and President) (a registered investment advisor and provider of financial and related consulting services); •   Certified Financial Planner and Member, Financial Planners Association; •   Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa; •   Director, SPCA of Bucks County, PA; and •   Director, The Anne Silverman Community Clinic of Doylestown, PA		20	None
Steven J. Mastrovich Born November 3, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   June 2010 to Present, Managing Director and Head of Private Capital Markets, J.P. Morgan Real Estate and Lodging Investment Banking Group; •   January 2009 to June 2010, Managing Director, Head of Investor Relations, Highbridge Principal Strategies (a J.P. Morgan subsidiary); and •   October 2000 to January 2009, Global Head of Structured Real Estate and Business Development, J.P. Morgan Investment Management (private real estate investment for clients primarily outside of the US to locate private real estate investments within the US).		20	None
Patrick J. Riley Born November 30, 1948 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Independent Chairman of the Board since January 2009 Member (ex-officio), Audit Committee Member (ex-officio), Governance Committee Member (ex-officio), Valuation Committee Member (ex-officio), Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; •   1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); •   January 2009 to Present, Independent Director, SSgA Fixed Income plc; and •   January 2009 to Present, Independent Director, SSgA Qualified Funds plc.		20	None

42 Disclosure of Information about Fund Trustees and Officers

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued  —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); •   1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); •   1998 to December 2008, Chairman, Board Member and Investment Committee Member, Healthcare Georgia Foundation (private foundation); •   September 2002 to May 2011, Lead Director and Board Member, Amerigroup Corp. (managed health care); •   1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and •   2003 to 2009, Trustee, Gettysburg College.		20	None
Bruce D. Taber Born April 25, 1943 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc; •   Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and •   Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		20	None
Henry W. Todd(2) Born May 4, 1947 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until May 30, 2010, Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc (investment company); and •   Until July 2005, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company).		20	None

(1)	The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.
(2)	Ceased to be a Trustee effective April 28, 2011.

Disclosure of Information about Fund Trustees and Officers 43

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued  —
February 28, 2011 (Unaudited)

	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	•   2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); •   March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and •   President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds; and Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).
Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	•   Chief Operating Officer and Vice President, SSgA Funds Management, Inc. (investment advisor); •   March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and •   Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).
Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	•   July 2008 to Present, Vice President, State Street Global Advisors; and •   April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.
Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	•   2009 to Present, Global Head of Fund Operations, Russell Investments; •   1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company, and Russell Financial Services Company; •   Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.
Sandra G. Richardson Born January 12, 1971 1301 Second Avenue, 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2010		•   September 2010 to Present, Associate General Counsel (January 2008 to September 2010, Associate Counsel), Russell Investments; and •   November 2003 to November 2007, Associate, Kirkpatrick & Lockhart Preston Gates Ellis LLP.

44 Disclosure of Information about Fund Trustees and Officers

SSgA
International Equity Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327

Trustees
Lynn L. Anderson
Diane B. Glossman*
Shawn C.D. Johnson
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley, Chairman
Richard D. Shirk
Bruce D. Taber
Henry W. Todd*
Officers
James E. Ross, President, Chief Executive Officer and Principal Executive Officer
Mark E. Swanson, Treasurer and Principal Accounting Officer
Ellen M. Needham, Vice President
Jacqueline Angell, Chief Compliance Officer
Sandra G. Richardson, Secretary and Chief Legal Officer
Ross E. Erickson, Assistant Treasurer
Kimberlee A. Lloyd, Assistant Treasurer
David J. Craig, Assistant Treasurer
Carla L. Anderson, Assistant Secretary
Investment Advisor
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900 Custodian and Office of Shareholder Inquiries
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
Transfer and Dividend Paying Agent
Boston Financial Data Services, Inc.
Two Heritage Drive
North Quincy, Massachusetts 02171
Distributor
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Administrator
Russell Fund Services Company
1301 Second Avenue
18th Floor
Seattle, Washington 98101
Legal Counsel
Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, Massachusetts 02116

* Ceased to be a Trustee effective April 28, 2011.

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

Fund Management and Service Providers 45

IESAR-02/11

S&P 500 INDEX FUND

Semiannual Report
February 28, 2011

SSgA Funds

S&P 500 Index Fund

Semiannual Report

February 28, 2011 (Unaudited)

Table of Contents

	Page
S&P 500 Index Fund	3
Statements of Assets and Liabilities	5
Statements of Operations	6
Statements of Changes in Net Assets	7
Financial Highlights	8
Notes to Financial Statements	10
Shareholder Requests for Additional Information	16
Disclosure of Information about Fund Trustees and Officers	17
Fund Management and Service Providers	21
Financial Statements of the S&P 500 Portfolio	23

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

 This page has been intentionally left blank.

SSgA
S&P 500 Index Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,276.00	$	1,023.90
Expenses Paid During Period*		1.02		0.90

*  Expenses are equal to the Fund’s annualized expense ratio of 0.18% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

S&P 500 Index Fund 3

SSgA
S&P 500 Index Fund

Presentation of Master Portfolio Holdings — February 28, 2011 (Unaudited)
	% of
	Master
	Portfolio
	Net
Categories	Assets
Consumer Discretionary		10.8
Consumer Staples		9.8
Energy		12.9
Financials		16.1
Health Care		10.3
Industrials		11.2
Information Technology		17.3
Materials		3.7
Telecommunication Services		2.9
Utilities		3.1
U.S. Government		0.2
Warrants		—	*
Short-Term Investments		2.0
Total Investments		100.3
Other Assets and Liabilities, Net		(0.3	)
		100.0
Futures Contracts		—	*

* Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.

4 S&P 500 Index Fund

SSgA
S&P 500 Index Fund

Statements of Assets and Liabilities — February 28, 2011 (Unaudited)

Amounts in thousands
Assets
Investments, at market	$	1,302,141
Receivables:
Fund shares sold		2,394
From Advisor		12
Prepaid expenses		13
Total assets		1,304,560
Liabilities
Payables:
Fund shares redeemed		7,014
Accrued fees to affiliates		156
Other accrued expenses		44
Total liabilities		7,214
Net Assets	$	1,297,346
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	6,140
Accumulated net realized gain (loss)		(238,436	)
Unrealized appreciation (depreciation) on:
Investments		592,706
Futures contracts		2,348
Shares of beneficial interest		59
Additional paid-in capital		934,529
Net Assets	$	1,297,346
Net Asset Value, offering and redemption price per share:
Net asset value per share(a)	$	21.88
Net assets	$	1,297,346,467
Shares outstanding ($.001 par value)		59,290,637

(a) Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.

Statements of Assets and Liabilities 5

SSgA
S&P 500 Index Fund

Statements of Operations — For the Period Ended February 28, 2011 (Unaudited)

Amounts in thousands
Investment Income Allocated From Portfolio
Dividends	$	13,640
Interest		19
Expenses		(304	)
Total investment income allocated from portfolio		13,355
Fund Level Expenses
Administrative fees		175
Custodian fees		8
Distribution fees - Core Class		305
Transfer agent fees - Core Class		105
Professional fees		23
Registration fees		25
Shareholder servicing fees - Core Class		268
Trustees’ fees		25
Insurance fees		15
Printing fees		24
Miscellaneous		5
Expenses before reductions		978
Expense reductions		(65	)
Net Fund level expenses		913
Net investment income (loss)		12,442
Net Realized and Unrealized Gain (Loss) Allocated From Portfolio
Net realized gain (loss) on:
Investments		20,741
Futures contracts		4,217
Net realized gain (loss)		24,958
Net change in unrealized appreciation (depreciation) on:
Investments		287,101
Futures contracts		3,000
Net change in unrealized appreciation (depreciation)		290,101
Net realized and unrealized gain (loss)		315,059
Net Increase (Decrease) in Net Assets from Operations	$	327,501

See accompanying notes which are an integral part of the financial statements.

6 Statements of Operations

SSgA
S&P 500 Index Fund

Statements of Changes in Net Assets

	Six Months Ended
	February 28, 2011
Amounts in thousands	(Unaudited)			Fiscal Year Ended August 31, 2010
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	12,442		$	24,278
Net realized gain (loss)		24,958			1,832
Net change in unrealized appreciation (depreciation)		290,101			44,888
Net increase (decrease) in net assets from operations		327,501			70,998
Distributions
From net investment income		(12,781	)		(23,890	)
Net decrease in net assets from distributions		(12,781	)		(23,890	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(263,514	)		(176,417	)
Total Net Increase (Decrease) in Net Assets		51,206			(129,309	)
Net Assets
Beginning of period		1,246,140			1,375,449
End of period	$	1,297,346		$	1,246,140
Undistributed (overdistributed) net investment income included in net assets	$	6,140		$	6,479

See accompanying notes which are an integral part of the financial statements.

Statements of Changes in Net Assets 7

SSgA
S&P 500 Index Fund

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.

	$		$		$			$			$			$
	Net Asset Value,		Net		Net Realized			Total Income			Distributions			Distributions
	Beginning of		Investment		and Unrealized			from			from Net			from Net
	Period		Income (Loss)(a)		Gain (Loss)			Operations			Investment Income			Realized Gain
S&P 500 Index Fund
February 28, 2011*		17.31		.18		4.57			4.75			(.18	)		—
August 31, 2010		16.83		.33		.48			.81			(.33	)		—
August 31, 2009		21.17		.37		(4.30	)		(3.93	)		(.41	)		—
August 31, 2008		24.33		.45		(3.17	)		(2.72	)		(.44	)		—
August 31, 2007		21.53		.43		2.79			3.22			(.42	)		—
August 31, 2006		20.17		.38		1.34			1.72			(.36	)		—

*	For the six months ended February 28, 2011 (unaudited).
(a)	Average daily shares outstanding were used for this calculation.
(b)	Periods less than one year are not annualized.
(c)	The ratios for periods less than one year are annualized.
(d)	Expense rations include the Fund’s share of the Portfolio’s allocated expenses.
(e)	May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005%.
(f)	Unaudited.

See accompanying notes which are an integral part of the financial statements.

8 Financial Highlights

										%		%		%
			$					$		Ratio of Expenses		Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average		to Average		Investment Income		%
Total			End of		Total			End of Period		Net Assets,		Net Assets,		to Average		Portfolio
Distributions			Period		Return(b)			(000)		Net(c)(d)(e)		Gross(c)(d)		Net Assets(c)(d)(e)		Turnover Rate(f)
	(.18	)		21.88		27.60			1,297,346		.18		.19		1.85		2
	(.33	)		17.31		4.77			1,246,140		.18		.19		1.84		13
	(.41	)		16.83		(18.29	)		1,375,449		.18		.20		2.45		8
	(.44	)		21.17		(11.34	)		1,530,849		.18		.18		1.89		13
	(.42	)		24.33		15.07			2,049,906		.16		.16		1.80		12
	(.36	)		21.53		8.63			1,997,386		.18		.18		1.80		8

See accompanying notes which are an integral part of the financial statements.

Financial Highlights 9

SSgA
S&P 500 Index Fund

Notes to Financial Statements — February 28, 2011 (Unaudited)

1. Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 28, 2011. This Financial Statement reports on the SSgA S&P 500 Index Fund (the “Fund”). The Investment Company is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at $.001 par value.

The Fund invests all of its investable assets in interests in the State Street Equity 500 Index Portfolio (the “Master Portfolio”). The Fund has the same investment objective as the Master Portfolio in which it invests. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio (approximately 65.21% at February 28, 2011). The performance of the Fund is directly affected by the performance of the Master Portfolio. The financial statements of the Master Portfolio, including the Portfolio of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

2. Significant Accounting Policies

The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Security Valuation

The Fund records its investments in the Master Portfolio at fair value. Valuation of securities held by the Master Portfolio is discussed in Note 2 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.

Fair value of securities is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. To increase consistency and comparability in fair value measurement, the fair value hierarchy was established to maximize the use of observable market data and minimize the use of unobservable inputs to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy of inputs is summarized in the three broad levels listed below.

•   Level 1 — quoted prices (unadjusted) in active markets for identical investments

•   Level 2 — other significant observable inputs including quoted market prices in non-active markets or prices derived from market data. Included are the following:

•   common stocks traded or quoted only on inactive markets

•   privately placed bonds whose values are derived from a similar bond that is publicly traded

•   interest rate swaps valued based on compilation of primarily observable swap curves incorporated into a model or matrix price

10 Notes to Financial Statements

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

•   euro commercial paper valued at amortized cost which approximates market and is not priced daily or a broker quote in a non-active market with inputs incorporated into a model or matrix price

•   non registered mutual funds that are daily priced, but not publicly traded

•   currency forwards valued based on a compilation of primarily observable market currency spot rates incorporated into a model or matrix price

•   corporate bonds and notes, domestic commercial paper, time deposits, U.S. Government Agencies, U.S. Treasury and Yankee Certificates of Deposit using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs incorporated into a model or matrix price

•   mortgage-related and other asset backed securities are valued based on evaluators analyzing features such as the pricing speed, spread and volatility in order to confirm the deal structure. Spreads and other information solicited from Wall Street buy and sell-side sources, including primary and secondary dealers, portfolio managers, and research analysts are used as model inputs. Using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs are incorporated into a model or matrix price (security characteristics including coupon rates and maturity dates are disclosed in the Statement of Investments).

Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

•   Level 3 — significant unobservable inputs including a Fund’s own assumptions in determining the fair value of investments. Included are the following:

•   OTC securities using the Company’s own data/models

•   prices with significant haircuts applied

•   staled securities — fair valuation procedures are applied

•   securities that have broken tolerance outlined in the Board-approved securities valuation procedures

•   no current market quotations — fair valuation procedures are applied

•   unreliable prices — fair valuation procedures are applied

Level 3 investments include positions with prices not derived from existing market data. As such, Level 3 assets typically involve the use of financial models, such as discounted cash flow analysis for investments in privately held companies, or other non-market based methods to determine an investment’s Fair Value. One may consider Level 3 investments as those that cannot be quickly liquidated for their stated market value.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

The level associated with valuing the Fund’s investments for the period ended February 28, 2011, was level one for the Fund.

Investment Income

The Fund records daily its proportionate share of the Master Portfolio’s income, expenses and realized and unrealized gains and losses.

Other

Investment transactions are accounted for on a trade date basis.

Notes to Financial Statements 11

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, the Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to the Fund’s shareholders without regard to the income and capital gains (or losses) of the other funds of the Investment Company.

It is the Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This requires the Fund to distribute all of its taxable income. Therefore, the Fund paid no federal income taxes and the Fund paid no federal income taxes and no federal income tax provision was required.

Capital Loss Carryovers

At August 31, 2010, the Fund had the following net tax basis capital loss carryovers, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:

	Expiration Year
	8/31/2011		8/31/2012		8/31/2013		8/31/2014		8/31/2015		Total
S&P 500 Index	$	61,496,969	$	20,170,152	$	9,160,101	$	10,082,013	$	4,992,179	$	105,901,414

Each Fund files a U.S. tax return. At February 28, 2011, the Fund had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions it had taken or expects to take in future tax returns. While the statue of limitations remains open to examine the Fund’s U.S. tax returns filed August 31, 2007 through August 31, 2009, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. The Fund declares and pays dividends quarterly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Fund to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes. Permanent differences between book and tax accounting are reclassified to paid-in capital.

Expenses

Expenses allocated from the Master Portfolio are recorded and identified separately in the Statement of Operations. The Fund also pays certain other expenses which can be directly attributed to the Fund. Expenses of the Investment Company which cannot be directly attributed will be allocated among all funds of the Investment Company based principally on their relative net assets.

Guarantees

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund expects the risk of loss to be remote.

3. Investment Transactions

Securities

Net daily increases and decreases in the Fund’s investment in the Master Portfolio aggregated to the following, for the period ended February 28, 2011:

Increases		Decreases
$	36,314,950	$	310,300,475

12 Notes to Financial Statements

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

4. Related Party Transactions, Fees and Expenses

Advisor and Affiliates

The Fund is allocated a charge for a management fee from the Master Portfolio, calculated daily at an annual rate of 0.045% of average daily net assets. This fee relates to the advisory, custody and administrative fees provided by the Master Portfolio on behalf of their investors. SSgA Funds Management, Inc. (the “Advisor”) manages the Fund pursuant to a written Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, which directs the investments of the Fund in accordance with their investment objectives, policies, and limitations.

The Advisor has agreed to waive up to the full amount of the Fund’s advisory fee and reimburse the Fund for all fund and allocated Master Portfolio expenses that exceed 0.18% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the reimbursement for the period ended February 28, 2011 was $64,639.

The Advisor does not have the ability to recover amounts waived or reimbursed from previous periods.

The Investment Company also has a contract with State Street Bank and Trust Company (“State Street”) to provide custody and fund accounting services to the Fund. For these services, the Fund pays State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc., and of State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Fund. For these services, the Fund pays annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200.

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an Administration Agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”). The Fund pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Fund: $0 to $1 billion — 0.0315%; over $1 billion — 0.01%. In addition, the Administrator charges a flat fee of $30,000 per year per fund on each fund of the Investment Company with less than $500 million in assets under management. In addition, the Fund reimburses the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and State Street Global Markets, LLC (the “Distributor”), which is a wholly-owned subsidiary of State Street Corporation, to promote and offer shares of the Investment Company. The Distributor may enter into sub-distribution agreements with other related and non-related parties. The amounts paid to the Distributor are included in the accompanying Statement of Operations.

The Investment Company maintains a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

The Fund has shareholder service agreements with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several

Notes to Financial Statements 13

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

unaffiliated services providers. For these services, the Fund pays 0.025% to State Street, and a fee to each of the Agents, based upon the average daily value of all Fund shares held by or for customers of these Agents subject to the maximum of 0.100%.

For the period ended February 28, 2011, the Fund paid the following shareholder servicing expenses to the Agents:

State Street
$	169,037

The Fund did not make any payments to Global Markets, Fiduciary Investors Services or High Net Worth Services during the period.

Total shareholder servicing payments shall not exceed 0.20% of the average daily net assets of the Fund on an annual basis. The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Fund’s responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the Fund’s shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Fund will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or noncontinuance.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2011 were as follows:

Administration fees	$	22,522
Custodian Fees		244
Distribution fees		31,664
Shareholder servicing fees		38,980
Transfer agent fees		58,747
Trustee fees		3,510
	$	155,667

5. Fund Share Transactions

	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
	February 28, 2011						August 31, 2010
Proceeds from shares sold		5,579		$	112,909			20,437		$	374,282
Proceeds from reinvestment of distributions		638			12,057			1,300			22,949
Payments for shares redeemed		(18,901	)		(388,480	)		(31,497	)		(573,648	)
Total net increase (decrease)		(12,684	)	$	(263,514	)		(9,760	)	$	(176,417	)

14 Notes to Financial Statements

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

6. Interfund Lending Program

The Fund participates in a joint lending and borrowing facility (the ���Credit Facility”). Portfolios of the Fund may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Fund will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2011, the Fund did not utilize the Interfund Lending Program.

7. Dividends

On March 1, 2011, the Fund declared the following dividend from net investment income payable on March 7, 2011 to shareholders of record March 2, 2011.

Net Investment
Income
$	0.1024

8. Market, Credit and Counterparty Risk

In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Fund to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statements of Assets and Liabilities.

9. Subsequent Events

Management has evaluated events or transactions that may have occurred since February 28, 2011, through the date the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require further disclosure within the Financial Statements.

Notes to Financial Statements 15

SSgA
S&P 500 Index Fund

Shareholder Requests for Additional Information — February 28, 2011 (Unaudited)

The Fund has adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Fund’s website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Fund will file its complete schedule of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedule of investments are available in the Fund’s semiannual and annual financial statements. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at (800) 647-7327, (ii) on the Fund’s website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

16 Shareholder Requests for Additional Information

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

			Principal Occupation(s)	Number of
	Position(s) Held		During Past 5 Years;	Portfolios in		Other
Name,	with SSgA Funds;	Term	and Other	Fund Complex		Directorships Held
Age,	Length of	of	Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since November 2008	Until successor is elected by Trustees	•   2008 to Present, Director of SSgA FM; •   2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors; •   2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee; •   2009 to Present, Member of Board of Virginia Tech Foundation and Investment Committee; and •   June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.		20	None
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 1301 Second Avenue, 18th Floor Seattle, WA 98101	Member, Board of Trustees (Chairman of the Board from 1988 to December 2008) Member, Audit Committee, Member Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired); •   March 2007 to September 2010, member, IDC Board of Governors; •   September 2007 to September 2010, member Investment Company Institute Board of Governors; •   September 2008 to September 2010, member Investment Company Institutie and IDC Investment Committee; and •   Until December 2008, Director, Russell Trust Company (Retired).		20	Until December 2005, Chairman of the Board, 34 Russell Investment Company and 5 Russell Investment Funds (registered investment companies) (Retired).
Diane B. Glossman(2) Born March 9, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since October 2009 Audit Committee Financial Expert Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2003 to Present, Consultant to financial institutions; •   1998 to Present, Director, A.M. Todd Group, Inc. (flavorings manufacturer); •   2004 to Present, Director and member of the finance committee (2007-2010, President; 2010-2011, Vice President), Bucks County SPCA (animal welfare non-profit); and •   Chartered Financial Analyst.		20	None

Disclosure of Information about Fund Trustees and Officers 17

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
William L. Marshall Born December 12, 1942 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   April 2011 to Present, Chairman, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (until April 2011, CEO and President) (a registered investment advisor and provider of financial and related consulting services); •   Certified Financial Planner and Member, Financial Planners Association; •   Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa; •   Director, SPCA of Bucks County, PA; and •   Director, The Anne Silverman Community Clinic of Doylestown, PA.		20	None
Steven J. Mastrovich Born November 3, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   June 2010 to Present, Managing Director and Head of Private Capital Markets, J.P. Morgan Real Estate and Lodging Investment Banking Group; •   January 2009 to June 2010, Managing Director, Head of Investor Relations, Highbridge Principal Strategies (a J.P. Morgan subsidiary); and •   October 2000 to January 2009, Global Head of Structured Real Estate and Business Development, J.P. Morgan Investment Management (private real estate investment for clients primarily outside of the US to locate private real estate investments within the US).		20	None
Patrick J. Riley Born November 30, 1948 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Independent Chairman of the Board since January 2009 Member (ex-officio), Audit Committee Member (ex-officio), Governance Committee Member (ex-officio), Valuation Committee Member (ex-officio), Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; •   1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); •   January 2009 to Present, Independent Director, SSgA Fixed Income plc; and •   January 2009 to Present, Independent Director, SSgA Qualified Funds plc.		20	None

18 Disclosure of Information about Fund Trustees and Officers

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); •   1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); •   1998 to December 2008, Chairman, Board Member and Investment Committee Member, Healthcare Georgia Foundation (private foundation); •   September 2002 to May 2011, Lead Director and Board Member, Amerigroup Corp. (managed health care); •   1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and •   2003 to 2009, Trustee, Gettysburg College.		20	None
Bruce D. Taber Born April 25, 1943 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc; •   Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and •   Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		20	None
Henry W. Todd(2) Born May 4, 1947 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until May 30, 2010, Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc (investment company); and •   Until July 2005, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company).		20	None

(1)	The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.
(2)	Ceased to be a Trustee effective April 28, 2011.

Disclosure of Information about Fund Trustees and Officers 19

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	•   2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); •   March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and •   President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds; and Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).
Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	•   Chief Operating Officer and Vice President, SSgA Funds Management, Inc. (investment advisor); •   March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and •   Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).
Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	•   July 2008 to Present, Vice President, State Street Global Advisors; and •   April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.
Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	•   2009 to Present, Global Head of Fund Operations, Russell Investments; •   1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company Russell Trust Company, and Russell Financial Services Company; •   Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.
Sandra G. Richardson Born January 12, 1971 1301 Second Avenue, 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2010		•   September 2010 to Present, Associate General Counsel (January 2008 to September 2010, Associate Counsel), Russell Investments; and •   November 2003 to November 2007, Associate, Kirkpatrick & Lockhart Preston Gates Ellis LLP.

20 Disclosure of Information about Fund Trustees and Officers

SSgA
S&P 500 Index Fund

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327

Trustees
Lynn L. Anderson
Diane B. Glossman*
Shawn C.D. Johnson
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley, Chairman
Richard D. Shirk
Bruce D. Taber
Henry W. Todd*
Officers
James E. Ross, President, Chief Executive Officer and Principal Executive Officer
Mark E. Swanson, Treasurer and Principal Accounting Officer
Ellen M. Needham, Vice President
Jacqueline Angell, Chief Compliance Officer
Sandra G. Richardson, Secretary and Chief Legal Officer
Ross E. Erickson, Assistant Treasurer
Kimberlee A. Lloyd, Assistant Treasurer
David J. Craig, Assistant Treasurer
Carla L. Anderson, Assistant Secretary
Investment Advisor
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Custodian and Office of Shareholder Inquiries
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
Transfer and Dividend Paying Agent
Boston Financial Data Services, Inc.
Two Heritage Drive
North Quincy, Massachusetts 02171
Distributor
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Administrator
Russell Fund Services Company
1301 Second Avenue
18th Floor
Seattle, Washington 98101
Legal Counsel
Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, Massachusetts 02116

* Ceased to be a Trustee effective April 28, 2011.

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

Fund Management and Service Providers 21

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State Street Equity 500 Index Portfolio
Portfolio of Investments
February 28, 2011 (Unaudited)

				Market
				Value
	Shares			(000)
COMMON STOCKS — 98.1%
Consumer Discretionary — 10.8%
Abercrombie & Fitch Co. Class A		15,046		$	863
Amazon.Com, Inc. (a)		56,792			9,842
Apollo Group, Inc. Class A (a)		21,729			983
AutoNation, Inc. (a)		9,763			328
AutoZone, Inc. (a)		4,664			1,203
Bed Bath & Beyond, Inc. (a)		40,645			1,957
Best Buy Co., Inc.		51,719			1,667
Big Lots, Inc. (a)		12,727			522
Cablevision Systems Corp.		41,000			1,511
CarMax, Inc. (a)		38,400			1,358
Carnival Corp.		68,250			2,912
CBS Corp. Class B		107,203			2,558
Coach, Inc.		46,728			2,566
Comcast Corp. Class A		452,748			11,663
D.R. Horton, Inc.		47,976			568
Darden Restaurants, Inc.		22,488			1,060
DeVry, Inc.		10,400			564
Direct TV. Class A (a)		132,977			6,113
Discovery Communications, Inc. Class A (a)		44,500			1,918
eBay, Inc. (a)		182,903			6,128
Expedia, Inc.		34,515			686
Family Dollar Stores, Inc.		21,658			1,085
Ford Motor Co. (a)		599,798			9,027
Fortune Brands, Inc.		26,045			1,611
GameStop Corp. Class A (a)		26,800			535
Gannett Co., Inc.		42,074			695
Gap, Inc.		75,098			1,692
Genuine Parts Co.		26,909			1,418
Goodyear Tire & Rubber Co. (a)		42,357			601
H&R Block, Inc.		52,715			801
Harley-Davidson, Inc.		40,201			1,641
Harman International Industries, Inc.		12,621			614
Hasbro, Inc.		23,225			1,043
Home Depot, Inc.		262,212			9,825
Host Hotels & Resorts, Inc.		104,421			1,921
International Game Technology		47,919			789
Interpublic Group of Cos., Inc. (a)		83,894			1,107
JC Penney Co., Inc.		40,010			1,399
Johnson Controls, Inc.		107,186			4,373
Kohl’s Corp. (a)		46,133			2,486
Lennar Corp. Class A		25,931			523
Limited Brands		46,067			1,475
Lowe’s Cos., Inc.		219,962			5,756
Macy’s, Inc.		72,323			1,729
Marriot International, Inc. Class A		45,050			1,766
Mattel, Inc.		61,276			1,536
McDonald’s Corp.		171,325			12,966
McGraw-Hill, Inc.		48,166			1,863
NetFlix, Inc. (a)		7,400			1,529
Newell Rubbermaid, Inc.		50,693	��		980
News Corp. Class A		364,209			6,326
NIKE, Inc. Class B		60,852			5,418
Nordstrom, Inc.		25,933			1,174
O’Reilly Automotive, Inc. (a)		22,900			1,273
Omnicom Group, Inc.		47,441			2,415
Polo Ralph Lauren Corp.		11,115			1,408
Priceline.com, Inc. (a)		7,790			3,536
Pulte Homes, Inc. (a)		54,705			377
Radioshack Corp.		20,103			298
Ross Stores, Inc.		20,600			1,484
Scripps Networks Interactive, Inc. Class A		15,435			802
Sears Holdings Corp. (a)		7,474			623
Snap-On, Inc.		9,212			529
Stanley Black & Decker, Inc.		26,007			1,972
Staples, Inc.		114,233			2,433
Starbucks Corp.		117,761			3,884
Starwood Hotels & Resorts Worldwide, Inc.		29,947			1,830
Target Corp.		113,016			5,939
Tiffany & Co.		21,580			1,328
Time Warner Cable, Inc.		56,471			4,076
Time Warner, Inc.		176,891			6,757
TJX Cos., Inc.		62,606			3,122
Urban Outfitters, Inc. (a)		22,000			844
V.F. Corp.		14,793			1,415
Viacom, Inc. Class B		96,122			4,293
Walt Disney Co.		306,945			13,426
Washington Post Co. Class B		960			416
Whirlpool Corp.		12,961			1,069
Wyndham Worldwide Corp.		29,699			929
Wynn Resorts, Ltd.		12,900			1,586
Yum! Brands, Inc.		74,392			3,744
					214,482
Consumer Staples — 9.8%
Altria Group, Inc.		333,799			8,468
Archer-Daniels-Midland Co.		101,324			3,767
Avon Products, Inc.		67,360			1,873
Brown-Forman Corp. Class B		17,755			1,228
Campbell Soup Co.		31,165			1,049
Clorox Co.		23,843			1,616
Coca-Cola Co.		375,111			23,977
Coca-Cola Enterprises, Inc.		57,901			1,523
Colgate-Palmolive Co.		77,001			6,046
ConAgra Foods, Inc.		68,675			1,591
Constellation Brands, Inc. Class A (a)		29,326			596
Costco Wholesale Corp.		68,889			5,152
CVS Caremark Corp.		217,132			7,178
Dean Foods Co. (a)		33,458			353
Dr Pepper Snapple Group, Inc.		38,800			1,399
Estee Lauder Cos., Inc. Class A		19,452			1,836
General Mills, Inc.		101,664			3,776
H.J. Heinz Co.		50,569			2,540
Hormel Foods Corp.		23,600			647
Kellogg Co.		39,935			2,139
Kimberly-Clark Corp.		64,800			4,270
Kraft Foods, Inc. Class A		279,309			8,893
Kroger Co.		100,376			2,299
Lorillard, Inc.		23,461			1,801
McCormick & Co., Inc.		22,753			1,084
Molson Coors Brewing Co., Class B		27,062			1,238
PepsiCo, Inc.		256,654			16,277
Philip Morris International, Inc.		293,299			18,413
Procter & Gamble Co.		452,019			28,500
Reynolds American, Inc.		52,874			1,815
Safeway, Inc.		64,364			1,404
Sara Lee Corp.		100,234			1,716
SuperValu, Inc.		34,848			301
Sysco Corp.		92,509			2,571
The Hershey Company		25,282			1,323
The J.M. Smucker Co.		20,460			1,408
Tyson Foods, Inc., Class A		51,235			955
Wal-Mart Stores, Inc.		317,302			16,493
Walgreen Co.		147,718			6,402
Whole Foods Market, Inc.		25,533			1,495
					195,412
Energy — 12.9%
Anadarko Petroleum Corp.		79,026			6,467
Apache Corp.		61,025			7,605
Baker Hughes, Inc.		68,573			4,872
Cabot Oil & Gas Corp.		17,300			790
Cameron International Corp. (a)		38,100			2,253
Chesapeake Energy Corp.		103,482			3,685
Chevron Corp. (b)		324,946			33,713
ConocoPhillips		237,530			18,497
Consol Energy, Inc.		35,373			1,794
Denbury Resources, Inc. (a)		61,700			1,495
Devon Energy Corp.		68,851			6,296
Diamond Offshore Drilling, Inc.		11,900			931

23

State Street Equity 500 Index Portfolio
Portfolio of Investments – (continued)
February 28, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Energy — (continued)
El Paso Corp.		109,992	$	2,046
EOG Resources, Inc.		40,417		4,539
EQT Corp.		25,500		1,257
ExxonMobil Corp. (b)		813,447		69,574
FMC Technologies, Inc. (a)		18,700		1,759
Halliburton Co.		145,034		6,808
Helmerich & Payne, Inc.		18,600		1,209
Hess Corp.		47,601		4,143
Marathon Oil Corp.		112,977		5,604
Massey Energy Co.		17,500		1,108
Murphy Oil Corp.		32,041		2,356
Nabors Industries, Ltd. (a)		48,204		1,372
National Oilwell Varco, Inc.		66,757		5,312
Newfield Exploration Co. (a)		22,900		1,667
Noble Corp.		42,500		1,900
Noble Energy, Inc.		27,610		2,558
Occidental Petroleum Corp.		131,744		13,434
Peabody Energy Corp.		42,524		2,785
Pioneer Natural Resources Co.		19,800		2,026
QEP Resources, Inc.		29,968		1,185
Range Resources Corp.		27,400		1,488
Rowan Cos., Inc. (a)		19,620		837
Schlumberger, Ltd.		220,458		20,595
Southwestern Energy Co. (a)		54,500		2,152
Spectra Energy Corp.		102,398		2,739
Sunoco, Inc.		20,384		853
Tesoro Corp. (a)		26,365		627
Valero Energy Corp.		89,109		2,511
Williams Cos., Inc.		92,268		2,801
				255,643
Financials — 16.1%
ACE Ltd.		53,800		3,403
AFLAC, Inc.		74,990		4,414
Allstate Corp.		85,006		2,701
American Express Co.		167,364		7,292
American International Group, Inc. (a)		24,133		894
Ameriprise Financial, Inc.		39,107		2,476
AON Corp.		51,947		2,734
Apartment Investment & Management Co. Class A		21,052		540
Assurant, Inc.		18,231		741
AvalonBay Communities, Inc.		14,598		1,767
Bank of America Corp.		1,628,971		23,278
Bank of New York Mellon Corp.		197,985		6,017
BB&T Corp.		109,870		3,032
Berkshire Hathaway, Inc. Class B (a)		279,503		24,395
Boston Properties, Inc.		21,967		2,107
Capital One Financial Corp.		72,463		3,606
CB Richard Ellis Group, Inc. Class A (a)		47,275		1,184
Charles Schwab Corp.		156,893		2,976
Chubb Corp.		48,175		2,923
Cincinnati Financial Corp.		27,114		923
Citigroup, Inc. (a)(b)		4,692,702		21,962
CME Group, Inc.		10,591		3,297
Comerica, Inc.		30,144		1,173
Developers Diversified Realty Corp.		1,532		22
Discover Financial Services		85,205		1,853
E*Trade Financial Corp. (a)		33,931		542
Equity Residential		44,857		2,472
Federated Investors, Inc. Class B		14,870		410
Fifth Third Bancorp		151,116		2,206
First Horizon National Corp. (a)		46,055		530
Franklin Resources, Inc.		22,980		2,887
Genworth Financial, Inc. Class A (a)		83,951		1,111
Goldman Sachs Group, Inc.		82,834		13,567
Hartford Financial Services Group, Inc.		69,797		2,066
HCP, Inc.		60,000		2,280
Health Care REIT, Inc.		24,400		1,274
Hudson City Bancorp, Inc.		89,992		1,035
Huntington Bancshares, Inc.		145,556		996
IntercontinentalExchange, Inc. (a)		12,480		1,600
Invesco Ltd.		72,300		1,941
J.P. Morgan Chase & Co.		631,215		29,471
Janus Capital Group, Inc.		31,407		422
KeyCorp		150,475		1,375
Kimco Realty Corp.		66,369		1,286
Legg Mason, Inc.		26,842		973
Leucadia National Corp.		33,636		1,114
Lincoln National Corp.		54,092		1,716
Loews Corp.		49,731		2,151
M & T Bank Corp.		18,637		1,641
Marsh & McLennan Cos., Inc.		85,653		2,607
Marshall & Ilsley Corp.		86,593		673
Mastercard, Inc. Class A		15,400		3,705
MetLife, Inc.		144,696		6,853
Moody’s Corp.		34,766		1,109
Morgan Stanley		241,630		7,172
NASDAQ OMX Group, Inc. (a)		25,400		727
Northern Trust Corp.		38,006		1,960
NYSE Euronext		44,600		1,650
Paychex, Inc.		50,338		1,693
People’s United Financial, Inc.		63,000		830
PNC Financial Services Group, Inc.		83,717		5,165
Principal Financial Group, Inc.		50,091		1,716
Progressive Corp.		104,301		2,173
ProLogis		88,691		1,442
Prudential Financial, Inc.		77,239		5,085
Public Storage, Inc.		21,987		2,468
Regions Financial Corp.		214,589		1,639
Simon Property Group, Inc.		46,615		5,130
SLM Corp. (a)		82,954		1,229
State Street Corp. (c)		79,725		3,565
SunTrust Banks, Inc.		78,718		2,375
T. Rowe Price Group, Inc.		40,475		2,711
Torchmark Corp.		13,721		895
Total System Services, Inc.		27,675		491
Travelers Cos., Inc.		73,004		4,375
U.S. Bancorp		306,652		8,503
Unum Group		54,229		1,439
Ventas, Inc.		26,800		1,485
Visa, Inc.		77,700		5,676
Vornado Realty Trust		25,614		2,391
Wells Fargo Co.		847,549		27,342
Western Union Co.		103,085		2,267
XL Capital, Ltd. Class A		55,268		1,291
Zions Bancorp		30,453		711
				321,319
Health Care — 10.3%
Abbott Laboratories		250,706		12,059
Aetna, Inc.		62,950		2,352
Allergan, Inc.		48,792		3,619
AmerisourceBergen Corp.		47,186		1,789
Amgen, Inc. (a)		151,136		7,758
Baxter International, Inc.		92,761		4,930
Becton, Dickinson & Co.		36,397		2,912
Biogen Idec, Inc. (a)		37,631		2,574
Boston Scientific Corp. (a)		237,834		1,703
Bristol-Myers Squibb Co.		273,416		7,057
C.R. Bard, Inc.		15,897		1,554
Cardinal Health, Inc.		54,957		2,288
CareFusion Corp. (a)		37,678		1,029
Celgene Corp. (a)		74,818		3,973
Cephalon, Inc. (a)		13,300		749
Cerner Corp. (a)		11,700		1,175
CIGNA Corp.		42,396		1,784
Coventry Health Care, Inc. (a)		26,203		791
Covidien PLC		68,700		3,530
DaVita, Inc. (a)		16,600		1,318

24

State Street Equity 500 Index Portfolio
Portfolio of Investments – (continued)
February 28, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Health Care — (continued)
Dentsply International, Inc.		24,300	$	908
Eli Lilly & Co.		161,775		5,591
Express Scripts, Inc. (a)		83,898		4,717
Forest Laboratories, Inc. (a)		48,802		1,581
Genzyme Corp. (a)		40,992		3,093
Gilead Sciences, Inc. (a)		129,299		5,040
Hospira, Inc. (a)		27,503		1,454
Humana, Inc. (a)		28,807		1,873
Intuitive Surgical, Inc. (a)		6,200		2,033
Johnson & Johnson		443,449		27,245
Laboratory Corp. of America Holdings (a)		17,422		1,570
Life Technologies Corp. (a)		31,887		1,702
McKesson Corp.		40,055		3,176
Mead Johnson Nutrition Co.		32,118		1,922
Medco Health Solutions, Inc. (a)		67,468		4,159
Medtronic, Inc.		172,378		6,881
Merck & Co., Inc.		499,070		16,255
Mylan, Inc. (a)		68,009		1,555
Patterson Cos., Inc.		16,494		551
Pfizer, Inc.		1,293,711		24,891
Quest Diagnostics, Inc.		24,200		1,373
St. Jude Medical, Inc. (a)		57,126		2,735
Stryker Corp.		54,089		3,422
Tenet Healthcare Corp. (a)		73,370		527
UnitedHealth Group, Inc.		175,696		7,481
Varian Medical Systems, Inc. (a)		20,560		1,424
Watson Pharmaceuticals, Inc. (a)		21,446		1,201
Wellpoint, Inc. (a)		62,538		4,157
Zimmer Holdings, Inc. (a)		30,852		1,923
				205,384
Industrials — 11.2%
3M Co.		115,972		10,696
Amphenol Corp. Class A		29,800		1,713
Avery Dennison Corp.		18,488		738
Boeing Co.		117,288		8,446
Caterpillar, Inc.		102,979		10,600
CH Robinson Worldwide, Inc.		26,061		1,887
Cintas Corp.		21,588		607
CSX Corp.		59,438		4,438
Cummins, Inc.		31,358		3,171
Danaher Corp.		85,272		4,315
Deere & Co.		67,637		6,097
Dover Corp.		29,195		1,876
Eaton Corp.		26,595		2,946
Emerson Electric Co.		120,248		7,174
Equifax, Inc.		22,083		789
Expeditors International Washington, Inc.		33,220		1,588
Fastenal Co.		25,200		1,566
FedEx Corp.		50,100		4,510
First Solar, Inc. (a)		9,270		1,366
Flir Systems, Inc.		27,100		875
Flowserve Corp.		9,500		1,187
Fluor Corp.		28,060		1,986
General Dynamics Corp.		60,061		4,572
General Electric Co. (b)		1,719,733		35,977
Goodrich Co.		19,645		1,694
Honeywell International, Inc.		124,581		7,214
Illinois Tool Works, Inc.		78,871		4,267
Ingersoll-Rand PLC		51,100		2,315
Iron Mountain, Inc.		32,200		837
ITT Industries, Inc.		28,692		1,662
Jacobs Engineering Group, Inc. (a)		20,400		1,021
Joy Global, Inc.		16,600		1,617
L-3 Communications Holdings, Inc.		19,303		1,531
Leggett & Platt, Inc.		24,998		576
Lockheed Martin Corp.		46,852		3,709
Masco Corp.		57,123		776
Monster Worldwide, Inc. (a)		22,609		388
Norfolk Southern Corp.		57,655		3,781
Northrop Grumman Corp.		46,311		3,088
PACCAR, Inc.		57,774		2,896
Pall Corp.		19,709		1,071
Parker-Hannifin Corp.		25,403		2,265
Pitney Bowes, Inc.		34,927		879
Precision Castparts Corp.		22,607		3,205
Quanta Services, Inc. (a)		36,800		839
R.R. Donnelley & Sons Co.		36,109		672
Raytheon Co.		57,682		2,954
Republic Services, Inc.		52,503		1,555
Robert Half International, Inc.		23,440		748
Rockwell Automation, Inc.		23,405		2,053
Rockwell Collins, Inc.		26,831		1,729
Roper Industries, Inc.		16,200		1,363
Ryder Systems, Inc.		7,921		379
Southwest Airlines Co.		127,686		1,511
Stericycle, Inc. (a)		14,800		1,279
Textron, Inc.		46,939		1,272
Thermo Fisher Scientific, Inc. (a)		63,024		3,518
Tyco International Ltd.		77,600		3,518
Union Pacific Corp.		78,768		7,515
United Parcel Service, Inc. Class B		160,446		11,841
United Technologies Corp.		149,678		12,504
W.W. Grainger, Inc.		9,969		1,328
Waste Management, Inc.		75,239		2,788
				223,278
Information Technology — 17.3%
Adobe Systems, Inc. (a)		80,457		2,776
Advanced Micro Devices, Inc. (a)		99,186		913
Agilent Technologies, Inc. (a)		54,568		2,296
Akamai Technologies, Inc. (a)		31,124		1,168
Altera Corp.		52,854		2,212
Analog Devices, Inc.		46,869		1,869
AOL, Inc. (a)(d)		1		—
Apple, Inc. (a)		147,984		52,269
Applied Materials, Inc.		211,707		3,478
Autodesk, Inc. (a)		38,876		1,635
Automatic Data Processing, Inc.		78,317		3,916
BMC Software, Inc. (a)		29,221		1,446
Broadcom Corp. Class A		72,159		2,974
CA, Inc.		63,199		1,566
Cisco Systems, Inc. (a)		897,719		16,662
Citrix Systems, Inc. (a)		29,467		2,067
Cognizant Technology Solutions Corp. Class A (a)		48,184		3,704
Computer Sciences Corp.		26,444		1,273
Compuware Corp. (a)		37,450		422
Corning, Inc.		248,876		5,739
Dell, Inc. (a)		266,550		4,219
Dun & Bradstreet Corp.		8,500		687
Electronic Arts, Inc. (a)		56,700		1,066
EMC Corp. (a)		334,684		9,107
F5 Networks, Inc. (a)		13,800		1,629
Fidelity National Information Services, Inc.		43,277		1,402
Fiserv, Inc. (a)		25,452		1,610
Google, Inc. Class A (a)		40,290		24,714
Harris Corp.		21,900		1,022
Hewlett-Packard Co.		367,216		16,022
Intel Corp.		901,456		19,354
International Business Machines Corp.		200,542		32,464
Intuit, Inc. (a)		43,963		2,312
Jabil Circuit, Inc.		31,651		678
Juniper Networks, Inc. (a)		82,793		3,643
KLA-Tencor Corp.		28,505		1,392
Lexmark International Group, Inc. Class A (a)		12,642		474
Linear Technology Corp.		36,963		1,277
LSI Corp. (a)		105,362		663
McAfee, Inc. (a)		26,300		1,261

25

State Street Equity 500 Index Portfolio
Portfolio of Investments – (continued)
February 28, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS — (continued)
Information Technology — (continued)
MEMC Electronic Materials, Inc. (a)		36,378	$	494
Microchip Technology, Inc.		32,489		1,199
Micron Technology, Inc. (a)		146,362		1,629
Microsoft Corp. (b)		1,215,435		32,306
Molex, Inc.		23,305		651
Motorola Mobility Holdings, Inc. (a)		50,183		1,516
Motorola Solutions, Inc. (a)		52,752		2,038
National Semiconductor Corp.		42,096		652
NetApp, Inc. (a)		57,257		2,958
Novell, Inc. (a)		60,120		353
Novellus Systems, Inc. (a)		15,230		609
NVIDIA Corp. (a)		91,556		2,075
Oracle Corp.		625,462		20,578
PerkinElmer, Inc.		21,118		560
QUALCOMM, Inc.		262,111		15,617
Red Hat, Inc. (a)		31,300		1,292
SAIC, Inc. (a)		50,200		820
Salesforce.com, Inc. (a)		18,600		2,460
SanDisk Corp. (a)		38,867		1,928
Symantec Corp. (a)		122,163		2,203
Tellabs, Inc.		63,030		340
Teradata Corp. (a)		28,920		1,383
Teradyne, Inc. (a)		28,149		524
Texas Instruments, Inc.		187,399		6,673
VeriSign, Inc.		29,421		1,038
Waters Corp. (a)		15,565		1,293
Western Digital Corp. (a)		39,300		1,202
Xerox Corp.		218,801		2,352
Xilinx, Inc.		42,402		1,410
Yahoo!, Inc. (a)		206,619		3,389
				344,923
Materials — 3.7%
Air Products & Chemicals, Inc.		33,909		3,120
Airgas, Inc.		11,300		707
AK Steel Holding Corp.		20,000		320
Alcoa, Inc.		161,349		2,719
Allegheny Technologies, Inc.		17,228		1,156
Ball Corp.		30,124		1,087
Bemis Co., Inc.		18,462		606
CF Industries Holdings, Inc.		12,150		1,717
Cliffs Natural Resources, Inc.		21,200		2,058
Dow Chemical Co.		185,228		6,883
E.I. Du Pont de Nemours & Co.		145,812		8,001
Eastman Chemical Co.		12,204		1,140
Ecolab, Inc.		36,366		1,769
FMC Corp.		12,600		976
Freeport-McMoRan Copper & Gold, Inc. Class B		150,504		7,969
International Flavors & Fragrances, Inc.		13,031		742
International Paper Co.		68,711		1,909
MeadWestvaco Corp.		26,720		784
Monsanto Co.		85,555		6,151
Newmont Mining Corp.		78,406		4,333
Nucor Corp.		49,754		2,386
Owens-Illinois, Inc. (a)		28,000		854
Plum Creek Timber Co., Inc.		27,611		1,159
PPG Industries, Inc.		25,671		2,269
Praxair, Inc.		48,711		4,841
Sealed Air Corp.		27,292		751
Sherwin-Williams Co.		15,296		1,256
Sigma-Aldrich Corp.		20,934		1,337
Titanium Metals Corp. (a)		16,600		315
United States Steel Corp.		24,578		1,413
Vulcan Materials Co.		22,561		1,034
Weyerhaeuser Co.		84,074		2,052
				73,814
Telecommunication Services — 2.9%
American Tower Corp. Class A (a)		63,200		3,410
AT&T, Inc.		954,350		27,084
CenturyTel, Inc.		47,673		1,963
Frontier Communications Corp.		169,844		1,442
JDS Uniphase Corp. (a)		38,023		938
MetroPCS Communications, Inc. (a)		44,800		645
Qwest Communications International, Inc.		273,390		1,865
Sprint Nextel Corp. (a)		469,465		2,052
Verizon Communications, Inc.		457,866		16,904
Windstream Corp.		82,613		1,036
				57,339
Utilities — 3.1%
AES Corp. (a)		102,795		1,272
Ameren Corp.		40,960		1,145
American Electric Power Co., Inc.		75,952		2,718
CenterPoint Energy, Inc.		72,311		1,147
CMS Energy Corp.		37,956		731
Consolidated Edison, Inc.		45,752		2,287
Constellation Energy Group, Inc.		34,214		1,063
Dominion Resources, Inc.		92,262		4,210
DTE Energy Co.		27,684		1,303
Duke Energy Corp.		210,420		3,785
Edison International		51,119		1,898
Entergy Corp.		28,498		2,029
Exelon Corp.		105,221		4,394
FirstEnergy Corp.		66,722		2,555
Integrys Energy Group, Inc.		13,216		647
NextEra Energy, Inc.		66,021		3,662
Nicor, Inc.		7,800		411
NiSource, Inc.		48,582		931
Northeast Utilities		30,100		1,025
NRG Energy, Inc. (a)		42,200		844
Oneok, Inc.		18,600		1,201
Pepco Holdings, Inc.		38,400		719
PG&E Corp.		62,026		2,857
Pinnacle West Capital Corp.		18,560		784
PPL Corp.		75,875		1,929
Progress Energy, Inc.		46,081		2,106
Public Service Enterprise Group, Inc.		79,924		2,614
SCANA Corp.		19,300		781
Sempra Energy		37,686		2,006
Southern Co.		133,643		5,093
TECO Energy, Inc.		34,951		633
Wisconsin Energy Corp.		20,100		1,190
Xcel Energy, Inc.		72,051		1,725
				61,695
TOTAL COMMON STOCKS (Cost $1,154,126)				1,953,289
	Principal
	Amount
U.S. GOVERNMENT SECURITIES — 0.2%
United States Treasury Bill (b)(e)(f) 0.13% due 04/07/11	$	3,765		3,764
United States Treasury Bill (b)(e)(f) 0.11% due 03/10/11		350		350
TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,114)				4,114
WARRANTS — 0.0%
Financials — 0.0%
American International Group, Inc. exp 01/19/21 (Cost $52) (a)		3,049		35

26

State Street Equity 500 Index Portfolio
Portfolio of Investments – (continued)
February 28, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
MONEY MARKET FUNDS — 2.0%
AIM Short Term Investment Prime Portfolio		39,703	$	39,703
Federated Money Market Obligations Trust		577		577
TOTAL MONEY MARKET FUNDS (Cost $40,280)				40,280
Total Investments (g)† — 100.3% (Identified cost $1,198,572 (h))				1,997,718
Liabilities in Excess of Assets — (0.3)%				(6,519	)
Net Assets — 100.0%			$	1,991,199

(a) Non-income producing security.

(b) All or part of this security has been designated as collateral for futures contracts.

(c) Affiliated issuer. See table that follows for more information.

(d) Amount is less than $1,000.

(e) Rate represents annualized yield at date of purchase.

(f) Value determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures.

(g) Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures.

(h) Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2011 was $856,109 and $56,963, respectively, resulting in net unrealized appreciation of investment of $799,146.

† Security valuation: The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

27

State Street Equity 500 Index Portfolio
Portfolio of Investments – (continued)
February 28, 2011 (Unaudited)

The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

•   Level 1 – quoted prices in active markets for identical securities

•   Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•   Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2011, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):

	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
ASSETS:
INVESTMENTS:
Common Stocks	$	1,953,289	$	–	$	–	$	1,953,289
U.S. Government Securities		–		4,114		–		4,114
Money Market Funds		40,280		–		–		40,280
Warrants		35						35
OTHER ASSETS:
Futures contracts		2,843		–		–		2,843
TOTAL ASSETS	$	1,996,447	$	4,114	$	–	$	2,000,561

The type of inputs used to value each security under the provisions surrounding Fair Value Measurements and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

The Portfolio adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.

As of the period ended February 28, 2011, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.

Derivatives

Futures:  The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market

28

State Street Equity 500 Index Portfolio
Portfolio of Investments – (continued)
February 28, 2011 (Unaudited)

value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.

	Number		Notional		Unrealized
	of		Value		Appreciation
	Contracts		(000)		(000)
Schedule of Futures Contracts S&P 500 Financial Futures Contracts (long) Expiration Date 03/2011		737	$	46,024	$	2,843
Total unrealized appreciation on open futures contracts purchased					$	2,843

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities for the period ended February 28, 2011:

Asset Derivatives⁽¹⁾ (amounts in thousands)

			Foreign
	Interest Rate		Exchange		Credit		Equity		Commodity		Other
	Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Total
Futures Contracts	$	-	$	-	$	-	$	2,843	$	-	$	-	$	2,843

(1)	Portfolio of Investments: Unrealized appreciation of futures contracts.
*	Includes cumulative appreciation/ depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities.

Transactions in derivative instruments during the two months ended February 28, 2011, were as follows:

Realized Gain (Loss) (amounts in thousands)

			Foreign
	Interest Rate		Exchange		Credit		Equity		Commodity		Other
	Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Total
Futures Contracts	$	-	$	-	$	-	$	158	$	-	$	-	$	158

Change in Appreciation (Depreciation) (amounts in thousands)

			Foreign
	Interest Rate		Exchange		Credit		Equity		Commodity		Other
	Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Contracts Risk		Total
Futures Contracts	$	-	$	-	$	-	$	3,105	$	-	$	-	$	3,105

The average notional of futures outstanding during the period ended February 28, 2011, was $42,695,194.

29

State Street Equity 500 Index Portfolio
Portfolio of Investments – (continued)
February 28, 2011 (Unaudited)

Affiliate Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at February 28, 2011 is listed in the Portfolio of Investments.

Income Earned

Number of

Shares Purchased

Shares Sold for

Number of

Value at

for the 2 Months

Realized Loss

Security

Shares Held

for the 2 Months

the 2 Months

Shares Held

2/28/2011

Ended 2/28/2011

on Shares Sold

Description

at 12/31/10

Ended 2/28/2011

Ended 2/28/2011

at 2/28/2011

(000)

(000)

(000)

State Street Corp.

85,825

-

6,100

79,725

$

3,565

$

-

$

(3

)

30

SSgA State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

February 28, 2011 (Unaudited)

(Amounts in thousands)

Assets
Investments in unaffiliated issuers at market value (identified cost $1,195,858)	$	1,994,153
Investments in non-controlled affiliates at market value (identified cost $2,714)		3,565
Total investments at market value (identified cost $1,198,572)		1,997,718
Receivable for investment securities sold		18
Daily variation margin on futures contracts		269
Dividends and interest receivable		4,044
Total assets		2,002,049
Liabilities
Investment securities purchased		5,089
Due to custodian		15
Management fees		72
Payable for withdrawals from portfolio		5,674
Total liabilities		10,850
Net Assets	$	1,991,199

31

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State Street Equity 500 Index Portfolio
Portfolio of Investments
December 31, 2010

			Market
			Value
	Shares		(000)
COMMON STOCKS – 93.1%
Consumer Discretionary – 10.3%
Abercrombie & Fitch Co. Class A		15,046	$	867
Amazon.Com, Inc.(a)		60,592		10,907
Apollo Group, Inc. Class A(a)		21,729		858
AutoNation, Inc.(a)		9,763		275
AutoZone, Inc.(a)		4,664		1,271
Bed Bath & Beyond, Inc.(a)		44,245		2,175
Best Buy Co., Inc.		56,419		1,935
Big Lots, Inc.(a)		12,727		388
Cablevision Systems Corp.		41,000		1,387
CarMax, Inc.(a)		38,400		1,224
Carnival Corp.		73,550		3,391
CBS Corp. Class B		116,303		2,216
Coach, Inc.		50,628		2,800
Comcast Corp. Class A		476,748		10,474
D.R. Horton, Inc.		47,976		572
Darden Restaurants, Inc.		24,588		1,142
DeVry, Inc.		10,400		499
Direct TV. Class A(a)		142,477		5,689
Discovery Communications, Inc. Class A(a)		48,600		2,027
eBay, Inc.(a)		196,003		5,455
Expedia, Inc.		34,515		866
Family Dollar Stores, Inc.		21,658		1,077
Ford Motor Co.(a)		640,198		10,749
Fortune Brands, Inc.		26,045		1,569
GameStop Corp. Class A(a)		26,800		613
Gannett Co., Inc.		42,074		635
Gap, Inc.		75,098		1,663
Genuine Parts Co.		26,909		1,381
Goodyear Tire & Rubber Co.(a)		42,357		502
H&R Block, Inc.		52,715		628
Harley-Davidson, Inc.		40,201		1,394
Harman International Industries, Inc(a)		12,621		584
Hasbro, Inc.		23,225		1,096
Home Depot, Inc.		280,012		9,817
Host Hotels & Resorts, Inc.		113,821		2,034
International Game Technology		53,619		948
Interpublic Group of Cos., Inc.(a)		83,894		891
JC Penney Co., Inc.		40,010		1,293
Johnson Controls, Inc.		115,186		4,400
Kohl’s Corp.(a)		49,933		2,713
Lennar Corp. Class A		25,931		486
Limited Brands		46,067		1,416
Lowe’s Cos., Inc.		235,762		5,913
Macy’s, Inc.		72,323		1,830
Marriot International, Inc. Class A		49,150		2,042
Mattel, Inc.		61,276		1,558
McDonald’s Corp.		180,525		13,857
McGraw-Hill, Inc.		52,466		1,910
Meredith Corp.		6,189		214
NetFlix, Inc.(a)		7,400		1,300
Newell Rubbermaid, Inc.		50,693		922
News Corp. Class A		390,209		5,681
NIKE, Inc. Class B		65,352		5,582
Nordstrom, Inc.		29,533		1,252
O’Reilly Automotive, Inc.(a)		24,600		1,486
Omnicom Group, Inc.		51,441		2,356
Polo Ralph Lauren Corp.		11,115		1,233
Priceline.com, Inc.(a)		8,390		3,352
Pulte Homes, Inc.(a)		54,705		411
Radioshack Corp.		20,103		372
Ross Stores, Inc.		20,600		1,303
Scripps Networks Interactive, Inc. Class A		15,435		799
Sears Holdings Corp.(a)		7,474		551
Snap-On, Inc.		9,212		521
Stanley Black & Decker, Inc.		28,307		1,893
Staples, Inc.		123,533		2,813
Starbucks Corp.		126,661		4,070
Starwood Hotels & Resorts Worldwide, Inc.		32,547		1,978
Target Corp.		121,016		7,277
Tiffany & Co.		21,580		1,344
Time Warner Cable, Inc.		60,771		4,013
Time Warner, Inc.		189,591		6,099
TJX Cos., Inc.		67,606		3,001
Urban Outfitters, Inc.(a)		22,000		788
V.F. Corp.		14,793		1,275
Viacom, Inc. Class B		103,322		4,093
Walt Disney Co.		323,545		12,136
Washington Post Co. Class B		960		422
Whirlpool Corp.		12,961		1,151
Wyndham Worldwide Corp.		29,699		890
Wynn Resorts, Ltd.		12,900		1,340
Yum! Brands, Inc.		80,092		3,928
				215,263
Consumer Staples – 9.8%
Altria Group, Inc.		356,799		8,784
Archer-Daniels-Midland Co.		109,124		3,282
Avon Products, Inc.		73,360		2,132
Brown-Forman Corp. Class B		17,755		1,236
Campbell Soup Co.		34,065		1,184
Clorox Co.		23,843		1,509
Coca-Cola Co.		396,811		26,098
Coca-Cola Enterprises, Inc.		57,901		1,449
Colgate-Palmolive Co.		82,501		6,631
ConAgra Foods, Inc.		75,175		1,697
Constellation Brands, Inc. Class A(a)		29,326		650
Costco Wholesale Corp.		73,889		5,335
CVS Caremark Corp.		232,232		8,075
Dean Foods Co.(a)		33,458		296
Dr Pepper Snapple Group, Inc.		38,800		1,364
Estee Lauder Cos., Inc. Class A		19,452		1,570
General Mills, Inc.		109,364		3,892
H.J. Heinz Co.		54,769		2,709
Hormel Foods Corp.		11,800		605
Kellogg Co.		43,435		2,219
Kimberly-Clark Corp.		69,700		4,394
Kraft Foods, Inc. Class A		298,509		9,406
Kroger Co.		108,976		2,437
Lorillard, Inc.		25,561		2,097
McCormick & Co., Inc.		22,753		1,059
Molson Coors Brewing Co., Class B		27,062		1,358
PepsiCo, Inc.		270,854		17,695
Philip Morris International, Inc.		309,999		18,144
Procter & Gamble Co.		478,319		30,770
Reynolds American, Inc.		57,774		1,885
Safeway, Inc.		64,364		1,448
Sara Lee Corp.		109,234		1,913
SuperValu, Inc.		34,848		336
Sysco Corp.		100,009		2,940
The Hershey Company		27,282		1,286
The J.M. Smucker Co.		20,460		1,343
Tyson Foods, Inc., Class A		51,235		882
Wal-Mart Stores, Inc.		334,802		18,056
Walgreen Co.		158,218		6,164
Whole Foods Market, Inc.(a)		25,533		1,292
				205,622
Energy – 11.2%
Anadarko Petroleum Corp.		84,726		6,453
Apache Corp.		65,325		7,789
Baker Hughes, Inc.		73,673		4,212
Cabot Oil & Gas Corp.		17,300		655
Cameron International Corp.(a)		41,400		2,100
Chesapeake Energy Corp.		111,782		2,896
Chevron Corp. (b)		343,846		31,376
ConocoPhillips		251,030		17,095
Consol Energy, Inc.		38,573		1,880
Denbury Resources, Inc.(a)		69,800		1,332

See Notes to Financial Statements.

33

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010

			Market
			Value
	Shares		(000)
COMMON STOCKS – (continued)
Energy – (continued)
Devon Energy Corp.		73,851	$	5,798
Diamond Offshore Drilling, Inc.		11,900		796
El Paso Corp.		120,292		1,655
EOG Resources, Inc.		43,417		3,969
EQT Corp.		25,500		1,143
ExxonMobil Corp. (b)		861,647		63,004
FMC Technologies, Inc.(a)		20,500		1,823
Halliburton Co.		155,434		6,346
Helmerich & Payne, Inc.		18,600		902
Hess Corp.		51,301		3,926
Marathon Oil Corp.		121,277		4,491
Massey Energy Co.		17,500		939
Murphy Oil Corp.		33,441		2,493
Nabors Industries, Ltd.(a)		48,204		1,131
National Oilwell Varco, Inc.		71,657		4,819
Newfield Exploration Co.(a)		22,900		1,651
Noble Energy, Inc.		29,910		2,575
Occidental Petroleum Corp.		138,844		13,620
Peabody Energy Corp.		46,124		2,951
Pioneer Natural Resources Co.		19,800		1,719
QEP Resources, Inc.		29,968		1,088
Range Resources Corp.		27,400		1,232
Rowan Cos., Inc.(a)		19,620		685
Schlumberger, Ltd.		233,158		19,469
Southwestern Energy Co.(a)		59,300		2,220
Spectra Energy Corp.		110,798		2,769
Sunoco, Inc.		20,384		822
Tesoro Corp.(a)		26,365		489
Valero Energy Corp.		96,709		2,236
Williams Cos., Inc.		99,968		2,471
				235,020
Financials – 15.3%
ACE Ltd.		58,000		3,611
AFLAC, Inc.		80,490		4,542
Allstate Corp.		92,006		2,933
American Express Co.		178,964		7,681
American International Group, Inc.(a)		24,133		1,391
Ameriprise Financial, Inc.		42,407		2,441
AON Corp.		56,347		2,593
Apartment Investment & Management Co. Class A		21,052		544
Assurant, Inc.		18,231		702
AvalonBay Communities, Inc.		14,598		1,643
Bank of America Corp.		1,723,371		22,990
Bank of New York Mellon Corp.		211,985		6,402
BB&T Corp.		118,570		3,117
Berkshire Hathaway, Inc. Class B(a)		295,703		23,689
Boston Properties, Inc.		23,967		2,064
Capital One Financial Corp.		78,063		3,322
CB Richard Ellis Group, Inc. Class A(a)		47,275		968
Charles Schwab Corp.		169,493		2,900
Chubb Corp.		52,075		3,106
Cincinnati Financial Corp.		27,114		859
Citigroup, Inc. (a)(b)		4,964,002		23,480
CME Group, Inc.		11,491		3,697
Comerica, Inc.		30,144		1,273
Developers Diversified Realty Corp.		1,532		22
Discover Financial Services		93,105		1,725
E*Trade Financial Corp.(a)		33,931		543
Equity Residential		48,557		2,523
Federated Investors, Inc. Class B		14,870		389
Fifth Third Bancorp		136,116		1,998
First Horizon National Corp.(a)		46,056		543
Franklin Resources, Inc.		24,880		2,767
Genworth Financial, Inc. Class A(a)		83,951		1,103
Goldman Sachs Group, Inc.		87,334		14,686
Hartford Financial Services Group, Inc.		75,997		2,013
HCP, Inc.		55,100		2,027
Health Care REIT, Inc.		20,800		991
Hudson City Bancorp, Inc.		89,992		1,146
Huntington Bancshares, Inc.		118,556		814
IntercontinentalExchange, Inc.(a)		12,480		1,487
Invesco Ltd.		79,000		1,901
J.P. Morgan Chase & Co.		668,015		28,337
Janus Capital Group, Inc.		31,407		407
KeyCorp		150,475		1,332
Kimco Realty Corp.		71,369		1,287
Legg Mason, Inc.		26,842		974
Leucadia National Corp.		33,636		981
Lincoln National Corp.		54,092		1,504
Loews Corp.		54,031		2,102
M & T Bank Corp.		20,437		1,779
Marsh & McLennan Cos., Inc.		92,853		2,539
Marshall & Ilsley Corp.		86,593		599
Mastercard, Inc. Class A		16,500		3,698
MetLife, Inc.		154,896		6,884
Moody’s Corp.		34,766		923
Morgan Stanley		258,530		7,035
NASDAQ OMX Group, Inc.(a)		25,400		602
Northern Trust Corp.		41,406		2,294
NYSE Euronext		44,600		1,337
Paychex, Inc.		55,738		1,723
People’s United Financial, Inc.		63,000		883
PNC Financial Services Group, Inc.		89,817		5,454
Principal Financial Group, Inc.		54,791		1,784
Progressive Corp.		113,401		2,253
ProLogis		88,691		1,281
Prudential Financial, Inc.		82,939		4,869
Public Storage, Inc.		23,887		2,423
Regions Financial Corp.		214,589		1,502
Simon Property Group, Inc.		50,015		4,976
SLM Corp.(a)		82,954		1,044
State Street Corp. (c)		85,825		3,977
SunTrust Banks, Inc.		85,418		2,521
T. Rowe Price Group, Inc.		43,775		2,825
Torchmark Corp.		13,721		820
Total System Services, Inc.		27,675		426
Travelers Cos., Inc.		78,404		4,368
U.S. Bancorp		327,752		8,839
Unum Group		54,229		1,313
Ventas, Inc.		26,800		1,406
Visa, Inc.		83,300		5,863
Vornado Realty Trust		27,814		2,318
Wells Fargo Co.		896,849		27,793
Western Union Co.		112,085		2,081
XL Capital, Ltd. Class A		55,268		1,206
Zions Bancorp		30,453		738
				321,926
Health Care – 9.9%
Abbott Laboratories		264,106		12,653
Aetna, Inc.		68,350		2,085
Allergan, Inc.		52,592		3,612
AmerisourceBergen Corp.		47,186		1,610
Amgen, Inc.(a)		161,436		8,863
Baxter International, Inc.		99,561		5,040
Becton, Dickinson & Co.		39,297		3,321
Biogen Idec, Inc.(a)		40,731		2,731
Boston Scientific Corp.(a)		259,734		1,966
Bristol-Myers Squibb Co.		292,516		7,746
C.R. Bard, Inc.		15,897		1,459
Cardinal Health, Inc.		59,657		2,285
CareFusion Corp.(a)		31,178		801
Celgene Corp.(a)		80,418		4,756
Cephalon, Inc.(a)		13,300		821
Cerner Corp.(a)		11,700		1,108
CIGNA Corp.		47,096		1,727

See Notes to Financial Statements.

34

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010

			Market
			Value
	Shares		(000)
COMMON STOCKS – (continued)
Health Care – (continued)
Coventry Health Care, Inc.(a)		26,203	$	692
DaVita, Inc.(a)		16,600		1,154
Dentsply International, Inc.		24,300		830
Eli Lilly & Co.		173,375		6,075
Express Scripts, Inc.(a)		90,098		4,870
Forest Laboratories, Inc.(a)		48,802		1,561
Genzyme Corp.(a)		44,292		3,154
Gilead Sciences, Inc.(a)		138,699		5,026
Hospira, Inc.(a)		29,203		1,626
Humana, Inc.(a)		28,807		1,577
Intuitive Surgical, Inc.(a)		6,700		1,727
Johnson & Johnson		469,249		29,023
Laboratory Corp. of America
Holdings(a)		17,422		1,532
Life Technologies Corp.(a)		31,887		1,770
McKesson Corp.		43,255		3,044
Mead Johnson Nutrition Co.		34,918		2,174
Medco Health Solutions, Inc.(a)		72,568		4,446
Medtronic, Inc.		184,578		6,846
Merck & Co., Inc.		526,470		18,974
Mylan, Inc.(a)		74,409		1,572
Patterson Cos., Inc.		16,494		505
Pfizer, Inc.		1,368,711		23,966
Quest Diagnostics, Inc.		24,200		1,306
St. Jude Medical, Inc.(a)		59,626		2,549
Stryker Corp.		58,389		3,135
Tenet Healthcare Corp.(a)		73,370		491
UnitedHealth Group, Inc.		187,996		6,789
Varian Medical Systems, Inc.(a)		20,560		1,424
Watson Pharmaceuticals, Inc.(a)		21,446		1,108
Wellpoint, Inc.(a)		67,238		3,823
Zimmer Holdings, Inc.(a)		33,752		1,812
				207,165
Industrials – 10.5%
3M Co.		122,172		10,543
Amphenol Corp. Class A		29,800		1,573
Avery Dennison Corp.		18,488		783
Boeing Co.		125,388		8,183
Caterpillar, Inc.		108,479		10,160
CH Robinson Worldwide, Inc.		28,361		2,274
Cintas Corp.		21,588		604
CSX Corp.		63,938		4,131
Cummins, Inc.		33,758		3,714
Danaher Corp.		91,672		4,324
Deere & Co.		72,437		6,016
Dover Corp.		31,895		1,864
Eaton Corp.		28,795		2,923
Emerson Electric Co.		128,648		7,355
Equifax, Inc.		22,083		786
Expeditors International Washington, Inc.		36,320		1,983
Fastenal Co.		25,200		1,510
FedEx Corp.		53,800		5,004
First Solar, Inc.(a)		9,270		1,206
Flir Systems, Inc.(a)		27,100		806
Flowserve Corp.		9,500		1,133
Fluor Corp.		30,560		2,025
General Dynamics Corp.		64,561		4,581
General Electric Co. (b)		1,820,633		33,299
Goodrich Co.		21,445		1,889
Honeywell International, Inc.		133,281		7,085
Illinois Tool Works, Inc.		84,771		4,527
Ingersoll-Rand PLC		55,400		2,609
Iron Mountain, Inc.		32,200		805
ITT Industries, Inc.		31,392		1,636
Jacobs Engineering Group, Inc.(a)		22,300		1,023
L-3 Communications Holdings, Inc.		19,303		1,361
Leggett & Platt, Inc.		24,998		569
Lockheed Martin Corp.		50,452		3,527
Masco Corp.		64,323		814
Monster Worldwide, Inc.(a)		22,609		534
Norfolk Southern Corp.		62,055		3,898
Northrop Grumman Corp.		49,911		3,233
PACCAR, Inc.		62,274		3,576
Pall Corp.		19,709		977
Parker-Hannifin Corp.		27,603		2,382
Pitney Bowes, Inc.		34,927		845
Precision Castparts Corp.		24,407		3,398
Quanta Services, Inc.(a)		36,800		733
R.R. Donnelley & Sons Co.		36,109		631
Raytheon Co.		62,282		2,886
Republic Services, Inc.		52,503		1,568
Robert Half International, Inc.		26,540		812
Rockwell Automation, Inc.		24,705		1,772
Rockwell Collins, Inc.		26,831		1,563
Roper Industries, Inc.		16,200		1,238
Ryder Systems, Inc.		7,921		417
Southwest Airlines Co.		127,686		1,657
Stericycle, Inc.(a)		14,800		1,198
Textron, Inc.		46,939		1,110
Thermo Fisher Scientific, Inc.(a)		67,924		3,760
Tyco International Ltd.		83,600		3,464
Union Pacific Corp.		84,268		7,808
United Parcel Service, Inc. Class B		168,946		12,262
United Technologies Corp.		157,778		12,420
W.W. Grainger, Inc.		9,969		1,377
Waste Management, Inc.		81,339		2,999
				221,143
Information Technology – 16.5%
Adobe Systems, Inc.(a)		86,957		2,677
Advanced Micro Devices, Inc.(a)		99,186		811
Agilent Technologies, Inc.(a)		59,168		2,451
Akamai Technologies, Inc.(a)		31,124		1,464
Altera Corp.		52,854		1,881
Analog Devices, Inc.		51,069		1,924
AOL, Inc. (a)(d)		1		—
Apple, Inc.(a)		156,784		50,572
Applied Materials, Inc.		228,307		3,208
Autodesk, Inc.(a)		38,876		1,485
Automatic Data Processing, Inc.		84,317		3,902
BMC Software, Inc.(a)		31,221		1,472
Broadcom Corp. Class A		77,859		3,391
CA, Inc.		67,099		1,640
Cisco Systems, Inc.(a)		947,119		19,160
Citrix Systems, Inc.(a)		32,067		2,194
Cognizant Technology Solutions Corp. Class A(a)		51,884		3,803
Computer Sciences Corp.		26,444		1,312
Compuware Corp.(a)		37,450		437
Corning, Inc.		267,076		5,160
Dell, Inc.(a)		286,950		3,888
Dun & Bradstreet Corp.		8,500		698
Electronic Arts, Inc.(a)		56,700		929
EMC Corp.(a)		352,084		8,063
F5 Networks, Inc.(a)		13,800		1,796
Fidelity National Information Services, Inc.		46,577		1,276
Fiserv, Inc.(a)		25,452		1,490
Google, Inc. Class A(a)		42,590		25,297
Harris Corp.		21,900		992
Hewlett-Packard Co.		387,516		16,314
Intel Corp.		953,156		20,045
International Business Machines Corp.		212,242		31,149
Intuit, Inc.(a)		47,763		2,355
Jabil Circuit, Inc.		31,651		636
Juniper Networks, Inc.(a)		89,393		3,300
KLA-Tencor Corp.		28,505		1,101

See Notes to Financial Statements.

35

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010

			Market
			Value
	Shares		(000)
COMMON STOCKS – (continued)
Information Technology – (continued)
Lexmark International Group, Inc. Class A(a)		12,642	$	440
Linear Technology Corp.		39,863		1,379
LSI Corp.(a)		105,362		631
McAfee, Inc.(a)		26,300		1,218
MEMC Electronic Materials, Inc.(a)		36,378		410
Microchip Technology, Inc.		32,489		1,111
Micron Technology, Inc.(a)		146,362		1,174
Microsoft Corp. (b)		1,286,535		35,920
Molex, Inc.		23,305		530
Motorola, Inc.(a)		401,465		3,641
National Semiconductor Corp.		42,096		579
NetApp, Inc.(a)		61,757		3,394
Novell, Inc.(a)		60,120		356
Novellus Systems, Inc.(a)		15,230		492
NVIDIA Corp.(a)		99,256		1,529
Oracle Corp.		661,462		20,704
PerkinElmer, Inc.		21,118		545
QLogic Corp.(a)		17,922		305
QUALCOMM, Inc.		276,411		13,680
Red Hat, Inc.(a)		33,300		1,520
SAIC, Inc.(a)		50,200		796
Salesforce.com, Inc.(a)		20,200		2,666
SanDisk Corp.(a)		40,667		2,028
Symantec Corp.(a)		132,663		2,221
Tellabs, Inc.		63,030		427
Teradata Corp.(a)		28,920		1,190
Teradyne, Inc.(a)		28,149		395
Texas Instruments, Inc.		200,599		6,519
VeriSign, Inc.		29,421		961
Waters Corp.(a)		15,565		1,210
Western Digital Corp.(a)		39,300		1,332
Xerox Corp.		237,001		2,730
Xilinx, Inc.		45,602		1,322
Yahoo!, Inc.(a)		222,719		3,704
				345,332
Materials – 3.6%
Air Products & Chemicals, Inc.		36,609		3,330
Airgas, Inc.		14,300		893
AK Steel Holding Corp.		20,000		327
Alcoa, Inc.		174,549		2,686
Allegheny Technologies, Inc.		17,228		951
Ball Corp.		15,062		1,025
Bemis Co., Inc.		18,462		603
CF Industries Holdings, Inc.		12,150		1,642
Cliffs Natural Resources, Inc.		23,400		1,825
Dow Chemical Co.		198,328		6,771
E.I. Du Pont de Nemours & Co.		156,012		7,782
Eastman Chemical Co.		12,204		1,026
Ecolab, Inc.		39,666		2,000
FMC Corp.		12,600		1,007
Freeport-McMoRan Copper & Gold, Inc. Class B		80,452		9,661
International Flavors & Fragrances, Inc.		13,031		724
International Paper Co.		74,711		2,035
MeadWestvaco Corp.		30,320		793
Monsanto Co.		91,655		6,383
Newmont Mining Corp.		84,206		5,173
Nucor Corp.		53,954		2,364
Owens-Illinois, Inc.(a)		28,000		860
Plum Creek Timber Co., Inc.		27,611		1,034
PPG Industries, Inc.		27,871		2,343
Praxair, Inc.		52,311		4,994
Sealed Air Corp.		27,292		695
Sherwin-Williams Co.		15,296		1,281
Sigma-Aldrich Corp.		20,934		1,393
Titanium Metals Corp.(a)		16,600		285
United States Steel Corp.		24,578		1,436
Vulcan Materials Co.		22,561		1,001
Weyerhaeuser Co.		91,574		1,734
				76,057
Telecommunication Services – 2.9%
American Tower Corp. Class A(a)		68,200		3,522
AT&T, Inc.		1,009,850		29,669
CenturyTel, Inc.		51,773		2,390
Frontier Communications Corp.		169,844		1,653
JDS Uniphase Corp.(a)		38,023		550
MetroPCS Communications, Inc.(a)		44,800		566
Qwest Communications International, Inc.		297,790		2,266
Sprint Nextel Corp.(a)		510,465		2,159
Verizon Communications, Inc.		483,066		17,284
Windstream Corp.		82,613		1,153
				61,212
Utilities – 3.1%
AES Corp.(a)		115,195		1,403
Allegheny Energy, Inc.		28,359		687
Ameren Corp.		40,960		1,155
American Electric Power Co., Inc.		82,052		2,952
CenterPoint Energy, Inc.		72,311		1,137
CMS Energy Corp.		37,956		706
Consolidated Edison, Inc.		49,652		2,461
Constellation Energy Group, Inc.		34,214		1,048
Dominion Resources, Inc.		99,162		4,236
DTE Energy Co.		29,884		1,354
Duke Energy Corp.		226,320		4,031
Edison International		55,719		2,151
Entergy Corp.		30,898		2,188
Exelon Corp.		113,021		4,706
FirstEnergy Corp.		52,107		1,929
Integrys Energy Group, Inc.		13,216		641
NextEra Energy, Inc.		71,021		3,692
Nicor, Inc.		7,800		389
NiSource, Inc.		48,582		856
Northeast Utilities		30,100		960
NRG Energy, Inc.(a)		42,200		825
Oneok, Inc.		18,600		1,032
Pepco Holdings, Inc.		38,400		701
PG&E Corp.		67,026		3,207
Pinnacle West Capital Corp.		18,560		769
PPL Corp.		82,575		2,173
Progress Energy, Inc.		50,081		2,178
Public Service Enterprise Group, Inc.		86,424		2,749
SCANA Corp.		19,300		784
Sempra Energy		40,986		2,151
Southern Co.		143,343		5,480
TECO Energy, Inc.		34,951		622
Wisconsin Energy Corp.		20,100		1,183
Xcel Energy, Inc.		78,651		1,852
				64,388
TOTAL COMMON STOCKS (Cost $1,230,336)				1,953,128
	Principal
	Amount
U.S. GOVERNMENT SECURITIES – 0.2%
United States Treasury Bill (b)(e)(f) 0.08% due 01/20/11	$	3,765		3,765
United States Treasury Bill (b)(e)(f) 0.11% due 03/10/11		350		350
TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,115)				4,115

See Notes to Financial Statements.

36

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010

			Market
			Value
	Shares		(000)
MONEY MARKET FUNDS – 1.6%
AIM Short Term Investment Prime Portfolio		33,049	$	33,049
Federated Money Market Obligations Trust		576		576
TOTAL MONEY MARKET FUNDS (Cost $33,625)				33,625
TOTAL INVESTMENTS (g)† – 94.9% (Identified Cost $1,268,076)				1,990,868
Other Assets in Excess of Liabilities – 5.1%				107,269
NET ASSETS – 100.0%			$	2,098,137

(a)	Non-income producing security.
(b)	All or part of this security has been designated as collateral for futures contracts.
(c)	Affiliated issuer. See table that follows for more information.
(d)	Amount is less than $1,000.
(e)	Rate represents annualized yield at date of purchase.
(f)	Value determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)
(g)	Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)
†	See Note 2 of the Notes to Financial Statements.

			Notional		Unrealized
	Number of		Value		Appreciation
	Contracts		(000)		(000)
Schedule of Futures Contracts S&P 500 Financial Futures Contracts (long) Expiration Date 03/2011		637		$39,366	$	542
Total unrealized appreciation on open futures contracts purchased					$	542

Affiliate Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.

Income earned

Shares purchased

Shares sold for

Number of

Value at

for the twelve months

Realized loss

Security

Number of shares

for the twelve months

the twelve months

shares held

12/31/2010

ended 12/31/2010

on shares sold

Description

held at 12/31/09

ended 12/31/2010

ended 12/31/2010

at 12/31/2010

(000)

(000)

(000)

State Street Corp.

90,925

6,300

11,400

85,825

$3,977

$4

$(225)

See Notes to Financial Statements.

37

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

December 31, 2010

(Amounts in thousands)

Assets
Investments in unaffiliated issuers at market value (identified cost $1,265,072)	$	1,986,891
Investments in non-controlled affiliates at market value (identified cost $3,004) (Note 4)		3,977
Total investments at market value (identified cost $1,268,076)		1,990,868
Cash		2
Receivable for Investment securities sold		104,961
Dividends and interest receivable		2,433
Total assets		2,098,264
Liabilities
Daily variation margin on futures contracts		47
Management fees (Note 4)		80
Total liabilities		127
Net Assets	$	2,098,137

See Notes to Financial Statements.

38

State Street Equity 500 Index Portfolio

Statement of Operations

Year Ended December 31, 2010

(Amounts in thousands)

Investment Income
Interest	$	67
Dividend income — unaffiliated issuers (net of foreign taxes withheld of $2)		38,450
Dividend income — non-controlled affiliated issuer		4
Total investment income		38,521
Expenses
Management fees (Note 4)		853
Total expenses		853
Net Investment Income	$	37,668
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments — unaffiliated issuers		20,628
Investments — non-controlled affiliated issuer		(225	)
Futures contracts		5,708
		26,111
Net change in net unrealized appreciation (depreciation) on:
Investments		214,090
Futures contracts		(5	)
		214,085
Net realized and unrealized gain		240,196
Net Increase in Net Assets Resulting from Operations	$	277,864

See Notes to Financial Statements.

39

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

(Amounts in thousands)

	For The Year Ended			For The Year Ended
	December 31, 2010			December 31, 2009
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	37,668		$	38,199
Net realized gain (loss) on investments and futures contracts		26,111			(88,220	)
Net change in net unrealized appreciation on investments and futures contracts		214,085			473,395
Net increase in net assets from operations		277,864			423,374
Capital Transactions:
Contributions		241,838			267,641
Withdrawals		(314,951	)		(319,837	)
Net decrease in net assets from capital transactions		(73,113	)		(52,196	)
Net Increase in Net Assets		204,751			371,178
Net Assets
Beginning of year		1,893,386			1,522,208
End of year	$	2,098,137		$	1,893,386

See Notes to Financial Statements.

40

State Street Equity 500 Index Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	12/31/10			12/31/09			12/31/08			12/31/07			12/31/06
Supplemental Data and Ratios:
Net assets, end of year (in thousands)	$	2,098,137		$	1,893,386		$	1,522,208		$	2,422,377		$	2,766,696
Ratios to average net assets:
Operating expenses		0.045	%		0.045	%		0.045	%		0.045	%		0.045	%
Net investment income		1.99	%		2.28	%		2.30	%		1.96	%		1.94	%
Portfolio turnover rate(a)		12	%		19	%		14	%		12	%		10	%
Total return(b)		15.08	%		26.50	%		(37.02	)%		5.49	%		15.75	%

(a)	The portfolio turnover rate excludes in-kind security transactions.
(b)	Results represent past performance and are not indicative of future results.

See Notes to Financial Statements.

41

State Street Equity 500 Index Portfolio

Notes to Financial Statements

December 31, 2010

1. Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).

At December 31, 2010, the following Portfolios were in operation: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500^® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500^® Index. The S&P 500^® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

•  Level 1 — quoted prices in active markets for identical securities

•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

42

State Street Equity 500 Index Portfolio

Notes to Financial Statements (continued)

December 31, 2010

The following is a summary of the inputs used, as of December 31, 2010, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):

	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
ASSETS:
INVESTMENTS:
Common Stocks	$	1,953,128	$	–	$	–	$	1,953,128
U.S. Government Securities		–		4,115		–		4,115
Money Market Funds		33,625		–		–		33,625
OTHER ASSETS:
Futures contracts		542		–		–		542
TOTAL ASSETS	$	1,987,295	$	4,115	$	–	$	1,991,410

The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

The Portfolio adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.

As of the year ended December 31, 2010, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.

Federal income taxes:  The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2010, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years 2007 through 2010 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2010, the book cost of investments was $1,268,075,887 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $791,849,304 and $69,056,837 respectively, resulting in net appreciation of $722,792,467 for all securities as computed on a federal income tax basis.

Futures:  The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

43

State Street Equity 500 Index Portfolio

Notes to Financial Statements (continued)

December 31, 2010

To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2010:

Asset Derivatives⁽¹⁾ (amounts in thousands)

Foreign

Interest Rate

Exchange

Credit

Equity

Commodity

Other

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk*

Contracts Risk

Contracts Risk

Total

Futures Contracts

$

–

$

–

$

–

$

542

$

–

$

–

$

542

⁽¹⁾  Portfolio of Investments: Unrealized appreciation of futures contracts.

 *   Includes cumulative appreciation/depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities.

Transactions in derivative instruments during the year ended December 31, 2010, were as follows:

Realized Gain (Loss)⁽¹⁾ (amounts in thousands)

Foreign

Interest Rate

Exchange

Credit

Equity

Commodity

Other

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Total

Futures Contracts

$

–

$

–

$

–

$

5,708

$

–

$

–

$

5,708

Change in Appreciation (Depreciation)⁽²⁾ (amounts in thousands)

Foreign

Interest Rate

Exchange

Credit

Equity

Commodity

Other

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Total

Futures Contracts

$

–

$

–

$

–

$

(5

)

$

–

$

–

$

(5

)

⁽¹⁾  Statement of Operations location: Net realized gain (loss) on: Futures contracts

⁽²⁾  Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional of futures outstanding during the year ended December 31, 2010, was $51,379,065.

Use of estimates:  The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.

3. Securities Transactions

For the year ended December 31, 2010, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $217,471,983 and $339,764,058 respectively.

4. Related Party Fees and Transactions

The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.

44

State Street Equity 500 Index Portfolio

Notes to Financial Statements (continued)

December 31, 2010

5. Trustees’ Fees

Pursuant to certain agreements with State Street and its affiliates, each Independent Trustee receives for his or her services a $30,000 retainer in addition to $2,500 for each in-person meeting and $500 for each telephonic meeting from State Street or its affiliates. These fees are paid through a unitary fee.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

45

State Street Equity 500 Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:

We have audited the accompanying statement of assets and liabilities of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”), including the portfolio of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, a portfolio of State Street Master Funds, at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts
February 22, 2011

46

SSgA State Street Equity 500 Index Portfolio

General Information

December 31, 2010 (Unaudited)

Proxy Voting Policies and Procedures and Record

The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.

Quarterly Portfolio Schedule

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.

Advisory Agreement Renewal

The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering the Advisory Agreement, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the SSgA Funds Management, Inc. (the “Adviser”) under the Advisory Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and policies with respect to its investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of index products are exceptional. As discussed more fully below, they also determined that the advisory fee for the Portfolio was fair and reasonable and that its performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.

The Trustees noted that, in view of the investment objective of the Portfolio and the available data, the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that the performance of the Portfolio was acceptable.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive.

In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense

47

State Street Equity 500 Index Portfolio

General Information (continued)

December 31, 2010 (Unaudited)

ratio were all lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.

In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the Portfolio and, indirectly, by the feeder fund. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the Portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with that of the Portfolio, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Board determined that the Adviser’s fee was fair and reasonable.

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.

The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee level reflects such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.

48

Trustees and Executive Officers (Unaudited)

The table below includes information about the Trustees and Executive Officers of the State Street Master Funds, including their:

•   business addresses and ages;

•   principal occupations during the past five years; and

•   other directorships of publicly traded companies or funds.

				Number of
				Funds in Fund
Name, Address,	Position(s)	Term of Office	Principal	Complex
and Date of Birth	Held with	and Length of	Occupation During	Overseen by		Other Directorships
(“DOB”)	Trust	Time Served	Past Five Years	Trustee*		Held by Trustee
Independent Trustees
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 DOB: 1944	Trustee and Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).		22	Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1937	Trustee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – present); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1994 – 2008).		22	Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage.
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1948	Trustee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1998 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001): Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).		22	Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America 1993-2009; Director, IEmily.com, Inc. 2000 – present; and Trustee, National Osteoporosis Foundation 2005 – 2008
Douglas T. Williams State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1940	Trustee	Term: Indefinite Elected: 7/99	Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999.		22	Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust, 2002 – 2007
* The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust.

49

				Number of
				Funds in Fund
Name, Address,	Position(s)	Term of Office	Principal	Complex
and Date of Birth	Held with	and Length of	Occupation During	Overseen by		Other Directorships
(‘‘DOB”)	Trust	Time Served	Past Five Years	Trustee*		Held by Trustee
Interested Trustees(1)
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1965	Trustee President	Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05	President, SSgA Funds Management Inc. (2005 – present); Principal, SSgA Funds Management, Inc. (2001 – 2005); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2000 – 2006).		22	Trustee, State Street Institutional Investment Trust; Trustee, SPDR® Series Trust; Trustee, SPDR® Index Shares Trust and Trustee, Select Sector SPDR® Trust
Officers
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1967	Vice President	Term: Indefinite Elected: 09/09	Vice President, SSgA Funds Management, Inc. (investment adviser); July 2007 to Present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.		—	—
Laura F. Healy State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 DOB: 1964	Treasurer Assistant Treasurer	Term: Indefinite Elected: 11/10 11/08-11/10	Vice President of State Street Bank and Trust Company (prior to July 2, 2008, Investors Financial Corporation) since 2002.		—	—
Brian D. O’Sullivan State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 11/08	Vice President of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1997.		—	—
Peter T. Sattelmair State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1977	Assistant Treasurer	Term: Indefinite Elected: 11/08	Director of Fund Administration of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1999.		—	—
David James State Street Bank and Trust Company 4 Copley Place 5th Floor Boston, MA 02116 DOB: 1970	Secretary	Term: Indefinite Elected: 11/09	Vice President and Managing Counsel, State Street Bank and Trust Company, 2009 to present; Vice President and Counsel, PNC Global Investment Servicing (US), Inc. 2006 to 2009; Assistant Vice President and Counsel, State Street Bank and Trust Company, October 2000 to December 2004 and was retired in 2005.		—	—
Cuan Coulter State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1972	Chief Compliance Officer	Term: Indefinite Elected: 12/2010	Senior Vice President, SSgA Global Chief Compliance Officer (2009 – present); Senior Vice President, SSgA U.S. Senior Compliance Officer (2008 – 2009); Partner, Pricewaterhouse Coopers, LLP (1999 – 2008)		—	—

*  The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust.

⁽¹⁾ Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

50

Trustees

Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross

Investment Adviser
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111

Custodian
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111

Administrator
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105

Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116

Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

SSgA State Street Equity 500 Index Portfolio

State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206

ISAR-02/11

EQUITY FUNDS

Disciplined Equity Fund
Small Cap Fund
Small Cap Fund – Class R
Tuckerman Active REIT Fund
IAM SHARES Fund
Enhanced Small Cap Fund
Directional Core Equity Fund

Semiannual Report
February 28, 2011

SSgA Funds

Equity Funds

Semiannual Report

February 28, 2011 (Unaudited)

Table of Contents

	Page
Disciplined Equity Fund	3
Small Cap Fund	11
Tuckerman Active REIT Fund	19
IAM SHARES Fund	23
Enhanced Small Cap Fund	31
Directional Core Equity Fund	41
Notes to Schedules of Investments	47
Statements of Assets and Liabilities	48
Statements of Operations	50
Statements of Changes in Net Assets	52
Financial Highlights	54
Notes to Financial Highlights	56
Notes to Financial Statements	57
Shareholder Requests for Additional Information	70
Disclosure of Information about Fund Trustees and Officers	71
Fund Management and Service Providers	75

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds. This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

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SSgA
Disciplined Equity Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,285.30	$	1,021.57
Expenses Paid During Period*	$	3.68	$	3.26

*  Expenses are equal to the Fund’s annualized expense ratio of 0.65% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Disciplined Equity Fund 3

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SSgA
Disciplined Equity Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 99.0%
Consumer Discretionary - 10.9%
Advance Auto Parts, Inc. (Ñ)		509		32
Amazon.com, Inc. (Æ)		31		5
Apollo Group, Inc. Class A (Æ)		270		12
Autoliv, Inc.		10		1
Bed Bath & Beyond, Inc. (Æ)		834		40
CBS Corp. Class B		1,310		31
Coach, Inc.		174		10
Comcast Corp. Class A		3,124		80
Darden Restaurants, Inc. (Ñ)		745		35
DISH Network Corp. Class A (Æ)		471		11
Dollar Tree, Inc. (Æ)		22		1
Expedia, Inc. (Ñ)		1,238		25
Ford Motor Co. (Æ)(Ñ)		3,923		59
Gap, Inc. (The) (Ñ)		850		19
Home Depot, Inc.		115		4
Interpublic Group of Cos., Inc. (The)		61		1
Kohl’s Corp.		10		—	±
Lear Corp.		160		17
Liberty Media Corp. - Interactive (Æ)		525		8
Limited Brands, Inc.		1,235		40
Lowe’s Cos., Inc.		766		20
Macy’s, Inc.		1,778		42
McDonald’s Corp. (Ñ)		208		16
McGraw-Hill Cos., Inc. (The) (Ñ)		95		4
Newell Rubbermaid, Inc. (Ñ)		60		1
News Corp. Class A		3,305		57
Penn National Gaming, Inc. (Æ) (Ñ)		220		8
Starbucks Corp.		910		30
Target Corp.		804		42
Time Warner, Inc. (Ñ)		1,639		63
TJX Cos., Inc.		498		25
TRW Automotive Holdings Corp. (Æ)		611		35
Viacom, Inc. Class A		216		10
Walt Disney Co. (The)		366		16
Washington Post Co. (The) Class B (Ñ)		59		26
Whirlpool Corp. (Ñ)		137		11
Yum! Brands, Inc.		20		1
				838
Consumer Staples - 10.5%
Altria Group, Inc.		210		5
BJ’s Wholesale Club, Inc. (Æ)		16		1
Coca-Cola Co. (The)		1,586		101
Coca-Cola Enterprises, Inc.		1,546		41
Corn Products International, Inc.		450		22
Dr Pepper Snapple Group, Inc.		136		5
General Mills, Inc.		620		23
Herbalife, Ltd. (Ñ)		252		20
JM Smucker Co. (The) (Ñ)		207		14
Kimberly-Clark Corp.		33		2
Kroger Co. (The)		1,779		41
Lorillard, Inc. (Ñ)		558		43
Molson Coors Brewing Co. Class B		516		24
PepsiCo, Inc.		479		30
Philip Morris International, Inc.		1,636		103
Procter & Gamble Co. (The)		2,134		135
Reynolds American, Inc. (Ñ)		110		4
Tyson Foods, Inc. Class A		2,041		38
Walgreen Co. (Ñ)		1,419		61
Wal-Mart Stores, Inc.		1,816		94
				807
Energy - 12.9%
Chevron Corp.		1,581		164
ConocoPhillips		437		34
El Paso Corp. (Ñ)		2,474		46
Exxon Mobil Corp.		3,559		304
Halliburton Co. (Ñ)		392		18
Hess Corp.		605		53
Marathon Oil Corp.		831		41
National Oilwell Varco, Inc.		409		33
Newfield Exploration Co. (Æ)		323		23
Occidental Petroleum Corp.		164		17
Oil States International, Inc. (Æ)		530		39
Patterson-UTI Energy, Inc. (Ñ)		36		1
Peabody Energy Corp.		459		30
Schlumberger, Ltd.		456		43
SEACOR Holdings, Inc. (Ñ)		288		27
Valero Energy Corp.		1,094		31
Whiting Petroleum Corp. (Æ)		550		36
Williams Cos., Inc. (The)		1,622		49
				989
Financials - 15.6%
Aflac, Inc.		14		1
Allied World Assurance Co. Holdings, Ltd. (Ñ)		103		6
American National Insurance Co. (Ñ)		15		1
Ameriprise Financial, Inc.		747		47
Annaly Capital Management, Inc. (ö)		738		13
Aspen Insurance Holdings, Ltd.		8		—	±
Assurant, Inc. (Ñ)		20		1
Axis Capital Holdings, Ltd.		417		15
Bank of America Corp.		8,421		120
Berkshire Hathaway, Inc. Class B (Æ)		979		86
Brandywine Realty Trust (Ñ)(ö)		654		8
Capital One Financial Corp. (Ñ)		346		17
Chimera Investment Corp. (Ñ)(ö)		4,296		19
Citigroup, Inc. (Æ)		14,943		70
CommonWealth REIT (ö)		583		17

Disciplined Equity Fund 5

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Discover Financial Services		1,990		43
East West Bancorp, Inc.		30		1
Endurance Specialty Holdings, Ltd. (Ñ)		228		11
Fidelity National Financial, Inc. Class A		490		7
First Citizens BancShares, Inc. Class A		5		1
Franklin Resources, Inc.		85		11
Goldman Sachs Group, Inc. (The)		297		49
HCC Insurance Holdings, Inc.		180		6
Hospitality Properties Trust (ö)		480		11
Invesco, Ltd. (Ñ)		1,104		30
JPMorgan Chase & Co.		3,115		145
KeyCorp (Ñ)		3,170		29
Lazard, Ltd. Class A		164		7
Leucadia National Corp.		391		13
Loews Corp.		730		32
MetLife, Inc.		810		38
Morgan Stanley		524		16
NASDAQ OMX Group, Inc. (The) (Æ)(Ñ)		350		10
Nationwide Health Properties, Inc. (Ñ)(ö)		20		1
PartnerRe, Ltd. - ADR		10		1
PNC Financial Services Group, Inc.		17		1
Protective Life Corp. (Ñ)		253		7
Prudential Financial, Inc.		234		15
Reinsurance Group of America, Inc. Class A (Ñ)		10		1
SEI Investments Co.		30		1
Simon Property Group, Inc. (Ñ)(ö)		130		14
SLM Corp. (Æ)		2,167		32
Travelers Cos., Inc. (The)		624		37
Unitrin, Inc.		32		1
Unum Group(Ñ)		1,251		33
US Bancorp		1,958		54
Validus Holdings, Ltd. (Ñ)		611		19
Waddell & Reed Financial, Inc. Class A		20		1
Wells Fargo & Co.		3,237		104
				1,203
Health Care - 10.6%
Abbott Laboratories		318		15
Aetna, Inc.		557		21
Agilent Technologies, Inc. (Æ)		90		4
AmerisourceBergen Corp. Class A (Ñ)		209		8
Amgen, Inc. (Æ)		702		36
Baxter International, Inc.		966		51
Bio-Rad Laboratories, Inc. Class A (Æ)(Ñ)		30		4
Bristol-Myers Squibb Co. (Ñ)		34		1
Cardinal Health, Inc.		1,054		44
Cephalon, Inc. (Æ)(Ñ)		569		32
Cigna Corp.		977		41
Covidien PLC		755		39
Eli Lilly & Co.		38		1
Endo Pharmaceuticals Holdings, Inc. (Æ)		980		35
Forest Laboratories, Inc. (Æ)		1,246		40
Gilead Sciences, Inc. (Æ)		1,387		54
Health Net, Inc. (Æ)		390		12
Hill-Rom Holdings, Inc.		160		6
Humana, Inc. (Æ)		17		1
Johnson & Johnson		1,234		76
McKesson Corp.		10		1
Merck & Co., Inc.		2,125		69
Pfizer, Inc.		5,531		106
Thermo Fisher Scientific, Inc. (Æ)		19		1
UnitedHealth Group, Inc.		1,506		64
Warner Chilcott PLC Class A		820		19
Waters Corp. (Æ)(Ñ)		439		37
				818
Industrials - 10.6%
3M Co.		72		7
Aecom Technology Corp. (Æ)(Ñ)		30		1
Caterpillar, Inc. (Ñ)		45		4
Chicago Bridge & Iron Co. NV (Æ)		20		1
Crane Co.		35		2
CSX Corp.		591		44
Deere & Co.		54		5
Delta Air Lines, Inc. (Æ)		2,495		28
Dover Corp.		434		28
Expeditors International of Washington, Inc.		20		1
General Dynamics Corp.		11		1
General Electric Co.		8,342		174
Goodrich Corp.		9		1
Honeywell International, Inc.		1,105		64
Hubbell, Inc. Class B		171		11
ITT Corp. (Ñ)		654		38
KBR, Inc.		1,039		34
L-3 Communications Holdings, Inc. (Ñ)		10		1
Lockheed Martin Corp. (Ñ)		52		4
Northrop Grumman Corp.		697		46
Oshkosh Corp. (Æ)(Ñ)		894		32
Pitney Bowes, Inc. (Ñ)		30		1
Raytheon Co.		844		43
Republic Services, Inc. Class A		28		1
Southwest Airlines Co. (Ñ)		690		8
Thomas & Betts Corp. (Æ)		14		1
Timken Co.		686		33
Union Pacific Corp.		559		53

6 Disciplined Equity Fund

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
United Continental Holdings, Inc. (Æ)(Ñ)		170		4
United Parcel Service, Inc. Class B		1,012		75
United Technologies Corp.		479		40
WABCO Holdings, Inc. (Æ)		546		32
				818
Information Technology - 18.0%
Accenture PLC Class A		653		34
Activision Blizzard, Inc. (Ñ)		1,635		18
Apple, Inc. (Æ)		548		193
Applied Materials, Inc.		1,847		30
Arrow Electronics, Inc. (Æ)		72		3
Atmel Corp. (Æ)		55		1
Avago Technologies, Ltd.		26		1
Avnet, Inc. (Æ)		100		3
CA, Inc.		855		21
Cisco Systems, Inc. (Æ)		3,979		74
Dell, Inc. (Æ)		3,546		56
eBay, Inc. (Æ)		40		1
EchoStar Corp. Class A (Æ)(Ñ)		40		1
EMC Corp. (Æ)(Ñ)		107		3
Fairchild Semiconductor International, Inc. Class A (Æ)		40		1
Google, Inc. Class A (Æ)		122		75
Harris Corp. (Ñ)		785		37
Hewlett-Packard Co.		2,164		94
IAC/InterActiveCorp (Æ)(Ñ)		1,077		33
Ingram Micro, Inc. Class A (Æ)		1,142		23
Intel Corp.		4,962		106
International Business Machines Corp. (Ñ)		977		158
International Rectifier Corp. (Æ)		300		10
Jabil Circuit, Inc.		924		20
KLA-Tencor Corp. (Ñ)		360		18
Lender Processing Services, Inc.		209		7
Lexmark International, Inc. Class A (Æ)		272		10
Microsoft Corp.		5,890		156
NCR Corp. (Æ)		1,030		20
Oracle Corp.		3,443		113
QLogic Corp. (Æ)(Ñ)		40		1
QUALCOMM, Inc.		416		25
SAIC, Inc. (Æ)(Ñ)		47		1
Symantec Corp. (Æ)		220		4
Synopsys, Inc. (Æ)(Ñ)		96		3
Tellabs, Inc. (Ñ)		860		5
Vishay Intertechnology, Inc. (Æ)		1,325		23
Vishay Precision Group, Inc. (Æ)		108		2
Western Digital Corp. (Æ)		20		1
Xerox Corp.		70		1
				1,386
Materials - 4.1%
Albemarle Corp.		15		1
Ball Corp.		1,029		37
Cabot Corp.		50		2
Celanese Corp. Class A		840		35
Crown Holdings, Inc. (Æ)		203		8
Eastman Chemical Co. (Ñ)		229		21
EI du Pont de Nemours & Co.		1,202		66
FMC Corp.		173		14
Freeport-McMoRan Copper & Gold, Inc. Class B		1,156		61
International Paper Co.		360		10
Lubrizol Corp. (Ñ)		108		12
MeadWestvaco Corp. (Ñ)		1,234		36
Newmont Mining Corp.		146		8
PPG Industries, Inc. (Ñ)		10		1
				312
Telecommunication Services - 2.9%
AT&T, Inc.		4,224		120
Qwest Communications International, Inc.		1,572		11
Verizon Communications, Inc.		2,581		95
				226
Utilities - 2.9%
American Electric Power Co., Inc.		312		11
Consolidated Edison, Inc. (Ñ)		700		35
Duke Energy Corp. (Ñ)		2,050		37
Edison International		25		1
Energen Corp.		446		27
MDU Resources Group, Inc.		260		6
NiSource, Inc. (Ñ)		108		2
Northeast Utilities(Ñ)		890		30
NV Energy, Inc.		2,099		31
PG&E Corp.		853		40
				220
Total Common Stocks (cost $5,121)				7,617
Warrants & Rights - 0.0%
American International Group, Inc. (Ñ)(Æ) 2013 Warrants		12		—	±
Total Warrants & Rights (cost $0)				—	±

Disciplined Equity Fund 7

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Short-Term Investments - 0.1%
SSgA Prime Money Market Fund		100		—	±
United States Treasury Bills (§)
Zero coupon due 05/19/11		5		5
Total Short-Term Investments (cost $5)				5
Other Securities - 8.6%
State Street Navigator Securities Prime Lending Portfolio(X)		664,031		664
Total Other Securities (cost $664)				664
Total Investments - 107.7% (identified cost $5,790)				8,286
Other Assets and Liabilities, Net - (7.7%)				(589	)
Net Assets - 100.0%				7,697

Amounts in thousands (except contracts)
						Unrealized
						Appreciation
	Number of		Notional		Expiration	(Depreciation)
Futures Contracts	Contracts		Amount		Date	$
Long Positions
S&P 500 E-Mini Index Futures (CME)		1	USD	66	03/11		—	±
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts							—	±

See accompanying notes which are an integral part of the financial statements.

8 Disciplined Equity Fund

SSgA
Disciplined Equity Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	838	$	—	$	—	$	838		10.9
Consumer Staples		807		—		—		807		10.5
Energy		989		—		—		989		12.9
Financials		1,203		—		—		1,203		15.6
Health Care		818		—		—		818		10.6
Industrials		818		—		—		818		10.6
Information Technology		1,386		—		—		1,386		18.0
Materials		312		—		—		312		4.1
Telecommunication Services		226		—		—		226		2.9
Utilities		220		—		—		220		2.9
Warrants & Rights		—		—		—		—		—	*
Short-Term Investments		—		5		—		5		0.1
Other Securities		—		664		—		664		8.6
Total Investments		7,617		669		—		8,286		107.7
Other Assets and Liabilities, Net										(7.7	)
										100.0
Other Financial Instruments
Futures Contracts		—		—		—		—		—	*
Total Other Financial Instruments**	$	—	$	—	$	—	$	—

*	Less than .05% of net assets.
**	Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

Disciplined Equity Fund 9

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SSgA
Small Cap Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,402.50	$	1,018.60
Expenses Paid During Period*	$	7.45	$	6.26

*  Expenses are equal to the Fund’s annualized expense ratio of 1.25% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,400.00	$	1,016.86
Expenses Paid During Period*	$	9.52	$	8.00

*  Expenses are equal to the Fund’s annualized expense ratio of 1.60% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Small Cap Fund 11

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SSgA
Small Cap Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 99.3%
Consumer Discretionary - 9.9%
AFC Enterprises, Inc. (Æ)		600		9
AH Belo Corp. Class A (Æ)		800		6
American Axle & Manufacturing Holdings, Inc. (Æ)(Ñ)		1,210		16
Arctic Cat, Inc. (Æ)(Ñ)		1,830		23
Biglari Holdings, Inc. (Æ)(Ñ)		25		11
Bon-Ton Stores, Inc. (The) (Æ)(Ñ)		900		14
Buckle, Inc. (The)		518		20
Carrols Restaurant Group, Inc. (Æ)(Ñ)		900		7
Casual Male Retail Group, Inc. (Æ)(Ñ)		3,450		15
Core-Mark Holding Co., Inc. (Æ)(Ñ)		300		10
Dana Holding Corp. (Æ)(Ñ)		2,111		40
Denny’s Corp. (Æ)(Ñ)		2,600		10
Destination Maternity Corp.		1,483		67
Dillard’s, Inc. Class A		1,942		82
DineEquity, Inc. (Æ)(Ñ)		350		20
Domino’s Pizza, Inc. (Æ)(Ñ)		1,600		27
Exide Technologies (Æ)		1,641		19
Federal-Mogul Corp. (Æ)		233		5
Fisher Communications, Inc. (Æ)(Ñ)		300		8
Genesco, Inc. (Æ)(Ñ)		1,826		72
iRobot Corp. (Æ)		641		18
Jakks Pacific, Inc. (Æ)(Ñ)		3,829		71
Johnson Outdoors, Inc. Class A (Æ)		500		8
Mac-Gray Corp.		500		8
Marcus Corp. (Ñ)		600		8
Monarch Casino & Resort, Inc. (Æ)(Ñ)		500		5
Movado Group, Inc. (Æ)(Ñ)		500		7
Papa John’s International, Inc. (Æ)		639		19
Perry Ellis International, Inc. (Æ)(Ñ)		2,235		65
Pier 1 Imports, Inc. (Æ)		2,039		21
Polaris Industries, Inc. (Ñ)		512		39
Pre-Paid Legal Services, Inc. (Æ)		650		43
PRIMEDIA, Inc. (Ñ)		1,500		7
Rent-A-Center, Inc. Class A		763		25
Ruby Tuesday, Inc. (Æ)		5,278		70
Ruth’s Hospitality Group, Inc. (Æ)(Ñ)		3,500		18
Sally Beauty Holdings, Inc. (Æ)		1,560		20
Shiloh Industries, Inc. (Ñ)		500		6
Shoe Carnival, Inc. (Æ)		300		8
Shutterfly, Inc. (Æ)(Ñ)		488		21
Sotheby’s Class A (Ñ)		1,257		62
Stage Stores, Inc.		1,084		19
Tenneco, Inc. (Æ)(Ñ)		623		25
Universal Electronics, Inc. (Æ)		300		8
				1,082
Consumer Staples - 2.5%
B&G Foods, Inc. Class A (Ñ)		3,790		57
Boston Beer Co., Inc. Class A (Æ)		202		19
Dole Food Co, Inc. (Æ)(Ñ)		1,225		18
Elizabeth Arden, Inc. (Æ)		1,280		37
Fresh Del Monte Produce, Inc.		745		21
Ingles Markets, Inc. Class A (Ñ)		400		8
Inter Parfums, Inc.		1,940		35
MGP Ingredients, Inc. (Ñ)		660		6
National Beverage Corp.		1,308		17
Pricesmart, Inc.		489		17
Spartan Stores, Inc. (Ñ)		500		8
Susser Holdings Corp. (Æ)(Ñ)		1,890		26
Village Super Market, Inc. Class A (Ñ)		200		6
				275
Energy - 5.9%
Apco Oil and Gas International, Inc.		273		22
Approach Resources, Inc. (Æ)(Ñ)		757		25
Basic Energy Services, Inc. (Æ)		922		18
Berry Petroleum Co. Class A		541		28
Clayton Williams Energy, Inc. (Æ)		181		19
CVR Energy, Inc. (Æ)		1,221		23
DHT Holdings, Inc.		1,700		8
Georesources, Inc. (Æ)(Ñ)		400		13
Golar LNG, Ltd.		995		19
Gulf Island Fabrication, Inc. (Ñ)		300		9
Hallador Energy Co. (Ñ)		600		6
Holly Corp.		87		5
Hornbeck Offshore Services, Inc. (Æ)(Ñ)		440		12
International Coal Group, Inc. (Æ)		3,043		30
ION Geophysical Corp. (Æ)		1,845		24
Lufkin Industries, Inc.		332		26
OYO Geospace Corp. (Æ)(Ñ)		268		27
Petroleum Development Corp. (Æ)(Ñ)		1,558		73
Petroquest Energy, Inc. (Æ)		1,300		11
REX American Resources Corp. (Æ)(Ñ)		400		6
SEACOR Holdings, Inc.		51		5
Stone Energy Corp. (Æ)(Ñ)		1,422		43
Superior Energy Services, Inc. (Æ)(Ñ)		1,630		62
Vaalco Energy, Inc. (Æ)		1,300		10
W&T Offshore, Inc. (Ñ)		2,919		75
Warren Resources, Inc. (Æ)(Ñ)		3,370		17
Western Refining, Inc. (Æ)(Ñ)		1,607		26
				642
Financials - 19.3%
1st Source Corp.��(Ñ)		1,660		32
Advance America Cash Advance Centers, Inc. (Ñ)		1,500		8
Alexander’s, Inc. (Ñ)(ö)		48		19

Small Cap Fund 13

SSgA
Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Alliance Financial Corp.		530		17
American Capital, Ltd. (Æ)		3,137		29
American National Bankshares, Inc.		300		7
American Safety Insurance Holdings, Ltd. (Æ)		400		9
Banco Latinoamericano de Comercio Exterior SA Class E		1,033		17
Bancorp Rhode Island, Inc.		200		6
Bank of the Ozarks, Inc.		427		18
BankFinancial Corp. (Ñ)		800		7
Berkshire Hills Bancorp, Inc. (Ñ)		1,440		33
BGC Partners, Inc. Class A (Ñ)		6,880		66
Calamos Asset Management, Inc. Class A (Ñ)		2,050		34
California First National Bancorp(Ñ)		400		6
Capstead Mortgage Corp. (ö)		1,537		20
Cathay General Bancorp (Ñ)		1,183		21
CBL & Associates Properties, Inc. (Ñ)(ö)		2,990		53
Citizens & Northern Corp.		620		10
CNB Financial Corp.		500		7
Community Bank System, Inc. (Ñ)		2,189		55
Credit Acceptance Corp. (Æ)(Ñ)		780		55
Diamond Hill Investment Group, Inc. (Ñ)		100		7
Dollar Financial Corp. (Æ)(Ñ)		917		20
Duff & Phelps Corp. Class A (Ñ)		1,050		17
Enstar Group, Ltd. (Æ)		220		18
Epoch Holding Corp. (Ñ)		500		8
ESB Financial Corp. (Ñ)		400		6
Extra Space Storage, Inc. (Ñ)(ö)		2,460		49
Ezcorp, Inc. Class A (Æ)		2,690		77
FBL Financial Group, Inc. Class A		2,257		71
Financial Engines, Inc. (Æ)		690		17
Financial Institutions, Inc. (Ñ)		1,600		31
First Cash Financial Services, Inc. (Æ)		915		30
First Commonwealth Financial Corp. (Ñ)		6,880		45
First Industrial Realty Trust, Inc. (Æ)(Ñ)(ö)		1,642		18
First Merchants Corp. (Ñ)		970		9
Flagstone Reinsurance Holdings SA (Ñ)		1,492		17
Getty Realty Corp. (Ñ)(ö)		1,331		39
Gladstone Commercial Corp. (Ñ)(ö)		1,250		23
Gladstone Investment Corp.		1,000		8
Glimcher Realty Trust (Ñ)(ö)		4,580		42
Great Southern Bancorp, Inc.		300		6
Heritage Financial Corp. (Æ)		500		7
Independent Bank Corp.		668		18
Infinity Property & Casualty Corp. (Ñ)		559		34
International Bancshares Corp. (Ñ)		2,219		42
INTL FCStone, Inc. (Æ)		1,330		32
iStar Financial, Inc. (Æ)(Ñ)(ö)		2,189		22
Lakeland Bancorp, Inc. (Ñ)		3,633		35
Lexington Realty Trust (Ñ)(ö)		1,600		15
MainSource Financial Group, Inc. (Ñ)		700		7
MarketAxess Holdings, Inc.		862		18
Meadowbrook Insurance Group, Inc. (Ñ)		5,340		54
Merchants Bancshares, Inc. (Ñ)		170		4
MFA Financial, Inc. (Ñ)(ö)		3,710		31
MidWestOne Financial Group, Inc. (Ñ)		410		6
Montpelier Re Holdings, Ltd. (Ñ)		3,700		75
National Bankshares, Inc. (Ñ)		200		6
National Penn Bancshares, Inc.		2,462		20
Newcastle Investment Corp. (Æ)(ö)		5,680		48
NewStar Financial, Inc. (Æ)		800		8
Peapack Gladstone Financial Corp.		500		7
Post Properties, Inc. (Ñ)(ö)		1,195		47
Primus Guaranty, Ltd. (Æ)		1,562		8
Prosperity Bancshares, Inc. (Ñ)		575		23
Provident Financial Services, Inc. (Ñ)		3,990		59
Renasant Corp. (Ñ)		600		10
Republic Bancorp, Inc. Class A (Ñ)		2,130		37
S&T Bancorp, Inc. (Ñ)		2,020		45
Sanders Morris Harris Group, Inc. (Ñ)		1,000		7
Sandy Spring Bancorp, Inc. (Ñ)		500		10
State Bancorp, Inc.		800		8
Sun Communities, Inc. (Ñ)(ö)		960		33
TICC Capital Corp. (Ñ)		1,140		14
UMH Properties, Inc. (Ñ)(ö)		700		7
Union First Market Bankshares Corp. (Ñ)		2,930		34
Virginia Commerce Bancorp, Inc. (Æ)(Ñ)		1,450		9
Virtus Investment Partners, Inc. (Æ)(Ñ)		200		12
Washington Banking Co.		1,650		23
Washington Trust Bancorp, Inc.		400		9
WesBanco, Inc. (Ñ)		2,760		58
West Bancorporation, Inc.		900		7
World Acceptance Corp. (Æ)(Ñ)		1,200		72
				2,108
Health Care - 11.1%
Air Methods Corp. (Æ)(Ñ)		435		25
AMERIGROUP Corp. Class A (Æ)(Ñ)		1,090		62
Ariad Pharmaceuticals, Inc. (Æ)		4,274		26
Atrion Corp. (Ñ)		100		18
Bruker Corp. (Æ)(Ñ)		930		18
Cantel Medical Corp.		400		9
Cooper Cos., Inc. (The)		79		5
Cyberonics, Inc. (Æ)		2,212		73
Endo Pharmaceuticals Holdings, Inc. (Æ)(Ñ)		1,890		67
Exelixis, Inc. (Æ)(Ñ)		1,939		24

14 Small Cap Fund

SSgA
Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Five Star Quality Care, Inc. (Æ)(Ñ)		5,010		35
Healthspring, Inc. (Æ)(Ñ)		2,131		80
Impax Laboratories, Inc. (Æ)		945		19
InterMune, Inc. (Æ)(Ñ)		622		23
Invacare Corp.		2,240		66
IPC The Hospitalist Co., Inc. (Æ)		466		19
Jazz Pharmaceuticals, Inc. (Æ)		928		23
Kensey Nash Corp. (Æ)(Ñ)		1,710		45
Kindred Healthcare, Inc. (Æ)(Ñ)		600		15
Magellan Health Services, Inc. (Æ)		1,559		75
Medcath Corp. (Æ)(Ñ)		600		8
Medicines Co. (The) (Æ)(Ñ)		4,239		74
Medidata Solutions, Inc. (Æ)		686		18
National Healthcare Corp.		385		18
NxStage Medical, Inc. (Æ)(Ñ)		822		17
Par Pharmaceutical Cos., Inc. (Æ)		450		14
PDI, Inc. (Æ)		600		5
Providence Service Corp. (The) (Æ)(Ñ)		3,680		60
Quality Systems, Inc. (Ñ)		279		22
Questcor Pharmaceuticals, Inc. (Æ)(Ñ)		4,980		65
Rural/Metro Corp. (Æ)		1,920		29
Sirona Dental Systems, Inc. (Æ)		454		23
SuperGen, Inc. (Æ)(Ñ)		2,600		8
Universal American Corp. (Ñ)		916		19
US Physical Therapy, Inc. (Æ)		400		8
Viropharma, Inc. (Æ)		3,970		71
Young Innovations, Inc. (Ñ)		680		22
				1,208
Industrials - 20.1%
3D Systems Corp. (Æ)		392		19
ABM Industries, Inc.		782		21
Acacia Research - Acacia Technologies(Æ)		772		23
Aceto Corp. (Ñ)		900		7
Actuant Corp. Class A		772		22
Air Transport Services Group, Inc. (Æ)(Ñ)		1,200		9
Alamo Group, Inc.		240		7
Alaska Air Group, Inc. (Æ)		761		45
Albany International Corp. Class A		767		19
Altra Holdings, Inc. (Æ)(Ñ)		3,192		69
Amerco, Inc. (Æ)(Ñ)		630		61
Applied Industrial Technologies, Inc. (Ñ)		2,345		75
Astronics Corp. (Æ)		740		16
Belden, Inc.		566		21
Briggs & Stratton Corp. (Ñ)		946		19
Brink’s Co. (The)		690		21
Cascade Corp. (Ñ)		200		10
Casella Waste Systems, Inc. Class A (Æ)(Ñ)		1,000		7
Ceradyne, Inc. (Æ)(Ñ)		2,056		79
Chart Industries, Inc. (Æ)		489		22
CIRCOR International, Inc.		437		17
Colfax Corp. (Æ)(Ñ)		1,037		23
Consolidated Graphics, Inc. (Æ)(Ñ)		640		35
Cubic Corp.		1,310		66
Deluxe Corp.		2,470		63
Dolan Co. (The) (Æ)(Ñ)		700		9
DXP Enterprises, Inc. (Æ)(Ñ)		2,610		56
Dycom Industries, Inc. (Æ)(Ñ)		1,418		24
EnPro Industries, Inc. (Æ)		455		18
Esterline Technologies Corp. (Æ)		710		51
Exponent, Inc. (Æ)(Ñ)		300		12
Franklin Electric Co., Inc.		1,711		73
Furmanite Corp. (Æ)(Ñ)		1,200		9
G&K Services, Inc. Class A		529		17
General Cable Corp. (Æ)		106		5
Global Defense Technology & Systems, Inc. (Æ)(Ñ)		400		7
Gorman-Rupp Co. (The) (Ñ)		300		11
GP Strategies Corp. (Æ)(Ñ)		700		8
Great Lakes Dredge & Dock Corp. (Ñ)		8,381		66
Hawaiian Holdings, Inc. (Æ)		1,200		8
HEICO Corp.		401		22
Huron Consulting Group, Inc. (Æ)(Ñ)		632		18
II-VI, Inc. (Æ)		395		20
Kadant, Inc. (Æ)(Ñ)		400		10
Kelly Services, Inc. Class A (Æ)		815		17
Knoll, Inc. (Ñ)		2,180		45
LaBarge, Inc. (Æ)(Ñ)		500		8
Lawson Products, Inc.		300		7
Layne Christensen Co. (Æ)		584		19
LB Foster Co. Class A (Æ)		200		8
LSI Industries, Inc.		800		6
Middleby Corp. (Æ)(Ñ)		860		77
Moog, Inc. Class A (Æ)		516		23
Multi-Color Corp. (Ñ)		400		7
NACCO Industries, Inc. Class A (Ñ)		576		72
Old Dominion Freight Line, Inc. (Æ)(Ñ)		550		17
On Assignment, Inc. (Æ)(Ñ)		1,000		11
Park-Ohio Holdings Corp. (Æ)(Ñ)		2,200		49
Pinnacle Airlines Corp. (Æ)(Ñ)		900		5
Polypore International, Inc. (Æ)(Ñ)		523		31
Preformed Line Products Co. (Ñ)		100		7
Primoris Services Corp.		800		7
Quality Distribution, Inc. (Æ)		700		7
Republic Airways Holdings, Inc. (Æ)		5,530		35
Resources Connection, Inc.		1,002		19
Robbins & Myers, Inc.		706		30

Small Cap Fund 15

SSgA
Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
RSC Holdings, Inc. (Æ)(Ñ)		1,331		18
Sauer-Danfoss, Inc. (Æ)		1,920		59
Seaboard Corp.		15		35
SFN Group, Inc. (Æ)(Ñ)		1,100		15
Standard Parking Corp. (Æ)(Ñ)		400		7
Standex International Corp. (Ñ)		300		10
Steelcase, Inc. Class A		1,812		18
TAL International Group, Inc. (Ñ)		500		17
Team, Inc. (Æ)(Ñ)		400		10
Tennant Co. (Ñ)		435		18
Thomas & Betts Corp. (Æ)		85		5
Timken Co.		1,256		61
Trimas Corp. (Æ)		2,170		45
TrueBlue, Inc. (Æ)(Ñ)		1,134		18
Twin Disc, Inc. (Ñ)		1,390		45
United Rentals, Inc. (Æ)(Ñ)		2,573		80
				2,188
Information Technology - 21.7%
ACI Worldwide, Inc. (Æ)(Ñ)		2,440		76
Actuate Corp. (Æ)(Ñ)		1,400		7
Ancestry.com, Inc. (Æ)(Ñ)		1,980		65
Anixter International, Inc. (Ñ)		1,147		82
Ariba, Inc. (Æ)		883		27
Avid Technology, Inc. (Æ)		833		18
Blue Coat Systems, Inc. (Æ)		739		21
Brightpoint, Inc. (Æ)		1,473		19
BroadSoft, Inc. (Æ)		440		16
CACI International, Inc. Class A (Æ)(Ñ)		1,220		72
Cadence Design Systems, Inc. (Æ)(Ñ)		6,516		65
Cardtronics, Inc. (Æ)(Ñ)		3,672		70
Cavium Networks, Inc. (Æ)		542		23
Coherent, Inc. (Æ)(Ñ)		1,299		80
Compuware Corp. (Æ)		434		5
Daktronics, Inc. (Ñ)		2,960		34
Dice Holdings, Inc. (Æ)(Ñ)		1,821		25
Electro Rent Corp. (Ñ)		500		8
Entegris, Inc. (Æ)(Ñ)		4,650		41
ePlus, Inc. (Æ)(Ñ)		300		9
Fabrinet (Æ)		528		15
Fairchild Semiconductor International, Inc. Class A (Æ)		252		4
FARO Technologies, Inc. (Æ)(Ñ)		300		11
Fortinet, Inc. (Æ)		557		23
Gerber Scientific, Inc. (Æ)(Ñ)		1,000		8
Guidance Software, Inc. (Æ)(Ñ)		900		7
Interactive Intelligence, Inc. (Æ)(Ñ)		618		21
InterDigital, Inc.		458		22
IPG Photonics Corp. (Æ)		393		22
j2 Global Communications, Inc. (Æ)(Ñ)		780		23
Jack Henry & Associates, Inc. (Ñ)		1,574		50
Kenexa Corp. (Æ)(Ñ)		2,865		66
Keynote Systems, Inc. (Ñ)		500		9
Lattice Semiconductor Corp. (Æ)		2,964		20
Lawson Software, Inc. (Æ)(Ñ)		7,230		73
Liquidity Services, Inc. (Æ)(Ñ)		3,070		49
Littelfuse, Inc. (Ñ)		556		29
LogMeIn, Inc. (Æ)(Ñ)		476		17
Loral Space & Communications, Inc. (Æ)		247		19
Magma Design Automation, Inc. (Æ)		7,359		49
Measurement Specialties, Inc. (Æ)(Ñ)		2,226		69
Mercury Computer Systems, Inc. (Æ)(Ñ)		500		10
MICROS Systems, Inc. (Æ)(Ñ)		810		39
Monotype Imaging Holdings, Inc. (Æ)		700		9
MTS Systems Corp.		396		18
Nanometrics, Inc. (Æ)		600		11
Netscout Systems, Inc. (Æ)(Ñ)		1,119		28
Newport Corp. (Æ)(Ñ)		1,711		28
NIC, Inc. (Ñ)		1,829		19
Opnet Technologies, Inc. (Ñ)		673		23
OSI Systems, Inc. (Æ)		453		17
PC Connection, Inc. (Æ)		700		6
Perficient, Inc. (Æ)(Ñ)		600		7
Powerwave Technologies, Inc. (Æ)		18,686		69
Quest Software, Inc. (Æ)(Ñ)		2,970		80
QuinStreet, Inc. (Æ)(Ñ)		902		20
Rackspace Hosting, Inc. (Æ)(Ñ)		1,353		50
RF Micro Devices, Inc. (Æ)(Ñ)		7,750		58
Richardson Electronics, Ltd. (Ñ)		650		8
Riverbed Technology, Inc. (Æ)		951		39
Rofin-Sinar Technologies, Inc. (Æ)		506		20
Stamps.com, Inc. (Ñ)		1,200		16
Symmetricom, Inc. (Æ)(Ñ)		1,200		7
TeleTech Holdings, Inc. (Æ)		838		19
TIBCO Software, Inc. (Æ)		4,032		99
Travelzoo, Inc. (Æ)(Ñ)		517		20
TTM Technologies, Inc. (Æ)		1,133		20
ValueClick, Inc. (Æ)(Ñ)		4,140		62
VeriFone Systems, Inc. (Æ)(Ñ)		2,177		99
Virtusa Corp. (Æ)(Ñ)		500		8
Vishay Intertechnology, Inc. (Æ)(Ñ)		3,540		62
Vocus, Inc. (Æ)(Ñ)		400		10
X-Rite, Inc. (Æ)(Ñ)		1,500		7
Zix Corp. (Æ)		1,900		7
Zygo Corp. (Æ)(Ñ)		600		9
				2,373
Materials - 5.8%
AM Castle & Co. (Æ)(Ñ)		500		9
Boise, Inc. (Ñ)		1,250		11
Brush Engineered Materials, Inc. (Æ)		536		23

16 Small Cap Fund

SSgA
Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Buckeye Technologies, Inc.		1,036		27
Cabot Corp.		108		5
Ferro Corp. (Æ)(Ñ)		4,783		76
Georgia Gulf Corp. (Æ)(Ñ)		663		21
Hawkins, Inc. (Ñ)		200		8
Haynes International, Inc. (Ñ)		434		22
KapStone Paper and Packaging Corp. (Æ)(Ñ)		1,635		28
Koppers Holdings, Inc.		471		19
LSB Industries, Inc. (Æ)		586		18
NL Industries		1,134		16
Noranda Aluminum Holding Corp. (Æ)		4,052		64
OM Group, Inc. (Æ)(Ñ)		826		29
Omnova Solutions, Inc. (Æ)(Ñ)		1,100		8
Quaker Chemical Corp. (Ñ)		250		10
Rockwood Holdings, Inc. (Æ)(Ñ)		1,845		86
Solutia, Inc. (Æ)		2,670		62
TPC Group, Inc. (Æ)(Ñ)		600		17
Universal Stainless & Alloy (Æ)(Ñ)		210		7
Westlake Chemical Corp. (Ñ)		547		26
WR Grace & Co. (Æ)		1,141		43
				635
Telecommunication Services - 1.3%
General Communication, Inc. Class A (Æ)		1,500		18
IDT Corp. Class B (Ñ)		300		8
Neutral Tandem, Inc. (Æ)(Ñ)		700		12
USA Mobility, Inc. (Ñ)		3,800		56
Vonage Holdings Corp. (Æ)		11,020		49
				143
Utilities - 1.7%
Chesapeake Utilities Corp. (Ñ)		1,390		57
El Paso Electric Co. (Æ)		2,250		63
Southwest Gas Corp. (Ñ)		1,660		64
				184
Total Common Stocks (cost $8,850)				10,838
Short-Term Investments - 1.0%
SSgA Prime Money Market Fund		104,576		105
Total Short-Term Investments (cost $105)				105
Other Securities - 23.6%
State Street Navigator Securities Prime Lending Portfolio(X)		2,580,511		2,581
Total Other Securities (cost $2,581)				2,581
Total Investments - 123.9% (identified cost $11,536)				13,524
Other Assets and Liabilities, Net - (23.9%)				(2,608	)
Net Assets - 100.0%				10,916

See accompanying notes which are an integral part of the financial statements.

Small Cap Fund 17

SSgA
Small Cap Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	1,082	$	—	$	—	$	1,082		9.9
Consumer Staples		275		—		—		275		2.5
Energy		642		—		—		642		5.9
Financials		2,108		—		—		2,108		19.3
Health Care		1,208		—		—		1,208		11.1
Industrials		2,188		—		—		2,188		20.1
Information Technology		2,373		—		—		2,373		21.7
Materials		635		—		—		635		5.8
Telecommunication Services		143		—		—		143		1.3
Utilities		184		—		—		184		1.7
Short-Term Investments		105		—		—		105		1.0
Other Securities		—		2,581		—		2,581		23.6
Total Investments	$	10,943	$	2,581	$	—	$	13,524		123.9
Other Assets and Liabilities, Net										(23.9	)
										100.0

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

18 Small Cap Fund

SSgA
Tuckerman Active REIT Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,207.40	$	1,019.84
Expenses Paid During Period*	$	5.47	$	5.01

*  Expenses are equal to the Fund’s annualized expense ratio of 1.00% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Tuckerman Active REIT Fund 19

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SSgA
Tuckerman Active REIT Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 99.9%
Apartments - 16.7%
AvalonBay Communities, Inc. (ö)		25,975		3,144
Camden Property Trust (ö)		20,456		1,210
Equity Residential (ö)		72,440		3,992
Essex Property Trust, Inc. (Ñ)(ö)		11,572		1,433
UDR, Inc. (Ñ)(ö)		47,237		1,149
				10,928
Diversified - 12.4%
CB Richard Ellis Group, Inc. Class A (Æ)		33,002		826
Digital Realty Trust, Inc. (Ñ)(ö)		35,699		2,100
DuPont Fabros Technology, Inc. (Ñ)(ö)		34,496		842
Vornado Realty Trust (ö)		46,306		4,322
��				8,090
Healthcare - 7.6%
BioMed Realty Trust, Inc. (ö)		53,499		971
HCP, Inc. (ö)		38,133		1,449
Ventas, Inc. (ö)		45,655		2,530
				4,950
Hotels/Leisure - 9.8%
Host Hotels & Resorts, Inc. (ö)		185,636		3,416
Hyatt Hotels Corp. Class A (Æ)		13,771		630
LaSalle Hotel Properties (ö)		48,870		1,379
Starwood Hotels & Resorts Worldwide, Inc. (ö)		15,590		952
				6,377
Industrial - 8.7%
AMB Property Corp. (ö)		33,283		1,211
First Potomac Realty Trust (Ñ)(ö)		41,572		671
Liberty Property Trust (ö)		41,611		1,405
ProLogis(ö)		148,215		2,410
				5,697
Office - 14.4%
Boston Properties, Inc. (ö)		41,154		3,947
Brookfield Properties Corp.		38,258		671
Corporate Office Properties Trust (Ñ)(ö)		26,930		966
Douglas Emmett, Inc. (Ñ)(ö)		79,665		1,494
SL Green Realty Corp. (Ñ)(ö)		30,379		2,300
				9,378
Regional Malls - 16.8%
Macerich Co. (The) (Ñ)(ö)		33,882		1,716
Simon Property Group, Inc. (ö)		75,211		8,276
Taubman Centers, Inc. (ö)		18,048		1,001
				10,993
Shopping Centers - 7.7%
Acadia Realty Trust (Ñ)(ö)		37,816		749
Federal Realty Investment Trust (ö)		21,570		1,816
Kimco Realty Corp. (ö)		127,844		2,477
				5,042
Storage - 5.8%
Public Storage (ö)		34,028		3,820
Total Common Stocks (cost $36,037)				65,275
Short-Term Investments - 0.1%
SSgA Prime Money Market Fund		43,750		44
Total Short-Term Investments (cost $44)				44
Other Securities - 6.8%
State Street Navigator Securities Prime Lending Portfolio (X)		4,443,438		4,443
Total Other Securities (cost $4,443)				4,443
Total Investments - 106.8% (identified cost $40,524)				69,762
Other Assets and Liabilities, Net - (6.8%)				(4,453	)
Net Assets - 100.0%				65,309

See accompanying notes which are an integral part of the financial statements.

Tuckerman Active REIT Fund 21

SSgA
Tuckerman Active REIT Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Apartments	$	10,928	$	—	$	—	$	10,928		16.7
Diversified		8,090		—		—		8,090		12.4
Healthcare		4,950		—		—		4,950		7.6
Hotels/Leisure		6,377		—		—		6,377		9.8
Industrial		5,697		—		—		5,697		8.7
Office		9,378		—		—		9,378		14.4
Regional Malls		10,993		—		—		10,993		16.8
Shopping Centers		5,042		—		—		5,042		7.7
Storage		3,820		—		—		3,820		5.8
Short-Term Investments		44		—		—		44		0.1
Other Securities		—		4,443		—		4,443		6.8
Total Investments	$	65,319	$	4,443	$	—	$	69,762		106.8
Other Assets and Liabilities, Net										(6.8	)
										100.0

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

22 Tuckerman Active REIT Fund

SSgA
IAM SHARES Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,279.50	$	1,022.36
Expenses Paid During Period*	$	2.77	$	2.46

*  Expenses are equal to the Fund’s annualized expense ratio of 0.49% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

IAM SHARES Fund 23

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SSgA
IAM SHARES Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 97.4%
Consumer Discretionary - 11.7%
99 Cents Only Stores (Æ)(Ñ)		6,800		113
Amazon.com, Inc. (Æ)		4,500		780
AutoNation, Inc. (Æ)(Ñ)		7,300		246
Bed Bath & Beyond, Inc. (Æ)		3,900		188
Best Buy Co., Inc.		5,225		168
Brunswick Corp. (Ñ)		3,500		81
Cablevision Systems Corp. Class A		3,200		118
Carnival Corp.		4,300		183
CBS Corp. Class B		10,201		243
Coach, Inc.		11,376		625
Comcast Corp. Class A		42,966		1,107
Denny’s Corp. (Æ)(Ñ)		14,500		56
DIRECTV, Inc. Class A (Æ)		11,111		511
DR Horton, Inc. (Ñ)		5,100		60
Ethan Allen Interiors, Inc. (Ñ)		4,666		103
Family Dollar Stores, Inc.		3,600		180
Ford Motor Co. (Æ)(Ñ)		50,443		759
Gannett Co., Inc. (Ñ)		3,500		58
Gap, Inc. (The)		7,300		164
Genuine Parts Co.		2,800		148
Goodyear Tire & Rubber Co. (The) (Æ)		4,300		61
H&R Block, Inc. (Ñ)		3,700		56
Hanesbrands, Inc. (Æ)		3,100		80
Harley-Davidson, Inc.		7,200		294
Home Depot, Inc.		27,700		1,038
Jakks Pacific, Inc. (Æ)(Ñ)		100		2
JC Penney Co., Inc.		3,900		136
Johnson Controls, Inc.		9,500		388
Kohl’s Corp.		5,700		307
Leggett & Platt, Inc.		7,900		182
Liberty Global, Inc. Class A (Æ)(Ñ)		3,900		164
Liberty Media Corp. - Capital (Æ)(Ñ)		601		44
Liberty Media Corp. - Interactive (Æ)		7,298		117
Lowe’s Cos., Inc.		20,000		523
Macy’s, Inc.		9,268		222
Marriott International, Inc. Class A (Ñ)		9,400		369
Matthews International Corp. Class A (Ñ)		3,000		111
McClatchy Co. (The) Class A (Æ)(Ñ)		3,070		12
McDonald’s Corp.		17,930		1,357
Meredith Corp. (Ñ)		4,900		173
New York Times Co. (The) Class A (Æ)(Ñ)		7,200		75
Newell Rubbermaid, Inc.		10,100		195
News Corp. Class A		27,100		471
Nordstrom, Inc.		3,600		163
Omnicom Group, Inc.		3,200		163
Penske Automotive Group, Inc. (Æ)(Ñ)		1,100		22
Phillips-Van Heusen Corp.		5,200		312
priceline.com, Inc. (Æ)		700		318
Sears Holdings Corp. (Æ)(Ñ)		4,339		361
Sonic Automotive, Inc. Class A (Ñ)		4,700		68
Stanley Black & Decker, Inc.		4,715		358
Staples, Inc.		8,400		179
Starbucks Corp.		8,800		290
Starwood Hotels & Resorts Worldwide,Inc. (ö)		4,300		263
Target Corp.		14,600		767
Tiffany & Co.		6,000		369
Time Warner Cable, Inc.		4,363		315
Time Warner, Inc.		17,383		664
Viacom, Inc. Class A		10,001		447
Walt Disney Co. (The)		29,400		1,286
Washington Post Co. (The) Class B (Ñ)		321		139
Whirlpool Corp. (Ñ)		3,000		248
Wyndham Worldwide Corp.		3,360		105
Yum! Brands, Inc.		5,200		262
				19,367
Consumer Staples - 9.3%
Altria Group, Inc.		34,585		877
Archer-Daniels-Midland Co.		9,698		361
Arden Group, Inc. Class A (Ñ)		700		54
Campbell Soup Co. (Ñ)		5,990		202
Church & Dwight Co., Inc. (Ñ)		1,600		121
Coca-Cola Co. (The)		31,575		2,018
Colgate-Palmolive Co.		3,700		290
ConAgra Foods, Inc.		9,900		229
Costco Wholesale Corp.		7,000		524
CVS Caremark Corp.		19,119		632
Dean Foods Co. (Æ)		4,700		50
Energizer Holdings, Inc. (Æ)		300		20
Great Atlantic & Pacific Tea Co. (Æ)(Ñ)		3,000		1
Imperial Sugar Co.		700		8
JM Smucker Co. (The)		4,007		276
Katy Industries, Inc. (Æ)		5,900		3
Kellogg Co.		5,435		291
Kimberly-Clark Corp.		8,188		540
Kraft Foods, Inc. Class A		23,809		758
Kroger Co. (The)		15,300		350
Mead Johnson Nutrition Co. Class A		2,722		163
PepsiCo, Inc.		22,338		1,417
Philip Morris International, Inc.		29,085		1,826
Procter & Gamble Co. (The)		41,621		2,624
Rite Aid Corp. (Æ)(Ñ)		25,600		34
Safeway, Inc. (Ñ)		11,100		242
Sara Lee Corp.		17,430		298
SUPERVALU, Inc. (Ñ)		5,700		49
Sysco Corp.		10,400		289

IAM SHARES Fund 25

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
TreeHouse Foods, Inc. (Æ)(Ñ)		1,600		83
Walgreen Co.		16,300		706
				15,336
Energy - 12.9%
Anadarko Petroleum Corp.		7,000		573
Apache Corp.		5,400		673
Baker Hughes, Inc.		7,200		512
BP PLC - ADR		2,868		139
Cameron International Corp. (Æ)		3,400		201
Chesapeake Energy Corp. (Ñ)		5,200		185
Chevron Corp.		29,829		3,095
ConocoPhillips		23,777		1,852
Devon Energy Corp.		7,700		704
El Paso Corp.		10,300		192
EOG Resources, Inc.		3,200		359
Exxon Mobil Corp.		74,780		6,396
Halliburton Co.		18,160		852
Hess Corp.		6,400		557
Lufkin Industries, Inc. (Ñ)		1,400		109
Marathon Oil Corp.		8,200		407
National Oilwell Varco, Inc.		4,400		350
Newfield Exploration Co. (Æ)		1,800		131
Occidental Petroleum Corp.		9,500		969
Schlumberger, Ltd.		21,882		2,044
Southwestern Energy Co. (Æ)		5,700		225
Spectra Energy Corp.		9,498		254
Valero Energy Corp.		8,200		231
Williams Cos., Inc. (The)		8,400		255
				21,265
Financials - 14.3%
Aegon NV (Æ)		8,014		62
Aflac, Inc.		7,900		465
Allstate Corp. (The)		8,800		280
American Express Co.		19,300		841
American Financial Group, Inc.		4,621		160
American International Group, Inc. (Æ)(Ñ)		1,703		63
Ameriprise Financial, Inc.		3,340		211
AON Corp.		5,900		311
Bank of America Corp.		130,632		1,867
Bank of New York Mellon Corp. (The)		15,898		483
BB&T Corp. (Ñ)		7,500		207
Berkshire Hathaway, Inc. Class B (Æ)		19,500		1,702
Capital One Financial Corp.		6,661		332
Charles Schwab Corp. (The)		13,300		252
Chubb Corp.		2,800		170
Citigroup, Inc. (Æ)		391,301		1,831
CME Group, Inc. Class A		1,200		374
Discover Financial Services		6,550		142
E*Trade Financial Corp. (Æ)		1,170		19
Fifth Third Bancorp		6,400		93
Franklin Resources, Inc.		2,000		251
Goldman Sachs Group, Inc. (The)		6,900		1,130
Hartford Financial Services Group, Inc.		3,200		95
Host Hotels & Resorts, Inc. (ö)		28,417		523
HSBC Holdings PLC - ADR		9,028		497
Hudson City Bancorp, Inc.		7,600		87
IntercontinentalExchange, Inc. (Æ)		1,400		179
Janus Capital Group, Inc. (Ñ)		14,987		201
JPMorgan Chase & Co.		52,034		2,429
KeyCorp		6,500		59
M&T Bank Corp. (Ñ)		1,200		106
Marsh & McLennan Cos., Inc.		9,000		274
MetLife, Inc.		11,099		526
Moody’s Corp. (Ñ)		4,000		128
Morgan Stanley		16,400		487
Northern Trust Corp. (Ñ)		4,200		217
People’s United Financial, Inc.		8,200		108
Plum Creek Timber Co., Inc. (Ñ)(ö)		2,400		101
PNC Financial Services Group, Inc.		5,450		336
Potlatch Corp. (Ñ)(ö)		7,700		296
Principal Financial Group, Inc.		2,600		89
Progressive Corp. (The)		9,600		200
ProLogis (ö)		3,200		52
Prudential Financial, Inc.		7,600		500
Public Storage (ö)		1,800		202
Regions Financial Corp. (Ñ)		9,142		70
Simon Property Group, Inc. (ö)		3,271		360
SLM Corp. (Æ)		6,300		93
SunTrust Banks, Inc.		3,500		106
Travelers Cos., Inc. (The)		14,483		868
US Bancorp		23,612		655
Vornado Realty Trust (ö)		2,144		200
Wells Fargo & Co.		60,535		1,953
Weyerhaeuser Co. (Ñ)(ö)		13,690		334
				23,577
Health Care - 10.7%
Abbott Laboratories		21,900		1,053
Aetna, Inc.		7,900		295
Agilent Technologies, Inc. (Æ)		4,142		174
Allergan, Inc.		4,300		319
Allied Healthcare Products (Æ)(Ñ)		700		3
Amgen, Inc. (Æ)		14,872		763
Baxter International, Inc.		11,136		592
Biogen Idec, Inc. (Æ)		4,500		308
Boston Scientific Corp. (Æ)		17,863		128
Bristol-Myers Squibb Co.		21,688		560
Cardinal Health, Inc.		4,000		167
CareFusion Corp. (Æ)		2,000		55

26 IAM SHARES Fund

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Celgene Corp. (Æ)		7,300		388
Cigna Corp.		4,500		189
Coventry Health Care, Inc. (Æ)		2,100		63
Edwards Lifesciences Corp. (Æ)		4,466		380
Eli Lilly & Co.		13,700		473
Express Scripts, Inc. Class A (Æ)		9,200		517
Forest Laboratories, Inc. (Æ)		4,800		156
Genzyme Corp. (Æ)		4,100		309
Gilead Sciences, Inc. (Æ)		13,400		522
Humana, Inc. (Æ)		2,200		143
Johnson & Johnson		38,000		2,335
Life Technologies Corp. (Æ)		4,212		225
McKesson Corp.		4,600		365
Medco Health Solutions, Inc. (Æ)		8,624		532
Medtronic, Inc.		16,900		675
Merck & Co., Inc.		43,015		1,401
PerkinElmer, Inc.		4,700		125
Pfizer, Inc.		105,773		2,035
St. Jude Medical, Inc.		5,200		249
STERIS Corp. (Ñ)		3,191		108
Stryker Corp.		3,400		215
Thermo Fisher Scientific, Inc. (Æ)		7,600		424
UnitedHealth Group, Inc.		17,700		754
WellPoint, Inc.		8,100		538
Zimmer Holdings, Inc. (Æ)		3,370		210
				17,748
Industrials - 12.5%
3M Co.		11,300		1,042
Actuant Corp. Class A (Ñ)		5,600		158
Alaska Air Group, Inc. (Æ)		800		48
Ametek, Inc.		4,800		201
Arkansas Best Corp. (Ñ)		1,600		38
Avery Dennison Corp.		1,900		76
Avis Budget Group, Inc. (Æ)(Ñ)		1,800		28
AZZ, Inc. (Ñ)		800		34
Boeing Co. (The)		10,400		749
Caterpillar, Inc.		9,821		1,011
CSX Corp.		8,300		620
Cummins, Inc.		3,700		374
Danaher Corp.		11,600		587
Deere & Co.		7,200		649
Dover Corp.		5,300		340
Eaton Corp.		3,800		421
Emerson Electric Co.		12,600		752
FedEx Corp.		3,100		279
Gardner Denver, Inc.		800		58
General Dynamics Corp.		5,710		435
General Electric Co.		145,321		3,040
Goodrich Corp.		2,200		190
Hexcel Corp. (Æ)		2,600		48
HNI Corp. (Ñ)		900		28
Honeywell International, Inc.		10,862		629
Illinois Tool Works, Inc.		8,608		466
Jacobs Engineering Group, Inc. (Æ)		2,800		140
Kansas City Southern (Æ)		2,550		137
Koninklijke Philips Electronics NV		1,119		37
L-3 Communications Holdings, Inc.		2,500		198
Lockheed Martin Corp.		4,819		381
Manitowoc Co., Inc. (The)		2,300		46
Manpower, Inc.		2,100		133
Masco Corp.		14,300		194
Norfolk Southern Corp.		6,700		439
Northrop Grumman Corp.		4,796		320
PACCAR, Inc.		6,675		335
Parker Hannifin Corp.		3,000		267
Precision Castparts Corp.		2,500		354
Raytheon Co.		5,800		297
Republic Services, Inc. Class A		4,680		139
Rockwell Automation, Inc.		3,900		342
Rockwell Collins, Inc.		2,100		135
RR Donnelley & Sons Co.		5,700		106
Ryder System, Inc.		4,800		230
Siemens AG - ADR		200		27
Snap-On, Inc.		1,000		57
Southwest Airlines Co.		10,425		123
Tecumseh Products Co. Class A (Æ)(Ñ)		1,600		19
Terex Corp. (Æ)(Ñ)		1,800		61
Textron, Inc. (Ñ)		3,900		106
Toro Co. (The)		2,300		143
Union Pacific Corp.		8,500		811
United Continental Holdings, Inc. (Æ)		734		18
United Parcel Service, Inc. Class B		15,714		1,160
United Technologies Corp.		13,500		1,128
US Airways Group, Inc. (Æ)		1,000		9
Valmont Industries, Inc.		300		31
Waste Management, Inc. (Ñ)		10,218		379
Watts Water Technologies, Inc. Class A (Ñ)		400		16
				20,619
Information Technology - 17.4%
Adobe Systems, Inc. (Æ)		8,200		283
Advanced Micro Devices, Inc. (Æ)(Ñ)		8,100		75
Amphenol Corp. Class A		5,200		299
Analog Devices, Inc.		6,800		271
Apple, Inc. (Æ)		12,400		4,380
Applied Materials, Inc.		20,600		338
Autodesk, Inc. (Æ)		3,000		126
Automatic Data Processing, Inc.		6,900		345
Broadcom Corp. Class A		5,850		241
CA, Inc.		4,900		121

IAM SHARES Fund 27

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal			Market
	Amount ($)			Value
	or Shares			$
Cisco Systems, Inc. (Æ)		79,400			1,474
Computer Sciences Corp.		4,845			233
Corning, Inc.		23,600			544
Dell, Inc. (Æ)		26,300			416
Diebold, Inc.		2,300			81
eBay, Inc. (Æ)		16,100			539
Electronic Arts, Inc. (Æ)		6,400			120
EMC Corp. (Æ)		30,000			816
Energy Conversion Devices, Inc. (Æ)(Ñ)		1,800			7
F5 Networks, Inc. (Æ)(Ñ)		1,100			130
Google, Inc. Class A (Æ)		3,300			2,024
Hewlett-Packard Co.		34,932			1,524
Intel Corp.		75,400			1,619
International Business Machines Corp.		19,100			3,092
KLA-Tencor Corp.		2,500			122
Mastercard, Inc. Class A		1,400			337
Micron Technology, Inc. (Æ)		13,500			150
Microsoft Corp.		104,600			2,780
Motorola Mobility Holdings, Inc. (Æ)		4,487			136
Motorola Solutions, Inc. (Æ)		5,128			198
National Semiconductor Corp.		7,100			110
NetApp, Inc. (Æ)		4,900			253
Oracle Corp.		57,949			1,907
Paychex, Inc.		4,300			145
QUALCOMM, Inc.		21,200			1,263
Quantum Corp. (Æ)(Ñ)		14,000			36
Seagate Technology PLC (Æ)		2,200			28
Symantec Corp. (Æ)		16,445			297
Texas Instruments, Inc.		20,800			741
Total System Services, Inc. (Ñ)		2,032			36
Visa, Inc. Class A		3,000			219
Western Union Co. (The)		8,736			192
Xerox Corp.		18,800			202
Xilinx, Inc. (Ñ)		7,000			233
Yahoo!, Inc. (Æ)		20,700			340
					28,823
Materials - 3.2%
Air Products & Chemicals, Inc.		4,800			442
AK Steel Holding Corp.		5,100			81
Alcoa, Inc. (Ñ)		15,700			265
Allegheny Technologies, Inc. (Ñ)		3,300			221
AngloGold Ashanti, Ltd. - ADR		600			29
Ashland, Inc.		1,204			68
Ball Corp.		3,400			123
Bemis Co., Inc.		1,800			59
Brush Engineered Materials, Inc. (Æ)		1,000			44
Chemtura Corp. (Æ)		1			—	±
Crown Holdings, Inc. (Æ)		3,400			131
Dow Chemical Co. (The)		15,788			587
Ecolab, Inc.		3,300			161
EI du Pont de Nemours & Co.		5,200			285
FMC Corp.		1,100			85
Freeport-McMoRan Copper & Gold, Inc. Class B		9,552			506
International Paper Co.		11,073			308
Martin Marietta Materials, Inc. (Ñ)		1,500			133
MeadWestvaco Corp.		3,000			88
Monsanto Co.		5,100			367
Newmont Mining Corp.		5,200			287
Owens-Illinois, Inc. (Æ)		2,900			88
PPG Industries, Inc.		2,900			256
Schnitzer Steel Industries, Inc. Class A (Ñ)		600			39
Sherwin-Williams Co. (The)		3,500			287
Sigma-Aldrich Corp. (Ñ)		2,300			147
Temple-Inland, Inc. (Ñ)		5,100			119
Vulcan Materials Co. (Ñ)		3,600			165
					5,371
Telecommunication Services - 2.7%
AT&T, Inc.		80,581			2,287
CenturyLink, Inc. (Ñ)		4,105			169
Frontier Communications Corp.		9,906			84
Qwest Communications International, Inc.		25,000			170
Sprint Nextel Corp. (Æ)		39,389			172
Verizon Communications, Inc.		41,272			1,524
					4,406
Utilities - 2.7%
AES Corp. (The) (Æ)		11,000			136
Ameren Corp.		3,000			84
American Electric Power Co., Inc.		5,300			190
Consolidated Edison, Inc.		2,800			140
Constellation Energy Group, Inc.		3,000			93
Dominion Resources, Inc.		10,600			484
Duke Energy Corp.		19,496			351
Edison International		5,500			204
Entergy Corp.		2,900			206
Exelon Corp.		10,800			451
FirstEnergy Corp. (Ñ)		4,200	��		161
NextEra Energy, Inc.		6,500			360
PG&E Corp.		5,800			267
PPL Corp.		6,400			163
Public Service Enterprise Group, Inc.		8,400			275
Sempra Energy		4,100			218
Southern Co. (Ñ)		13,200			503
Wisconsin Energy Corp.		2,300			136

28 IAM SHARES Fund

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Xcel Energy, Inc.		4,000		96
				4,518
Total Common Stocks (cost $133,122)				161,030
Short-Term Investments - 2.4%
SSgA Prime Money Market Fund		3,521,229		3,521
United States Treasury Bills
Zero coupon due 04/07/11 (ç)(ÿ)(§)		473		473
Total Short-Term Investments (cost $3,994)				3,994
Other Securities - 2.6%
State Street Navigator Securities Prime Lending Portfolio(X)		4,260,791		4,261
Total Other Securities (cost $4,261)				4,261
Total Investments - 102.4% (identified cost $141,377)				169,285
Other Assets and Liabilities, Net - (2.4%)				(3,958	)
Net Assets - 100.0%				165,327

Amounts in thousands (except contracts)
								Unrealized
								Appreciation
	Number of		Notional		Expiration			(Depreciation)
Futures Contracts	Contracts		Amount		Date			$
Long Positions
S&P 500 Index Futures (CME)		12	USD	3,978		03	/11		295
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts									295

See accompanying notes which are an integral part of the financial statements.

IAM SHARES Fund 29

SSgA
IAM SHARES Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	19,367	$	—	$	—	$	19,367		11.7
Consumer Staples		15,336		—		—		15,336		9.3
Energy		21,265		—		—		21,265		12.9
Financials		23,577		—		—		23,577		14.3
Health Care		17,748		—		—		17,748		10.7
Industrials		20,619		—		—		20,619		12.5
Information Technology		28,823		—		—		28,823		17.4
Materials		5,371		—		—		5,371		3.2
Telecommunication Services		4,406		—		—		4,406		2.7
Utilities		4,518		—		—		4,518		2.7
Short-Term Investments		3,521		473		—		3,994		2.4
Other Securities		—		4,261		—		4,261		2.6
Total Investments		164,551		4,734		—		169,285		102.4
Other Assets and Liabilities, Net										(2.4	)
										100.0
Other Financial Instruments
Futures Contracts		295		—		—		295		0.2
Total Other Financial Instruments*	$	295	$	—	$	—	$	295

* Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

30 IAM SHARES Fund

SSgA
Enhanced Small Cap Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,403.30	$	1,021.08
Expenses Paid During Period*	$	4.47	$	3.76

*  Expenses are equal to the Fund’s annualized expense ratio of 0.75% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Enhanced Small Cap Fund 31

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SSgA
Enhanced Small Cap Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 103.0%
Consumer Discretionary - 14.3%
99 Cents Only Stores (Æ)		2,155		36
AH Belo Corp. Class A (Æ)		1,600		12
American Greetings Corp. Class A		5,171		112
AnnTaylor Stores Corp. (Æ)		580		13
Arctic Cat, Inc. (Æ)		600		8
Ascena Retail Group, Inc. (Æ)		648		20
Belo Corp. Class A (Æ)		7,583		60
Big 5 Sporting Goods Corp.		860		12
Biglari Holdings, Inc. (Æ)		382		163
Blyth, Inc.		960		33
Bob Evans Farms, Inc.		1,426		45
Bon-Ton Stores, Inc. (The) (Æ)		720		11
Books-A-Million, Inc. Class A		300		2
Bravo Brio Restaurant Group, Inc. (Æ)		640		11
Brown Shoe Co., Inc.		1,750		27
California Pizza Kitchen, Inc. (Æ)		4,915		83
Cato Corp. (The) Class A		3,704		90
CEC Entertainment, Inc.		846		33
Charming Shoppes, Inc. (Æ)		5,500		18
Christopher & Banks Corp.		1,100		7
Cinemark Holdings, Inc.		3,925		79
Cooper Tire & Rubber Co.		6,741		158
Core-Mark Holding Co., Inc. (Æ)		100		3
CPI Corp.		400		9
Dana Holding Corp. (Æ)		11,451		216
Denny’s Corp. (Æ)		7,737		30
Destination Maternity Corp.		320		14
Dillard’s, Inc. Class A		4,673		198
Drew Industries, Inc.		1,600		37
DSW, Inc. Class A (Æ)		3,730		151
Eastman Kodak Co. (Æ)		20,060		68
EW Scripps Co. Class A (Æ)		3,945		38
Exide Technologies (Æ)		3,200		38
Finish Line, Inc. (The) Class A		8,815		154
Hooker Furniture Corp.		900		12
HSN, Inc. (Æ)		2,416		78
Interval Leisure Group, Inc. (Æ)		1,194		20
Jakks Pacific, Inc. (Æ)		3,330		62
Jones Group, Inc. (The)		6,226		83
Journal Communications, Inc. Class A (Æ)		1,800		11
Kid Brands, Inc. (Æ)		500		5
Knology, Inc. (Æ)		2,461		34
Lee Enterprises, Inc. (Æ)		1,000		3
Libbey, Inc. (Æ)		1,300		22
Lifetime Brands, Inc. (Æ)		1,300		16
Lincoln Educational Services Corp.		180		3
Live Nation Entertainment, Inc. (Æ)		1,123		12
LodgeNet Interactive Corp. (Æ)		6,600		24
Maidenform Brands, Inc. (Æ)		2,601		71
Marcus Corp.		400		5
MarineMax, Inc. (Æ)		620		6
Matthews International Corp. Class A		1,963		73
McCormick & Schmick’s Seafood Restaurants, Inc. (Æ)		500		5
Monro Muffler Brake, Inc.		1,368		45
Multimedia Games, Inc. (Æ)		2,630		14
National CineMedia, Inc.		6,475		122
O’Charleys, Inc. (Æ)		1,537		10
Orbitz Worldwide, Inc. (Æ)		2,500		9
Oxford Industries, Inc.		3,952		95
Papa John’s International, Inc. (Æ)		3,620		106
Perry Ellis International, Inc. (Æ)		5,166		150
PF Chang’s China Bistro, Inc.		2,711		126
PRIMEDIA, Inc.		940		4
Rent-A-Center, Inc. Class A		6,463		214
Retail Ventures, Inc. (Æ)		1,611		28
Ruby Tuesday, Inc. (Æ)		4,380		59
Scholastic Corp.		300		9
Select Comfort Corp. (Æ)		460		5
Shoe Carnival, Inc. (Æ)		697		18
Shuffle Master, Inc. (Æ)		5,189		49
Sinclair Broadcast Group, Inc. Class A		14,340		186
Sotheby’s Class A		1,350		66
Spartan Motors, Inc.		900		6
Stage Stores, Inc.		9,520		166
Standard Motor Products, Inc.		900		10
Standard Pacific Corp. (Æ)		20,179		81
Steiner Leisure, Ltd. (Æ)		949		45
Steinway Musical Instruments, Inc. (Æ)		238		5
Stewart Enterprises, Inc. Class A		3,872		30
Sturm Ruger & Co., Inc.		3,404		61
Superior Industries International, Inc.		200		4
Timberland Co. Class A (Æ)		3,951		146
Unifi, Inc. (Æ)		1,136		22
Warnaco Group, Inc. (The) (Æ)		3,466		203
Wolverine World Wide, Inc.		1,226		45
				4,673
Consumer Staples - 2.4%
B&G Foods, Inc. Class A		2,699		40
Boston Beer Co., Inc. Class A (Æ)		200		19
Casey’s General Stores, Inc.		472		19
Central Garden and Pet Co. Class A (Æ)		7,733		71
Darling International, Inc. (Æ)		11,094		154
Inter Parfums, Inc.		500		9
J&J Snack Foods Corp.		1,443		63
Lancaster Colony Corp.		223		13
Nash Finch Co.		2,025		82

Enhanced Small Cap Fund 33

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Nu Skin Enterprises, Inc. Class A		2,240		72
Nutraceutical International Corp. (Æ)		200		3
Pantry, Inc. (The) (Æ)		614		10
Prestige Brands Holdings, Inc. (Æ)		14,046		155
Smart Balance, Inc. (Æ)		12,880		56
Spartan Stores, Inc.		600		9
USANA Health Sciences, Inc. (Æ)		340		12
Village Super Market, Inc. Class A		146		4
Weis Markets, Inc.		200		8
				799
Energy - 7.3%
Approach Resources, Inc. (Æ)		2,330		76
Bill Barrett Corp. (Æ)		5,018		195
Cal Dive International, Inc. (Æ)		15,125		104
Callon Petroleum Co. (Æ)		2,300		19
Cheniere Energy, Inc. (Æ)		1,800		19
Clayton Williams Energy, Inc. (Æ)		930		99
Cloud Peak Energy, Inc. (Æ)		7,580		155
Complete Production Services, Inc. (Æ)		3,999		115
Contango Oil & Gas Co. (Æ)		2,765		169
Crosstex Energy, Inc.		5,468		56
CVR Energy, Inc. (Æ)		6,705		127
DHT Holdings, Inc.		6,570		30
Energy Partners, Ltd. (Æ)		3,340		55
Georesources, Inc. (Æ)		2,220		70
Goodrich Petroleum Corp. (Æ)		290		6
Helix Energy Solutions Group, Inc. (Æ)		5,191		80
Hercules Offshore, Inc. (Æ)		21,482		106
International Coal Group, Inc. (Æ)		11,258		111
ION Geophysical Corp. (Æ)		2,359		30
Key Energy Services, Inc. (Æ)		2,495		39
L&L Energy, Inc. (Æ)		3,100		23
Natural Gas Services Group, Inc. (Æ)		200		4
Newpark Resources, Inc. (Æ)		10,270		72
Parker Drilling Co. (Æ)		5,644		30
Petroleum Development Corp. (Æ)		128		6
Petroquest Energy, Inc. (Æ)		6,800		59
PHI, Inc. (Æ)		100		2
Pioneer Drilling Co. (Æ)		8,358		95
REX American Resources Corp. (Æ)		200		3
Tesco Corp. (Æ)		700		13
Tetra Technologies, Inc. (Æ)		12,969		179
Union Drilling, Inc. (Æ)		2,500		19
Vaalco Energy, Inc. (Æ)		6,650		53
W&T Offshore, Inc.		6,282		160
Warren Resources, Inc. (Æ)		2,600		13
Western Refining, Inc. (Æ)		800		13
				2,405
Financials - 20.5%
1st Source Corp.		3,064		60
Abington Bancorp, Inc.		300		4
Advance America Cash Advance Centers, Inc.		3,200		17
Agree Realty Corp. (ö)		300		8
Alliance Financial Corp.		100		3
Alterra Capital Holdings, Ltd.		127		3
American Equity Investment Life Holding Co.		7,303		96
Ameris Bancorp (Æ)		2,924		29
Amtrust Financial Services, Inc.		3,364		65
Anworth Mortgage Asset Corp. (ö)		21,296		152
Apollo Commercial Real Estate Finance, Inc. (ö)		1,869		32
Apollo Investment Corp.		4,349		54
Argo Group International Holdings, Ltd.		2,147		82
Arrow Financial Corp.		661		17
Artio Global Investors, Inc. Class A		10,096		160
Ashford Hospitality Trust, Inc. (ö)		3,935		41
Associated Estates Realty Corp. (ö)		6,386		104
Bancfirst Corp.		190		8
Banco Latinoamericano de Comercio Exterior SA Class E		5,070		85
Bancorp, Inc. (Æ)		1,731		15
Bank Mutual Corp.		400		2
Bank of Marin Bancorp		200		7
Bank of the Ozarks, Inc.		1,834		79
BankFinancial Corp.		546		5
Berkshire Hills Bancorp, Inc.		619		14
BGC Partners, Inc. Class A		1,916		18
BlackRock Kelso Capital Corp.		1,900		24
Camden National Corp.		200		7
CapLease, Inc. (ö)		8,055		43
Capstead Mortgage Corp. (ö)		681		9
Cardinal Financial Corp.		965		11
Cash America International, Inc.		600		26
Cathay General Bancorp		3,236		57
Center Financial Corp. (Æ)		900		7
Chatham Lodging Trust (ö)		200		3
Chemical Financial Corp.		838		17
Citizens Republic Bancorp, Inc. (Æ)		27,800		23
City Holding Co.		1,654		57
Clifton Savings Bancorp, Inc.		900		10
CNA Surety Corp. (Æ)		266		7
Cogdell Spencer, Inc. (ö)		2,600		17
Colonial Properties Trust (ö)		1,410		28
Colony Financial, Inc. (ö)		600		13
Community Bank System, Inc.		1,199		30
Community Trust Bancorp, Inc.		1,010		29
Compass Diversified Holdings		2,821		46

34 Enhanced Small Cap Fund

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Credit Acceptance Corp. (Æ)		560		40
CreXus Investment Corp. (ö)		800		11
Delphi Financial Group, Inc. Class A		4,466		138
Diamond Hill Investment Group, Inc.		120		9
DiamondRock Hospitality Co. (ö)		2,020		24
Dime Community Bancshares, Inc.		2,299		36
Eagle Bancorp, Inc. (Æ)		280		4
Education Realty Trust, Inc. (ö)		7,110		59
Ezcorp, Inc. Class A(Æ)		6,384		183
FelCor Lodging Trust, Inc. (Æ)(ö)		21,880		166
Fifth Street Finance Corp.		410		6
First Bancorp		1,000		15
First Commonwealth Financial Corp.		4,560		30
First Community Bancshares, Inc.		1,500		18
First Financial Corp.		520		17
First Industrial Realty Trust, Inc. (Æ)(ö)		2,500		28
First of Long Island Corp. (The)		200		5
First Potomac Realty Trust (ö)		4,073		66
Flagstone Reinsurance Holdings SA		5,158		59
Flushing Financial Corp.		1,541		22
FNB Corp.		8,998		90
Fox Chase Bancorp, Inc.		2,023		26
FPIC Insurance Group, Inc. (Æ)		457		17
Getty Realty Corp. (ö)		2,129		63
Gladstone Capital Corp.		700		8
Gladstone Commercial Corp. (ö)		400		7
Gleacher & Co., Inc. (Æ)		5,100		10
Glimcher Realty Trust (ö)		540		5
Great Southern Bancorp, Inc.		465		10
Greenlight Capital Re, Ltd. Class A (Æ)		2,009		58
Harleysville Group, Inc.		1,523		56
Hercules Technology Growth Capital, Inc.		5,513		61
Heritage Financial Corp. (Æ)		200		3
Hersha Hospitality Trust Class A (ö)		14,955		98
Home Bancshares, Inc.		1,085		24
Home Federal Bancorp, Inc.		400		4
International Bancshares Corp.		3,686		70
Internet Capital Group, Inc. (Æ)		900		12
Invesco Mortgage Capital, Inc. (ö)		8,239		192
Investment Technology Group, Inc. (Æ)		7,350		141
Investors Bancorp, Inc. (Æ)		2,530		34
Investors Real Estate Trust (ö)		1,100		10
Kansas City Life Insurance Co.		310		11
Kayne Anderson Energy Development Co.		300		5
Kearny Financial Corp.		1,200		12
Kite Realty Group Trust (ö)		1,100		6
LaBranche & Co., Inc. (Æ)		6,668		28
Lakeland Bancorp, Inc.		567		5
Lakeland Financial Corp.		700		16
Lexington Realty Trust (ö)		18,438		175
Life Partners Holdings, Inc.		3,805		31
Maiden Holdings, Ltd.		4,541		36
MainSource Financial Group, Inc.		1,958		19
MB Financial, Inc.		900		18
MCG Capital Corp.		14,131		103
Meadowbrook Insurance Group, Inc.		9,990		101
Medical Properties Trust, Inc. (ö)		1,152		13
MFA Financial, Inc. (ö)		23,545		199
Montpelier Re Holdings, Ltd.		2,278		46
MPG Office Trust, Inc. (Æ)(ö)		4,300		17
Nara Bancorp, Inc. (Æ)		1,100		11
National Financial Partners Corp. (Æ)		2,818		40
National Health Investors, Inc. (ö)		1,065		51
National Penn Bancshares, Inc.		3,600		29
National Retail Properties, Inc. (ö)		2,214		57
NBT Bancorp, Inc.		1,928		43
Nelnet, Inc. Class A		1,200		27
NewAlliance Bancshares, Inc.		2,380		37
Newcastle Investment Corp. (Æ)(ö)		6,880		58
NewStar Financial, Inc. (Æ)		500		5
NGP Capital Resources Co.		1,100		11
NorthStar Realty Finance Corp. (ö)		1,600		10
Northwest Bancshares, Inc.		11,765		143
OceanFirst Financial Corp.		420		6
Ocwen Financial Corp. (Æ)		5,497		58
Old National Bancorp		3,100		35
Oppenheimer Holdings, Inc. Class A		386		13
Oriental Financial Group, Inc.		1,613		19
Pebblebrook Hotel Trust (ö)		1,600		35
PennantPark Investment Corp.		4,435		56
Pennsylvania Real Estate Investment Trust (ö)		1,375		20
Peoples Bancorp, Inc.		830		11
Platinum Underwriters Holdings, Ltd.		2,469		103
ProAssurance Corp. (Æ)		1,145		72
Prospect Capital Corp.		630		8
Prosperity Bancshares, Inc.		3,949		161
Provident Financial Services, Inc.		536		8
Provident New York Bancorp		325		3
Renasant Corp.		1,100		18
Republic Bancorp, Inc. Class A		1,639		28
Resource Capital Corp. (ö)		1,900		14
Rodman & Renshaw Capital Group, Inc. (Æ)		1,100		2
Safeguard Scientifics, Inc. (Æ)		1,100		23
Saul Centers, Inc. (ö)		434		20
SeaBright Holdings, Inc.		1,582		17
Signature Bank NY (Æ)		530		27
Solar Capital, Ltd. (Æ)		1,100		27
Southside Bancshares, Inc.		840		19
Southwest Bancorp, Inc. (Æ)		630		9

Enhanced Small Cap Fund 35

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Starwood Property Trust, Inc. (ö)		6,640		155
StellarOne Corp.		300		4
Strategic Hotels & Resorts, Inc. (Æ)(ö)		27,220		177
Suffolk Bancorp		1,106		23
Sun Communities, Inc. (ö)		2,258		78
Susquehanna Bancshares, Inc.		6,082		58
Taylor Capital Group, Inc. (Æ)		500		5
Terreno Realty Corp. (ö)		200		4
Texas Capital Bancshares, Inc. (Æ)		1,369		35
Tower Bancorp, Inc.		124		3
TowneBank		751		11
Trustco Bank Corp. NY		3,920		24
Trustmark Corp.		454		11
Two Harbors Investment Corp. (ö)		5,500		61
UMB Financial Corp.		279		11
Umpqua Holdings Corp.		4,930		56
United Bankshares, Inc.		1,176		34
United Financial Bancorp, Inc.		300		5
U-Store-It Trust (ö)		6,368		65
ViewPoint Financial Group		900		12
WesBanco, Inc.		2,011		42
Western Alliance Bancorp (Æ)		2,300		19
Westwood Holdings Group, Inc.		320		12
Wilshire Bancorp, Inc.		2,630		17
Winthrop Realty Trust (ö)		400		5
Wintrust Financial Corp.		750		25
World Acceptance Corp. (Æ)		870		52
				6,738
Health Care - 12.3%
Albany Molecular Research, Inc. (Æ)		3,681		17
Alliance HealthCare Services, Inc. (Æ)		1,289		5
America Service Group, Inc.		600		11
American Dental Partners, Inc. (Æ)		383		5
American Medical Systems Holdings, Inc. (Æ)		3,092		68
AMERIGROUP Corp. Class A(Æ)		4,159		238
Angiodynamics, Inc. (Æ)		700		12
Antares Pharma, Inc. (Æ)		1,800		3
Ariad Pharmaceuticals, Inc. (Æ)		26,464		159
Arqule, Inc. (Æ)		7,636		49
Array Biopharma, Inc. (Æ)		2,400		7
Assisted Living Concepts, Inc. Class A (Æ)		900		32
Bruker Corp. (Æ)		7,540		145
Cambrex Corp. (Æ)		500		3
Cantel Medical Corp.		3,688		81
CONMED Corp. (Æ)		1,281		34
Cornerstone Therapeutics, Inc. (Æ)		700		4
Corvel Corp. (Æ)		748		37
Cross Country Healthcare, Inc. (Æ)		400		3
CryoLife, Inc. (Æ)		1,300		7
Cubist Pharmaceuticals, Inc. (Æ)		4,330		95
Cynosure, Inc. Class A (Æ)		411		6
DexCom, Inc. (Æ)		1,173		17
Durect Corp. (Æ)		6,270		20
Emergent Biosolutions, Inc. (Æ)		1,755		37
Endologix, Inc. (Æ)		630		4
Enzon Pharmaceuticals, Inc. (Æ)		463		5
Exelixis, Inc. (Æ)		4,081		51
Five Star Quality Care, Inc. (Æ)		2,990		21
Gentiva Health Services, Inc. (Æ)		830		23
Haemonetics Corp. (Æ)		1,180		73
Healthsouth Corp. (Æ)		5,614		136
Healthspring, Inc. (Æ)		3,552		134
ICU Medical, Inc. (Æ)		106		4
Impax Laboratories, Inc. (Æ)		5,201		107
Incyte Corp., Ltd. (Æ)		9,037		124
Integra LifeSciences Holdings Corp. (Æ)		340		17
Invacare Corp.		5,405		160
IRIS International, Inc. (Æ)		800		8
Kensey Nash Corp. (Æ)		1,414		37
Magellan Health Services, Inc. (Æ)		3,960		190
MAKO Surgical Corp. (Æ)		1,400		29
Medcath Corp. (Æ)		910		13
Medical Action Industries, Inc. (Æ)		1,000		8
Medidata Solutions, Inc. (Æ)		700		18
MedQuist, Inc.		300		3
Metropolitan Health Networks, Inc. (Æ)		4,800		24
Nabi Biopharmaceuticals (Æ)		12,398		70
National Healthcare Corp.		100		5
Neurocrine Biosciences, Inc. (Æ)		7,430		50
NeurogesX, Inc. (Æ)		1,200		4
NxStage Medical, Inc. (Æ)		3,772		78
Obagi Medical Products, Inc. (Æ)		890		10
Omnicell, Inc. (Æ)		2,634		35
Orthofix International NV (Æ)		515		16
Par Pharmaceutical Cos., Inc. (Æ)		4,762		147
Parexel International Corp. (Æ)		4,715		111
PDL BioPharma, Inc.		26,580		147
Providence Service Corp. (The) (Æ)		3,144		52
PSS World Medical, Inc. (Æ)		2,001		52
Questcor Pharmaceuticals, Inc. (Æ)		7,529		97
RTI Biologics, Inc. (Æ)		806		2
Rural/Metro Corp. (Æ)		600		9
Santarus, Inc. (Æ)		10,510		33
Sciclone Pharmaceuticals, Inc. (Æ)		6,200		27
Sirona Dental Systems, Inc. (Æ)		3,956		200
SonoSite, Inc. (Æ)		1,220		44
Sunrise Senior Living, Inc. (Æ)		11,850		135
SuperGen, Inc. (Æ)		2,000		6
Synovis Life Technologies, Inc. (Æ)		700		14

36 Enhanced Small Cap Fund

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Team Health Holdings, Inc. (Æ)		300		5
TomoTherapy, Inc. (Æ)		1,000		3
Triple-S Management Corp. Class B (Æ)		1,480		29
Universal American Corp.		3,737		77
US Physical Therapy, Inc. (Æ)		1,200		24
Vanda Pharmaceuticals, Inc. (Æ)		6,392		47
Vical, Inc. (Æ)		3,739		8
Viropharma, Inc. (Æ)		11,192		201
Zalicus, Inc. (Æ)		3,500		8
				4,030
Industrials - 16.4%
AAON, Inc.		579		18
AAR Corp. (Æ)		200		5
ACCO Brands Corp. (Æ)		8,465		72
Air Transport Services Group, Inc. (Æ)		4,400		35
Alamo Group, Inc.		800		23
Alaska Air Group, Inc. (Æ)		3,334		198
Altra Holdings, Inc. (Æ)		2,920		63
Amerco, Inc. (Æ)		866		84
American Railcar Industries, Inc. (Æ)		1,020		21
American Woodmark Corp.		901		18
Ampco-Pittsburgh Corp.		382		10
AO Smith Corp.		3,273		132
Apogee Enterprises, Inc.		1,162		16
Applied Industrial Technologies, Inc.		2,450		78
Astronics Corp. (Æ)		200		4
Atlas Air Worldwide Holdings, Inc. (Æ)		1,603		109
Avis Budget Group, Inc. (Æ)		658		10
AZZ, Inc.		400		17
Belden, Inc.		3,586		131
Brady Corp. Class A		828		30
Brink’s Co. (The)		4,580		141
CAI International, Inc. (Æ)		300		6
CBIZ, Inc. (Æ)		5,211		37
Celadon Group, Inc. (Æ)		6,076		89
Ceradyne, Inc. (Æ)		3,629		139
Clarcor, Inc.		640		26
Columbus McKinnon Corp. (Æ)		715		12
Comfort Systems USA, Inc.		6,214		82
Consolidated Graphics, Inc. (Æ)		2,917		159
Courier Corp.		500		7
Cubic Corp.		769		39
DigitalGlobe, Inc. (Æ)		843		27
Dolan Co. (The) (Æ)		3,010		38
Ducommun, Inc.		2,790		62
DXP Enterprises, Inc. (Æ)		1,680		36
Dycom Industries, Inc. (Æ)		1,012		17
Dynamic Materials Corp.		400		11
EMCOR Group, Inc. (Æ)		2,715		86
EnerSys (Æ)		5,334		189
EnPro Industries, Inc. (Æ)		3,922		156
Exponent, Inc. (Æ)		400		16
Force Protection, Inc. (Æ)		12,044		61
Franklin Electric Co., Inc.		600		26
G&K Services, Inc. Class A		300		10
GenCorp, Inc. (Æ)		5,720		30
Generac Holdings, Inc. (Æ)		400		7
Geo Group, Inc. (The) (Æ)		6,713		171
Gibraltar Industries, Inc. (Æ)		2,820		31
Global Defense Technology & Systems, Inc. (Æ)		220		4
GrafTech International, Ltd. (Æ)		279		6
Great Lakes Dredge & Dock Corp.		15,760		124
H&E Equipment Services, Inc. (Æ)		2,090		33
Hawaiian Holdings, Inc. (Æ)		3,811		25
Heartland Express, Inc.		6,174		102
Herman Miller, Inc.		257		7
Hexcel Corp. (Æ)		1,900		35
Houston Wire & Cable Co.		773		10
Huron Consulting Group, Inc. (Æ)		700		19
Insteel Industries, Inc.		1,249		15
Interline Brands, Inc. (Æ)		947		21
Kadant, Inc. (Æ)		3,218		84
Kimball International, Inc. Class B		1,273		9
Knoll, Inc.		1,130		23
LaBarge, Inc. (Æ)		340		5
Lawson Products, Inc.		319		8
LB Foster Co. Class A (Æ)		331		14
LMI Aerospace, Inc. (Æ)		1,700		31
M&F Worldwide Corp. (Æ)		940		23
MasTec, Inc. (Æ)		3,500		65
Michael Baker Corp. (Æ)		100		3
Mueller Industries, Inc.		1,875		64
NACCO Industries, Inc. Class A		600		75
National Presto Industries, Inc.		666		84
Navigant Consulting, Inc. (Æ)		2,331		22
Nordson Corp.		2,430		265
Old Dominion Freight Line, Inc. (Æ)		550		17
On Assignment, Inc. (Æ)		3,321		35
Pacer International, Inc. (Æ)		4,600		25
Park-Ohio Holdings Corp. (Æ)		800		18
Powell Industries, Inc. (Æ)		73		3
Quanex Building Products Corp.		4,500		85
Rollins, Inc.		2,785		55
Saia, Inc. (Æ)		597		9
Sauer-Danfoss, Inc. (Æ)		1,980		60
Schawk, Inc. Class A		800		14
Seaboard Corp.		43		100
SFN Group, Inc. (Æ)		11,449		158
Standard Parking Corp. (Æ)		988		18
Standard Register Co. (The)		2,640		9

Enhanced Small Cap Fund 37

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Standex International Corp.		905		31
Sterling Construction Co., Inc. (Æ)		1,340		18
TAL International Group, Inc.		2,202		77
Tecumseh Products Co. Class A (Æ)		887		11
Teledyne Technologies, Inc. (Æ)		630		33
Tennant Co.		400		16
Tredegar Corp.		2,730		53
Trimas Corp. (Æ)		2,120		44
Twin Disc, Inc.		1,902		62
Unifirst Corp.		259		15
United Rentals, Inc. (Æ)		752		23
United Stationers, Inc.		100		7
US Airways Group, Inc. (Æ)		11,749		101
US Ecology, Inc.		229		4
Viad Corp.		1,908		44
VSE Corp.		200		5
Watts Water Technologies, Inc. Class A		1,529		60
Werner Enterprises, Inc.		7,226		170
Woodward, Inc.		1,171		39
				5,380
Information Technology - 20.0%
ACI Worldwide, Inc. (Æ)		5,688		178
Actuate Corp. (Æ)		800		4
Acxiom Corp. (Æ)		6,188		106
Agilysys, Inc. (Æ)		2,460		12
Amkor Technology, Inc. (Æ)		3,417		25
Anaren, Inc. (Æ)		2,134		45
Anixter International, Inc.		432		31
Arris Group, Inc. (Æ)		11,309		149
Aviat Networks, Inc. (Æ)		10,606		65
Benchmark Electronics, Inc. (Æ)		4,930		93
Black Box Corp.		904		35
Bottomline Technologies, Inc. (Æ)		1,699		38
Brightpoint, Inc. (Æ)		9,130		115
Cabot Microelectronics Corp. (Æ)		3,250		159
Cardtronics, Inc. (Æ)		7,000		133
Checkpoint Systems, Inc. (Æ)		106		2
Ciber, Inc. (Æ)		6,254		29
Coherent, Inc. (Æ)		2,972		184
Comtech Telecommunications Corp.		2,666		72
Cray, Inc. (Æ)		644		5
CSG Systems International, Inc. (Æ)		5,110		100
CTS Corp.		345		4
Digi International, Inc. (Æ)		5,329		59
Diodes, Inc. (Æ)		1,920		56
DSP Group, Inc. (Æ)		3,840		30
Earthlink, Inc.		15,644		129
Electro Rent Corp.		700		11
Electronics for Imaging, Inc. (Æ)		800		12
Entegris, Inc. (Æ)		18,940		165
Epicor Software Corp. (Æ)		1,500		15
Forrester Research, Inc.		1,627		59
Global Cash Access Holdings, Inc. (Æ)		11,724		40
GT Solar International, Inc. (Æ)		14,967		160
Hypercom Corp. (Æ)		1,400		14
iGate Corp.		1,810		33
Imation Corp. (Æ)		3,990		46
Insight Enterprises, Inc. (Æ)		4,978		91
Integrated Device Technology, Inc. (Æ)		13,190		102
InterDigital, Inc.		3,867		184
Internap Network Services Corp. (Æ)		14,519		99
IXYS Corp. (Æ)		1,000		12
Knot, Inc. (The) (Æ)		1,000		10
Lattice Semiconductor Corp. (Æ)		25,788		171
Lawson Software, Inc. (Æ)		17,326		176
Lionbridge Technologies, Inc. (Æ)		4,606		17
Liquidity Services, Inc. (Æ)		800		13
Littelfuse, Inc.		1,869		99
LivePerson, Inc. (Æ)		634		6
LoopNet, Inc. (Æ)		1,174		14
Manhattan Associates, Inc. (Æ)		4,091		132
Mattson Technology, Inc. (Æ)		3,200		8
MAXIMUS, Inc.		1,184		88
Measurement Specialties, Inc. (Æ)		720		22
Methode Electronics, Inc.		3,968		46
MicroStrategy, Inc. Class A (Æ)		850		101
MIPS Technologies, Inc. Class A (Æ)		3,841		47
MKS Instruments, Inc.		1,300		39
ModusLink Global Solutions, Inc. (Æ)		6,037		42
MoneyGram International, Inc. (Æ)		5,500		15
Monotype Imaging Holdings, Inc. (Æ)		6,891		92
Multi-Fineline Electronix, Inc. (Æ)		155		4
Nanometrics, Inc. (Æ)		3,300		59
Netgear, Inc. (Æ)		625		21
Netscout Systems, Inc. (Æ)		2,165		54
Newport Corp. (Æ)		2,746		46
NIC, Inc.		878		9
Omnivision Technologies, Inc. (Æ)		1,430		44
Oplink Communications, Inc. (Æ)		1,080		29
OSI Systems, Inc. (Æ)		2,144		81
PC-Telephone, Inc. (Æ)		2,617		20
Perficient, Inc. (Æ)		5,198		65
Pericom Semiconductor Corp. (Æ)		4,532		46
Photronics, Inc. (Æ)		12,736		114
Plantronics, Inc.		4,810		168
Power-One, Inc. (Æ)		3,270		27
Powerwave Technologies, Inc. (Æ)		14,370		53
Progress Software Corp. (Æ)		4,800		141
Pulse Electronics Corp.		3,030		18
Quantum Corp. (Æ)		12,421		32
Quest Software, Inc. (Æ)		2,840		76

38 Enhanced Small Cap Fund

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Radiant Systems, Inc. (Æ)		2,280		39
Radisys Corp. (Æ)		1,700		14
Renaissance Learning, Inc.		300		3
RF Micro Devices, Inc. (Æ)		25,065		188
Richardson Electronics, Ltd.		1,500		20
Rogers Corp. (Æ)		941		44
S1 Corp. (Æ)		7,836		51
Saba Software, Inc. (Æ)		1,100		8
Smith Micro Software, Inc. (Æ)		2,990		28
Spansion, Inc. Class A (Æ)		550		12
SRA International, Inc. Class A (Æ)		1,894		52
SS&C Technologies Holdings, Inc. (Æ)		1,200		24
Stamps.com, Inc.		400		5
Symmetricom, Inc. (Æ)		7,685		43
SYNNEX Corp. (Æ)		2,243		79
TeleNav, Inc. (Æ)		400		4
TeleTech Holdings, Inc. (Æ)		7,667		175
Tessera Technologies, Inc. (Æ)		3,320		58
TIBCO Software, Inc. (Æ)		10,459		258
Tyler Technologies, Inc. (Æ)		1,920		42
Unisys Corp. (Æ)		960		36
ValueClick, Inc. (Æ)		10,607		158
Websense, Inc. (Æ)		903		19
Xyratex, Ltd. (Æ)		4,800		61
				6,567
Materials - 6.0%
Arch Chemicals, Inc.		2,686		96
Buckeye Technologies, Inc.		6,487		170
Clearwater Paper Corp. (Æ)		513		41
Graphic Packaging Holding Co. (Æ)		1,100		6
Headwaters, Inc. (Æ)		3,900		20
Hecla Mining Co. (Æ)		13,180		134
Kaiser Aluminum Corp.		1,639		83
Minerals Technologies, Inc.		1,909		124
Molycorp, Inc. (Æ)		2,384		114
Neenah Paper, Inc.		2,100		41
NewMarket Corp.		1,319		169
Noranda Aluminum Holding Corp. (Æ)		3,950		62
OM Group, Inc. (Æ)		1,971		69
Omnova Solutions, Inc. (Æ)		4,860		34
PH Glatfelter Co.		4,280		53
PolyOne Corp. (Æ)		12,439		173
Rock-Tenn Co. Class A		1,325		91
Sensient Technologies Corp.		2,244		75
Silgan Holdings, Inc.		1,256		46
Spartech Corp. (Æ)		1,364		11
Stillwater Mining Co. (Æ)		1,610		38
TPC Group, Inc. (Æ)		1,230		36
Wausau Paper Corp.		1,890		15
Worthington Industries, Inc.		3,663		71
WR Grace & Co. (Æ)		4,881		186
				1,958
Telecommunication Services - 1.2%
General Communication, Inc. Class A (Æ)		6,451		78
Global Crossing, Ltd. (Æ)		3,044		48
IDT Corp. Class B		6,110		159
PAETEC Holding Corp. (Æ)		10,764		41
Premiere Global Services, Inc. (Æ)		384		3
USA Mobility, Inc.		5,038		75
				404
Utilities - 2.6%
Avista Corp.		4,138		92
Cadiz, Inc. (Æ)		800		10
California Water Service Group		436		15
Central Vermont Public Service Corp.		181		4
Chesapeake Utilities Corp.		400		16
El Paso Electric Co. (Æ)		5,077		143
Idacorp, Inc.		4,322		163
New Jersey Resources Corp.		1,822		76
Northwest Natural Gas Co.		1,105		52
NorthWestern Corp.		1,297		39
PNM Resources, Inc.		468		6
Portland General Electric Co.		700		17
South Jersey Industries, Inc.		450		25
Southwest Gas Corp.		3,225		125
Unisource Energy Corp.		1,894		69
				852
Total Common Stocks (cost $24,613)				33,806
Short-Term Investments - 0.4%
SSgA Prime Money Market Fund		139,541		140
Total Short-Term Investments (cost $140)				140
Total Investments - 103.4% (identified cost $24,753)				33,946
Other Assets and Liabilities, Net - (3.4%)				(1,116	)
Net Assets - 100.0%				32,830

Enhanced Small Cap Fund 39

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except contracts)
								Unrealized
								Appreciation
	Number of		Notional		Expiration			(Depreciation)
Futures Contracts	Contracts		Amount		Date			$
Long Positions
Russell 2000 Mini Index Futures (CME)		1	USD	82		03	/11		—	±
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts									—	±

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	4,673	$	—	$	—	$	4,673		14.3
Consumer Staples		799		—		—		799		2.4
Energy		2,405		—		—		2,405		7.3
Financials		6,738		—		—		6,738		20.5
Health Care		4,030		—		—		4,030		12.3
Industrials		5,380		—		—		5,380		16.4
Information Technology		6,567		—		—		6,567		20.0
Materials		1,958		—		—		1,958		6.0
Telecommunication Services		404		—		—		404		1.2
Utilities		852		—		—		852		2.6
Short-Term Investments		140		—		—		140		0.4
Total Investments		33,946		—		—		33,946		103.4
Other Assets and Liabilities, Net										(3.4	)
										100.0
Other Financial Instruments
Futures Contracts		—		—		—		—		—	*
Total Other Financial Instruments**	$	—	$	—	$	—	$	—

*	Less than .05% of net assets.
**	Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

40 Enhanced Small Cap Fund

SSgA
Directional Core Equity Fund

Shareholder Expense Example — February 28, 2011 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2010 to February 28, 2011.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)
Beginning Account Value September 1, 2010	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2011	$	1,175.10	$	1,015.32
Expenses Paid During Period*	$	10.30	$	9.54

*  Expenses are equal to the Fund’s annualized expense ratio of 1.91% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Directional Core Equity Fund 41

This page has been intentionally left blank.

SSgA
Directional Core Equity Fund

Schedule of Investments — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Common Stocks - 99.8%
Consumer Discretionary - 11.0%
Advance Auto Parts, Inc. (Û)		569		36
Autoliv, Inc. (Û)		231		17
AutoZone, Inc. (Æ)(Û)		105		27
Brinker International, Inc. (Û)		971		23
Comcast Corp. Class A (Û)		1,744		45
Cracker Barrel Old Country Store, Inc. (Û)		316		16
Dollar Tree, Inc. (Æ)(Û)		370		19
Liberty Global, Inc. Class A(Æ)(Û)		524		22
Macy’s, Inc. (Û)		1,135		27
Ross Stores, Inc. (Û)		443		32
Time Warner Cable, Inc. (Û)		380		27
TRW Automotive Holdings Corp. (Æ)(Û)		445		25
Warnaco Group, Inc. (The) (Æ)(Û)		433		25
Wyndham Worldwide Corp. (Û)		575		18
				359
Consumer Staples - 6.2%
Coca-Cola Co. (The) (Û)		157		10
Corn Products International, Inc. (Û)		885		43
Energizer Holdings, Inc. (Æ)(Û)		211		14
Kroger Co. (The) (Û)		1,347		31
Nu Skin Enterprises, Inc. Class A (Û)		570		18
PepsiCo, Inc. (Û)		152		10
Philip Morris International, Inc. (Û)		374		23
Procter & Gamble Co. (The) (Û)		464		29
Wal-Mart Stores, Inc. (Û)		417		22
				200
Energy - 13.6%
Chevron Corp. (Û)		777		81
Cimarex Energy Co. (Û)		195		23
ConocoPhillips (Û)		750		58
Exxon Mobil Corp. (Û)		1,392		119
Marathon Oil Corp.		581		29
McDermott International, Inc. (Æ)(Û)		1,311		30
Murphy Oil Corp. (Û)		389		29
Occidental Petroleum Corp.		69		7
Oceaneering International, Inc. (Æ)(Û)		244		20
Schlumberger, Ltd. (Û)		151		14
Valero Energy Corp.		1,136		32
				442
Financials - 15.9%
Ameriprise Financial, Inc. (Û)		449		28
Axis Capital Holdings, Ltd. (Û)		520		19
Bank of America Corp. (Û)		1,447		21
Berkshire Hathaway, Inc. Class B (Æ)(Û)		154		13
CBL & Associates Properties, Inc. (ö)(Û)		1,938		35
CIT Group, Inc. (Æ)(Û)		400		17
Citigroup, Inc. (Æ)(Û)		1,943		9
Commerce Bancshares, Inc. City MO		629		25
Endurance Specialty Holdings, Ltd. (Û)		774		38
Ezcorp, Inc. Class A (Æ)		882		25
Fifth Third Bancorp(Û)		1,335		20
Goldman Sachs Group, Inc. (The) (Û)		72		12
Hartford Financial Services Group, Inc.		700		21
Hospitality Properties Trust (ö)(Û)		1,393		32
JPMorgan Chase & Co. (Û)		626		29
Moody’s Corp. (Û)		1,192		38
NASDAQ OMX Group, Inc. (The) (Æ)(Û)		828		24
Reinsurance Group of America, Inc. Class A(Û)		344		21
Torchmark Corp. (Û)		605		40
UMB Financial Corp.		764		30
Wells Fargo & Co. (Û)		702		23
				520
Health Care - 11.1%
Abbott Laboratories		106		5
Cephalon, Inc. (Æ)(Û)		434		24
Cooper Cos., Inc. (The) (Û)		795		49
Eli Lilly & Co. (Û)		724		25
Endo Pharmaceuticals Holdings, Inc. (Æ)(Û)		509		18
Forest Laboratories, Inc. (Æ)(Û)		1,073		35
Healthspring, Inc. (Æ)(Û)		668		25
Humana, Inc. (Æ)(Û)		754		49
Johnson & Johnson (Û)		421		26
Merck & Co., Inc. (Û)		236		8
Par Pharmaceutical Cos., Inc. (Æ)		691		21
Pfizer, Inc. (Û)		1,064		21
UnitedHealth Group, Inc. (Û)		1,322		56
				362
Industrials - 10.7%
AGCO Corp. (Æ)(Û)		415		23
Applied Industrial Technologies, Inc. (Û)		496		16
Caterpillar, Inc. (Û)		316		33
CSX Corp. (Û)		418		31
Eaton Corp. (Û)		318		35
General Electric Co. (Û)		1,443		30
KBR, Inc. (Û)		1,464		48
Northrop Grumman Corp. (Û)		237		16
Parker Hannifin Corp. (Û)		228		20
Ryder System, Inc. (Û)		494		24

Directional Core Equity Fund 43

SSgA
Directional Core Equity Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal			Market
	Amount ($)			Value
	or Shares			$
Timken Co. (Û)		840			41
Toro Co. (The) (Û)		501			31
					348
Information Technology - 24.3%
Anixter International, Inc. (Û)		589			42
Apple, Inc. (Æ)(Û)		231			82
BMC Software, Inc. (Æ)(Û)		402			20
CA, Inc. (Û)		760			19
Cisco Systems, Inc. (Æ)(Û)		558			10
Convergys Corp. (Æ)(Û)		1,767			25
Fairchild Semiconductor International, Inc. Class A (Æ)(Û)		1,218			21
Google, Inc. Class A (Æ)(Û)		44			27
Harris Corp. (Û)		549			26
Hewlett-Packard Co. (Û)		519			23
IAC/InterActiveCorp (Æ)(Û)		506			16
Intel Corp. (Û)		1,245			27
International Business Machines Corp. (Û)		491			80
Intuit, Inc. (Æ)(Û)		279			15
j2 Global Communications, Inc. (Æ)		579			17
Lam Research Corp. (Æ)		515			28
Lexmark International, Inc. Class A (Æ)(Û)		410			15
Microsoft Corp. (Û)		1,837			49
Oracle Corp. (Û)		1,496			49
QUALCOMM, Inc.		225			13
RF Micro Devices, Inc. (Æ)(Û)		3,208			24
Symantec Corp. (Æ)(Û)		793			14
Synopsys, Inc. (Æ)(Û)		992			28
Teradyne, Inc. (Æ)(Û)		2,000			37
Vishay Intertechnology, Inc. (Æ)(Û)		2,817			49
Western Union Co. (The) (Û)		1,744			38
					794
Materials - 4.3%
Domtar Corp. (Û)		224			20
Ferro Corp. (Æ)(Û)		1,611			26
Freeport-McMoRan Copper & Gold, Inc. Class B (Û)		752			40
PPG Industries, Inc. (Û)		344			30
Walter Energy, Inc. Class A (Û)		211			25
					141
Telecommunication Services - 2.2%
AT&T, Inc. (Û)		1,490			42
Verizon Communications, Inc. (Û)		768			29
					71
Utilities - 0.5%
Unisource Energy Corp. (Û)		487			18
Total Common Stocks (cost $2,583)					3,255
Short-Term Investments - 15.1%
SSgA Prime Money Market Fund		493,815			494
Total Short-Term Investments (cost $494)					494
Total Investments - 114.9% (identified cost $3,077)					3,749
Securities Sold Short - (27.5)%
Consumer Discretionary - (3.1)%
DreamWorks Animation SKG, Inc. Class A (Æ)		(571	)		(16	)
MDC Holdings, Inc.		(794	)		(21	)
Thor Industries, Inc.		(447	)		(15	)
Toll Brothers, Inc. (Æ)		(1,172	)		(25	)
Urban Outfitters, Inc. (Æ)		(670	)		(25	)
					(102	)
Consumer Staples - (1.3)%
Avon Products, Inc.		(483	)		(14	)
Central European Distribution Corp. (Æ)		(975	)		(22	)
Colgate-Palmolive Co.		(93	)		(7	)
					(43	)
Energy - (1.5)%
Cobalt International Energy, Inc. (Æ)		(1,244	)		(19	)
Petrohawk Energy Corp. (Æ)		(775	)		(17	)
Southwestern Energy Co. (Æ)		(345	)		(14	)
					(50	)
Information Technology - (6.2)%
Concur Technologies, Inc. (Æ)		(454	)		(24	)
Cree, Inc. (Æ)		(288	)		(15	)
Dolby Laboratories, Inc. Class A (Æ)		(392	)		(20	)
Electronic Arts, Inc. (Æ)		(908	)		(17	)
Equinix, Inc. (Æ)		(184	)		(16	)
Flir Systems, Inc.		(535	)		(17	)
Genpact, Ltd. (Æ)		(1,674	)		(23	)
MEMC Electronic Materials, Inc. (Æ)		(1,760	)		(24	)
Salesforce.com, Inc. (Æ)		(147	)		(19	)
Silicon Laboratories, Inc. (Æ)		(502	)		(23	)
					(198	)

44 Directional Core Equity Fund

SSgA
Directional Core Equity Fund

Schedule of Investments, continued — February 28, 2011 (Unaudited)

Amounts in thousands (except share amounts)
	Principal			Market
	Amount ($)			Value
	or Shares			$
Financials - (5.4)%
Associated Banc-Corp.		(1,059	)		(15	)
Astoria Financial Corp.		(1,146	)		(16	)
Charles Schwab Corp. (The)		(473	)		(9	)
E*Trade Financial Corp. (Æ)		(967	)		(16	)
Greenhill & Co., Inc.		(155	)		(11	)
Hanover Insurance Group, Inc. (The)		(513	)		(24	)
Hudson City Bancorp, Inc.		(1,156	)		(13	)
Old Republic International Corp.		(1,871	)		(23	)
Regions Financial Corp.		(1,924	)		(15	)
White Mountains Insurance Group, Ltd.		(47	)		(18	)
Zions Bancorporation		(637	)		(15	)
					(175	)
Industrials - (3.3)%
Babcock & Wilcox Co. (The) (Æ)		(730	)		(25	)
Landstar System, Inc.		(386	)		(17	)
Republic Services, Inc. Class A		(477	)		(14	)
Spirit Aerosystems Holdings, Inc. Class A (Æ)		(1,033	)		(27	)
USG Corp. (Æ)		(1,357	)		(23	)
					(106	)
Health Care - (4.2)%
Allscripts Healthcare Solutions, Inc. (Æ)		(766	)		(16	)
Celgene Corp. (Æ)		(189	)		(10	)
Human Genome Sciences, Inc. (Æ)		(586	)		(15	)
Intuitive Surgical, Inc. (Æ)		(65	)		(21	)
Patterson Cos., Inc.		(512	)		(17	)
Techne Corp.		(243	)		(18	)
Thoratec Corp. (Æ)		(612	)		(17	)
VCA Antech, Inc. (Æ)		(955	)		(24	)
					(138	)
Materials - (1.7)%
Allegheny Technologies, Inc.		(255	)		(17	)
Bemis Co., Inc.		(483	)		(16	)
Vulcan Materials Co.		(524	)		(24	)
					(57	)
Telecommunication Services - (0.8)%
American Tower Corp. Class A (Æ)		(239	)		(13	)
Crown Castle International Corp. (Æ)		(329	)		(14	)
					(27	)
Total Securities Sold Short (proceeds $857)					(896	)
Other Assets and Liabilities, Net - 12.6%					410
Net Assets - 100.0%					3,262

See accompanying notes which are an integral part of the financial statements.

Directional Core Equity Fund 45

SSgA
Directional Core Equity Fund

Presentation of Portfolio Holdings — February 28, 2011 (Unaudited)
Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1			Level 2		Level 3		Total			Assets
Consumer Discretionary	$	359		$	—	$	—	$	359			11.0
Consumer Staples		200			—		—		200			6.2
Energy		442			—		—		442			13.6
Financials		520			—		—		520			15.9
Health Care		362			—		—		362			11.1
Industrials		348			—		—		348			10.7
Information Technology		794			—		—		794			24.3
Materials		141			—		—		141			4.3
Telecommunication Services		71			—		—		71			2.2
Utilities		18			—		—		18			0.5
Short-Term Investments		494			—		—		494			15.1
Total Investments	$	3,749		$	—	$	—	$	3,749			114.9
Securities Sold Short		(896	)		—		—		(896	)		(27.5	)
Other Assets and Liabilities, Net												12.6
												100.0

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.

46 Directional Core Equity Fund

SSgA
Equity Funds

Notes to Schedules of Investments — February 28, 2011 (Unaudited)

Footnotes

(Æ)	Non-income producing security.
(ö)	Real Estate Investment Trust (REIT).
(§)	All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund.
(å)	Cash collateral balances were held in connection with futures contracts purchased (sold), options written, or swaps entered into by the Fund. See Note 2.
(ÿ)	Rate noted is yield-to-maturity from date of acquisition.
(ç)	Fair value is at amortized cost, which approximates market.
(Ê)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(Ñ)	All or a portion of the shares of this security are on loan.
(X)	Affiliate; the security is purchased with the cash collateral from the securities loaned.
(Û)	Held as collateral in connection with securities sold short.
±	Less than $500.

Abbreviations

ADR - American Depositary Receipt
ADS - American Depositary Share
CDO - Collateralized Debt Obligation
CMO - Collateralized Mortgage Obligation
CVO - Contingent Value Obligation
FDIC - Federal Deposit Insurance Company
GDR - Global Depositary Receipt
GDS - Global Depositary Share
LIBOR - London Interbank Offered Rate
PIK - Payment in Kind
REMIC - Real Estate Mortgage Investment Conduit
STRIP - Separate Trading of Registered Interest and Principal of Securities
TBA - To Be Announced Security

Notes to Schedules of Investments 47

SSgA
Equity Funds

Statements of Assets and Liabilities — February 28, 2011 (Unaudited)

	Disciplined			Small Cap
Amounts in thousands	Equity Fund			Fund
Assets
Investments, at identified cost	$	5,790		$	11,536
Investments, at market*		8,286			13,524
Cash (restricted)		—			—
Deposits with brokers for securities sold short**		—			—
Receivables:
Dividends and interest		18			5
Investments sold		131			—
Fund shares sold		—			9
From Advisor		14			20
Daily variation margin on futures contracts		—			—
Prepaid expenses		2			1
Total assets		8,451			13,559
Liabilities
Payables:
Due to custodian		14			—
Investments purchased		5			—
Fund shares redeemed		—			—
Accrued fees to affiliates		25			37
Other accrued expenses		46			25
Securities sold short, at market value**		—			—
Payable upon return of securities loaned		664			2,581
Total liabilities		754			2,643
Net Assets	$	7,697		$	10,916
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	31		$	(11	)
Accumulated net realized gain (loss)		(64,706	)		(23,054	)
Unrealized appreciation (depreciation) on:
Investments		2,496			1,988
Futures contracts		—			—
Securities sold short**		—			—
Shares of beneficial interest		1			—
Additional paid-in capital		69,875			31,993
Net Assets	$	7,697		$	10,916
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class(a)	$	9.92		$	22.16
Net assets	$	7,696,758		$	10,084,750
Shares outstanding ($.001 par value)		776,209			455,121
Net asset value per share: Class R(a)	$	—		$	21.98
Net assets	$	—		$	831,418
Shares outstanding ($.001 par value)		—			37,821

Amounts in thousands
*	Securities on loan included in investments	$	651	$	2,517
**	Proceeds on securities sold short	$	—	$	—
(a)	Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.

48 Statements of Assets and Liabilities

Tuckerman			IAM SHARES			Enhanced Small			Directional Core
Active REIT Fund			Fund			Cap Fund			Equity Fund
$	40,524		$	141,377		$	24,753		$	3,077
	69,762			169,285			33,946			3,749
	—			—			5			—
	—			—			—			427
	21			361			16			5
	237			—			—			—
	40			6			2			—
	15			—			16			12
	—			22			—			—
	2			6			5			5
	70,077			169,680			33,990			4,198
	—			—			—			—
	—			—			—			—
	229			—			1,093			—
	63			55			41			20
	33			37			26			20
	—			—			—			896
	4,443			4,261			—			—
	4,768			4,353			1,160			936
$	65,309		$	165,327		$	32,830		$	3,262
$	8		$	531		$	103		$	(6	)
	(33,619	)		(33,497	)		(11,676	)		(3,828	)
	29,238			27,908			9,193			672
	—			295			—			—
	—			—			—			(39	)
	6			16			3			—
	69,676			170,074			35,207			6,463
$	65,309		$	165,327		$	32,830		$	3,262
$	11.35		$	10.23		$	11.10		$	10.47
$	65,309,000		$	165,326,528		$	32,829,876		$	3,261,506
	5,752,993			16,155,990			2,956,832			311,394
$	—		$	—		$	—		$	—
$	—		$	—		$	—		$	—
	—			—			—			—

$	4,761	$	4,537	$	—	$	—
	—		—		—		(857	)

See accompanying notes which are an integral part of the financial statements.

Statements of Assets and Liabilities 49

SSgA
Equity Funds

Statements of Operations — For the Period Ended February 28, 2011 (Unaudited)

	Disciplined			Small Cap
Amounts in thousands	Equity Fund			Fund
Investment Income
Dividends	$	81		$	52
Securities lending income		1			3
Total investment income		82			55
Expenses
Advisory fees		9			39
Administrative fees		16			17
Custodian fees		23			33
Distribution fees		5			8
Distribution fees - Class R		—			—	*
Transfer agent fees		17			33
Professional fees		31			18
Registration fees		12			22
Shareholder servicing fees		1			3
Shareholder servicing fees - Class R		—			2
Trustees’ fees		7			6
Insurance fees		1			—	*
Printing fees		11			3
Dividends from securities sold short		—			—
Miscellaneous		1			3
Expenses before reductions		134			187
Expense reductions		(110	)		(121	)
Net expenses		24			66
Net investment income (loss)		58			(11	)
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		724			1,737
Futures contracts		7			—
Securities sold short		—			—
Net realized gain (loss)		731			1,737
Net change in unrealized appreciation (depreciation) on:
Investments		1,066			1,719
Futures contracts		—			—
Securities sold short		—			—
Net change in unrealized appreciation (depreciation)		1,066			1,719
Net realized and unrealized gain (loss)		1,797			3,456
Net Increase (Decrease) in Net Assets from Operations	$	1,855		$	3,445

* Less than $500.

See accompanying notes which are an integral part of the financial statements.

50 Statements of Operations

Tuckerman Active			IAM SHARES			Enhanced Small			Directional
REIT Fund			Fund			Cap Fund			Core Equity Fund
$	767		$	1,500		$	220		$	28
	10			16			—			—
	777			1,516			220			28
	203			187			70			23
	25			39			20			15
	21			24			41			18
	64			26			30			2
	—			—			—			—
	23			16			16			14
	22			25			23			18
	14			12			13			13
	14			19			4			3
	—			—			—			—
	7			8			6			6
	1			2			—	*		—	*
	8			12			3			1
	—			—			—			5
	1			1			2			1
	403			371			228			119
	(91	)		(2	)		(111	)		(85	)
	312			369			117			34
	465			1,147			103			(6	)
	1,572			(158	)		2,139			282
	—			461			83			—
	—			—			—			(167	)
	1,572			303			2,222			115
	9,818			34,317			7,973			627
	—			402			11			—
	—			—			—			(141	)
	9,818			34,719			7,984			486
	11,390			35,022			10,206			601
$	11,855		$	36,169		$	10,309		$	595

See accompanying notes which are an integral part of the financial statements.

Statements of Operations 51

SSgA
Equity Funds

Statements of Changes in Net Assets

	Disciplined Equity Fund						Small Cap Fund
	Six Months			Fiscal Year			Six Months			Fiscal Year
	Ended			Ended			Ended			Ended
	February 28, 2011			August 31,			February 28, 2011			August 31,
Amounts in thousands	(Unaudited)			2010			(Unaudited)			2010
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	58		$	976		$	(11	)	$	(12	)
Net realized gain (loss)		731			19,644			1,737			1,930
Net change in unrealized appreciation (depreciation)		1,066			(12,142	)		1,719			(1,351	)
Net increase (decrease) in net assets from operations		1,855			8,478			3,445			567
Distributions
From net investment income
Institutional Class		(68	)		(1,222	)		—			—
Net decrease in net assets from distributions		(68	)		(1,222	)		—			—
Share Transactions
Net increase (decrease) in net assets from share transactions		(961	)		(99,179	)		(1,629	)		(2,985	)
Total Net Increase (Decrease) in Net Assets		826			(91,923	)		1,816			(2,418	)
Net Assets
Beginning of period		6,871			98,794			9,100			11,518
End of period	$	7,697		$	6,871		$	10,916		$	9,100
Undistributed (overdistributed) net investment income included in net assets	$	31		$	41		$	(11	)	$	—

See accompanying notes which are an integral part of the financial statements.

52 Statements of Changes in Net Assets

Tuckerman Active REIT Fund						IAM SHARES Fund						Enhanced Small Cap Fund						Directional Core Equity Fund
Six Months						Six Months						Six Months						Six Months
Ended			Fiscal Year			Ended			Fiscal Year			Ended			Fiscal Year			Ended			Fiscal Year
February 28,			Ended			February 28,			Ended			February 28,			Ended			February 28,			Ended
2011			August 31,			2011			August 31,			2011			August 31,			2011			August 31,
(Unaudited)			2010			(Unaudited)			2010			(Unaudited)			2010			(Unaudited)			2010
$	465		$	1,609		$	1,147		$	2,197		$	103		$	175		$	(6	)	$	(22	)
	1,572			4,041			303			(419	)		2,222			2,356			115			402
	9,818			11,911			34,719			3,120			7,984			(169	)		486			(415	)
	11,855			17,561			36,169			4,898			10,309			2,362			595			(35	)
	(598	)		(1,995	)		(1,318	)		(2,041	)		(155	)		(228	)		—			—
	(598	)		(1,995	)		(1,318	)		(2,041	)		(155	)		(228	)		—			—
	(5,686	)		(31,339	)		1,548			2,118			(3,454	)		(3,318	)		(1,106	)		(1,367	)
	5,571			(15,773	)		36,399			4,975			6,700			(1,184	)		(511	)		(1,402	)
	59,738			75,511			128,928			123,953			26,130			27,314			3,773			5,175
$	65,309		$	59,738		$	165,327		$	128,928		$	32,830		$	26,130		$	3,262		$	3,773
$	8		$	141		$	531		$	702		$	103		$	155		$	(6	)	$	—

See accompanying notes which are an integral part of the financial statements.

Statements of Changes in Net Assets 53

SSgA
Equity Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.

	$		$			$			$			$			$
	Net Asset Value,		Net			Net Realized			Total from			Distributions			Distributions
	Beginning of		Investment			and Unrealized			Investment			from Net			from Net
	Period		Income (Loss)(a)			Gain (Loss)			Operations			Investment Income			Realized Gain
Disciplined Equity Fund
February 28, 2011*		7.79		.07			2.14			2.21			(.08	)		—
August 31, 2010		7.72		.11			.07			.18			(.11	)		—
August 31, 2009		9.99		.17			(2.25	)		(2.08	)		(.19	)		—
August 31, 2008		11.83		.19			(1.85	)		(1.66	)		(.18	)		—
August 31, 2007		10.38		.16			1.46			1.62			(.17	)		—
August 31, 2006		9.65		.15			.72			.87			(.14	)		—
Small Cap Fund
Institutional Class
February 28, 2011*		15.80		(.02	)		6.38			6.36			—			—
August 31, 2010		15.31		(.02	)		.51			.49			—			—
August 31, 2009		22.14		(.06	)		(6.77	)		(6.83	)		—			—
August 31, 2008		30.06		(.08	)		(4.75	)		(4.83	)		(.03	)		(3.06	)
August 31, 2007		29.32		.03			2.24			2.27			—			(1.53	)
August 31, 2006		29.86		(.08	)		.76			.68			—	(b)		(1.22	)
Class R
February 28, 2011*		15.70		(.05	)		6.33			6.28			—			—
August 31, 2010		15.22		(.03	)		.51			.48			—			—
August 31, 2009		21.99		(.03	)		(6.74	)		(6.77	)		—			—
August 31, 2008		29.87		(.11	)		(4.71	)		(4.82	)		—			(3.06	)
August 31, 2007		29.28		(.14	)		2.26			2.12			—			(1.53	)
August 31, 2006		29.80		(.24	)		.94			.70			—			(1.22	)
Tuckerman Active REIT Fund
February 28, 2011*		9.49		.08			1.88			1.96			(.10	)		—
August 31, 2010		7.48		.21			2.06			2.27			(.26	)		—
August 31, 2009		14.00		.28			(5.80	)		(5.52	)		(.27	)		(.73	)
August 31, 2008		19.58		.26			(1.31	)		(1.05	)		(.24	)		(4.29	)
August 31, 2007		20.55		.19			.50			.69			(.27	)		(1.39	)
August 31, 2006		17.05		.30			4.06			4.36			(.28	)		(.58	)
IAM SHARES Fund
February 28, 2011*		8.07		.07			2.17			2.24			(.08	)		—
August 31, 2010		7.88		.14			.18			.32			(.13	)		—
August 31, 2009		9.89		.17			(1.99	)		(1.82	)		(.19	)		—
August 31, 2008		11.37		.19			(1.49	)		(1.30	)		(.18	)		—
August 31, 2007		9.98		.17			1.39			1.56			(.17	)		—
August 31, 2006		9.26		.15			.71			.86			(.14	)		—
Enhanced Small Cap Fund
February 28, 2011*		7.95		.03			3.17			3.20			(.05	)		—
August 31, 2010		7.42		.05			.54			.59			(.06	)		—
August 31, 2009		10.01		.06			(2.56	)		(2.50	)		(.09	)		—
August 31, 2008		11.79		.08			(1.38	)		(1.30	)		(.06	)		(.42	)
August 31, 2007		11.72		.10			.77			.87			(.04	)		(.76	)
August 31, 2006		10.85		.04			.98			1.02			(.04	)		(.11	)
Directional Core Equity Fund
February 28, 2011*		8.91		(.02	)		1.58			1.56			—			—
August 31, 2010		9.15		(.04	)		(.20	)		(.24	)		—			—
August 31, 2009		10.14		(.04	)		(.75	)		(.79	)		(.20	)		—
August 31, 2008		12.09		.09			(1.90	)		(1.81	)		(.14	)		—
August 31, 2007		11.54		.20			.56			.76			(.09	)		(.12	)
August 31, 2006		10.63		.11			.85			.96			(.05	)		—

See accompanying notes which are an integral part of the financial statements.

54 Financial Highlights

										%			%		%
			$					$		Ratio of Expenses			Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average			to Average		Investment Income			%
Total			End of		Total			End of Period		Net Assets,			Net Assets,		to Average			Portfolio
Distributions			Period		Return(e)			(000)		Net(c)(f)			Gross(f)		Net Assets(c)(f)			Turnover Rate(e)
	(.08	)		9.92		28.53			7,697		.65			3.59		1.56			33
	(.11	)		7.79		2.26			6,871		.82			.89		1.29			83
	(.19	)		7.72		(20.56	)		98,794		.63			.63		2.47			118
	(.18	)		9.99		(14.13	)		150,365		.51			.51		1.69			70
	(.17	)		11.83		15.66			248,028		.45			.45		1.38			53
	(.14	)		10.38		9.10			219,712		.45			.46		1.47			44
	—			22.16		40.25			10,085		1.25			3.59		(.19	)		115
	—			15.80		3.20			8,562		1.53			3.36		(.10	)		240
	—			15.31		(30.85	)		10,906		1.81			2.70		(.39	)		235
	(3.09	)		22.14		(17.93	)		25,927		1.38			1.38		(.35	)		159
	(1.53	)		30.06		7.70			105,292		1.11			1.11		.08			125
	(1.22	)		29.32		2.59			124,775		1.10			1.10		(.30	)		83
	—			21.98		40.00			831		1.60			3.94		(.56	)		115
	—			15.70		3.15			538		1.60			3.87		(.16	)		240
	—			15.22		(30.79	)		612		1.60			3.18		(.21	)		235
	(3.06	)		21.99		(18.05	)		1,027		1.60			1.86		(.49	)		159
	(1.53	)		29.87		7.18			1,375		1.60			1.68		(.45	)		125
	(1.22	)		29.28		2.66			1,574		1.60			1.70		(.79	)		83
	(.10	)		11.35		20.74			65,309		1.00			1.29		1.49			1
	(.26	)		9.49		30.77			59,738		1.00			1.31		2.46			36
	(1.00	)		7.48		(39.82	)		75,511		1.00			1.29		3.88			55
	(4.53	)		14.00		(6.47	)		158,284		1.00			1.10		1.73			35
	(1.66	)		19.58		2.98			136,286		1.00			1.06		.89			32
	(.86	)		20.55		26.82			197,168		1.00			1.05		1.66			36
	(.08	)		10.23		27.95			165,327		.49			.50		1.53			—
	(.13	)		8.07		4.01			128,928		.53			.53		1.62			2
	(.19	)		7.88		(18.15	)		123,953		.54			.54		2.39			5
	(.18	)		9.89		(11.52	)		199,951		.46			.46		1.80			2
	(.17	)		11.37		15.74			229,937		.45			.45		1.56			6
	(.14	)		9.98		9.38			199,624		.47			.47		1.51			12
	(.05	)		11.10		40.33			32,830		.75			1.46		.66			28
	(.06	)		7.95		8.01			26,130		.75			1.58		.62			77
	(.09	)		7.42		(24.91	)		27,314		.75			1.48		.85			101
	(.48	)		10.01		(11.54	)		41,988		.75			1.09		.78			93
	(.80	)		11.79		7.49			42,724		.75			1.15		.81			49
	(.15	)		11.72		9.54			17,096		.75			1.55		.36			76
	—			10.47		17.51			3,262		1.91	(d)		6.63		(.33	)		126
	—			8.91		(2.62	)		3,773		1.94	(d)		5.53		(.47	)		197
	(.20	)		9.15		(7.63	)		5,175		1.85	(d)		4.39		(.52	)		185
	(.14	)		10.14		(15.10	)		9,849		1.86	(d)		2.74		.79			114
	(.21	)		12.09		6.65			41,815		1.72	(d)		2.16		1.59			185
	(.05	)		11.54		9.06			24,589		1.79	(d)		2.61		.95			108

See accompanying notes which are an integral part of the financial statements.

Financial Highlights 55

SSgA
Equity Funds

Notes to Financial Highlights — February 28, 2011 (Unaudited)

*	For the six months ended February 28, 2011 (Unaudited).
(a)	Average daily shares outstanding were used for this calculation.
(b)	Less than $0.005 per share.
(c)	May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements.
	The custody credit arrangements had an impact of less than .005% per share.
(d)	The annualized net expense ratio is 1.60% not including the dividends from securities sold short as contractually agreed by the Advisor.
(e)	Periods less than one year are not annualized.
(f)	The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.

56 Notes to Financial Highlights

SSgA
Equity Funds

Notes to Financial Statements — February 28, 2011 (Unaudited)

1. Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 28, 2011. These financial statements report on 6 funds: the SSgA Disciplined Equity Fund, SSgA Small Cap Fund, SSgA Tuckerman Active REIT Fund, SSgA IAM SHARES Fund, SSgA Enhanced Small Cap Fund and SSgA Directional Core Equity Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

On July 31, 2003, the Class R Prospectus for the Small Cap Fund became effective. Class R shares of the Investment Company may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.

2. Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

United States equity securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, lacking any sale, at the last reported bid price on the primary exchange on which the security is traded. United States over-the-counter equities are valued on the official closing price. Futures contracts are valued on the basis of settlement price established on the exchange on which they are traded. Investments in other mutual funds are valued at the net asset value (“NAV”) per share.

Short-term instruments purchased by the Funds and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value.

If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. This generally means that equity securities and fixed income securities listed and traded principally on any national securities exchange are valued on the basis of the last sale price or, lacking any sales, at the closing bid price, on the primary exchange on which the security is traded. The Funds may use the fair value of a portfolio security to calculate their NAV when, for example: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale price”), or (5) State Street Bank and Trust Company (the “Custodian”), or Russell Fund Services Company (the “Administrator”), determines that a market quotation is inaccurate.

The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded, but rather may be priced by another method that the Board believes reflects fair value. A security valued on the basis of an evaluation of its fair value may be valued at a price higher or lower than available market quotations. A security’s valuation may differ depending on the method used and the factors considered in determining value pursuant to the Fair Value Procedures. There can be no assurance that the Funds’ NAV fairly reflects security values as of the time of pricing when using

Notes to Financial Statements 57

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

the Fair Value Procedures to price the Funds’ securities. Events or circumstances affecting the values of fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of fund shares is determined may be reflected in the Investment Company’s calculation of NAVs for each applicable fund when the Investment Company deems that the particular event or circumstance would materially affect such fund’s NAV.

Fair value of securities is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. To increase consistency and comparability in fair value measurement, the fair value hierarchy was established to maximize the use of observable market data and minimize the use of unobservable inputs to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy of inputs is summarized in the three broad levels listed below.

•   Level 1 — quoted prices (unadjusted) in active markets for identical investments

•   Level 2 — other significant observable inputs including quoted market prices in non-active markets or prices derived from market data. Included are the following:

•   common stocks traded or quoted only on inactive markets

•   privately placed bonds whose values are derived from a similar bond that is publicly traded

•   interest rate swaps valued based on compilation of primarily observable swap curves incorporated into a model or matrix price

•   euro commercial paper valued at amortized cost which approximates market and is not priced daily or a broker quote in a non-active market with inputs incorporated into a model or matrix price

•   non registered mutual funds that are daily priced, but not publicly traded

•   currency forwards valued based on a compilation of primarily observable market currency spot rates incorporated into a model or matrix price

•   corporate bonds and notes, domestic commercial paper, time deposits, U.S. Government Agencies, U.S. Treasury and Yankee Certificates of Deposit using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs incorporated into a model or matrix price

•   mortgage-related and other asset backed securities are valued based on evaluators analyzing features such as the pricing speed, spread and volatility in order to confirm the deal structure. Spreads and other information solicited from Wall Street buy and sell-side sources, including primary and secondary dealers, portfolio managers, and research analysts are used as model inputs. Using evaluated pricing based on a compilation of primarily observable market information and or live data sources, active market makers and inter-dealer broker inputs are incorporated into a model or matrix price (security characteristics including coupon rates and maturity dates are disclosed in the Statement of Investments).

Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

•   Level 3 — significant unobservable inputs including a Fund’s own assumptions in determining the fair value of investments. Included are the following:

58 Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

•   OTC securities using the Company’s own data/models

•   prices with significant haircuts applied

•   staled securities — fair valuation procedures are applied

•   securities that have broken tolerance outlined in the Board-approved securities valuation procedures

•   no current market quotations — fair valuation procedures are applied

•   unreliable prices — fair valuation procedures are applied

Level 3 investments include positions with prices not derived from existing market data. As such, Level 3 assets typically involve the use of financial models, such as discounted cash flow analysis for investments in privately held companies, or other non-market based methods to determine an investment’s Fair Value. One may consider Level 3 investments as those that cannot be quickly liquidated for their stated market value.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

The levels associated with valuing the Funds’ investments for the period ended February 28, 2011 are disclosed in the Presentation of Portfolio Holdings following the Schedule of Investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded daily on the accrual basis.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (losses) of the other Funds.

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This required each Fund to distribute all of its taxable income and capital gains. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2011, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statue of limitations remains open to examine the Funds’ U.S. tax returns filed August 31, 2007 through August 31, 2009, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Notes to Financial Statements 59

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

At February 28, 2011, the following Funds had net tax basis capital loss carryovers, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:

	Expiration Year
	8/31/2011		8/31/2012		8/31/2013		8/31/2015		8/31/2016		8/31/2017		8/31/2018		Total
Disciplined Equity	$	18,406,161	$	19,079,919	$	—	$	—	$	—	$	13,892,182	$	13,459,097	$	64,837,359
Small Cap		—		—		—		—		950,872		17,330,773		6,490,842		24,772,487
Tuckerman Active REIT		—		—		—		—		—		7,973,270		27,052,946		35,026,216
IAM SHARES		8,639,127		1,396,175		859,207		—		2,796,414		1,248,239		17,638,415		32,577,577
Enhanced Small Cap		—		—		—		—		639,874		5,570,057		7,577,085		13,787,016
Directional Core Equity		—		—		—		217,099		426,008		2,601,456		670,141		3,914,704

As of February 28, 2011, the Fund’s aggregate cost of investments and the comparison of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:

							Tuckerman
	Disciplined			Small			Active			IAM			Enhanced			Directional
	Equity			Cap			REIT			SHARES			Small Cap			Core Equity
Cost of Investments for Tax Purposes	$	6,278,920		$	11,543,648		$	40,635,901		$	141,773,430		$	24,828,350		$	3,086,051
Gross Tax Unrealized Appreciation		2,027,599			2,072,857			29,282,703			50,207,661			9,671,731			685,683
Gross Tax Unrealized Depreciation		(20,658	)		(92,322	)		(156,341	)		(22,695,915	)		(554,451	)		(22,735	)
Net Tax Unrealized Appreciation/(Depreciation)	$	2,006,941		$	1,980,535		$	29,126,362		$	27,511,746		$	9,117,280		$	662,948

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid on the following frequency:

Disciplined Equity	Quarterly
Small Cap	Annually
Tuckerman Active REIT	Monthly
IAM SHARES	Quarterly
Enhanced Small Cap	Annually
Directional Core Equity	Annually

Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for GAAP purposes. These differences relate primarily to investments in certain securities sold at a loss. Permanent differences between book and tax accounting are reclassified to paid-in capital.

Expenses

Most expenses can be directly attributed to a fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all Funds of the Investment Company based principally on their relative average net assets.

The Small Cap Fund offers Class R Shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in the Funds’ Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are

60 Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objective.

The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by the Funds through the use of options and futures to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances. Hedging is used by the Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in the Funds. By purchasing certain instruments, the Funds may more effectively achieve the desired portfolio characteristics that assist in meeting the Funds’ investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The fair values of the Funds Derivative Instruments as shown the Statement of Assets and Liabilities, categorized by risk exposure for the period ended February 28, 2011, were as follows:

(Amounts in thousands)
	Disciplined			IAM		Enhanced
	Equity			SHARES		Small Cap
Derivatives not accounted for as hedging instruments	Equity Contracts			Equity Contracts		Equity Contracts
Location
Statement of Assets and Liabilities — Assets
Daily variation margin on futures contracts*	$	—	**	$	295	$	—	**
Location
Statement of Assets and Liabilities — Liabilities
Daily variation margin on futures contracts*	$	—		$	—	$	—

*  Includes cumulative appreciation (depreciation) of futures contracts as reported in Schedule of Investments.

Only current day’s variation margin is reported within the Statement of Assets & Liabilities.

**  Less than $500.

The effects of Derivative Instruments on the Statement of Operations for the period ended February 28, 2011 were as follows:

(Amounts in thousands)
	Disciplined		IAM		Enhanced
	Equity		SHARES		Small Cap
Derivatives not accounted for as hedging instruments	Equity Contracts		Equity Contracts		Equity Contracts
Location
Statement of Operations — Net realized gain (loss)
Futures contracts	$	7	$	461	$	83
Location
Statement of Operations — Net change in unrealized appreciation (depreciation)
Futures contracts	$	—	$	402	$	11

The Small Cap, Tuckerman Active REIT and Directional Core Equity Funds had no derivative instruments for the period ended February 28, 2011.

Derivative balances at February 28, 2011 are representative of derivative use throughout the period.

Futures Contracts

The Funds are currently utilizing exchange-traded futures contracts. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts and the possibility of an illiquid market or inability of counterparties to meet the terms of their contracts. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which

Notes to Financial Statements 61

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as the variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement value are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains (losses) are recognized. As of February 28, 2011, the Enhanced Small Cap Fund had a $4,500 cash collateral balance held in connection with futures contracts purchased (sold).

Short Sales

The Directional Core Equity Fund may enter into short sale transactions. In a short sale, the seller sells a security that it does not own, typically a security borrowed from a broker or dealer. Because the seller remains liable to return the underlying security that it borrowed from the broker or dealer, the seller must purchase the security prior to the date on which delivery to the broker or dealer is required. As a result, the Fund will engage in short sales only where the Advisor believes the value of the security will decline between the date of the sale and the date the Fund is required to return the borrowed security. The Fund will incur a loss as a result of the short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will realize a gain if the security declines in price between those dates. The making of short sales exposes the Fund to the risk of liability for the market value of the security that is sold (the amount of which the liability increases as the market value of the underlying security increases), in addition to the costs associated with establishing, maintaining and closing out the short position. Although the Fund’s potential for gain as a result of a short sale is limited to the price at which it sold the security short less the cost of borrowing the security, its potential for loss is theoretically unlimited because there is no limit to the cost of replacing the borrowed security. When engaging in short sales, the Fund may be required to pledge assets to the broker or take other action to cover its obligation, which has the practical effect of limiting the amount of leverage that can be created through this investment.

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

3. Investment Transactions

Securities

For the period ended February 28, 2011, purchases and sales of investment securities, excluding short-term investments and futures contracts were as follows:

	Purchases		Sales
Disciplined Equity	$	2,444,320	$	3,573,850
Small Cap		11,582,492		13,227,448
Tuckerman Active REIT		836,115		6,110,877
IAM SHARES		1,164,689		128,718
Enhanced Small Cap		8,521,370		10,133,459
Directional Core Equity		4,344,048		5,091,485

Securities Lending

The Investment Company participates in a securities lending program whereby each Fund can loan securities with a value up to 33¹/₃% of its total assets. The Fund receives cash (U.S. currency), U.S. Government, U.S. Government agency obligations or foreign government securities as collateral against the loaned securities. To the extent that a loan is secured by cash collateral, such collateral must be invested by State Street Bank and Trust Company (“State Street”, the lending agent and an affiliate of the Advisor) in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. Under the securities lending arrangement, the collateral received is recorded on a lending Fund’s statement of assets and liabilities along with the related obligation to return the

62 Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

collateral. At year end, all such cash collateral was invested in the State Street Navigator Securities Prime Lending Portfolio, a money market fund affiliated with the Advisor.

Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and State Street and is recorded as securities lending income for the Funds. To the extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders’ fees, which are divided between the Fund and State Street and are recorded as security lending income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of U.S. securities) or 105% (for non-U.S. securities) of the market value of the loaned securities at the inception of each loan. The market value of the loaned securities is determined at the close of business of the Funds, and any additional required collateral is delivered to the Funds the next day. Should the borrower of the securities fail financially, there is a risk of delay in recovery or loss of rights in the securities loaned or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing.

As of February 28, 2011, the non-cash collateral received for the securities on loan was as follows:

	Non-Cash
	Collateral Value		Non-Cash Collateral Holding
Disciplined Equity	$	384	Pool of US Government and European Government Bonds
Tuckerman Active REIT		317,272	Pool of US Government and European Government Bonds
IAM SHARES		387,689	Pool of US Government and European Government Bonds

The Funds cannot repledge or sell non-cash collateral balances.

4. Related Party Transactions, Fees and Expenses

Advisor and Affiliates

The Advisor manages the Funds pursuant to a written Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Tuckerman Group, LLC serves as the investment sub-advisor (the “Sub-Advisor”) for the Tuckerman Active REIT Fund. The Advisor provides reporting, operational compliance and general oversight services with respect to the investment advisory services of the Sub-Advisor. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Advisor, calculated daily and paid monthly, at the following annual rates of their average daily net assets:

Funds	%
Disciplined Equity		0.25
Small Cap		0.75
Tuckerman Active REIT		0.65
IAM SHARES		0.25
Enhanced Small Cap		0.45
Directional Core Equity		1.25

If the total expenses of the Institutional Class are above its cap, the Advisor will waive its Advisory fee for both Institutional and Class R in an equal amount to reduce the total expenses to the level of the cap in effect for the Institutional Class. If thereafter the total expenses for Class R remain above the total expense cap in effect for Class R, then State Street Global Markets, LLC (the “Distributor”), which is a wholly-owned subsidiary of State Street Corporation, will waive up to 0.70% of the average daily net assets of the Distribution (12b-1) and Service Fee to further reduce the total expenses of Class R to the level of its cap. If only Class R is above its respective expense cap, then the Distributor will waive up to 0.70% of its average daily net assets of Class R.

Effective July 1, 2010, the Advisor has contractually agreed to waive up to the full amount of the Disciplined Equity Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 0.65% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 28, 2011 was $9,323. The total amount of reimbursement for the period ended February 28, 2011 was $100,467.

Notes to Financial Statements 63

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

The Advisor has contractually agreed to waive up to the full amount of the Small Cap Fund’s advisory fees and to reimburse the Institutional Class and Class R for all expenses in excess of 1.25% and 1.60%, respectively, of each class’ average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 28, 2011 was $36,043 for the Institutional Class and $2,756 for Class R. The total amount of distribution fee waiver for Class R for the period ended February 28, 2011 was $18. The total amount of reimbursement for the period ended February 28, 2011 was $76,273 for the Institutional Class and $5,817 for Class R.

The Advisor has contractually agreed to waive up to the full amount of the Tuckerman Active REIT Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 1.00% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 28, 2011 was $91,305. There was no reimbursement for the period ended February 28, 2011.

The Advisor has contractually agreed to waive up to the full amount of the IAM SHARES Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 0.65% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). There were no waivers or reimbursements for the period ended February 28, 2011.

The Advisor has contractually agreed to waive up to the full amount of the Enhanced Small Cap Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 0.75% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 28, 2011 was $70,372. The total amount of reimbursement for the period ended February 28, 2011 was $40,065.

The Advisor has contractually agreed to waive up to the full amount of the Directional Core Equity Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 1.60% of its average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and dividends and interest on securities sold short). The total amount of the waiver for the period ended February 28, 2011 was $22,571. The total amount of reimbursement for the period ended February 28, 2011 was $62,616.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Investment Company also has a contract with State Street to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 28, 2011, $4,303,011 of the Central Fund’s net assets represents investments by these Funds, and $8,104,180 represents the investments of other Investment Company funds not presented herein.

Effective September 1, 2006, the Advisor has voluntarily agreed to waive a portion of certain Funds’ advisory fee equal to the advisory fee paid by certain Funds to the Central Fund. In addition, if Central Fund shares sold to and/or redeemed from a participating fund are subject under a 12b-1 Plan to any distribution fee or service fee, the Advisor will waive its advisory fee for

64 Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

each participatory fund, in an amount that offsets the amount of such fee incurred by the participating fund. For the period ended February 28, 2011, the total advisory fees waived were as follows:

	Amount Paid
Disciplined Equity	$	25
Small Cap		57
Tuckerman Active REIT		120
IAM SHARES		1,998
Enhanced Small Cap		232
Directional Core Equity		194

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each fund.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. During the period, the Funds’ custodian fees were reduced by the following amounts under these arrangements:

	Amount Paid
Small Cap	$	2
Tuckerman Active REIT		1
IAM SHARES		3
Enhanced Small Cap		1

Securities Lending

For the period September 1, 2010 through February 28, 2011, State Street earned securities lending agent fees as follows:

	Agent
	Fees Earned
Disciplined Equity	$	137
Small Cap		623
Tuckerman Active REIT		1,935
IAM SHARES		3,226

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of all seven of the Investment Company’s U.S. Equity portfolios: $0 to $2 billion — 0.0315%; over $2 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. In addition, the Funds reimburse the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and the Distributor to promote and offer shares of the Investment Company. The Distributor may enter into sub-distribution agreements with other non-related parties. The amounts paid to the Distributor are included in the accompanying Statement of Operations.

Notes to Financial Statements 65

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Institutional Class

The Investment Company maintains a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has shareholder service agreements with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, each Institutional Class pays 0.025% to State Street, and a maximum of 0.175% to each of the other named affiliated Agents, based upon the average daily value of all institutional class shares held by or for customers of these Agents. For the period ended February 28, 2011, each Institutional Class paid the following shareholder servicing expenses to the Agents:

			Global
	State Street		Markets
Disciplined Equity	$	932	$	409
Small Cap		1,202		408
Tuckerman Active REIT		7,808		307
IAM SHARES		18,726		16
Enhanced Small Cap		3,910		—
Directional Core Equity		451		—

Each Institutional Class did not incur any expenses from Fiduciary Investors Services and High Net Worth Services during the period.

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Institutional Class on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of each Institutional Class on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The class’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the class’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Institutional Class will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Distribution Plan’s termination or noncontinuance.

Class R

The Investment Company has a distribution plan with respect to the Class R Shares pursuant to Rule 12b-1 (the “R Plan”) under the 1940 Act. Under the R Plan, each Fund pays the Distributor a fee not to exceed 0.70% of the fund’s average net value per year, for distribution, shareholder and administrative services provided to the Fund by the Distributor and financial intermediaries.

The Distributor pays the financial intermediaries for shareholder and administrative services provided to a Fund out of the fee the Distributor receives from the Fund. Fees paid to the financial intermediaries providing shareholder and administrative services to a Fund are not permitted by the R Plan to exceed 0.65% of the Fund’s average net asset value per year. Payments to the Distributor for distribution and shareholder services to a Fund are not permitted by the R plan to exceed 0.05% of the funds average daily net assets per year. Any payments that are required to be made to the Distributor or financial intermediaries that cannot be made because of the limitations contained in the R Plan may be carried forward and paid in the following two fiscal years so long the R Plan is in effect.

Under the R Plan, the Funds have a distribution agreement with the Distributor. For these services, Class R pays the Distributor 0.05% of the daily net asset value. For the period ended February 28, 2011, the Small Cap Fund paid $183.

66 Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 28, 2011 were as follows:

					Tuckerman
	Disciplined		Small		Active		IAM		Enhanced		Directional
	Equity		Cap		REIT		SHARES		Small Cap		Core Equity
Advisory fees	$	1,448	$	6,100	$	32,068	$	31,485	$	11,719	$	3,173
Administration fees		2,704		2,821		4,039		6,466		3,069		2,554
Custodian Fees		5,504		6,622		4,483		1,675		11,641		2,087
Distribution fees		2,884		1,181		4,522		1,501		3,747		392
Shareholder servicing fees		224		1,660		1,737		3,157		668		2,063
Transfer agent fees		9,398		16,951		14,170		8,424		8,197		7,827
Trustee fees		3,008		2,009		2,136		2,069		2,017		1,998
	$	25,170	$	37,344	$	63,155	$	54,777	$	41,058	$	20,094

5. Fund Share Transactions

	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
	February 28,						August 31,
Disciplined Equity	2011						2010
Proceeds from shares sold		10		$	91			119		$	975
Proceeds from reinvestment of distributions		8			67			153			1,221
Payments for shares redeemed		(124	)		(1,119	)		(12,190	)		(101,375	)
Total net increase (decrease)		(106	)	$	(961	)		(11,918	)	$	(99,179	)
Small Cap
Institutional Class
Proceeds from shares sold		16		$	312			44		$	710
Proceeds from reinvestment of distributions		—			—			—			—
Payments for shares redeemed		(103	)		(2,001	)		(215	)		(3,594	)
		(87	)		(1,689	)		(171	)		(2,884	)
Class R
Proceeds from shares sold		11		$	207			11		$	176
Proceeds from reinvestment of distributions		—			—			—			—
Payments for shares redeemed		(7	)		(147	)		(17	)		(277	)
		4			60			(6	)		(101	)
Total net increase (decrease)		(83	)	$	(1,629	)		(177	)	$	(2,985	)
Tuckerman Active REIT
Proceeds from shares sold		491		$	5,076			1,387		$	11,977
Proceeds from reinvestment of distributions		58			593			237			1,979
Payments for shares redeemed		(1,089	)		(11,355	)		(5,424	)		(45,295	)
Total net increase (decrease)		(540	)	$	(5,686	)		(3,800	)	$	(31,339	)

Notes to Financial Statements 67

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

IAM SHARES
Proceeds from shares sold	44		$	407		48		$	411
Proceeds from reinvestment of distributions	149			1,318		246			2,041
Payments for shares redeemed	(19	)		(177	)	(40	)		(334	)
Total net increase (decrease)	174		$	1,548		254		$	2,118
Enhanced Small Cap
Proceeds from shares sold	207		$	2,004		435		$	3,554
Proceeds from reinvestment of distributions	17			155		29			229
Payments for shares redeemed	(555	)		(5,613	)	(858	)		(7,101	)
Total net increase (decrease)	(331	)	$	(3,454	)	(394	)	$	(3,318	)
Directional Core Equity
Proceeds from shares sold	4		$	39		95		$	908
Proceeds from reinvestment of distributions	—			—		—			—
Payments for shares redeemed	(116	)		(1,145	)	(237	)		(2,275	)
Total net increase (decrease)	(112	)	$	(1,106	)	(142	)	$	(1,367	)

6. Interfund Lending Program

The Funds participate in a joint lending and borrowing facility. Portfolios of the Funds may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in a lost investment opportunity or additional borrowing costs. For the period ended February 28, 2011, the Funds did not utilize the Interfund Lending Program.

7. Dividends

On March 1, 2011, the Funds declared the following dividends from net investment income payable on March 7, 2011 to shareholders of record on March 2, 2011.

	Net Investment
	Income
Disciplined Equity	$	0.0398
Tuckerman Active REIT		0.0151
IAM SHARES		0.0308

On April 1, 2011, the Funds declared the following dividends from net investment income payable on April 7, 2011 to shareholders of record April 4, 2011.

	Net Investment
	Income
Tuckerman Active REIT	$	0.0164

68 Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2011 (Unaudited)

8. Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by each Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.

9. Subsequent Events

Management has evaluated events or transactions that may have occurred since February 28, 2011, through the dates the financial statements were issued, that would merit recognition or disclosure in the financial statements. During this review nothing was discovered which would require further disclosure within the financial statements.

Notes to Financial Statements 69

SSgA
Equity Funds

Shareholder Requests for Additional Information — February 28, 2011 (Unaudited)

The Funds have adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds semiannual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

70 Shareholder Requests for Additional Information

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2011 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

			Principal Occupation(s)	Number of
	Position(s) Held		During Past 5 Years;	Portfolios in		Other
Name,	with SSgA Funds;	Term	and Other	Fund Complex		Directorships Held
Age,	Length of	of	Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since November 2008	Until successor is elected by Trustees	•   2008 to Present, Director of SSgA FM; •   2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors; •   2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee; •   2009 to Present, Member of Board of Virginia Tech Foundation and Investment Committee; and •   June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.		20	None
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 1301 Second Avenue, 18th Floor Seattle, WA 98101	Member, Board of Trustees (Chairman of the Board from 1988 to December 2008) Member, Audit Committee, Member Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired); •   March 2007 to September 2010, member, IDC Board of Governors; •   September 2007 to September 2010, member Investment Company Institute Board of Governors; •   September 2008 to September 2010, member Investment Company Institutie and IDC Investment Committee; and •   Until December 2008, Director, Russell Trust Company (Retired).		20	Until December 2005, Chairman of the Board, 34 Russell Investment Company and 5 Russell Investment Funds (registered investment companies) (Retired).
Diane B. Glossman(2) Born March 9, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since October 2009 Audit Committee Financial Expert Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2003 to Present, Consultant to financial institutions; •   1998 to Present, Director, A.M. Todd Group, Inc. (flavorings manufacturer); •   2004 to Present, Director and member of the finance committee (2007-2010, President; 2010-2011, Vice President), Bucks County SPCA (animal welfare non-profit); and •   Chartered Financial Analyst.		20	None

Disclosure of Information about Fund Trustees and Officers 71

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
William L. Marshall Born December 12, 1942 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   April 2011 to Present, Chairman, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (until April 2011, CEO and President) (a registered investment advisor and provider of financial and related consulting services); •   Certified Financial Planner and Member, Financial Planners Association; •   Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa; •   Director, SPCA of Bucks County, PA; and •   Director, The Anne Silverman Community Clinic of Doylestown, PA.		20	None
Steven J. Mastrovich Born November 3, 1956 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   June 2010 to Present, Managing Director and Head of Private Capital Markets, J.P. Morgan Real Estate and Lodging Investment Banking Group; •   January 2009 to June 2010, Managing Director, Head of Investor Relations, Highbridge Principal Strategies (a J.P. Morgan subsidiary); and •   October 2000 to January 2009, Global Head of Structured Real Estate and Business Development, J.P. Morgan Investment Management (private real estate investment for clients primarily outside of the US to locate private real estate investments within the US).		20	None
Patrick J. Riley Born November 30, 1948 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Independent Chairman of the Board since January 2009 Member (ex-officio), Audit Committee Member (ex-officio), Governance Committee Member (ex-officio), Valuation Committee Member (ex-officio), Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; •   1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); •   1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); •   January 2009 to Present, Independent Director, SSgA Fixed Income plc; and •   January 2009 to Present, Independent Director, SSgA Qualified Funds plc.		20	None

72 Disclosure of Information about Fund Trustees and Officers

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

				Number of
	Position(s) Held		Principal Occupation(s)	Portfolios in		Other
Name,	with SSgA Funds;	Term	During Past 5 Years;	Fund Complex		Directorships Held
Age,	Length of	of	and Other Relevant Experience,	Overseen		by Trustee
Address	Time Served	Office	Attributes and Skills(1)	by Trustee		During Past 5 Years
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); •   1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); •   1998 to December 2008, Chairman, Board Member and Investment Committee Member, Healthcare Georgia Foundation (private foundation); •   September 2002 to May 2011, Lead Director and Board Member, Amerigroup Corp. (managed health care); •   1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and •   2003 to 2009, Trustee, Gettysburg College.		20	None
Bruce D. Taber Born April 25, 1943 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc; •   Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and •   Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		20	None
Henry W. Todd(2) Born May 4, 1947 1301 Second Avenue, 18th Floor Seattle, WA 98101	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Until successor is elected by Trustees	•   Until May 30, 2010, Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer); •   Until December 2008, Independent Director, SSgA Cash Management Fund plc (investment company); and •   Until July 2005, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company).		20	None

(1)	The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.
(2)	Ceased to be a Trustee effective April 28, 2011.

Disclosure of Information about Fund Trustees and Officers 73

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2011 (Unaudited)

	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	•   2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); •   March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and •   President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds; and Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).
Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	•   Chief Operating Officer and Vice President, SSgA Funds Management, Inc. (investment advisor); •   March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and •   Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).
Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	•   July 2008 to Present, Vice President, State Street Global Advisors; and •   April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.
Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	•   2009 to Present, Global Head of Fund Operations, Russell Investments; •   1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company, and Russell Financial Services Company; and •   Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.
Sandra G. Richardson Born January 12, 1971 1301 Second Avenue, 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2010		•   September 2010 to Present, Associate General Counsel (January 2008 to September 2010, Associate Counsel), Russell Investments; and •   November 2003 to November 2007, Associate, Kirkpatrick & Lockhart Preston Gates Ellis LLP.

74 Disclosure of Information about Fund Trustees and Officers

SSgA
Equity Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327

Trustees
Lynn L. Anderson
Diane B. Glossman*
Shawn C.D. Johnson
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley, Chairman
Richard D. Shirk
Bruce D. Taber
Henry W. Todd*
Officers
James E. Ross, President, Chief Executive Officer and Principal Executive Officer
Mark E. Swanson, Treasurer and Principal Accounting Officer
Ellen M. Needham, Vice President
Jacqueline Angell, Chief Compliance Officer
Sandra G. Richardson, Secretary and Chief Legal Officer
Ross E. Erickson, Assistant Treasurer
Kimberlee A. Lloyd, Assistant Treasurer
David J. Craig, Assistant Treasurer
Carla L. Anderson, Assistant Secretary
Investment Advisor
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Custodian and Office of Shareholder Inquiries
State Street Bank and Trust Company
1776 Heritage Drive
North Quincy, Massachusetts 02171
Transfer and Dividend Paying Agent
Boston Financial Data Services, Inc.
Two Heritage Drive
North Quincy, Massachusetts 02171
Distributor
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
Administrator
Russell Fund Services Company
1301 Second Avenue
18th Floor
Seattle, Washington 98101
Legal Counsel
Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
200 Berkeley Street
Boston, Massachusetts 02116

* Ceased to be a Trustee effective April 28, 2011.

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

Fund Management and Service Providers 75

DESAR-02/11

Item 2. Code of Ethics. [Annual Report Only]

Item 3. Audit Committee Financial Expert. [Annual Report Only]

Item 4. Principal Accountant Fees and Services. [Annual Report Only]

Item 5. Audit Committee of Listed Registrants. [Not Applicable]

Item 6. [Schedules of Investments are included as part of the Report to Shareholders filed under Item 1 of this form]

Items 7-9. [Not Applicable]

Item 10. Submission of Matters to a Vote of Security Holders

There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.

Item 11. Controls and Procedures

(a) Registrant’s principal executive officer and principal financial officer have concluded that Registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the date this report is filed with the Securities and Exchange Commission.

(b) There were no significant changes in Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected or is likely to materially affect Registrant’s internal control over financial reporting.

Item 12. Exhibit List

(a) Certification for principal executive officer of Registrant as required by Rule 30a-2(a) under the Act and certification for principal financial officer of Registrant as required by Rule 30a-2(a) under the Act.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

SSgA FUNDS

By:	/s/ James E. Ross      James E. Ross
	President, Chief Executive Officer and Principal Executive Officer

Date: April 29, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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/ James E. Ross      James E. Ross
	President, Chief Executive Officer and Principal Executive Officer

Date: April 29, 2011

By:	/s/ Mark E. Swanson      Mark E. Swanson
	Principal Financial Officer, Principal Accounting Officer and Treasurer

Date: April 29, 2011