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

	OMB APPROVAL
	OMB Number:		3235-0570
	Expires:	August 31, 2010
UNITED STATES	Estimated average burden hours per response. . . . . . . . . . . . . . . . .18.9
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)
909 A Street, Tacoma Washington					98402
(Address of principal executive offices)					(Zip code)
Gregory J. Lyons, Secretary and Chief Legal Officer 909 A Street Tacoma, Washington 98402 253-439-2406
(Name and address of agent for service)
Registrant’s telephone number, including area code:				253-572-9500
Date of fiscal year end:	August 31
Date of reporting period:		September 1, 2008 to February 28, 2009

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, 2009

SSgA Funds
Life Solutions^SM Funds

Semiannual Report

February 28, 2009 (Unaudited)

Table of Contents

	Page
Balanced Fund		3
Growth Fund		7
Income and Growth Fund		11
Statement of Assets and Liabilities		14
Statement of Operations		15
Statement of Changes in Net Assets		16
Financial Highlights		18
Notes to Financial Statements		20
Shareholder Requests for Additional Information		31
Disclosure of Information about Fund Trustees and Officers		32
Fund Management and Service Providers		36

"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.

This page has been intentionally left blank.

SSgA Life Solutions

Balanced Fund

Shareholder Expense Example — February 28, 2009 (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 both classes is from September 1, 2008 to February 28, 2009.

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.

Institutional Class	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	744.90	$	1,022.56
Expenses Paid During Period *	$	1.95	$	2.26

* Expenses are equal to the Fund's 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.

Class R	Actual Performance		Hypothetical Performance (5% return before expense)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	742.10	$	1,019.93
Expenses Paid During Period *	$	4.23	$	4.91

* Expenses are equal to the Fund's expense ratio of 0.98% (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

This page has been intentionally left blank.

SSgA Life Solutions
Balanced Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Shares		Market Value $
Investments - 100.1%
Bonds - 42.2%
SPDR Barclays Capital Aggregate Bond ETF		168,248		9,089
SPDR Barclays Capital TIPS ETF		5,490		258
SSgA Bond Market Fund		22,889		181
SSgA High Yield Bond Fund		81,013		478
				10,006
Domestic Equities - 48.2%
SSgA Core Edge Equity Fund		670,951		4,140
SSgA Enhanced Small Cap Fund		18,838		97
SSgA S&P 500 Index Fund		586,452		7,137
SSgA Small Cap Fund		7,153		79
				11,453
International Equities - 9.5%
SSgA International Stock Selection Fund		352,215		2,251

	Shares		Market Value $
Short-Term Investments - 0.2%
SSgA Money Market Fund		56,756		57
Total Investments - 100.1% (identified cost $27,939)				23,767
Other Assets and Liabilities, Net - (0.1%)				(32	)
Net Assets - 100.0%				23,735

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Bonds		42.2
Domestic Equities		48.2
International Equities		9.5
Short-Term Investments		0.2
Total Investments		100.1
Other Assets and Liabilities, Net		(0.1	)
		100.0

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

Life Solutions Balanced Fund
5

This page has been intentionally left blank.

SSgA Life Solutions
Growth Fund

Shareholder Expense Example — February 28, 2009 (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 both classes is from September 1, 2008 to February 28, 2009.

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.

Institutional Class	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	660.30	$	1,022.56
Expenses Paid During Period *	$	1.85	$	2.26

* Expenses are equal to the Fund's 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.

Class R	Actual Performance		Hypothetical Performance (5% return before expense)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	659.50	$	1,020.08
Expenses Paid During Period *	$	3.91	$	4.76

* Expenses are equal to the Fund's expense ratio of 0.95% (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

This page has been intentionally left blank.

SSgA Life Solutions
Growth Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Shares		Market Value $
Investments - 100.5%
Bonds - 21.4%
SPDR Barclays Capital Aggregate Bond ETF		26,455		1,429
SPDR Barclays Capital TIPS ETF		1,980		93
SSgA Bond Market Fund		3,633		29
SSgA High Yield Bond Fund		27,523		162
				1,713
Domestic Equities - 64.1%
SSgA Core Edge Equity Fund		319,114		1,969
SSgA Enhanced Small Cap Fund		18,361		95
SSgA S&P 500 Index Fund		246,091		2,995
SSgA Small Cap Fund		6,692		74
				5,133
International Equities - 14.8%
SSgA International Stock Selection Fund		185,541		1,186

	Shares		Market Value $
Short-Term Investments - 0.2%
SSgA Money Market Fund		17,710		18
Total Investments - 100.5% (identified cost $9,927)				8,050
Other Assets and Liabilities, Net - (0.5%)				(44	)
Net Assets - 100.0%				8,006

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Bonds		21.4
Domestic Equities		64.1
International Equities		14.8
Short-Term Investments		0.2
Total Investments		100.5
Other Assets and Liabilities, Net		(0.5	)
		100.0

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

Life Solutions Growth Fund
9

This page has been intentionally left blank.

SSgA Life Solutions
Income and Growth Fund

Shareholder Expense Example — February 28, 2009 (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 both classes is from September 1, 2008 to February 28, 2009.

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.

Institutional Class	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	834.80	$	1,022.56
Expenses Paid During Period *	$	2.05	$	2.26

* Expenses are equal to the Fund's 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.

Class R	Actual Performance		Hypothetical Performance (5% return before expense)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	833.30	$	1,020.13
Expenses Paid During Period *	$	4.27	$	4.71

* Expenses are equal to the Fund's expense ratio of 0.94% (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

This page has been intentionally left blank.

SSgA Life Solutions
Income and Growth Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Shares		Market Value $
Investments - 100.8%
Bonds - 60.2%
SPDR Barclays Capital Aggregate Bond ETF		48,496		2,619
SPDR Barclays Capital TIPS ETF		1,100		52
SSgA Bond Market Fund		30,062		238
SSgA High Yield Bond Fund		17,096		101
				3,010
Domestic Equities - 35.3%
SSgA Core Edge Equity Fund		95,287		588
SSgA S&P 500 Index Fund		96,980		1,180
				1,768
International Equities - 5.0%
SSgA International Stock Selection Fund		39,207		251

	Shares		Market Value $
Short-Term Investments - 0.3%
SSgA Money Market Fund		12,944		13
Total Investments - 100.8% (identified cost $5,568)				5,042
Other Assets and Liabilities, Net - (0.8%)				(38	)
Net Assets - 100.0%				5,004

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Bonds		60.2
Domestic Equities		35.3
International Equities		5.0
Short-Term Investments		0.3
Total Investments		100.8
Other Assets and Liabilities, Net		(0.8	)
		100.0

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, 2009 (Unaudited)

Amounts in thousands	Life Solutions Balanced Fund			Life Solutions Growth Fund			Life Solutions Income and Growth Fund
Assets
Investments, at identified cost	$	27,939		$	9,927		$	5,568
Investments, at market		23,767			8,050			5,042
Receivables:
Investments sold		10			15			28
Fund shares sold		2			1			1
From Advisor		10			12			8
Total assets		23,789			8,078			5,079
Liabilities
Payables:
Fund shares redeemed		12			33			40
Accrued fees to affiliates		20			17			15
Other accrued expenses		22			22			20
Total liabilities		54			72			75
Net Assets	$	23,735		$	8,006		$	5,004
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(11	)	$	18		$	61
Accumulated net realized gain (loss)		(7,717	)		(4,107	)		(1,948	)
Unrealized appreciation (depreciation) on investments		(4,172	)		(1,877	)		(526	)
Shares of beneficial interest		3			1			1
Additional paid-in capital		35,632			13,971			7,416
Net Assets	$	23,735		$	8,006		$	5,004
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class*	$	8.32		$	7.65		$	8.63
Net assets	$	22,940,392		$	7,631,471		$	4,566,757
Shares outstanding ($.001 par value)		2,757,738			997,746			529,052
Net asset value per share: Class R*	$	8.34		$	7.68		$	8.60
Net assets	$	794,581		$	374,755		$	437,701
Shares outstanding ($.001 par value)		95,331			48,822			50,907

*  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
14

SSgA
Life Solutions Funds

Statements of Operations — For the Period Ended February 28, 2009 (Unaudited)

Amounts in thousands	Life Solutions Balanced Fund			Life Solutions Growth Fund			Life Solutions Income and Growth Fund
Investment Income
Income distributions from Underlying Funds	$	405		$	135		$	98
Expenses
Fund accounting fees		14			14			14
Distribution fees - Institutional Class		4			2			1
Distribution fees - Class R		1			—			—
Transfer agent fees		27			27			27
Professional fees		12			13			12
Registration fees		22			22			22
Shareholder servicing fees - Institutional Class		9			7			4
Shareholder servicing fees - Class R		2			1			1
Insurance fees		1			—			—
Printing fees		3			2			1
Miscellaneous		4			2			3
Expenses before reductions		99			90			85
Expense reductions		(40	)		(68	)		(72	)
Net expenses		59			22			13
Net investment income (loss)		346			113			85
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(3,481	)		(1,996	)		(577	)
Net realized gain (loss)		(3,481	)		(1,996	)		(577	)
Net change in unrealized appreciation (depreciation) on investments		(4,518	)		(2,207	)		(524	)
Net realized and unrealized gain (loss)		(7,999	)		(4,203	)		(1,101	)
Net Increase (Decrease) in Net Assets from Operations	$	(7,653	)	$	(4,090	)	$	(1,016	)

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

	Life Solutions Balanced Fund						Life Solutions Growth Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	346		$	2,197		$	113		$	1,449
Net realized gain (loss)		(3,481	)		2,441			(1,996	)		3,779
Net change in unrealized appreciation (depreciation)		(4,518	)		(9,362	)		(2,207	)		(8,408	)
Net increase (decrease) in net assets from operations		(7,653	)		(4,724	)		(4,090	)		(3,180	)
Distributions
From net investment income
Institutional Class		(725	)		(2,429	)		(175	)		(1,511	)
Class R		(14	)		(72	)		(5	)		(37	)
From net realized gain
Institutional Class		—			—			—			—
Class R		—			—			—			—
Net decrease in net assets from distributions		(739	)		(2,501	)		(180	)		(1,548	)
Share Transactions
Net increase (decrease) in net assets from share transactions		3,200			(23,775	)		306			(21,701	)
Total Net Increase (Decrease) in Net Assets		(5,192	)		(31,000	)		(3,964	)		(26,429	)
Net Assets
Beginning of period		28,927			59,927			11,970			38,399
End of period	$	23,735		$	28,927		$	8,006		$	11,970
Undistributed (overdistributed) net investment income included in net assets	$	(11	)	$	382		$	18		$	85

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

Statements of Changes in Net Assets
16

	Life Solutions Income and Growth Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	85		$	723
Net realized gain (loss)		(577	)		(115	)
Net change in unrealized appreciation (depreciation)		(524	)		(1,782	)
Net increase (decrease) in net assets from operations		(1,016	)		(1,174	)
Distributions
From net investment income
Institutional Class		(291	)		(836	)
Class R		(13	)		(15	)
From net realized gain
Institutional Class		(6	)		(253	)
Class R		—			(5	)
Net decrease in net assets from distributions		(310	)		(1,109	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(1,522	)		(10,232	)
Total Net Increase (Decrease) in Net Assets		(2,848	)		(12,515	)
Net Assets
Beginning of period		7,852			20,367
End of period	$	5,004		$	7,852
Undistributed (overdistributed) net investment income included in net assets	$	61		$	280

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

Statements of Changes in Net Assets
17

SSgA
Life Solutions Funds
Financial Highlights — For the Periods Ended

For a Share Outstanding Throughout Each Period.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(b)		$ Net Realized and Unrealized Gain (Loss)(a)			$ Total from Investment Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions
Life Solutions Balanced Fund
Institutional Class
February 28, 2009*		11.52		.13		(3.04	)		(2.91	)		(.29	)		—			(.29	)
August 31, 2008		13.18		.53		(1.64	)		(1.11	)		(.55	)		—			(.55	)
August 31, 2007		12.66		.44		.50			.94			(.42	)		—			(.42	)
August 31, 2006		11.97		.27		.60			.87			(.18	)		—			(.18	)
August 31, 2005		11.02		.25		.96			1.21			(.26	)		—			(.26	)
August 31, 2004		10.28		.20		.73			.93			(.19	)		—			(.19	)
Class R
February 28, 2009*		11.42		.10		(3.02	)		(2.92	)		(.16	)		—			(.16	)
August 31, 2008		13.05		.45		(1.60	)		(1.15	)		(.48	)		—			(.48	)
August 31, 2007		12.54		.31		.55			.86			(.35	)		—			(.35	)
August 31, 2006		11.91		.11		.68			.79			(.16	)		—			(.16	)
August 31, 2005		11.02		.05		1.11			1.16			(.27	)		—			(.27	)
August 31, 2004 (1)		10.74		.03		.25			.28			—			—			—
Life Solutions Growth Fund
Institutional Class
February 28, 2009*		11.82		.11		(4.10	)		(3.99	)		(.18	)		—			(.18	)
August 31, 2008		13.77		.64		(2.01	)		(1.37	)		(.58	)		—			(.58	)
August 31, 2007		12.79		.37		.97			1.34			(.36	)		—			(.36	)
August 31, 2006		11.78		.15		.96			1.11			(.10	)		—			(.10	)
August 31, 2005		10.53		.15		1.26			1.41			(.16	)		—			(.16	)
August 31, 2004		9.67		.10		.89			.99			(.13	)		—			(.13	)
Class R
February 28, 2009*		11.77		.08		(4.08	)		(4.00	)		(.09	)		—			(.09	)
August 31, 2008		13.67		.47		(1.88	)		(1.41	)		(.49	)		—			(.49	)
August 31, 2007		12.69		.31		.94			1.25			(.27	)		—			(.27	)
August 31, 2006		11.75		.02		1.02			1.04			(.10	)		—			(.10	)
August 31, 2005		10.53		.07		1.31			1.38			(.16	)		—			(.16	)
August 31, 2004 (1)		10.31		.01		.21			.22			—			—			—
Life Solutions Income and Growth Fund
Institutional Class
February 28, 2009*		11.04		.15		(1.95	)		(1.80	)		(.59	)		(.02	)		(.61	)
August 31, 2008		12.51		.50		(1.29	)		(.79	)		(.52	)		(.16	)		(.68	)
August 31, 2007		12.42		.47		.06			.53			(.44	)		—			(.44	)
August 31, 2006		12.05		.36		.26			.62			(.25	)		—			(.25	)
August 31, 2005		11.43		.32		.61			.93			(.31	)		—			(.31	)
August 31, 2004		10.85		.28		.55			.83			(.25	)		—			(.25	)
Class R
February 28, 2009*		10.97		.12		(1.93	)		(1.81	)		(.54	)		(.02	)		(.56	)
August 31, 2008		12.39		.44		(1.25	)		(.81	)		(.45	)		(.16	)		(.61	)
August 31, 2007		12.31		.37		.08			.45			(.37	)		—			(.37	)
August 31, 2006		12.01		.21		.33			.54			(.24	)		—			(.24	)
August 31, 2005		11.43		.23		.68			.91			(.33	)		—			(.33	)
August 31, 2004 (1)		11.09		.04		.30			.34			—			—			—

*  For the six months ended February 28, 2009 (unaudited).
(a)  Average month-end 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.
(1)  For the period May 14, 2004 (commencement of sale) to August 31, 2004.
(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 adviser.
(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.

Financial Highlights
18

	$ Net Asset Value, End of Period		% Total Return(e)			$ Net Assets, end of period (000)		% Ratio of Expenses to Average Net Assets, Net(c)(d)(f)		% Ratio of Expenses to Average Net Assets, Gross(c)(f)		% Ratio of Net Investment Income to Average Net Assets(c)(d)(f)		% Portfolio Turnover Rate(e)
Life Solutions Balanced Fund
Institutional Class
February 28, 2009*		8.32		(25.51	)		22,940		.45		.77		2.76		32
August 31, 2008		11.52		(8.73	)		27,962		.44		.45		4.27		94
August 31, 2007		13.18		7.51			58,036		.33		.33		3.31		31
August 31, 2006		12.66		7.37			81,570		.31		.31		2.24		29
August 31, 2005		11.97		11.04			87,363		.33		.33		2.17		32
August 31, 2004		11.02		9.13			91,449		.29		.29		1.83		46
Class R
February 28, 2009*		8.34		(25.79	)		795		.98		1.30		2.18		32
August 31, 2008		11.42		(9.10	)		965		.98		.99		3.71		94
August 31, 2007		13.05		6.91			1,891		.90		.90		2.40		31
August 31, 2006		12.54		6.71			1,340		.88		.88		.87		29
August 31, 2005		11.91		10.66			30		.81		.81		.45		32
August 31, 2004 (1)		11.02		2.61			10		.23		.23		1.00		46
Life Solutions Growth Fund
Institutional Class
February 28, 2009*		7.65		(33.97	)		7,631		.45		1.90		2.44		45
August 31, 2008		11.82		(10.38	)		11,379		.45		.72		4.97		75
August 31, 2007		13.77		10.53			37,358		.45		.45		2.74		30
August 31, 2006		12.79		9.45			51,495		.42		.42		1.21		29
August 31, 2005		11.78		13.44			48,399		.45		.47		1.34		25
August 31, 2004		10.53		10.27			47,687		.39		.39		.96		55
Class R
February 28, 2009*		7.68		(34.05	)		375		.95		2.40		1.87		45
August 31, 2008		11.77		(10.65	)		591		.85		1.12		3.72		75
August 31, 2007		13.67		9.86			1,041		1.01		1.01		2.37		30
August 31, 2006		12.69		8.92			1,208		.95		.95		.14		29
August 31, 2005		11.75		13.19			20		.74		.76		.68		25
August 31, 2004 (1)		10.53		2.13			10		.37		.37		.33		55
Life Solutions Income and Growth Fund
Institutional Class
February 28, 2009*		8.63		(16.52	)		4,567		.45		3.11		3.16		44
August 31, 2008		11.04		(6.59	)		7,604		.45		1.10		4.33		99
August 31, 2007		12.51		4.30			19,939		.45		.70		3.67		32
August 31, 2006		12.42		5.27			28,382		.45		.60		3.00		30
August 31, 2005		12.05		8.28			27,958		.45		.68		2.73		35
August 31, 2004		11.43		7.74			27,639		.45		.56		2.47		48
Class R
February 28, 2009*		8.60		(16.67	)		437		.94		3.60		2.54		44
August 31, 2008		10.97		(6.80	)		248		.86		1.53		3.81		99
August 31, 2007		12.39		3.66			428		1.02		1.27		3.00		32
August 31, 2006		12.31		4.56			375		.98		1.14		1.66		30
August 31, 2005		12.01		8.10			19		.74		.97		1.96		35
August 31, 2004 (1)		11.43		3.07			10		.46		.59		1.24		48

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

Financial Highlights
19

SSgA
Life Solutions Funds

Notes to Financial Statements — February 28, 2009 (Unaudited)

1.  Organization

The SSgA Funds (the "Investment Company") is a series mutual fund, comprising of 21 investment portfolios that were in operation as of February 28, 2009. 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.

On October 16, 2008, the SSgA Funds' Board of Trustees approved a plan to liquidate SSgA Core Opportunities Fund, SSgA Aggressive Equity Fund, SSgA Concentrated Growth Opportunities Fund, SSgA International Growth Opportunities Fund and SSgA Large Cap Value Fund. The liquidation occurred on December 12, 2008.

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 and exchange-traded funds (the "Underlying Funds") 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
Asset Class/Underlying Fund	Balanced Fund			Growth Fund			Income and Growth Fund
Equities*		40 - 80	%		60 - 100	%		20 - 60	%
US Equities
SSgA Core Edge Equity Fund
SSgA Enhanced Small Cap
SSgA S&P 500 Index Fund
SSgA Small Cap Fund
International Equities
SSgA International Stock Selection Fund
Bonds		20 - 60	%		0 - 40	%		40 - 80	%
SSgA Bond Market Fund
SSgA High Yield Bond Fund
SSgA SPDR Barclays Capital Aggregate Bond ETF
SSgA SPDR Barclays Capital TIPS ETF
Short Term Assets		0 - 20	%		0 - 20	%		0 - 20	%
SSgA 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

The Life Solutions Funds are comprised of various combinations of the Underlying Funds. The Board has approved investment in all of the Underlying Funds presented above. The investment objectives of the Underlying Funds 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
20

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

SPDR Barclays Capital TIPS ETF

To provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the Barclays U.S. Government Inflation-linked Bond Index.

SSgA Core Edge Equity Fund

To seek to achieve long term capital appreciation over the course of an economic cycle by investing its assets (including the proceeds from securities sold short) primarily in large and medium capitalization equity securities whose underlying valuation or business fundamentals indicate prospects for growth, while selling short the equity securities of companies that have deteriorating business fundamentals and/or valuations.

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 Small Cap Fund

To maximize total return through investment in equity securities; under normal market conditions, at least 80% of total assets will be invested in securities of smaller capitalized 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 US Corporate High Yield Bond Index.

SSgA 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 with remaining maturities of one year or less.

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

Investments in Underlying Funds are valued at the net asset value per share of each Underlying Fund as of the close of regular trading on the New York Stock Exchange.

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.

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. Securities traded on a domestic securities exchange or where markets do not offer an official

Notes to Financial Statements
21

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

closing price, are valued at the last sale price. 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. 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) whe re 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' net asset value 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 net asset value of fund shares is determined may be reflected in the Investment Company 's calculation of net asset values 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 net asset value 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.

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. In accordance with SFAS 157, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. SFAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification 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 va luation 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

•  Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)

Notes to Financial Statements
22

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

Inputs used in valuing the Funds' investments carried at value for the period ended February 28, 2009 were as follows:

	Balanced Fund		Growth Fund		Income and Growth Fund
	Investments in Securities		Investments in Securities		Investments in Securities
Level 1	$	23,767,343	$	8,049,731	$	5,042,110
Level 2		—		—		—
Level 3		—		—		—
	$	23,767,343	$	8,049,731	$	5,042,110

As of February 28, 2009, there were no Level 3 securities held by the Funds.

On April 9, 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157 when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. Management is currently evaluating the impact the adoption FSP 157-4161 will have on the Funds' or Investment Company's financial statement disclosures.

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 requires each Fund to distribute all of its taxable income to its shareholders. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required.

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, 2008, the capital loss carryovers and expiration dates are as follows:

	Expiration year
Funds	08/31/2011		08/31/2012		Total
Balanced Fund	$	203,577	$	609,595	$	813,172
Growth Fund		1,749,661		—		1,749,661
Income and Growth Fund		—		—		—

As of February 28, 2009, 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:

	Balanced			Growth			Income and Growth
Cost of Investments for Tax Purposes	$	28,651,026		$	10,329,294		$	5,727,736
Gross Tax Unrealized Appreciation		7,015			7,527			2,085
Gross Tax Unrealized Depreciation		(4,890,698	)		(2,287,090	)		(687,711	)
Net Tax Unrealized Appreciation (Depreciation)	$	(4,883,683	)	$	(2,279,563	)	$	(685,626	)

Notes to Financial Statements
23

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

As permitted by tax regulations, the Funds intend to defer a net realized capital loss incurred from November 1, 2007 to August 31, 2008 in the amount of $2,770,018 and $1,232,531 for the Balanced Fund and Income and Growth Fund respectively, and treat it as arising in the fiscal year 2009.

The Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109" ("FIN 48"), in June 2006. FIN 48 permits the recognition of tax benefits of an uncertain tax position only when the position is "more likely than not" to be sustained assuming examination by taxing authorities. The Funds adopted the provisions of FIN 48 on September 1, 2007. Management has reviewed the Funds tax positions for the years that remain open (2005-2008), and concluded that adoption had no effect on the Funds financial position or results of operations. As of February 28, 2009, the Funds have 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.

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. 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 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.

Derivatives

In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Funds' or Investment Company's financial statement disclosures.

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
24

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

3.  Investment Transactions

Securities

During the period ended February 28, 2009, purchases and sales of the Underlying Funds, excluding money market funds, aggregated to the following:

Funds	Purchases		Sales
Balanced Fund	$	11,921,494	$	8,263,297
Growth Fund		4,876,266		4,280,020
Income and Growth Fund		2,422,863		3,918,258

4.  Related Parties

Advisor

SSgA Funds Management, Inc. (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. The Funds will bear their proportionate share of any investment advisory fees and other expenses paid by the Underlying Funds. Each Underlying Fund 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 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 the distribution (12b-1) and 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 its cap. If only Class R is above its respective expense cap, the Distributor will waive up to 0.70% of the average daily net assets the of Distribution (12b-1) and Service Fee. If after waiving the full 0.70% of the average daily net assets of Class R Service Fee 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.

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of the waiver for the Balanced Fund Institutional Class and Class R for the period ended February 28, 2009 was $39,154 and $1,330, respectively. The total amount of the waiver for the Growth Fund Institutional Class and Class R for the period ended February 28, 2009 was $65,085 and $3,230, respectively. The total amount of the waiver for the Income and Growth Fund Institutional Class and Class R for the period ended February 28, 2009 was $69,152 and $3,254, 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 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

Notes to Financial Statements
25

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

distribution and/or service fees incurred by the participating fund. As of February 28, 2009, $87,410 of the Central Fund's net assets represents investments by these Funds.

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.

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, 2009, there were no custody credits.

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"), High Net Worth Services Division of State Street ("High Net Worth Services") and CitiStreet LLC ("CitiStreet") (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, 2009, each Institutional Class paid the following shareholder servicing expenses to the Agents:

Funds	Global Markets		CitiStreet
Balanced Fund	$	712	$	2,839
Growth Fund		79		3,227
Income and Growth Fund		2		1,486

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. There were no expenses carried over as of Februar y 28, 2009.

Notes to Financial Statements
26

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (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 so long the R Plan is in effect. There were no carryover expenses as of February 28, 2009.

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, 2009, this amounted to:

Funds	Global Markets
Balanced Fund	$	207
Growth Fund		111
Income and Growth Fund		61

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 as of February 28, 2009 were as follows:

	Balanced		Growth		Income and Growth
Fund accounting fees	$	4,566	$	4,470	$	4,561
Shareholder servicing fees		6,485		3,363		1,982
Transfer agent fees		8,845		8,900		8,717
	$	19,896	$	16,733	$	15,260

Beneficial Interest

As of February 28, 2009, the following table includes shareholders (all of which were also affiliates of the Investment Company) with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund:

	# of Shareholders		%
Balanced		4		90.7
Growth		3		86.7
Income and Growth		2		77.7

Notes to Financial Statements
27

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 Underlying Fund is an affiliate of the Fund. Transactions with the Underlying Funds during the period ended February 28, 2009 were as follows:

	Purchase Cost		Sales Cost		Income Distributions		Capital Gains Distributions
Balanced Fund
SPDR Barclays Capital Aggregate Bond ETF	$	—	$	2,434,499	$	222,247	$	—
SPDR Barclays Capital TIPS ETF		252,740		—		—		—
SSgA Bond Market		555,787		505,350		3,751		—
SSgA Core Edge Equity		836,473		—		1,117		—
SSgA Enhanced Small Cap		117,865		—		—		—
SSgA High Yield Bond		529,273		—		16,313		—
SSgA International Stock Selection		1,389,708		7,810		50,380		—
SSgA Money Market		300,119		1,165,848		2,605		—
SSgA S&P 500 Index		7,702,109		413,072		32,352		—
SSgA Small Cap		100,000		—		—		—
	$	11,784,074	$	4,526,579	$	328,765	$	—
Growth Fund
SPDR Barclays Capital Aggregate Bond ETF	$	—	$	894,428	$	40,764	$	—
SPDR Barclays Capital TIPS ETF		91,172		—		—		—
SSgA Bond Market		198,878		282,167		2,109		—
SSgA Core Edge Equity		127,627		110,371		564		—
SSgA Enhanced Small Cap		121,188		3,031		—		—
SSgA High Yield Bond		207,940		31,662		6,499		—
SSgA International Stock Selection		601,224		22,760		29,232		—
SSgA Money Market		50,286		393,061		1,020		—
SSgA S&P 500 Index		3,311,524		231,155		10,878		—
SSgA Small Cap		95,500		—		—		—
	$	4,805,339	$	1,968,635	$	91,066	$	—
Income and Growth Fund
SPDR Barclays Capital Aggregate Bond ETF	$	—	$	1,749,115	$	67,975	$	—
SPDR Barclays Capital TIPS ETF		50,631		—		—		—
SSgA Bond Market		405,308		573,968		5,006		—
SSgA Core Edge Equity		206,434		325,164		150		—
SSgA Enhanced Small Cap		—		—		—		—
SSgA High Yield Bond		151,394		41,674		3,890		—
SSgA International Stock Selection		205,794		69,144		4,790		—
SSgA Money Market		143,107		376,224		592		—
SSgA S&P 500 Index		1,306,222		313,031		6,586		—
SSgA Small Cap		—		—		—		—
	$	2,468,890	$	3,448,320	$	88,989	$	—

Notes to Financial Statements
28

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

5.  Fund Share Transactions

	(amounts in thousands) For the Periods Ended
	Shares						Dollars
Balanced Fund	February 28, 2009			August 31, 2008			February 28, 2009			August 31, 2008
Institutional
Proceeds from shares sold		363			988		$	3,466		$	12,480
Proceeds from reinvestment of distributions		78			193			725			2,427
Payments for shares redeemed		(111	)		(3,158	)		(1,092	)		(37,970	)
		330			(1,977	)		3,099			(23,063	)
Class R
Proceeds from shares sold		23			49		$	214		$	592
Proceeds from reinvestment of distributions		1			6			14			71
Payments for shares redeemed		(14	)		(115	)		(127	)		(1,375	)
		10			(60	)		101			(712	)
Total net increase (decrease)		340			(2,037	)	$	3,200		$	(23,775	)
Growth Fund
Institutional
Proceeds from shares sold		92			348		$	831		$	4,494
Proceeds from reinvestment of distributions		20			115			175			1,510
Payments for shares redeemed		(77	)		(2,213	)		(689	)		(27,372	)
		35			(1,750	)		317			(21,368	)
Class R
Proceeds from shares sold		10			33		$	85		$	417
Proceeds from reinvestment of distributions		—			3			4			37
Payments for shares redeemed		(12	)		(62	)		(100	)		(787	)
		(2	)		(26	)		(11	)		(333	)
Total net increase (decrease)		33			(1,776	)	$	306		$	(21,701	)
Income and Growth Fund
Institutional
Proceeds from shares sold		67			304		$	637		$	3,508
Proceeds from reinvestment of distributions		33			92			298			1,088
Payments for shares redeemed		(260	)		(1,302	)		(2,708	)		(14,691	)
		(160	)		(906	)		(1,773	)		(10,095	)
Class R
Proceeds from shares sold		31			10		$	274		$	117
Proceeds from reinvestment of distributions		1			2			12			20
Payments for shares redeemed		(4	)		(24	)		(35	)		(274	)
		28			(12	)		251			(137	)
Total net increase (decrease)		(132	)		(918	)	$	(1,522	)	$	(10,232	)

Notes to Financial Statements
29

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

6.  Interfund Lending Program

The Funds have been granted permission from the Securities and Exchange Commission to 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 M oney Market Fund could result in additional borrowing costs. For the period ended February 28, 2009, the Funds did not utilize the Interfund Lending Program.

Notes to Financial Statements
30

SSgA
Life Solutions Funds

Shareholder Requests for Additional Information — February 28, 2009 (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.

Financial Statements of the Underlying Funds can be obtained by calling the Funds at (800)647-7327.

Shareholder Requests for Additional Information
31

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2009 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 21 funds. The first table provides information about trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since 2008 Interested Person of the SSgA Funds (as defined in the 1940 Act)	Appointed until successor is duly elected and qualified	• 2003 to Present, Senior Managing Director; Chairman, SSgA Investment Committee, State Street Global Advisors; • 2006 to Present, Trustee, Berea College; and • 2008 to Present, Chairman, Financial Service Sector Coordinating Counsel.		21	Listed under Principal Occupations
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified Until successor is chosen and qualified by the Trustees	• Until December 2008, Director, Russell Trust Company; and • Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant) (Retired); and Chairman of the Board, Russell Investment Company and Russell Investment Funds (registered investment companies) (Retired).		21	Listed under Principal Occupations
William L. Marshall Born December 12, 1942 909 A Street Tacoma, WA 98402	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services); • Certified Financial Planner and Member, Financial Planners Association; and • Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
32

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Steven J. Mastrovich Born November 3, 1956 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• September 2000 to Present, 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).		21	Listed under Principal Occupations
Patrick J. Riley Born November 30, 1948 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified	• 2003 to 2008, Associate Justice, Commonwealth of Massachusetts Superior Court (Retired); • 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
33

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); • November 1998 to Present, Board Member, Healthcare Georgia Foundation (private foundation); and • September 2002 to Present, Board Member, Amerigroup Corp. (managed health care).		21	Listed under Principal Occupations
Bruce D. Taber Born April 25, 1947 909 A Street Tacoma, WA 98402	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Consultant, Computer Simulation, General Electric Industrial Control Systems (diversified technology and services company); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations
Henry W. Todd Born May 4, 1947 909 A Street Tacoma, WA 98402	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Chairman, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
34

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During the Past 5 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 Principal Executive Officer since 2005	Until successor is chosen and qualified 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 and SPDR Index Shares Funds, Trustee, Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment 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 chosen and qualified by Trustees	• Principal, SSgA Funds Management, Inc. (investment advisor); and • July 2007 to present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.
Mark E. Swanson Born November 26, 1963 909 A Street Tacoma, WA 98402	Treasurer and Principal Accounting Officer since 2000	Until successor is chosen and qualified by Trustees	• Director – Fund Administration, Russell Investment Management Company, Russell Fund Services Company, and Russell Trust Company; • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds; and • Director, Russell Fund Distributors, Inc., Russell Investment Management Company, and Russell Fund Services Company.
Julie B. Piatelli Born August 5, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since August 2007	Until successor is chosen and qualified by Trustees	• 2004 to Present, Principal and Senior Compliance Officer, SSgA Funds Management, Inc.; Vice President, State Street Global Advisors; and • 1999-2004, Senior Manager, PricewaterhouseCoopers LLC.
Gregory J. Lyons Born August 24, 1960 909 A Street Tacoma, WA 98402	Secretary since 2007 and Chief Legal Officer since 2008	Until successor is chosen and qualified by Trustees	• US General Counsel and Assistant Secretary, Frank Russell Company, • Director and Assistant Secretary, Russell Insurance Agency, Inc.; • Secretary, Russell Investment Management Company, Russell Financial Services, Inc., and Russell Fund Services Company; • Secretary and Chief Legal Counsel, Russell Investment Company and Russell Investment Funds; and • Secretary and US General Counsel, Russell Trust Company, Russell Institutional Funds Management LLC.

Disclosure of Information about Fund Trustees and Officers
35

SSgA
Life Solutions Funds

State Street Financial Center

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

Trustees

Lynn L. Anderson

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

Julie B. Piatelli, Chief Compliance Officer

Gregory J. Lyons, Secretary and Chief Legal Officer

Rick Chase, Assistant Treasurer

Ross E. Erickson, Assistant Treasurer

Kimberlee A. Lloyd, Assistant Treasurer

David J. Craig, Assistant Treasurer

Carla L. Anderson, Assistant Secretary

Sandra G. Richardson, Assistant Secretary

Investment Adviser

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
909 A Street
Tacoma, Washington 98402

Legal Counsel

Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109

Fund Management and Service Providers
36

LSSAR-02/09 (51901)

MONEY MARKET FUNDS

Money Market Fund

US Government Money Market Fund

Tax Free Money Market Fund

Semiannual Report

February 28, 2009

SSgA Funds
Money Market Funds

Semiannual Report

February 28, 2009 (Unaudited)

Table of Contents

	Page
Money Market Fund		3
US Government Money Market Fund		9
Tax Free Money Market Fund		15
Notes to Schedules of Investments		23
Statement of Assets and Liabilities		24
Statement of Operations		25
Statement of Changes in Net Assets		26
Financial Highlights		28
Notes to Financial Statements		30
Shareholder Requests for Additional Information		37
Disclosure of Information about Fund Trustees and Officers		38
Fund Management and Service Providers		42

"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 objective 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.

This page has been intentionally left blank.

SSgA
Money Market Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	1,007.30	$	1,022.76
Expenses Paid During Period *	$	2.04	$	2.06

* Expenses are equal to the Fund's expense ratio of 0.41% (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) On an annual basis and based on average daily net assets, the annualized expense ratio is 0.40%, as contractually agreed to by the advisor. The contractual waiver is exclusive of the expenses related to the US Treasury Guarantee Program. Note 7 in the Notes to the Financial Statements detail the fees incurred for the participation in this program.

Money Market Fund
3

This page has been intentionally left blank.

SSgA
Money Market Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
Asset-Backed Commercial Paper - 10.0%
Alpine Securitization Corp. (l)		250,000		0.450	04/13/09		249,865
Aspen Funding Corp. (l)		50,000		1.950	03/04/09		49,992
Aspen Funding Corp. (l)		130,000		0.720	03/25/09		129,938
Gemini Securities Corp. (l)		100,000		0.600	04/06/09		99,940
Newport Funding Corp. (l)		100,000		0.600	03/27/09		99,957
Nieuw Amsterdam Receivable Corp. (l)		100,000		0.850	04/14/09		99,896
Solitaire Funding LLC (l)		250,000		0.650	03/20/09		249,914
Total Asset-Backed Commercial Paper (amortized cost $979,502)							979,502
Corporate Bonds and Notes - 6.8%
Bank of America Corp. (next reset date 05/26/09) (Ê)		100,000		1.449	08/25/09		100,000
Bank of America Corp. (next reset date 04/03/09) (Ê)(l)		100,000		1.625	10/03/09		100,000
General Electric Capital Corp. (next reset date 03/24/09) (Ê)		200,000		0.513	09/24/09		200,000
Procter & Gamble International Funding SCA (next reset date 03/09/09) (Ê)		80,000		2.216	09/09/09		80,011
Royal Bank of Scotland (next reset date 03/15/09) (Ê)(l)		31,000		2.396	10/09/09		31,000
US Bank NA		150,000		2.950	03/12/09		150,121
Total Corporate Bonds and Notes (amortized cost $661,132)							661,132
Domestic Certificates of Deposit - 2.8%
Bank of America Corp.		50,000		2.150	03/17/09		50,000
Chase Bank		225,000		0.400	04/07/09		225,000
Total Domestic Certificates of Deposit (amortized cost $275,000)							275,000
Domestic Commercial Paper - 3.3%
General Electric Capital Corp.		35,000		0.500	03/26/09		34,988
General Electric Capital Corp.		150,000		0.500	03/27/09		149,946
General Electric Capital Corp.		40,000		0.700	05/19/09		39,939
JPMorgan Chase & Co.		100,000		2.910	03/10/09		99,927
Total Domestic Commercial Paper (amortized cost $324,800)							324,800
Domestic Time Deposit - 1.4%
Citibank NA Nassau		141,233		0.190	03/02/09		141,233
Total Domestic Time Deposit (amortized cost $141,233)							141,233
Eurodollar Certificates of Deposit - 6.9%
Commonwealth Bank of Australia		130,000		0.900	05/12/09		130,000
ING Bank N.V.		150,000		1.490	03/16/09		150,000
ING Bank N.V.		100,000		1.410	04/08/09		100,000
ING Bank N.V.		100,000		1.220	05/12/09		100,000

Money Market Fund
5

SSgA
Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
National Australia Bank, Ltd.		200,000		0.600	04/16/09		200,000
Total Eurodollar Certificates of Deposit (amortized cost $680,000)							680,000
Foreign Commercial Paper - 11.8%
Australia and New Zealand Banking Group, Ltd. (l)		28,000		1.990	03/18/09		27,974
Australia and New Zealand Banking Group, Ltd. (l)		28,000		1.990	03/23/09		27,966
Banco Bilbao Vizcaya Argentaria SA (l)		250,000		0.900	05/13/09		249,544
DnB Nor Bank ASA (l)		150,000		0.850	05/14/09		149,738
National Australia Bank, Ltd. (l)		51,000		1.750	03/06/09		50,988
National Australia Bank, Ltd. (l)		125,000		0.720	04/20/09		124,875
Societe Generale		400,000		1.940	03/19/09		399,612
Westpac Banking Corp. (l)		43,000		1.940	03/04/09		42,993
Westpac Banking Corp. (l)		43,000		1.940	03/05/09		42,990
Westpac Banking Corp. (l)		43,000		1.940	03/06/09		42,988
Total Foreign Commercial Paper (amortized cost $1,159,668)							1,159,668
United States Government Agencies - 2.1%
Federal National Mortgage Assocation (next reset date 04/13/09)(Ê)		200,000		1.244	07/13/10		200,000
Total United States Government Agencies (amortized cost $200,000)							200,000
Yankee Certificates of Deposit - 30.4%
Banco Bilbao Vizcaya Argentaria SA		100,000		2.215	03/05/09		100,000
Banco Bilbao Vizcaya Argentaria SA		100,000		1.070	04/07/09		100,001
Bank of Nova Scotia		195,000		0.740	05/18/09		195,000
Barclays Bank PLC		190,000		2.000	03/11/09		190,000
Barclays Bank PLC		200,000		0.630	04/06/09		200,000
Barclays Bank PLC		75,000		1.620	07/13/09		75,000
BNP Paribas SA		150,000		1.960	04/09/09		150,000
BNP Paribas SA		50,000		0.900	07/14/09		50,000
Calyon NY		150,000		2.200	03/11/09		150,000
Calyon NY		250,000		1.200	04/07/09		250,000
Lloyds TSB Group PLC		150,000		1.130	04/13/09		150,000
Lloyds TSB Group PLC		300,000		1.180	05/13/09		300,000
Rabobank		300,000		1.700	03/02/09		300,000
Rabobank		100,000		0.550	04/09/09		100,000
Royal Bank of Canada		150,000		0.700	05/22/09		150,000
Societe Generale		75,000		0.850	04/13/09		75,000
Svenska Handelsbanken AB		400,000		0.935	05/13/09		400,004
Toronto Dominion Bank		40,000		2.130	04/03/09		40,000
Total Yankee Certificates of Deposit (amortized cost $2,975,005)							2,975,005
Total Investments - 75.5% (amortized cost $7,396,340)							7,396,340

Money Market Fund
6

SSgA
Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Value $
Repurchase Agreements - 24.5%
Agreement with Bank of America and The Bank of New York, Inc. (Tri-Party) of $800,000 dated February 27, 2009, at 0.280% to be repurchased at $800,019 on March 2, 2009, collateralized by: $816,982 par various United States Government Agency Mortgage Obligations, valued at $816,000		800,000
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party) of 200,000 dated February 27, 2009, at 0.260% to be repurchased at $200,004 on March 2, 2009, collateralized by: $189,778 par various United States Government Agency Mortgage Obligations, valued at $204,000		200,000
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party) of $800,000 dated February 27, 2009, at 0.270% to be repurchased at $800,018 on March 2, 2009, collateralized by: $766,635 par various United States Government Agency Mortgage Obligations, valued at $816,005		800,000
Agreement with Goldman Sachs and The Bank of New York, Inc. (Tri-Party) of $200,000 dated February 27, 2009, at 0.270% to be repurchased at $200,005 on March 2, 2009, collateralized by: $1,550,124 par various United States Government Agency Mortgage Obligations, valued at $204,000		200,000
Agreement with UBS Securities, LLC and JPMorgan Chase & Co. (Tri-Party) of $400,000 dated February 27, 2009, at 0.250% to be repurchased at $400,008 on March 2, 2009, collateralized by: $388,727 par various United States Government Agency Mortgage Obligations, valued at $408,004		400,000
Total Repurchase Agreements (identified cost $2,400,000)		2,400,000
Total Investments and Repurchase Agreements - 100.0% (cost $9,796,340)(†)		9,796,340
Other Assets and Liabilities, Net - 0.0%		3,441
Net Assests - 100.0%		9,799,781

See accompanying notes which are an integral part of the financial statements.
7

SSgA
Money Market Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Asset-Backed Commercial Paper		10.0
Corporate Bonds and Notes		6.8
Domestic Certificates of Deposit		2.8
Domestic Commercial Paper		3.3
Domestic Time Deposit		1.4
Eurodollar Certificates of Deposit		6.9
Foreign Commercial Paper		11.8
United States Government Agencies		2.1
Yankee Certificates of Deposit		30.4
Repurchase Agreements		24.5
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.
8

SSgA
US Government Money Market Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	1,004.00	$	1,022.96
Expenses Paid During Period *	$	1.84	$	1.86

* Expenses are equal to the Fund's expense ratio of 0.37% (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).

US Government Money Market Fund
9

This page has been intentionally left blank.

SSgA
US Government Money Market Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
United States Government Agencies - 49.7%
Federal Home Loan Bank		180,000		2.710	04/03/09		180,000
Federal Home Loan Bank (next reset date 03/02/09) (Ê)		75,000		0.550	04/23/09		75,000
Federal Home Loan Bank (Ê)		150,000		1.036	05/13/09		150,095
Federal Home Loan Bank (next reset date 03/09/09) (Ê)		55,000		0.448	01/08/10		55,000
Federal Home Loan Mortgage Corp.		70,000		0.700	03/02/09		69,999
Federal Home Loan Mortgage Corp.		130,000		0.710	03/02/09		129,997
Federal Home Loan Mortgage Corp.		100,000		0.380	04/28/09		99,939
Federal Home Loan Mortgage Corp.		100,000		0.400	05/11/09		99,921
Federal Home Loan Mortgage Corp.		400,000		0.510	07/01/09		399,309
Federal Home Loan Mortgage Corp.		300,000		0.510	07/06/09		299,460
Federal Home Loan Mortgage Corp.(next reset date 03/18/09) (Ê)		50,000		0.435	09/18/09		50,019
Federal Home Loan Mortgage Corp. (next reset date 03/02/09) (Ê)		150,000		0.670	01/08/10		150,000
Federal National Mortgage Association Discount Note		150,000		0.750	03/12/09		149,966
Federal National Mortgage Association Discount Note		300,000		0.480	06/25/09		299,536
Federal National Mortgage Association Discount Note		300,000		0.470	07/02/09		299,518
Federal National Mortgage Association Discount Note (next reset date 04/13/09) (Ê)		50,000		1.244	07/13/10		50,000
Total United States Government Agencies (amortized cost $2,557,759)							2,557,759
Total Investments - 49.7% (amortized cost $2,557,759)							2,557,759
Repurchase Agreements - 50.3%
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party) of $200,000 dated February 27, 2009, at 0.270% to be repurchased at $200,005 on March 2, 2009, collateralized by: $208,605 par United States Government Agency Obligations, valued at $204,001							200,000
Agreement with BNP Paribas and The Bank of New York, Inc. (Tri-Party) of $200,000 dated February 27, 2009, at 0.270% to be repurchased at $200,005 on March 2, 2009, collateralized by: $189,976 par United States Government Agency Obligations, valued at $204,005							200,000
Agreement with Deutsche Bank AG and The Bank of New York, Inc. (Tri-Party) of $787,710 dated February 27, 2009, at 0.270% to be repurchased at $787,728 on March 2, 2009, collateralized by: $774,695 par various United States Government Agency Obligations, valued at $803,465							787,710
Agreement with HSBC Securities, Inc. and JP Morgan Chase & Co. (Tri-Party) of $800,000 dated February 27, 2009, at 0.270% to be repurchased at $800,018 on March 2, 2009, collateralized by: $781,406 par United States Government Agency Obligations, valued at $816,000							800,000
Agreement with ING Financial Markets LLC and JP Morgan Chase & Co. (Tri-Party) of $200,000 dated February 27, 2009, at 0.270% to be repurchased at $200,004 on March 2, 2009, collateralized by: $194,341 par United States Government Agency Obligations, valued at $204,004							200,000
Agreement with JPMorgan Chase Securities and JPMorgan Chase & Co. (Tri-Party) of $200,000 dated February 27, 2009, at 0.270% to be repurchased at $200,005 on March 2, 2009, collateralized by: $192,352 par various United States Government Agency Obligations, valued at $204,004							200,000

US Government Money Market Fund
11

SSgA
US Government Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Value $
Agreement with UBS Warburg, LLC and JP Morgan Chase & Co. (Tri-Party) of $200,000 dated February 27, 2009, at 0.270% to be repurchased at $200,005 on March 2, 2009, collateralized by: $193,090 par United States Government Agency Obligations, valued at $204,001		200,000
Total Repurchase Agreements (identified cost $2,587,710)		2,587,710
Total Investments and Repurchase Agreements - 100.0% (cost $5,145,469)(†)		5,145,469
Other Assets and Liabilities, Net - 0.0%		795
Net Assets - 100.0%		5,146,264

See accompanying notes which are an integral part of the financial statements.
12

SSgA
US Government Money Market Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
United States Government Agencies		49.7
Repurchase Agreements		50.3
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.
13

This page has been intentionally left blank.

SSgA
Tax Free Money Market Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	1,008.90	$	1,022.27
Expenses Paid During Period *	$	2.54	$	2.56

* Expenses are equal to the Fund's expense ratio of 0.51% (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).

Tax Free Money Market Fund
15

This page has been intentionally left blank.

SSgA
Tax Free Money Market Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
Short-Term Tax-Exempt Obligations - 86.4%
Alaska - 0.9%
Alaska Housing Finance Corp. Revenue Bonds, weekly demand (Ê)(µ)		2,250		0.830	07/01/22		2,250
Arizona - 3.0%
Phoenix Industrial Development Authority Revenue Bonds, weekly demand (Ê)(µ)		5,000		0.580	11/01/42		5,000
Pima County Industrial Development Authority Revenue Bonds, weekly demand (Ê)(µ)		2,400		0.750	12/01/22		2,400
							7,400
California - 3.6%
Bay Area Toll Authority Revenue Bonds, weekly demand (Ê)		5,000		0.400	04/01/45		5,000
California School Cash Reserve Program Authority Certificate Of Participation (µ)		2,000		3.000	07/06/09		2,009
Metropolitan Water District of Southern California Revenue Bonds, weekly demand (Ê)		1,710		0.350	07/01/25		1,710
							8,719
Colorado - 4.1%
Colorado Housing & Finance Authority Revenue Bonds, weekly demand (Ê)		1,500		0.550	11/01/21		1,500
Colorado Housing & Finance Authority Revenue Bonds, weekly demand (Ê)		725		0.550	10/01/30		725
Denver City & County Colorado General Obligation Unlimited		4,000		5.500	08/01/09		4,078
Southern Ute Indian Tribe of Southern Ute Indian Reservation Revenue Bonds, weekly demand (Ê)		3,700		0.630	11/01/31		3,700
							10,003
Connecticut - 1.0%
Connecticut State Health & Educational Facility Authority Revenue Bonds, weekly demand (Ê)		2,500		0.350	07/01/29		2,500
Delaware - 2.1%
Delaware Valley Regioinal Financial Authority Revenue Bonds, weekly demand (Ê)(µ)		5,110		1.670	08/01/28		5,110
District of Columbia - 1.1%
District of Columbia General Obligation Unlimited, weekly demand (Ê)(µ)		1,090		3.250	06/01/15		1,090
District of Columbia General Obligation Unlimited, weekly demand (Ê)(µ)		1,700		3.250	06/01/30		1,700
							2,790
Florida - 1.0%
Dade County Industrial Development Authority Revenue Bonds, weekly demand (Ê)(µ)		2,410		0.750	01/01/16		2,410
Georgia - 5.3%
Georgia Local Government Certificate of Participatioin Certificate Of Participation, weekly demand (Ê)		7,880		4.140	12/01/22		7,880
Georgia Local Government Certificate of Participatioin Certificate Of
Participation, weekly demand (Ê)(µ)		5,000		3.670	06/01/28		5,000
							12,880

Tax Free Money Market Fund
17

SSgA
Tax Free Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
Idaho - 1.4%
Idaho Housing & Finance Association Revenue Bonds, weekly demand (Ê)		1,500		1.250	01/01/33		1,500
Idaho Housing & Finance Association Revenue Bonds, weekly demand (Ê)		2,000		1.250	07/01/33		2,000
							3,500
Illinois - 5.5%
County of Will Illinois Revenue Bonds, weekly demand (Ê)(µ)		3,340		2.150	12/01/25		3,340
Illinois Educational Facilities Authority Revenue Bonds, weekly demand (Ê)		3,400		0.630	03/01/27		3,400
Illinois Finance Authority Revenue Bonds, weekly demand (Ê)(µ)		1,200		0.530	01/01/36		1,200
Illinois Finance Authority Revenue Bonds, weekly demand (Ê)(µ)		3,150		0.560	04/01/41		3,150
Illinois Health Facilities Authority Revenue Bonds, weekly demand (Ê)(µ)		2,300		0.630	08/01/15		2,300
							13,390
Indiana - 2.4%
Indianapolis Local Public Improvement Bond Bank Revenue Bonds, weekly demand (Ê)(µ)		6,000		3.500	01/01/33		6,000
Maine - 1.9%
Regional Waste Systems, Inc. Revenue Bonds, weekly demand (Ê)		700		1.100	07/01/12		700
State of Maine General Obligation Unlimited		3,820		4.000	05/15/09		3,838
							4,538
Maryland - 5.3%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds, weekly demand (Ê)(µ)		9,000		0.530	07/01/34		9,000
Maryland Health & Higher Educational Facilities Authority Revenue Bonds, weekly demand (Ê)(µ)		4,000		0.470	04/01/35		4,000
							13,000
Massachusetts - 2.8%
Commonwealth of Massachusetts General Obligation Unlimited, weekly demand (Ê)(µ)		4,000		1.670	08/01/30		4,000
Massachusetts Bay Transportation Authority Revenue Bonds, weekly demand (Ê)(l)		1,000		0.650	07/01/30		1,000
Massachusetts Health & Educational Facilities Authority Revenue Bonds, weekly demand (Ê)(µ)		1,925		2.500	07/01/27		1,925
							6,925
Michigan - 1.8%
Jackson County Economic Development Corp. Revenue Bonds, weekly demand (Ê)(µ)		1,500		2.000	12/01/14		1,500
Michigan Municipal Bond Authority Revenue Bonds, weekly demand (Ê)		995		0.600	10/01/21		995
Michigan State Housing Development Authority Revenue Bonds, weekly demand (Ê)(µ)		2,000		4.500	06/01/30		2,000
							4,495
Minnesota - 0.4%
University of Minnesota Revenue Bonds		1,075		5.000	08/01/09		1,094

Tax Free Money Market Fund
18

SSgA
Tax Free Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
Nevada - 1.3%
Nevada Housing Division Revenue Bonds, weekly demand (Ê)(µ)		1,200		1.000	04/01/31		1,200
Nevada Housing Division Revenue Bonds, weekly demand (Ê)		1,900		0.730	10/15/33		1,900
							3,100
New Hampshire - 2.6%
New Hampshire Business Finance Authority Revenue Bonds, weekly demand (Ê)(µ)		1,900		0.630	01/01/18		1,900
New Hampshire Health & Education Facilities Authority Revenue Bonds, weekly demand (Ê)		4,500		0.430	06/01/32		4,500
							6,400
New Jersey - 0.8%
New Jersey Transportation Trust Fund Authority Revenue Bonds		2,050		5.500	06/15/09		2,072
New York - 5.3%
City of New York New York General Obligation Unlimited, weekly demand (Ê)(µ)		1,000		1.520	08/01/11		1,000
Long Island Power Authority Revenue Bonds, weekly demand (Ê)(µ)		2,300		0.480	05/01/33		2,300
New York City Transitional Finance Authority Revenue Bonds, weekly demand (Ê)		2,000		0.530	11/01/22		2,000
New York City Transitional Finance Authority Revenue Bonds, weekly demand (Ê)		3,435		1.750	11/01/22		3,435
New York City Transitional Finance Authority Revenue Bonds, weekly demand (Ê)		4,160		0.350	11/15/22		4,160
							12,895
North Carolina - 7.0%
Charlotte-Mecklenburg Hospital Authority Revenue Bonds, weekly demand (Ê)(µ)		9,040		4.000	01/15/46		9,040
Mecklenburg County North Carolina General Obligation Unlimited		1,040		5.000	04/01/09		1,044
Mecklenburg County North Carolina General Obligation Unlimited, weekly demand (Ê)		1,000		0.600	03/01/15		1,000
Mecklenburg County North Carolina General Obligation Unlimited, weekly demand (Ê)		1,010		0.650	02/01/22		1,010
New Hanover County North Carolina General Obligation Unlimited, weekly demand (Ê)		1,000		0.610	02/01/26		1,000
Piedmont Triad Airport Authority Revenue Bonds, weekly demand (µ)(æ)		1,200		6.375	07/01/16		1,231
State of North Carolina General Obligation Unlimited		1,750		5.000	03/01/09		1,750
State of North Carolina General Obligation Unlimited, weekly demand (Ê)		1,000		0.380	05/01/21		1,000
							17,075
Ohio - 5.9%
City of Columbus Ohio General Obligation Unlimited, weekly demand (Ê)		1,400		0.350	12/01/26		1,400
County of Franklin Ohio Revenue Bonds, weekly demand (Ê)(µ)		6,660		0.570	12/01/28		6,660
Ohio State University Revenue Bonds, weekly demand (Ê)		3,500		0.350	06/01/35		3,500
State of Ohio General Obligation Unlimited, weekly demand (Ê)		2,810		0.350	03/15/25		2,810
							14,370
Oregon - 4.1%
Oregon State Department of Administrative Services Revenue Bonds (µ)		10,000		5.000	09/01/09		10,165

Tax Free Money Market Fund
19

SSgA
Tax Free Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
Tennessee - 1.6%
Jackson Health Educational & Housing Facility Board Revenue Bonds, weekly demand (Ê)		750		0.620	10/15/32		750
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board Revenue Bonds, weekly demand (Ê)(µ)		3,095		0.750	01/01/30		3,095
							3,845
Texas - 3.1%
Austin County Industrial Development Corp. Revenue Bonds, weekly demand (Ê)(µ)		1,400		0.620	12/01/14		1,400
Red River Texas Revenue Bonds, weekly demand (Ê)		3,500		0.650	05/15/30		3,500
Texas A&M University Revenue Bonds		2,700		5.375	05/15/09		2,721
							7,621
Utah - 3.2%
Morgan County Utah Revenue Bonds, weekly demand (Ê)(µ)		1,750		0.780	08/01/31		1,750
Utah Housing Corp. Revenue Bonds, weekly demand (Ê)		6,000		0.700	07/01/33		6,000
							7,750
Virginia - 1.8%
Fairfax County Economic Development Authority Revenue Bonds, weekly demand (Ê)		2,645		0.450	12/01/33		2,645
Fairfax County Redevelopment & Housing Authority Revenue Notes		200		4.000	10/01/09		203
Hampton Redevelopment & Housing Authority Revenue Bonds, weekly demand (Ê)		1,500		0.770	06/15/26		1,500
							4,348
Washington - 4.9%
State of Washington General Obligation Unlimited, weekly demand (æ)		4,050		5.625	07/01/17		4,104
Washington Higher Education Facilities Authority Revenue Bonds, weekly demand (Ê)		8,000		0.530	10/01/29		8,000
							12,104
Wisconsin - 1.2%
Wisconsin Housing & Economic Development Authority Revenue Bonds, weekly demand (Ê)		3,000		0.850	09/01/33		3,000
Total Short-Term Tax-Exempt Obligations (cost $211,749)							211,749
Other Short-Term Investments - 14.1%
Aim Tax Free Cash Reserve Money Market Fund		34,442,000					34,442
Total Other Short-Term Investments (cost $34,442)							34,442
Total Investments - 100.5% (amortized cost $246,191) (†)							246,191
Other Assets and Liabilities, Net - (0.5%)							(1,300	)
Net Assets - 100%							244,891

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

Tax Free Money Market Fund
20

SSgA
Tax Free Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Quality Ratings as of % of Value

AAA	95	%
AA	5
	100	%

Economic Sector Emphasis as a of % of Value

Other Revenue	31	%
General Obligation	16
Health Care Revenue	12
Education Revenue	12
Housing Revenue	9
Transportation Revenue	8
Electricity & Power Revenue	6
Industrial Revenue	2
Pollution Control Revenue	2
Water and Sewer	1
Public Agency	1
	100	%

Tax Free Money Market Fund
21

SSgA
Tax Free Money Market Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Alaska		0.9
Arizona		3.0
California		3.6
Colorado		4.1
Connecticut		1.0
Delaware		2.1
District of Columbia		1.1
Florida		1.0
Georgia		5.3
Idaho		1.4
Illinois		5.5
Indiana		2.4
Maine		1.9
Maryland		5.3
Massachusetts		2.8
Michigan		1.8
Minnesota		0.4
Nevada		1.3
New Hampshire		2.6
New Jersey		0.8
New York		5.3
North Carolina		7.0
Ohio		5.9
Oregon		4.1
Tennessee		1.6
Texas		3.1
Utah		3.2
Virginia		1.8
Washington		4.9
Wisconsin		1.2
Other Short-Term Investments		14.1
Total Investments		100.5
Other Assets and Liabilities, Net		(0.5	)
		100.0

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

Tax Free Money Market Fund
22

SSgA
Money Market Funds

Notes to Schedules of Investments — February 28, 2009 (Unaudited)

(Ê)  Adjustable or floating rate security. Rate shown reflects rate in effect at period end.

(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.

(†)  The identified cost for Federal income tax purposes.

(l)  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.

Notes to Schedules of Investments
23

SSgA
Money Market Funds

Statements of Assets and Liabilities — February 28, 2009 (Unaudited)

Amounts in thousands	Money Market Fund			US Government Money Market Fund			Tax Free Money Market Fund
Assets
Investments, at identified cost	$	7,396,340		$	2,557,759		$	246,191
Investments at amortized cost which approximates value		7,396,340			2,557,759			246,191
Repurchase agreements at cost which approximates value		2,400,000			2,587,710			—
Receivables:
Interest		10,759			2,779			930
Fund shares sold		228			7			1
Prepaid expenses		556			42			48
Total assets		9,807,883			5,148,297			247,170
Liabilities
Payables:
Investments purchased		—			—			2,004
Fund shares redeemed		228			7			—
Accrued fees to affiliates		2,925			1,239			129
Other accrued expenses		96			46			22
Dividends		4,853			741			124
Total liabilities		8,102			2,033			2,279
Net Assets	$	9,799,781		$	5,146,264		$	244,891
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	8		$	114		$	107
Accumulated net realized gain (loss)		(202	)		(34	)		(191	)
Shares of beneficial interest		9,800			5,146			245
Additional paid-in capital		9,790,175			5,141,038			244,730
Net Assets	$	9,799,781		$	5,146,264		$	244,891
Net Asset Value, offering and redemption price per share:
Net asset value per share*	$	1.00		$	1.00		$	1.00
Net assets	$	9,799,781,071		$	5,146,264,251		$	244,890,591
Shares outstanding ($.001 par value)		9,799,978,424			5,146,238,825			244,894,876
* Net asset value per share equals net assets divided by shares of beneficial interest outstanding.

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

Statements of Assets and Liabilities
24

SSgA
Money Market Funds

Statements of Operations — For the Period Ended February 28, 2009 (Unaudited)

Amounts in thousands	Money Market Fund			US Government Money Market Fund		Tax Free Money Market Fund
Investment Income
Dividends	$	—		$	—	$	463
Interest		76,949			15,968		3,678
Total investment income		76,949			15,968		4,141
Expenses
Advisory fees		10,850			3,907		428
Administrative fees		1,328			478		67
Custodian fees		463			161		32
Distribution fees		808			237		49
Transfer agent fees		44			23		17
Professional fees		43			22		15
Registration fees		30			28		18
Shareholder servicing fees		2,706			770		125
Trustees' fees		107			36		11
Insurance fees		67			16		3
Printing fees		116			28		8
Miscellaneous		29			15		13
US Treasury Guarantee Program fees		1,296			—		86
Expenses before reductions		17,887			5,721		872
Expense reductions		(1	)		—		(3	)
Net expenses		17,886			5,721		869
Net investment income (loss)		59,063			10,247		3,272
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		(202	)		—		(55	)
Net Increase (Decrease) in Net Assets from Operations	$	58,861		$	10,247	$	3,217

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

Statements of Operations
25

SSgA
Money Market Funds

Statements of Changes in Net Assets

	Money Market Fund						US Government Money Market Fund						Tax Free Money Market Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	59,063		$	268,655		$	10,247		$	70,905		$	3,272		$	13,610
Net realized gain (loss)		(202	)		1,505			—			—			(55	)		(2	)
Net increase (decrease) in net assets from operations		58,861			270,160			10,247			70,905			3,217			13,608
Distributions
From net investment income		(59,063	)		(268,655	)		(10,247	)		(70,905	)		(3,272	)		(13,610	)
From net realized gain		(1,454	)		—			—			—			—			—
Net decrease in net assets from distributions		(60,517	)		(268,655	)		(10,247	)		(70,905	)		(3,272	)		(13,610	)
Share Transactions
Net increase (decrease) in net assets from share transactions		2,393,445			(368,115	)		2,997,769			540,617			(97,373	)		(120,945	)
Total Net Increase (Decrease) in Net Assets		2,391,789			(366,610	)		2,997,769			540,617			(97,428	)		(120,947	)
Net Assets
Beginning of period		7,407,992			7,774,602			2,148,495			1,607,878			342,319			463,266
End of period	$	9,799,781		$	7,407,992		$	5,146,264		$	2,148,495		$	244,891		$	342,319
Undistributed (overdistributed) net investment income included in net assets	$	8		$	8		$	114		$	114		$	107		$	107

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

Statements of Changes in Net Assets
26

This page has been intentionally left blank.

SSgA
Money Market Funds

Financial Highlights — For the Periods Ended

For a Share Outstanding Throughout Each Period.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(c)		$ Net Realized and Unrealized Gain (Loss)(c)			$ Total Income from Operations		$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions
Money Market Fund
February 28, 2009*		1.0000		.0068		.0005			.0073		(.0071	)		(.0002	)		(.0073	)
August 31, 2008		1.0000		.0339		.0004			.0343		(.0343	)		—			(.0343	)
August 31, 2007		1.0000		.0497		—			.0497		(.0497	)		—			(.0497	)
August 31, 2006		1.0000		.0418		—	(b)		.0418		(.0418	)		—			(.0418	)
August 31, 2005		1.0000		.0218		—			.0218		(.0218	)		—			(.0218	)
August 31, 2004		1.0000		.0076		—			.0076		(.0076	)		—			(.0076	)
US Government Money Market Fund
February 28, 2009*		1.0000		.0040		—			.0040		(.0040	)		—			(.0040	)
August 31, 2008		1.0000		.0308		—			.0308		(.0308	)		—			(.0308	)
August 31, 2007		1.0000		.0489		—			.0489		(.0489	)		—			(.0489	)
August 31, 2006		1.0000		.0412		—	(b)		.0412		(.0412	)		—			(.0412	)
August 31, 2005		1.0000		.0214		—			.0214		(.0214	)		—			(.0214	)
August 31, 2004		1.0000		.0070		—			.0070		(.0070	)		—			(.0070	)
Tax Free Money Market Fund
February 28, 2009*		1.0000		.0095		(.0006	)		.0089		(.0089	)		—			(.0089	)
August 31, 2008		1.0000		.0250		(.0017	)		.0233		(.0233	)		—			(.0233	)
August 31, 2007		1.0000		.0310		—	(b)		.0310		(.0310	)		—			(.0310	)
August 31, 2006		1.0000		.0262		—	(b)		.0262		(.0262	)		—			(.0262	)
August 31, 2005		1.0000		.0146		—			.0146		(.0146	)		—			(.0146	)
August 31, 2004		1.0000		.0048		.0003			.0051		(.0048	)		(.0003	)		(.0051	)

* For the six months ended February 28, 2009 (Unaudited).
(a) 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 that .005%.
(b) Less than $.0001 per share.
(c) Per share data are based on average shares outstanding.
(d) Periods less than one year are not annualized.
(e) The ratios for periods less than one year are annualized.

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

Financial Highlights
28

	$ Net Asset Value, End of Period		% Total Return(d)		$ Net Assets, end of period (000)		% Ratio of Expenses to Average Net Assets, Net(a)(e)		% Ratio of Expenses to Average Net Assets, Gross(e)		% Ratio of Net Investment Income to Average Net Assets(a)(e)
Money Market Fund
February 28, 2009*		1.0000		.73		9,799,781		.41		.41		1.36
August 31, 2008		1.0000		3.48		7,407,992		.39		.39		3.39
August 31, 2007		1.0000		5.08		7,774,602		.40		.42		4.97
August 31, 2006		1.0000		4.26		7,801,242		.40		.43		4.19
August 31, 2005		1.0000		2.20		7,575,574		.40		.42		2.14
August 31, 2004		1.0000		.77		8,146,933		.40		.40		.76
US Government Money Market Fund
February 28, 2009*		1.0000		.40		5,146,264		.37		.37		.66
August 31, 2008		1.0000		3.12		2,148,495		.37		.37		3.04
August 31, 2007		1.0000		5.00		1,607,878		.42		.42		4.89
August 31, 2006		1.0000		4.19		1,216,443		.42		.42		4.05
August 31, 2005		1.0000		2.16		1,745,592		.42		.42		2.22
August 31, 2004		1.0000		.70		1,161,107		.43		.43		.69
Tax Free Money Market Fund
February 28, 2009*		1.0000		.89		244,891		.51		.51		1.91
August 31, 2008		1.0000		2.35		342,319		.46		.46		2.49
August 31, 2007		1.0000		3.14		463,266		.52		.53		3.09
August 31, 2006		1.0000		2.65		522,007		.53		.53		2.65
August 31, 2005		1.0000		1.47		453,917		.54		.54		1.50
August 31, 2004		1.0000		.50		398,518		.57		.57		.47

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

Financial Highlights
29

SSgA
Money Market Funds

Notes to Financial Statements — February 28, 2009 (Unaudited)

1.  Organization

The SSgA Funds (the "Investment Company") is a series mutual fund, comprising of 21 investment portfolios that were in operation as of February 28, 2009. These financial statements report on three funds: the SSgA Money Market Fund, SSgA US 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.

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. In accordance with SFAS 157, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. SFAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification 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 va luation 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

•  Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)

Notes to Financial Statements
30

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

Inputs used in valuing the Funds' investments carried at value for the period ended February 28, 2009 were as follows:

	Money Market Fund		US Government Money Market Fund		Tax Free Money Market Fund
	Investments in Securities		Investments in Securities		Investments in Securities
Level 1	$	—	$	—	$	34,442,000
Level 2		9,796,339,783		5,145,469,092		211,748,888
Level 3		—		—		—
	$	9,796,339,783	$	5,145,469,092	$	246,190,888

As of February 28, 2009, there were no Level 3 securities held by the Funds.

On April 9, 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157 when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. Management is currently evaluating the impact the adoption FSP 157-4161 will have on the Funds' or Investment Company's financial statement disclosures.

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.

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 requires each Fund to distribute all of its taxable income to its shareholders. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required.

At August 31, 2008, 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
Funds	08/31/2011		08/31/2012		08/31/2013		08/31/2014		08/31/2015		Total
Money Market	$	—	$	—	$	—	$	—	$	—	$	—
US Government Money Market		5,172		16,922		8,920		2,635		—		33,649
Tax Free Money Market		—		—		—		22,299		41,331		63,630

As of February 28, 2009, 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:

As permitted by tax regulations, the Tax Free Money Market Fund intends to defer a net realized capital loss incurred from November 1, 2007 to August 31, 2008 in the amount of $72,366, and treat it as arising in the fiscal year 2009.

The Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109" ("FIN 48"), in June 2006. FIN 48 permits the recognition of tax benefits of an uncertain tax position only when the position is "more likely than not" to be sustained assuming examination by taxing authorities. The Funds adopted the provisions of FIN 48 on September 1, 2007. Management has reviewed the Funds tax positions for the years that remain open (2005-2008), and concluded that adoption had no effect on the Funds financial position

Notes to Financial Statements
31

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

or results of operations. As of February 28, 2009, the Funds have 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.

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, 2009, 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 s ecurities; 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.

3.  Related Parties

Advisor

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods. There were no waivers or reimbursements for the period ended February 28, 2009. The contractual waiver is exclusive of the expenses related to the US Treasury Guarantee Program. Note 7 in the Notes to Financial Statements detail the fees incurred for the participation in this program.

Notes to Financial Statements
32

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (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 Money Market Fund (the "Central Fund"). As of February 28, 2009, $87,410 represents the investments of other SSgA 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, 2009, the Funds' custodian fees were reduced by the following amounts under these arrangements:

Funds	Amount Waived
Money Market	$	402
US Government Money Market		202
Tax Free Money Market		2,431

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.

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 CitiStreet LLC ("CitiStreet") (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, 2009, each Fund paid the following shareholder servicing expenses to the Agents:

Funds	State Street		Global Markets		Fiduciary Investors Services		High Net Worth Services		CitiStreet		SSB-WMS
Money Market	$	1,084,980	$	763,913	$	937	$	80,213	$	3,521	$	341,988
US Government Money Market		309,714		—		—		50,014		—		323,120
Tax Free Money Market		42,824		—		126		15,395		—		66,768

Notes to Financial Statements
33

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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. There were no carryover expenses as of February 28, 2009.

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, 2009 were as follows:

	Money Market Fund		US Government Money Market Fund		Tax Free Money Market Fund
Advisory fees	$	1,923,415	$	941,046	$	49,751
Administration fees		220,943		117,287		9,705
Custodian fees		148,610		41,048		10,657
Distribution fees		111,158		35,088		17,713
Shareholder servicing fees		492,899		91,548		32,324
Transfer agent fees		16,980		7,282		5,644
Trustees' fees		11,208		5,378		2,975
	$	2,925,213	$	1,238,677	$	128,769

Beneficial Interest

As of February 28, 2009, the following table includes shareholders (two of which were also affiliates of the Investment Company) with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund:

Funds	# of Shareholders		%
Money Market		2		22.5
Tax Free Money Market		4		62.2

Notes to Financial Statements
34

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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

	(amounts in thousands) For the Periods Ended
Money Market Fund	February 28, 2009			August 31, 2008
Proceeds from shares sold	$	52,191,586		$	98,742,655
Proceeds from reinvestment of distributions		43,479			202,673
Payments for shares redeemed		(49,841,620	)		(99,313,443	)
Total net increase (decrease)	$	2,393,445		$	(368,115	)
US Government Money Market Fund
Proceeds from shares sold	$	23,469,108		$	33,261,357
Proceeds from reinvestment of distributions		7,158			27,569
Payments for shares redeemed		(20,478,497	)		(32,748,309	)
Total net increase (decrease)	$	2,997,769		$	540,617
Tax Free Money Market Fund
Institutional
Proceeds from shares sold	$	2,985,900		$	8,330,733
Proceeds from reinvestment of distributions		2,552			5,376
Payments for shares redeemed		(3,085,825	)		(8,457,054	)
Total net increase (decrease)	$	(97,373	)	$	(120,945	)

5.  Interfund Lending Program

The Funds have been granted permission from the Securities and Exchange Commission to 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 M oney Market Fund could result in additional borrowing costs. Interest Income on the Statement of Operations for the Money Market Fund includes $436 received from the Interfund Lending Program for the period ended February 28, 2009.

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 10% 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, 2009, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using fair value procedures approved by the Board of Trustees.

Notes to Financial Statements
35

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

7.  Temporary Guarantee Program

The U.S. Department of Treasury has established a Temporary Guarantee Program ("Program") that guarantees a $1.00 net asset value for shares of participating money market funds as of September 19, 2008. Any increase in the number of shares an investor holds in a Fund after the close of business on September 19, 2008 will not be guaranteed. If a shareholder closes his/her account with a Fund or broker-dealer, any future investment in a Fund will not be guaranteed. SSgA Money Market Fund and SSgA Tax Free Money Market Fund (collectively, the "Participating SSgA Money Market Funds") have elected to participate in the Program.

With respect to any Participating SSgA Money Market Fund shareholder, the coverage provided under the Program will be equal to the lesser of (i) the shareholder's account balance as of September 19, 2008; or (ii) the shareholder's account balance on the date a Participating SSgA Money Market Fund's net asset value per share falls below $0.995. Payments under the Program are conditioned on the Participating SSgA Money Market Fund liquidating. Thus, any payment made to shareholders of a Participating SSgA Money Market Fund with respect to shares covered by the Program guarantee would be paid at approximately the same time liquidation proceeds are paid to all Fund shareholders rather than shortly after the time the fund's net asset value per share falls below $0.995. The U.S. Treasury's liability to all participating money market funds under the Program, including the Participating SSgA Money Market Funds, is limited to the assets of the federa l government's Exchange Stabilization Fund, which currently are approximately $50 billion. The SSgA Money Market Fund and SSgA Tax Free Money Market Fund were responsible for payment of fees required to participate in the Program and are responsible for the additional fees required to participate in the extended term of the Program. For the period ended February 28, 2009, the SSgA Money Market and SSgA Tax Free Money Market Funds paid the US Department of Treasury $1,787,514 and $118,658, respectively, to participate in the Program.

The program was initially due to expire December 18, 2008 but was extended by the U.S. Treasury until September 18, 2009. The SSgA Money Market Fund and SSgA Tax Free Money Market Fund made payment to the US Department of Treasury on April 13, 2009 to participate in this extension.

As of this Semiannual Report, more information is available about the Program at:

http://www.treas.gov/offices/domestic-finance/key-initiatives/money-market-fund.html.

Notes to Financial Statements
36

SSgA
Money Market Funds

Shareholder Requests for Additional Information — February 28, 2009 (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
37

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2009 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 21 funds. The first table provides information about trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since 2008 Interested Person of the SSgA Funds (as defined in the 1940 Act)	Appointed until successor is duly elected and qualified	• 2003 to Present, Senior Managing Director; Chairman, SSgA Investment Committee, State Street Global Advisors; • 2006 to Present, Trustee, Berea College; and • 2008 to Present, Chairman, Financial Service Sector Coordinating Counsel.		21	Listed under Principal Occupations
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified Until successor is chosen and qualified by the Trustees	• Until December 2008, Director, Russell Trust Company; and • Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant) (Retired); and Chairman of the Board, Russell Investment Company and Russell Investment Funds (registered investment companies) (Retired).		21	Listed under Principal Occupations
William L. Marshall Born December 12, 1942 909 A Street Tacoma, WA 98402	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services); • Certified Financial Planner and Member, Financial Planners Association; and • Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
38

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Steven J. Mastrovich Born November 3, 1956 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• September 2000 to Present, 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).		21	Listed under Principal Occupations
Patrick J. Riley Born November 30, 1948 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified	• 2003 to 2008, Associate Justice, Commonwealth of Massachusetts Superior Court (Retired); • 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
39

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); • November 1998 to Present, Board Member, Healthcare Georgia Foundation (private foundation); and • September 2002 to Present, Board Member, Amerigroup Corp. (managed health care).		21	Listed under Principal Occupations
Bruce D. Taber Born April 25, 1947 909 A Street Tacoma, WA 98402	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Consultant, Computer Simulation, General Electric Industrial Control Systems (diversified technology and services company); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations
Henry W. Todd Born May 4, 1947 909 A Street Tacoma, WA 98402	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Chairman, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
40

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During the Past 5 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 Principal Executive Officer since 2005	Until successor is chosen and qualified 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 and SPDR Index Shares Funds, Trustee, Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment 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 chosen and qualified by Trustees	• Principal, SSgA Funds Management, Inc. (investment advisor); and • July 2007 to present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.
Mark E. Swanson Born November 26, 1963 909 A Street Tacoma, WA 98402	Treasurer and Principal Accounting Officer since 2000	Until successor is chosen and qualified by Trustees	• Director – Fund Administration, Russell Investment Management Company, Russell Fund Services Company, and Russell Trust Company; • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds; and • Director, Russell Fund Distributors, Inc., Russell Investment Management Company, and Russell Fund Services Company.
Julie B. Piatelli Born August 5, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since August 2007	Until successor is chosen and qualified by Trustees	• 2004 to Present, Principal and Senior Compliance Officer, SSgA Funds Management, Inc.; Vice President, State Street Global Advisors; and • 1999-2004, Senior Manager, PricewaterhouseCoopers LLC.
Gregory J. Lyons Born August 24, 1960 909 A Street Tacoma, WA 98402	Secretary since 2007 and Chief Legal Officer since 2008	Until successor is chosen and qualified by Trustees	• US General Counsel and Assistant Secretary, Frank Russell Company, • Director and Assistant Secretary, Russell Insurance Agency, Inc.; • Secretary, Russell Investment Management Company, Russell Financial Services, Inc., and Russell Fund Services Company; • Secretary and Chief Legal Counsel, Russell Investment Company and Russell Investment Funds; and • Secretary and US General Counsel, Russell Trust Company, Russell Institutional Funds Management LLC.

Disclosure of Information about Fund Trustees and Officers
41

SSgA
Money Market Funds

State Street Financial Center

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

Trustees

Lynn L. Anderson

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

Julie B. Piatelli, Chief Compliance Officer

Gregory J. Lyons, Secretary and Chief Legal Officer

Rick Chase, Assistant Treasurer

Ross E. Erickson, Assistant Treasurer

Kimberlee A. Lloyd, Assistant Treasurer

David J. Craig, Assistant Treasurer

Carla L. Anderson, Assistant Secretary

Sandra G. Richardson, Assistant Secretary

Investment Adviser

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
909 A Street
Tacoma, Washington 98402

Legal Counsel

Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109

Fund Management and Service Providers
42

MMSAR - 02/09 (51896)

INSTITUTIONAL
MONEY MARKET FUNDS

US Treasury Money Market Fund

Prime Money Market Fund

Semiannual Report

February 28, 2009

SSgA Funds

Institutional Money Market Funds

Semiannual Report

February 28, 2009 (Unaudited)

Table of Contents

	Page
US Treasury Money Market Fund		3
Prime Money Market Fund		9
Notes to Schedules of Investments		15
Statement of Assets and Liabilities		16
Statement of Operations		17
Statement of Changes in Net Assets		18
Financial Highlights		20
Notes to Financial Statements		22
Shareholder Requests for Additional Information		28
Disclosure of Information about Fund Trustees and Officers		29
Fund Management and Service Providers		33

"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 objective 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.

This page has been intentionally left blank.

SSgA
US Treasury Money Market Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	1,001.20	$	1,024.10
Expenses Paid During Period *	$	0.69	$	0.70

* Expenses are equal to the Fund's expense ratio of 0.14% (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.

US Treasury Money Market Fund
3

This page has been intentionally left blank.

SSgA
US Treasury Money Market Fund

Schedule of Investments �� February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Share		Rate %		Date of Maturity	Value $
United States Treasury - 70.1%
United States Treasury Bills		500,000		0.285	03/05/09		499,984
United States Treasury Bills		882,000		0.005	03/12/09		881,999
United States Treasury Bills		475,000		0.050	03/19/09		474,988
United States Treasury Bills		500,000		0.100	03/19/09		499,975
United States Treasury Bills		750,000		0.270	03/26/09		749,859
United States Treasury Bills		300,000		0.290	03/26/09		299,940
United States Treasury Bills		750,000		0.260	04/09/09		749,789
Total United States Treasury (amortized cost $4,156,534)							4,156,534
Total Investments - 70.1% (amortized cost $4,156,534)							4,156,534
Repurchase Agreements - 29.9%
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party) of $172,945 dated February 27, 2009 at 0.260% to be repurchased at $172,849 on March 2, 2009, collateralized by: $175,225 par United States Treasury Obligations, valued at $176,404							172,945
Agreement with BNP Paribas and The Bank of New York, Inc. (Tri-Party) of $250,000 dated February 27, 2009 at 0.260% to be repurchased at $250,005 on March 2, 2009, collateralized by: $235,794 par United States Treasury Obligations, valued at $255,000							250,000
Agreement with Credit Suisse First Boston and JP Morgan Chase & Co. (Tri-Party) of $250,000 dated February 27, 2009 at 0.260% to be repurchased at $250,005 on March 2, 2009, collateralized by: $184,400 par United States Treasury Obligations, valued at $255,004							250,000
Agreement with Deutsche Bank AG and The Bank of New York, Inc. (Tri-Party) of $250,000 dated February 27, 2009 at 0.260% to be repurchased at $250,005 on March 2, 2009, collateralized by: $245,905 par United States Treasury Obligations, valued at $255,000							250,000
Agreement with HSBC Securities, Inc. and JP Morgan Chase & Co. (Tri-Party) of $600,000 dated February 27, 2009 at 0.260% to be repurchased at $600,013 on March 2, 2009, collateralized by: $680,204 par United States Treasury Obligations, valued at $612,000							600,000

US Treasury Money Market Fund
5

SSgA
US Treasury Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Value $
Agreement with ING Financial Markets LLC and JP Morgan Chase & Co. (Tri-Party) of $250,000 dated February 27, 2009 at 0.260% to be repurchased at $250,005 on March 2, 2009, collateralized by: $228,102 par United States Treasury Obligations, valued at $255,005		250,000
Total Repurchase Agreements (identified cost $1,772,945)		1,772,945
Total Investments and Repurchase Agreements - 100.0% (cost $5,929,479) (†)		5,929,479
Other Assets and Liabilities, Net - (0.0%)		(654	)
Net Assets - 100.0%		5,928,825

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

US Treasury Money Market Fund
6

SSgA
US Treasury Money Market Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
United States Treasury		70.1
Repurchase Agreements		29.9
Total Investments and Repurchase Agreements		100.0
Other Assets and Liabilities, Net		(0.0	)
		100.0

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

US Treasury Money Market Fund
7

This page has been intentionally left blank.

SSgA
Prime Money Market Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	1,008.30	$	1,023.65
Expenses Paid During Period *	$	1.15	$	1.15

* Expenses are equal to the Fund's 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). On an annual basis and based on average daily net assets, the annualized expense ratio is 0.20%, as contractually agreed to by the advisor. Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher. The contractual waiver is exclusive of the expenses related to the US Treasury Guarantee Program. Note 6 in the Notes to the Financial Statements detail the fees incurred for the participation in this program.

Prime Money Market Fund
9

This page has been intentionally left blank.

SSgA
Prime Money Market Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
Asset-Backed Commercial Paper - 9.1%
Alpine Securitzation Corp. (l)		250,000		0.450	04/14/09		249,863
Aspen Funding Corp. (l)		100,000		0.600	04/09/09		99,935
Gemini Securities Corp. (l)		100,000		0.600	04/06/09		99,940
Gemini Securities Corp. (l)		100,000		0.500	04/07/09		99,949
Gemini Securities Corp. (l)		200,000		0.450	04/09/09		199,903
Nieuw Amsterdam Receivable Corp. (l)		40,000		0.850	04/09/09		39,963
Solitaire Funding LLC (l)		250,000		0.650	03/20/09		249,914
Solitaire Funding LLC (l)		300,000		1.050	04/09/09		299,659
Total Asset-Backed Commercial Paper (amortized cost $1,339,126)							1,339,126
Corporate Bonds and Notes - 8.3%
Bank of America Corp. (next reset date 05/26/09) (Ê)		100,000		1.449	08/25/09		100,000
JPMorgan Chase Bank NA		225,000		0.400	04/07/09		225,000
JPMorgan Chase Bank NA		250,000		0.500	04/13/09		250,000
General Electric Capital Corp. (next reset date 03/24/09) (Ê)		225,000		0.513	09/24/09		225,000
Procter & Gamble International Funding SCA (next reset date 03/09/09) (Ê)		121,000		2.216	09/09/09		121,015
Royal Bank of Scotland (next reset date 03/15/09) (Ê)(l)		58,000		2.396	10/09/09		58,000
US Bank NA		250,000		2.950	03/12/09		250,201
Total Corporate Bonds and Notes (amortized cost $1,229,216)							1,229,216
Domestic Certificates of Deposit - 4.1%
Bank of America Corp.		250,000		2.150	03/17/09		250,000
Bank of America Corp.		350,000		0.700	07/14/09		350,000
Total Domestic Certificates of Deposit (amortized cost $600,000)							600,000
Domestic Commercial Paper - 3.5%
General Electric Capital Corp.		125,000		1.450	03/04/09		124,985
General Electric Capital Corp.		40,000		0.500	03/26/09		39,986
General Electric Capital Corp.		150,000		1.350	04/10/09		149,775
General Electric Capital Corp.		60,000		0.700	05/19/09		59,908
JPMorgan Chase & Co.		150,000		2.910	03/10/09		149,891
Total Domestic Commercial Paper (amortized cost $524,545)							524,545
Domestic Time Deposits - 1.4%
Citibank NA Nassau		205,449		0.190	03/02/09		205,449
Total Domestic Time Deposits (amortized cost $205,449)							205,449
Eurodollar Certificates of Deposit - 7.8%
Commonwealth Bank of Australia		260,000		0.900	05/12/09		260,000
ING Bank N.V.		100,000		1.490	03/16/09		100,000
ING Bank N.V.		100,000		1.410	04/08/09		100,000
ING Bank N.V.		200,000		1.220	05/12/09		200,000
National Australia Bank, Ltd.		500,000		0.600	04/16/09		500,000
Total Eurodollar Certificates of Deposit (amortized cost $1,160,000)							1,160,000

Prime Money Market Fund
11

SSgA
Prime Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Rate %		Date of Maturity	Value $
Foreign Commercial Paper - 11.2%
Australia and New Zealand Banking Group, Ltd. (l)		37,000		1.990	03/18/09		36,965
Australia and New Zealand Banking Group, Ltd. (l)		37,000		1.990	03/23/09		36,955
Banco Bilbao Vizcaya Argentaria SA (l)		300,000		0.900	05/13/09		299,453
CBA Del Finance, Inc.		200,000		0.670	04/06/09		199,866
DnB Nor Bank ASA (l)		150,000		0.850	05/14/09		149,738
National Australia Bank, Ltd. (l)		67,000		1.750	03/06/09		66,984
Societe Generale		500,000		1.940	03/19/09		499,515
Westpac Banking Corp. (l)		56,000		1.940	03/04/09		55,991
Westpac Banking Corp. (l)		56,000		1.940	03/05/09		55,988
Westpac Banking Corp. (l)		56,000		1.940	03/06/09		55,985
Westpac Banking Corp. (l)		190,000		0.540	04/07/09		189,893
Total Foreign Commercial Paper (amortized cost $1,647,333)							1,647,333
United States Government Agencies - 1.7%
Federal National Mortgage Association (next reset date 04/13/09) (Ê)		250,000		1.244	07/13/10		250,000
Total United States Government Agencies (amortized cost $250,000)							250,000
Yankee Certificates of Deposit - 30.5%
Banco Bilbao Vizcaya Argentaria SA		200,000		2.215	03/05/09		200,000
Banco Bilbao Vizcaya Argentaria SA		100,000		1.070	04/07/09		100,001
Bank of Nova Scotia		320,000		0.740	05/18/09		320,000
Barclays Bank PLC		275,000		2.000	03/11/09		275,000
Barclays Bank PLC		250,000		0.630	04/06/09		250,000
Barclays Bank PLC		100,000		1.620	07/13/09		100,000
BNP Paribas SA		200,000		3.030	03/11/09		200,000
BNP Paribas SA		400,000		0.900	07/14/09		400,000
Calyon NY		250,000		2.200	03/11/09		250,000
Calyon NY		300,000		1.200	04/07/09		300,000
Lloyds TSB Group PLC		350,000		1.130	04/13/09		350,000
Lloyds TSB Group PLC		250,000		1.180	05/13/09		250,000
Rabobank		300,000		1.700	03/02/09		300,000
Rabobank		150,000		0.600	04/06/09		150,000
Rabobank		200,000		0.550	04/09/09		200,000
Royal Bank of Canada		150,000		0.700	05/22/09		150,000
Societe Generale		35,000		0.850	04/06/09		35,004
Societe Generale		100,000		0.850	04/13/09		100,000
Svenska Handelsbanken AB		125,000		0.850	04/07/09		125,001
Svenska Handelsbanken AB		400,000		0.935	05/13/09		400,004
Toronto Dominion Bank		50,000		2.130	04/03/09		50,000
Total Yankee Certificates of Deposit (amortized cost $4,505,010)							4,505,010
Total Investments - 77.6% (amortized cost $11,460,679)							11,460,679

Prime Money Market Fund
12

SSgA
Prime Money Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Value $
Repurchase Agreements - 22.3%
Agreement with Bank of America and The Bank of New York, Inc. (Tri-Party) of $1,200,000 dated February 27, 2009, at 0.280% to be repurchased at $1,200,028 on March 2, 2009, collateralized by: $2,013,320 par various United States Government Agency Mortgage Obligations, valued at $1,224,000		1,200,000
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party) of $500,000 dated February 27, 2009, at 0.270% to be repurchased at $500,011 on March 2, 2009, collateralized by: $486,008 par various United States Government Agency Mortgage Obligations, valued at $510,000		500,000
Agreement with Goldman Sachs & Co. and The Bank of New York, Inc. (Tri-Party) of $500,000 dated February 27, 2009, at 0.270% to be repurchased at $500,011 on March 2, 2009, collateralized by: $900,594 par various United States Government Agency Mortgage Obligations, valued at $510,000		500,000
Agreement with JPMorgan Chase Securities, Inc. and JPMorgan Chase Bank (Tri-Party) of $500,000 dated February 27, 2009, at 0.280% to be repurchased at $500,012 on March 2, 2009, collateralized by: $645,103 par various United States Government Agency Mortgage Obligations, valued at $510,005		500,000
Agreement with UBS Securities LLC and JP Morgan Chase & Co. (Tri-Party) of $600,000 dated February 27, 2009, at 0.250% to be repurchased at $600,012 on March 2, 2009, collateralized by: $578,156 par various United States Treasury Obligations, valued at $612,004		600,000
Total Repurchase Agreements (identified cost $3,300,000)		3,300,000
Total Investments and Repurchase Agreements - 99.9% (cost $14,760,679) (†)		14,760,679
Other Assets and Liabilities, Net - 0.1%		9,178
Net Assets - 100.0%		14,769,857

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

Prime Money Market Fund
13

SSgA
Prime Money Market Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Asset-Backed Commercial Paper		9.1
Corporate Bonds and Notes		8.3
Domestic Certificates of Deposit		4.1
Domestic Commercial Paper		3.5
Domestic Time Deposits		1.4
Eurodollar Certificates of Deposit		7.8
Foreign Commercial Paper		11.2
United States Government Agencies		1.7
Yankee Certificates of Deposit		30.5
Repurchase Agreements		22.3
Total Investments and Repurchase Agreements		99.9
Other Assets and Liabilities, Net		0.1
		100.0

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

Prime Money Market Fund
14

SSgA
Institutional Money Market Funds

Notes to Schedules of Investments — February 28, 2009 (Unaudited)

(Ê)  Adjustable or floating rate security. Rate shown reflects rate in effect at period end.

(†)  The identified cost for Federal income tax purposes.

(l)  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.

Notes to Schedules of Investments
15

SSgA
Institutional Money Market Funds

Statements of Assets and Liabilities — February 28, 2009 (Unaudited)

Amounts in thousands	US Treasury Money Market Fund		Prime Money Market Fund
Assets
Investments, at identified cost	$	4,156,534	$	11,460,679
Investments at amortized cost which approximates value		4,156,534		11,460,679
Repurchase agreements at cost which approximates value		1,772,945		3,300,000
Receivables:
Interest		25		19,223
Fund shares sold		—		2
Prepaid expenses		33		909
Total assets		5,929,537		14,780,813
Liabilities
Payables:
Fund shares redeemed		—		2
Accrued fees to affiliates		604		2,184
Other accrued expenses		89		212
Dividends		19		8,558
Total liabilities		712		10,956
Net Assets	$	5,928,825	$	14,769,857
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	64	$	84
Accumulated net realized gain (loss)		12		405
Shares of beneficial interest		5,929		14,769
Additional paid-in capital		5,922,820		14,754,599
Net Assets	$	5,928,825	$	14,769,857
Net Asset Value, offering and redemption price per share:
Net asset value per share*	$	1.00	$	1.00
Net assets	$	5,928,825,177	$	14,769,856,917
Shares outstanding ($.001 par value)		5,928,811,886		14,769,431,320

*  Net asset value per share equals net assets divided by shares of beneficial interest outstanding.

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

Statements of Assets and Liabilities
16

SSgA
Institutional Money Market Funds

Statements of Operations — For the Period Ended February 28, 2009 (Unaudited)

Amounts in thousands	US Treasury Money Market Fund			Prime Money Market Fund
Investment Income
Interest	$	11,316		$	119,754
Expenses
Advisory fees		5,365			9,631
Administrative fees		1,094			1,966
Custodian fees		356			766
Distribution fees		603			1,343
Transfer agent fees		25			41
Professional fees		40			61
Registration fees		59			45
Shareholder servicing fees		903			1,701
Trustees' fees		90			171
Insurance fees		34			111
Printing fees		34			61
Miscellaneous		31			39
US Treasury Guarantee Program fees		—			2,184
Expenses before reductions		8,634			18,120
Expense reductions		(3,757	)		(3,210	)
Net expenses		4,877			14,910
Net investment income (loss)		6,439			104,844
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		12			405
Net Increase (Decrease) in Net Assets from Operations	$	6,451		$	105,249

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

Statements of Operations
17

SSgA
Institutional Money Market Funds

Statements of Changes in Net Assets

	US Treasury Money Market Fund						Prime Money Market Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	6,439		$	84,767		$	104,844		$	579,055
Net realized gain (loss)		12			355			405			411
Net increase (decrease) in net assets from operations		6,451			85,122			105,249			579,466
Distributions
From net investment income		(6,435	)		(84,771	)		(104,840	)		(579,059	)
From net realized gain		(352	)		—			(410	)		—
Net increase (decrease) in net assets from distributions		(6,787	)		(84,771	)		(105,250	)		(579,059	)
Share Transactions
Net increase (decrease) in net assets from share transactions		1,160,089			2,407,758			52,006			241,007
Total Net Increase (Decrease) in Net Assets		1,159,753			2,408,109			52,005			241,414
Net Assets
Beginning of period		4,769,072			2,360,963			14,717,852			14,476,438
End of period	$	5,928,825		$	4,769,072		$	14,769,857		$	14,717,852
Undistributed (overdistributed) net investment income included in net assets	$	64		$	60		$	84		$	80

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

Statements of Changes in Net Assets
18

This page has been intentionally left blank.

SSgA
Institutional Money Market Funds

Financial Highlights — For the Periods Ended

For a Share Outstanding Throughout Each Period.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(c)		$ Net Realized and Unrealized Gain (Loss)(c)			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions
US Treasury Money Market Fund
February 28, 2009*		1.0000		.0009		.0003			(.0012	)		—	(b)		(.0012	)
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	)
August 31, 2005		1.0000		.0230		—			(.0230	)		—			(.0230	)
August 31, 2004		1.0000		.0087		—			(.0087	)		—			(.0087	)
Prime Money Market Fund
February 28, 2009*		1.0000		.0081		.0002			(.0083	)		—	(b)		(.0083	)
August 31, 2008		1.0000		.0376		(.0005	)		(.0371	)		—			(.0371	)
August 31, 2007		1.0000		.0517		—	(b)		(.0517	)		—	(b)		(.0517	)
August 31, 2006		1.0000		.0438		—	(b)		(.0438	)		—			(.0438	)
August 31, 2005		1.0000		.0239		—			(.0239	)		—			(.0239	)
August 31, 2004		1.0000		.0095		—			(.0095	)		—			(.0095	)

*  For the six months ended February 28, 2009 (Unaudited).

(a)  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 that .005%.

(b)  Less than $.0001 per share

(c)  Per share data are based on average shares outstanding.

(d)  Periods less than one year are not annualized.

(e)  The ratios for periods less than one year are annualized.

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

Financial Highlights
20

	$ Net Asset Value, End of Period		% Total Return(d)		$ Net Assets, end of period (000)		% Ratio of Expenses to Average Net Assets, Net(a)(e)		% Ratio of Expenses to Average Net Assets, Gross(e)		% Ratio of Net Investment Income to Average Net Assets(a)(e)
US Treasury Money Market Fund
February 28, 2009*		1.0000		.12		5,928,825		.14		.24		.18
August 31, 2008		1.0000		2.80		4,769,072		.19		.24		2.49
August 31, 2007		1.0000		5.13		2,360,963		.20		.31		4.97
August 31, 2006		1.0000		4.36		1,452,093		.20		.36		4.25
August 31, 2005		1.0000		2.32		1,288,079		.20		.36		2.39
August 31, 2004		1.0000		.88		659,467		.20		.36		.86
Prime Money Market Fund
February 28, 2009*		1.0000		.83		14,769,857		.23		.28		1.63
August 31, 2008		1.0000		3.77		14,717,852		.19		.24		3.76
August 31, 2007		1.0000		5.29		14,476,438		.20		.26		5.17
August 31, 2006		1.0000		4.47		10,996,109		.20		.27		4.39
August 31, 2005		1.0000		2.41		11,550,394		.20		.27		2.31
August 31, 2004		1.0000		.97		12,390,113		.20		.27		.96

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

Financial Highlights
21

SSgA
Institutional Money Market Funds

Notes to Financial Statements — February 28, 2009 (Unaudited)

1.  Organization

The SSgA Funds (the "Investment Company") is a series mutual fund, comprising of 21 investment portfolios that were in operation as of February 28, 2009. These financial statements report on two funds: the SSgA US 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 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 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.

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. In accordance with SFAS 157, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. SFAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification 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 va luation 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

•  Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)

Notes to Financial Statements
22

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

Inputs used in valuing the Funds' investments carried at value for the period ended February 28, 2009 were as follows:

	US Treasury Money Market Fund		Prime Money Market Fund
	Investments in Securities		Investments in Securities
Level 1	$	—	$	—
Level 2		5,929,478,653		14,760,679,429
Level 3		—		—
	$	5,929,478,653	$	14,760,679,429

As of February 28, 2009, there were no Level 3 securities held by the Funds.

On April 9, 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157 when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. Management is currently evaluating the impact the adoption FSP 157-4161 will have on the Funds' or Investment Company's financial statement disclosures.

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.

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 requires each Fund to distribute all of its taxable income to its shareholders. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required.

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, 2008, the Funds had no net tax basis capital loss carryforwards.

The Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109" ("FIN 48"), in June 2006. FIN 48 permits the recognition of tax benefits of an uncertain tax position only when the position is "more likely than not" to be sustained assuming examination by taxing authorities. The Funds adopted the provisions of FIN 48 on September 1, 2007. Management has reviewed the Funds tax positions for the years that remain open (2005-2008), and concluded that adoption had no effect on the Funds financial position or results of operations. As of February 28, 2009, the Funds have 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.

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.

Notes to Financial Statements
23

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 fiscal year ended February 28, 2009, 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 s ecurities; 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.

3.  Related Parties

Advisor

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 US Treasury Money Market Fund until December 31, 2010. The Advisor also contractually agreed to waive up to the full amount of the US 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, 2009 (exclusive of non-recurring fees and extraordinary expenses). The total amounts of the waiver and reimbursement for the period ended February 28, 2009 were $1,788,274 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, 2010. 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, 2009 (exclusive of non-recurring fees and extraordinary expenses). The total amounts of the waiver and reimbursement for the period ended February 28, 2009 were $3,210,242and $0, respectively. The contractual waiver is exclusive of the expenses related to the US Treasury Guarantee Program. Note 6 in the Notes to the Financial Statements detail the fees incurred for the participation in this program.

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

Notes to Financial Statements
24

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

The Adviser 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, 2009, the Adviser voluntarily waived $1,957,113 on the US Treasury 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.

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, 2009, $77,945,074 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, 2009, the Funds' custodian fees were reduced by the following amounts under these arrangements:

Funds	Amount Waived
US Treasury Money Market	$	11,242
Prime Money Market		133

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. In addition, the Funds reimburse the Administrator for out-of-pocket expe nses.

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.

Notes to Financial Statements
25

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

The Funds have shareholder service agreements with State Street. For these services, each Fund pays a maximum of 0.025% to State Street, based on the average daily value of all Fund shares held. For the period ended February 28, 2009, the Funds paid the following shareholder servicing expenses to affiliated service providers:

Funds	State Street		SSB-WMS
US Treasury Money Market	$	894,137	$	8,781
Prime Money Market		1,605,121		96,105

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. There were no carryover expenses as of February 28, 2009.

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, 2009 were as follows:

	US Treasury Money Market Fund		Prime Money Market
Advisory fees	$	225,138	$	1,091,381
Administration fees		161,351		320,179
Custodian fees		57,042		273,549
Distribution fees		20,165		194,491
Shareholder servicing fees		127,927		263,540
Transfer agent fees		5,841		17,242
Trustees' fees		6,142		23,506
	$	603,606	$	2,183,888

Beneficial Interest

As of February 28, 2009, the following table includes shareholders (none of which were affiliates of the Investment Company) with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund:

Funds	# of Shareholders		%
US Treasury Money Market		1		98.8
Prime Money Market		1		76.3

Notes to Financial Statements
26

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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

	(amounts in thousands) For the Periods Ended
	February 28, 2009			August 31, 2008
US Treasury Money Market Fund
Proceeds from shares sold	$	40,613,049		$	40,694,226
Proceeds from reinvestment of distributions		14,152			80,959
Payments for shares redeemed		(39,467,112	)		(38,367,427	)
Total net increase (decrease)	$	1,160,089		$	2,407,758
Prime Money Market Fund
Proceeds from shares sold	$	72,781,183		$	176,803,114
Proceeds from reinvestment of distributions		119,154			605,025
Payments for shares redeemed		(72,848,331	)		(177,167,132	)
Total net increase (decrease)	$	52,006		$	241,007

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 10% 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, 2009, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using fair value procedures approved by the Board of Trustees.

6.  Temporary Guarantee Program

The U.S. Department of Treasury has established a Temporary Guarantee Program ("Program") that guarantees a $1.00 net asset value for shares of participating money market funds as of September 19, 2008. Any increase in the number of shares an investor holds in a Fund after the close of business on September 19, 2008 will not be guaranteed. If a shareholder closes his/her account with a Fund or broker-dealer, any future investment in a Fund will not be guaranteed. The SSgA Prime Money Market Fund (the "Participating SSgA Money Market Fund") has elected to participate in the Program.

With respect to any Participating SSgA Money Market Fund shareholder, the coverage provided under the Program will be equal to the lesser of (i) the shareholder's account balance as of September 19, 2008; or (ii) the shareholder's account balance on the date a Participating SSgA Money Market Fund's net asset value per share falls below $0.995. Payments under the Program are conditioned on the Participating SSgA Money Market Fund liquidating. Thus, any payment made to shareholders of a Participating SSgA Money Market Fund with respect to shares covered by the Program guarantee would be paid at approximately the same time liquidation proceeds are paid to all Fund shareholders rather than shortly after the time the fund's net asset value per share falls below $0.995. The U.S. Treasury's liability to all participating money market funds under the Program, including the Participating SSgA Money Market Fund, is limited to the assets of the federal government's Exchange Stabilization Fund, which currently are approximately $50 billion. The SSgA Prime Money Market Fund is responsible for payment of fees required to participate in the Program and is responsible for the additional fees required to participate in the extended term of the Program. For the period ended February 28, 2009, the SSgA Prime Money Market Fund paid the U.S. Department of Treasury $3,013,766 to participate in the Program.

The program was initially due to expire December 18, 2008 but was extended by the U.S. Treasury until September 18, 2009. The SSgA Prime Money Market Fund made payment to the US Department of Treasury on April 13, 2009 to participate in this extension.

As of this Semiannual Report, more information is available about the Program at:

http://www.treas.gov/offices/domestic-finance/key-initiatives/money-market-fund.html.

Notes to Financial Statements
27

SSgA
Institutional Money Market Funds

Shareholder Requests for Additional Information — February 28, 2009 (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
28

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2009 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 21 funds. The first table provides information about trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since 2008 Interested Person of the SSgA Funds (as defined in the 1940 Act)	Appointed until successor is duly elected and qualified	• 2003 to Present, Senior Managing Director; Chairman, SSgA Investment Committee, State Street Global Advisors; • 2006 to Present, Trustee, Berea College; and • 2008 to Present, Chairman, Financial Service Sector Coordinating Counsel.		21	Listed under Principal Occupations
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified Until successor is chosen and qualified by the Trustees	• Until December 2008, Director, Russell Trust Company; and • Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant) (Retired); and Chairman of the Board, Russell Investment Company and Russell Investment Funds (registered investment companies) (Retired).		21	Listed under Principal Occupations
William L. Marshall Born December 12, 1942 909 A Street Tacoma, WA 98402	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services); • Certified Financial Planner and Member, Financial Planners Association; and • Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
29

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Steven J. Mastrovich Born November 3, 1956 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• September 2000 to Present, 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).		21	Listed under Principal Occupations
Patrick J. Riley Born November 30, 1948 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified	• 2003 to 2008, Associate Justice, Commonwealth of Massachusetts Superior Court (Retired); • 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
30

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); • November 1998 to Present, Board Member, Healthcare Georgia Foundation (private foundation); and • September 2002 to Present, Board Member, Amerigroup Corp. (managed health care).		21	Listed under Principal Occupations
Bruce D. Taber Born April 25, 1947 909 A Street Tacoma, WA 98402	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Consultant, Computer Simulation, General Electric Industrial Control Systems (diversified technology and services company); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations
Henry W. Todd Born May 4, 1947 909 A Street Tacoma, WA 98402	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Chairman, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
31

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During the Past 5 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 Principal Executive Officer since 2005	Until successor is chosen and qualified 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 and SPDR Index Shares Funds, Trustee, Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment 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 chosen and qualified by Trustees	• Principal, SSgA Funds Management, Inc. (investment advisor); and • July 2007 to present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.
Mark E. Swanson Born November 26, 1963 909 A Street Tacoma, WA 98402	Treasurer and Principal Accounting Officer since 2000	Until successor is chosen and qualified by Trustees	• Director – Fund Administration, Russell Investment Management Company, Russell Fund Services Company, and Russell Trust Company; • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds; and • Director, Russell Fund Distributors, Inc., Russell Investment Management Company, and Russell Fund Services Company.
Julie B. Piatelli Born August 5, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since August 2007	Until successor is chosen and qualified by Trustees	• 2004 to Present, Principal and Senior Compliance Officer, SSgA Funds Management, Inc.; Vice President, State Street Global Advisors; and • 1999-2004, Senior Manager, PricewaterhouseCoopers LLC.
Gregory J. Lyons Born August 24, 1960 909 A Street Tacoma, WA 98402	Secretary since 2007 and Chief Legal Officer since 2008	Until successor is chosen and qualified by Trustees	• US General Counsel and Assistant Secretary, Frank Russell Company, • Director and Assistant Secretary, Russell Insurance Agency, Inc.; • Secretary, Russell Investment Management Company, Russell Financial Services, Inc., and Russell Fund Services Company; • Secretary and Chief Legal Counsel, Russell Investment Company and Russell Investment Funds; and • Secretary and US General Counsel, Russell Trust Company, Russell Institutional Funds Management LLC.

Disclosure of Information about Fund Trustees and Officers
32

SSgA
Institutional Money Market Funds

State Street Financial Center

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

Trustees

Lynn L. Anderson

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

Julie B. Piatelli, Chief Compliance Officer

Gregory J. Lyons, Secretary and Chief Legal Officer

Rick Chase, Assistant Treasurer

Ross E. Erickson, Assistant Treasurer

Kimberlee A. Lloyd, Assistant Treasurer

David J. Craig, Assistant Treasurer

Carla L. Anderson, Assistant Secretary

Sandra G. Richardson, Assistant Secretary

Investment Adviser

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
909 A Street
Tacoma, Washington 98402

Legal Counsel

Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109

Fund Management and Service Providers
33

IMMSAR-02/09 (51899)

FIXED INCOME FUNDS

Bond Market Fund

Bond Market Fund – Class R

Intermediate Fund

High Yield Bond Fund

Semiannual Report

February 28, 2009

SSgA Funds
Fixed Income Funds

Semiannual Report

February 28, 2009 (Unaudited)

Table of Contents

	Page
Bond Market Fund		3
Intermediate Fund		11
High Yield Bond Fund		19
Notes to Schedules of Investments		25
Statement of Assets and Liabilities		26
Statement of Operations		27
Statement of Changes in Net Assets		28
Financial Highlights		30
Notes to Financial Statements		32
Shareholder Requests for Additional Information		43
Disclosure of Information about Fund Trustees and Officers		44
Fund Management and Service Providers		48

"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, 2009 (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 both classes is from September 1, 2008 to February 28, 2009.

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.

Institutional Class	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	992.20	$	1,022.32
Expenses Paid During Period *	$	2.47	$	2.51

* Expenses are equal to the Fund's 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.

Class R	Actual Performance		Hypothetical Performance (5% return before expense)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	990.40	$	1,021.77
Expenses Paid During Period *	$	3.01	$	3.06

* Expenses are equal to the Fund's expense ratio of 0.61% (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, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Long-Term Investments - 98.5%
Asset-Backed Securities - 1.9%
American Express Issuance Trust Series 2008-2 Class A 4.020% due 01/18/11		285		284
Citibank Credit Card Issuance Trust (Ê) Series 2002-A8 Class A8 0.638% due 11/07/11		275		270
MBNA Credit Card Master Note Trust (Ê) Series 2004-A7 Class A7 0.561% due 12/15/11		275		272
				826
Corporate Bonds and Notes - 24.8%
Abbott Laboratories 5.875% due 05/15/16		100		106
5.125% due 04/01/19		250		247
Aetna, Inc. 7.875% due 03/01/11		35		36
Alabama Power Co. 5.700% due 02/15/33		50		49
Altria Group, Inc. 10.200% due 02/06/39		250		255
American Express Credit Corp. 5.300% due 12/02/15		50		44
Anheuser-Busch Cos., Inc. 6.000% due 04/15/11		25		26
Anheuser-Busch InBev Worldwide, Inc. (l) 8.200% due 01/15/39		250		242
Apache Corp. 6.250% due 04/15/12		35		37
Appalachian Power Co. 6.375% due 04/01/36		75		66
Archer-Daniels-Midland Co. 7.000% due 02/01/31		50		53
AT&T, Inc. 6.700% due 11/15/13		150		159
5.625% due 06/15/16		50		49
Avon Products, Inc. 5.125% due 01/15/11		50		51
BAC Capital Trust VI 5.625% due 03/08/35		75		33
Bank of America Corp. 2.100% due 04/30/12		225		223
5.420% due 03/15/17		150		107
Bank of New York Mellon Corp. (The) 6.375% due 04/01/12		40		41
Bear Stearns Cos. LLC (The) 6.950% due 08/10/12		275		285

	Principal Amount ($) or Shares		Market Value $
BellSouth Corp. 6.000% due 10/15/11		100		104
Berkshire Hathaway Finance Corp. 4.850% due 01/15/15		150		151
Black & Decker Corp. 7.125% due 06/01/11		50		51
Campbell Soup Co. 6.750% due 02/15/11		50		54
Capital One Financial Corp. 5.700% due 09/15/11		115		107
Caterpillar Financial Services Corp. 5.500% due 03/15/16		75		68
CenterPoint Energy Resources Corp. Series B 7.875% due 04/01/13		50		51
CenturyTel, Inc. Series L 7.875% due 08/15/12		50		50
Chevron Phillips Chemical Co. LLC 7.000% due 03/15/11		25		26
Citigroup, Inc. 5.100% due 09/29/11		150		134
5.850% due 12/11/34		100		76
Comcast Cable Communications Holdings, Inc. 8.375% due 03/15/13		75		80
Comcast Corp. 5.900% due 03/15/16		100		94
ConocoPhillips 6.650% due 07/15/18		100		104
COX Communications, Inc. 5.500% due 10/01/15		50		43
Credit Suisse USA, Inc. 6.125% due 11/15/11		125		127
5.000% due 05/15/13		275		266
Deere & Co. 7.850% due 05/15/10		32		33
Dominion Resources, Inc. Series B 5.950% due 06/15/35		100		86
Energy Transfer Partners, LP 6.125% due 02/15/17		70		62
Enterprise Products Operating LLC Series B 5.600% due 10/15/14		50		46
ERP Operating, LP 6.625% due 03/15/12		75		72
Exelon Generation Co. LLC 6.950% due 06/15/11		25		25
Federal Express Corp. 9.650% due 06/15/12		25		27

Bond Market Fund
5

SSgA
Bond Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
FIA Card Services NA 6.625% due 06/15/12		150		142
FirstEnergy Corp. Series B 6.450% due 11/15/11		50		50
Fortune Brands, Inc. 5.375% due 01/15/16		50		43
General Dynamics Corp. 4.250% due 05/15/13		60		61
General Electric Capital Corp. Series GMTN 5.500% due 04/28/11		50		51
Series MTNA
5.875% due 02/15/12		250		250
2.200% due 06/08/12		225		224
5.000% due 01/08/16		50		45
6.750% due 03/15/32		100		82
6.875% due 01/10/39		50		40
General Electric Co. 5.000% due 02/01/13		200		195
Goldman Sachs Group, Inc. (The) 5.250% due 10/15/13		100		93
5.000% due 10/01/14		125		112
5.750% due 10/01/16		100		88
5.950% due 01/15/27		70		48
6.125% due 02/15/33		100		80
Hartford Life Global Funding Trusts 5.200% due 02/15/11		50		47
Hess Corp. 6.650% due 08/15/11		25		25
7.300% due 08/15/31		25		22
HJ Heinz Finance Co. 6.750% due 03/15/32		25		24
Home Depot, Inc. 5.400% due 03/01/16		75		67
Honeywell International, Inc. 5.400% due 03/15/16		25		25
HSBC Bank USA Series BKNT 5.625% due 08/15/35		75		58
HSBC Finance Capital Trust IX 5.911% due 11/30/35		50		15
HSBC Finance Corp. 7.000% due 05/15/12		100		99
International Business Machines Corp. 5.875% due 11/29/32		50		49
Johnson & Johnson 5.150% due 07/15/18		150		164
JPMorgan Chase & Co. 7.875% due 06/15/10		125		128
2.625% due 12/01/10		350		357
4.750% due 05/01/13		100		97

	Principal Amount ($) or Shares		Market Value $
Kimberly-Clark Corp. 5.625% due 02/15/12		25		26
Kimco Realty Corp. 5.783% due 03/15/16		50		36
Kinder Morgan Energy Partners, LP 6.750% due 03/15/11		35		36
7.400% due 03/15/31		25		24
Kraft Foods, Inc. 6.500% due 11/01/31		25		24
Kroger Co. (The) 5.500% due 02/01/13		100		102
Lubrizol Corp. 6.500% due 10/01/34		25		19
Marathon Oil Corp. 6.800% due 03/15/32		100		85
McDonald's Corp. 5.350% due 03/01/18		175		180
Merrill Lynch & Co., Inc. 6.875% due 04/25/18		100		83
6.220% due 09/15/26		50		32
MetLife, Inc. 5.375% due 12/15/12		46		45
Midamerican Energy Holdings Co. 5.875% due 10/01/12		75		77
Morgan Stanley 5.300% due 03/01/13		225		211
5.750% due 10/18/16		100		88
National City Bank of Indiana 4.250% due 07/01/18		100		77
National Rural Utilities Cooperative Finance Corp. Series MTNC 7.250% due 03/01/12		25		26
News America Holdings, Inc. 8.000% due 10/17/16		75		75
News America, Inc. 6.150% due 03/01/37		50		39
Norfolk Southern Corp. 7.250% due 02/15/31		70		73
Northrop Grumman Systems Corp. 7.125% due 02/15/11		50		53
Oncor Electric Delivery Co. 6.375% due 05/01/12		25		25
7.000% due 05/01/32		25		23
Pacific Gas & Electric Co. 4.800% due 03/01/14		75		77
Pacificorp 5.250% due 06/15/35		75		68
Pepsi Bottling Group, Inc. Series B 7.000% due 03/01/29		55		62

Bond Market Fund
6

SSgA
Bond Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Pharmacia Corp. 6.600% due 12/01/28		100		104
Plum Creek Timberlands, LP 5.875% due 11/15/15		50		41
PPL Energy Supply LLC 5.400% due 08/15/14		100		93
Praxair, Inc. 6.375% due 04/01/12		70		74
Principal Life Income Funding Trusts 5.125% due 03/01/11		50		49
Procter & Gamble - Esop Series A 9.360% due 01/01/21		22		28
Progress Energy, Inc. 7.100% due 03/01/11		25		26
5.625% due 01/15/16		50		47
PSEG Power LLC 6.950% due 06/01/12		75		76
Public Service Co. of Colorado Series 15 5.500% due 04/01/14		100		105
Rohm and Haas Co. 7.850% due 07/15/29		50		41
Sempra Energy 7.950% due 03/01/10		80		82
Simon Property Group, LP 5.750% due 05/01/12		100		91
Southern Co. Capital Funding, Inc. Series C 5.750% due 11/15/15		25		25
Southern Copper Corp. 7.500% due 07/27/35		25		17
Spectra Energy Capital LLC 6.250% due 02/15/13		50		47
Teva Pharmaceutical Finance LLC 5.550% due 02/01/16		75		74
Time Warner Cable, Inc. Series WI 5.400% due 07/02/12		50		48
8.750% due 02/14/19		200		214
Time Warner Entertainment Co., LP Series * 8.375% due 07/15/33		50		48
Union Pacific Corp. 6.125% due 01/15/12		50		51
US Bank NA Series BKNT 6.375% due 08/01/11		75		79
Valero Energy Corp. 6.875% due 04/15/12		25		25
Verizon Communications, Inc. 5.850% due 09/15/35		150		132

	Principal Amount ($) or Shares		Market Value $
Verizon Global Funding Corp.
6.875% due 06/15/12		90		95
4.375% due 06/01/13		50		49
Vornado Realty, LP 5.600% due 02/15/11		50		47
Wal-Mart Stores, Inc. 4.500% due 07/01/15		100		102
5.250% due 09/01/35		150		139
Walt Disney Co. (The) Series MTNC 5.625% due 09/15/16		75		78
Waste Management, Inc. 7.375% due 08/01/10		50		51
Wells Fargo & Co. 5.125% due 09/15/16		100		87
Wells Fargo Bank NA Series BKNT 6.450% due 02/01/11		150		152
Yum! Brands, Inc. 6.250% due 04/15/16		75		69
				10,979
International Debt - 3.2%
Alberta Energy Co., Ltd. 7.375% due 11/01/31		40		35
America Movil SAB de CV 5.750% due 01/15/15		25		24
Anadarko Finance Co. Series B 7.500% due 05/01/31		25		21
BHP Billiton Finance USA, Ltd. 4.800% due 04/15/13		25		25
Canadian National Railway Co. 4.400% due 03/15/13		50		50
Canadian Natural Resources, Ltd. 5.450% due 10/01/12		50		48
Canadian Pacific, Ltd. 9.450% due 08/01/21		40		40
Deutsche Telekom International Finance BV 8.750% due 06/15/30		50		57
Diageo Capital PLC 5.500% due 09/30/16		75		74
Electricite De France (l) 6.950% due 01/26/39		250		251
EnCana Corp. 6.300% due 11/01/11		25		26
Export-Import Bank of Korea 5.125% due 02/14/11		50		48
France Telecom SA 8.500% due 03/01/31		50		63

Bond Market Fund
7

SSgA
Bond Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Mexico Government International Bond 6.375% due 01/16/13		25		26
6.625% due 03/03/15		100		105
National Gas Co. of Trinidad &  Tobago, Ltd. (l) 6.050% due 01/15/36		25		16
Petro-Canada 4.000% due 07/15/13		50		44
Scottish Power, Ltd. 5.810% due 03/15/25		100		74
Talisman Energy, Inc. 5.850% due 02/01/37		25		16
Telefonica Europe BV 7.750% due 09/15/10		75		79
TransCanada Pipelines, Ltd. 4.000% due 06/15/13		100		95
Transocean, Ltd. 7.500% due 04/15/31		25		23
Tyco International Finance SA 7.000% due 06/15/28		25		18
Vale Overseas, Ltd. 6.250% due 01/23/17		50		48
Vodafone Group PLC 5.625% due 02/27/17		100		97
				1,403
Mortgage-Backed Securities - 44.1%
Banc of America Commercial Mortgage, Inc. Series 2003-2 Class A4 5.061% due 03/11/41		250		213
Credit Suisse Mortgage Capital Certificates Series 2006-C3 Class AAB 5.826% due 06/15/38		643		497
Fannie Mae 6.000% due 2011		3		3
6.000% due 2013		168		176
5.500% due 2014		8		8
6.500% due 2014		256		269
7.500% due 2015		26		27
6.500% due 2016		43		45
5.000% due 2018		530		549
5.500% due 2018		265		275
5.500% due 2019		101		105
9.000% due 2025		296		327
9.000% due 2026		2		3
7.500% due 2027		162		174
6.000% due 2028		14		14
6.000% due 2029		5		5
7.000% due 2029		5		5
6.000% due 2030		3		3

	Principal Amount ($) or Shares		Market Value $
7.500% due 2030		4		4
8.000% due 2031		15		16
4.500% due 2033		685		689
6.000% due 2033		491		510
5.500% due 2034		939		966
5.107% due 2036 (Ê)		1,302		1,338
5.000% due 2037		27		28
5.000% due 2038		681		694
6.000% due 2038		1,901		1,965
30 Year TBA (Ï) 4.500%		450		451
Freddie Mac 9.000% due 2010		5		6
6.000% due 2011		1		1
8.000% due 2011		2		2
6.000% due 2016		68		72
7.000% due 2016		104		110
4.500% due 2019		379		390
8.500% due 2025		1		1
6.500% due 2029		121		128
7.000% due 2030		3		3
7.000% due 2031		110		117
6.500% due 2032		331		349
6.000% due 2033		151		157
6.500% due 2033		497		523
7.000% due 2033		218		232
5.000% due 2035		1,950		1,984
5.500% due 2038		2,436		2,497
15 Year TBA (Ï) 4.500%		275		280
Ginnie Mae I
8.000% due 2012		53		56
10.000% due 2013		3		3
7.500% due 2022		1		1
7.000% due 2023		85		93
7.500% due 2023		1		1
6.500% due 2024		2		2
7.500% due 2024		39		43
8.500% due 2025		9		10
7.500% due 2027		3		3
6.500% due 2028		25		26
7.000% due 2028		17		18
7.500% due 2028		15		16
8.500% due 2028		18		20
7.500% due 2029		1		1
8.000% due 2029		7		7
7.500% due 2030		13		13
8.000% due 2030		45		47
7.000% due 2031		162		175
6.500% due 2032		111		118
7.000% due 2032		197		213
7.500% due 2032		8		9

Bond Market Fund
8

SSgA
Bond Market Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
5.000% due 2033		253		259
5.500% due 2038		439		452
6.000% due 2038		902		934
Merrill Lynch Mortgage Trust  Series 2003-KEY Class A4 5.236% due 11/12/35		750		637
Morgan Stanley Capital I Series 2005-T19 Class AAB 4.852% due 06/12/47		200		159
				19,527
United States Government Agencies - 7.7%
Fannie Mae 6.125% due 03/15/12		600		673
Federal Home Loan Bank 4.250% due 11/02/10		300		313
Series 467 5.250% due 06/18/14		200		221
Federal Home Loan Bank Discount Notes 4.750% due 09/11/15		625		656
Freddie Mac 4.750% due 12/08/10		1,000		1,056
4.875% due 06/13/18		250		270
6.750% due 03/15/31		175		231
				3,420

	Principal Amount ($) or Shares		Market Value $
United States Government Treasuries - 16.8%
United States Treasury Notes (§) 2.750% due 07/31/10		300		308
0.875% due 01/31/11		2,000		1,996
1.500% due 12/31/13		1,975		1,934
2.750% due 02/15/19		2,150		2,096
5.250% due 11/15/28		400		468
5.250% due 02/15/29		165		193
5.000% due 05/15/37		385		463
				7,458
Total Long-Term Investments (cost $44,002)				43,613
Short-Term Investments - 4.2%
Freddie Mac 7.000% due 12/01/09		1		1
SSgA Prime Money Market Fund		1,841,262		1,841
Total Short-Term Investments (cost $1,842)				1,842
Total Investments - 102.7% (identified cost $45,844)				45,455
Other Assets and Liabilities, Net - (2.7%)				(1,198	)
Net Assets - 100.0%				44,257

Amounts in thousands (except contracts)

Futures Contracts	Number of Contracts		Notional Amount		Expiration Date	Unrealized Appreciaion (Depreciation) $
Long Positions
United States Treasury 2 Year Notes		2	USD	433	06/09		—
United States Treasury 10 Year Notes		7	USD	840	06/09		(7	)
Short Positions
United States Treasury 5 Year Notes		5	USD	583	06/09		1
United States Treasury 30 Year Bond		7	USD	863	06/09		17
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts							11

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

Bond Market Fund
9

SSgA
Bond Market Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Asset-Backed Securities		1.9
Corporate Bonds and Notes		24.8
International Debt		3.2
Mortgage-Backed Securities		44.1
United States Government Agencies		7.7
United States Government Treasuries		16.8
Short-Term Investments		4.2
Total Investments		102.7
Other Assets and Liabilities, Net		(2.7	)
		100.0
Futures Contracts		—	*

* Less than 0.05% of net assets.

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

Bond Market Fund
10

SSgA
Intermediate Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	998.30	$	1,021.82
Expenses Paid During Period *	$	2.97	$	3.01

* Expenses are equal to the Fund's 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

This page has been intentionally left blank.

SSgA
Intermediate Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Long-Term Investments - 96.8%
Asset-Backed Securities - 1.9%
American Express Issuance Trust Series 2008-2 Class A 4.020% due 01/18/11		225		224
Citibank Credit Card Issuance Trust (Ê) Series 2002-A8 Class A8 0.638% due 11/07/11		225		221
MBNA Credit Card Master Note Trust (Ê) Series 2004-A7 Class A7 0.561% due 12/15/11		225		223
				668
Corporate Bonds and Notes - 35.5%
Abbott Laboratories 5.600% due 05/15/11		25		27
5.125% due 04/01/19		175		173
Alcoa, Inc. 7.375% due 08/01/10		55		53
Allstate Corp. (The) 6.125% due 02/15/12		72		72
American Express Co. 5.250% due 09/12/11		75		72
4.875% due 07/15/13		30		27
Anadarko Petroleum Corp. 5.950% due 09/15/16		50		45
Anheuser-Busch Cos., Inc. 6.000% due 04/15/11		95		97
Apache Corp. 6.250% due 04/15/12		20		21
AT&T, Inc. 6.700% due 11/15/13		150		159
AvalonBay Communities, Inc. 6.125% due 11/01/12		50		47
Bank of America Corp. 7.400% due 01/15/11		100		93
2.100% due 04/30/12		175		174
Bank of America NA 5.300% due 03/15/17		250		185
Bank of New York Mellon Corp. (The) 6.375% due 04/01/12		30		31
Bank One Corp. 5.900% due 11/15/11		35		36
BB&T Corp. 6.500% due 08/01/11		15		15
Bear Stearns Cos. LLC (The) 6.950% due 08/10/12		225		233
5.300% due 10/30/15		50		46
BellSouth Corp. 6.000% due 10/15/11		50		52
5.200% due 12/15/16		125		120

	Principal Amount ($) or Shares		Market Value $
Berkshire Hathaway Finance Corp. 4.500% due 01/15/13		100		101
Boeing Capital Corp. 6.500% due 02/15/12		75		79
Boston Properties, LP 6.250% due 01/15/13		30		26
Bottling Group LLC 5.500% due 04/01/16		100		104
Burlington Northern Santa Fe Corp. 5.650% due 05/01/17		50		48
Campbell Soup Co. 6.750% due 02/15/11		35		38
Capital One Financial Corp. 5.700% due 09/15/11		60		56
Carolina Power & Light Co. 5.250% due 12/15/15		70		71
Caterpillar Financial Services Corp. 4.625% due 06/01/15		75		66
5.450% due 04/15/18		100		88
CenterPoint Energy Resources Corp. 6.150% due 05/01/16		50		43
CenturyTel, Inc. Series L 7.875% due 08/15/12		25		25
Cisco Systems, Inc. 5.500% due 02/22/16		100		104
Citigroup, Inc. 4.625% due 08/03/10		75		69
6.000% due 02/21/12		200		175
5.500% due 02/15/17		125		82
Cleveland Electric Illuminating Co. (The) 5.650% due 12/15/13		100		95
Coca-Cola Co. (The) 5.750% due 03/15/11		35		37
Coca-Cola Enterprises, Inc. 8.500% due 02/01/12		36		40
Colgate-Palmolive Co. 4.200% due 05/15/13		60		61
Comcast Corp. 6.500% due 01/15/15		50		49
4.950% due 06/15/16		25		22
5.700% due 05/15/18		100		92
ConAgra Foods, Inc. 5.819% due 06/15/17		61		58
ConocoPhillips 4.750% due 10/15/12		50		51
Consumers Energy Co. 5.150% due 02/15/17		50		46
COX Communications, Inc. 7.750% due 11/01/10		100		102
5.500% due 10/01/15		25		22

Intermediate Fund
13

SSgA
Intermediate Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Credit Suisse USA, Inc. 5.375% due 03/02/16		75		69
CSX Corp. 6.750% due 03/15/11		25		25
CVS Caremark Corp. 5.750% due 06/01/17		50		49
Daimler Finance NA LLC 4.875% due 06/15/10		50		48
DCP Midstream LLC 6.875% due 02/01/11		40		40
Developers Diversified Realty Corp. 5.375% due 10/15/12		25		12
Devon Financing Corp. ULC 6.875% due 09/30/11		50		53
Dominion Resources, Inc. Series 06-B 6.300% due 09/30/66		50		30
Dover Corp. 4.780% due 10/15/15		25		25
Duke Energy Carolinas LLC 5.625% due 11/30/12		75		78
EI Du Pont de Nemours & Co. 4.125% due 04/30/10		75		76
Energy East Corp. 6.750% due 06/15/12		55		53
Enterprise Products Operating LLC Series B 5.600% due 10/15/14		25		23
ERP Operating, LP 6.625% due 03/15/12		40		38
Estee Lauder Cos., Inc. (The) 6.000% due 01/15/12		10		10
Exelon Corp. 6.750% due 05/01/11		50		50
Exelon Generation Co. LLC 6.950% due 06/15/11		5		5
Federal Express Corp. 9.650% due 06/15/12		50		55
Florida Power & Light Co. 4.850% due 02/01/13		50		52
Genentech, Inc. 4.750% due 07/15/15		50		49
General Dynamics Corp. 4.250% due 05/15/13		40		41
General Electric Capital Corp. Series MTNA 5.875% due 02/15/12		250		250
2.200% due 06/08/12		175		175
6.000% due 06/15/12		300		298
5.400% due 02/15/17		250		219
General Mills, Inc. 6.000% due 02/15/12		25		26

	Principal Amount ($) or Shares		Market Value $
Genworth Financial, Inc. 4.950% due 10/01/15		50		22
GlaxoSmithKline Capital, Inc. 4.375% due 04/15/14		65		66
Goldman Sachs Group, Inc. (The) 5.700% due 09/01/12		150		146
5.250% due 10/15/13		225		208
5.750% due 10/01/16		75		66
5.625% due 01/15/17		50		40
Goodrich Corp. 7.625% due 12/15/12		30		32
Hershey Co. (The) 4.850% due 08/15/15		50		49
Hess Corp. 6.650% due 08/15/11		25		25
Hewlett-Packard Co. 6.125% due 03/01/14		100		106
HJ Heinz Finance Co. 6.000% due 03/15/12		25		26
Honeywell International, Inc. 7.500% due 03/01/10		50		53
HSBC Finance Corp. 5.500% due 01/19/16		100		87
International Business Machines Corp. 4.750% due 11/29/12		50		53
7.625% due 10/15/18		100		113
Johnson & Johnson 5.150% due 07/15/18		100		109
JPMorgan Chase & Co. 3.125% due 12/01/11		350		360
4.750% due 05/01/13		125		121
5.150% due 10/01/15		100		91
Kimberly-Clark Corp. 5.625% due 02/15/12		5		5
Kimco Realty Corp. 5.783% due 03/15/16		25		18
Kohl's Corp. 6.300% due 03/01/11		10		10
Kroger Co. (The) 5.500% due 02/01/13		75		76
Landesbank Baden-Wuerttemberg 5.050% due 12/30/15		200		190
M&I Marshall & Ilsley Bank 5.250% due 09/04/12		45		41
Masco Corp. 5.875% due 07/15/12		25		21
McDonald's Corp. 5.350% due 03/01/18		75		77
Merck & Co., Inc. 4.375% due 02/15/13		75		77
Merrill Lynch & Co., Inc. 6.875% due 04/25/18		100		83

Intermediate Fund
14

SSgA
Intermediate Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
MetLife, Inc. 5.375% due 12/15/12		75		74
Midamerican Energy Holdings Co. 5.750% due 04/01/18		125		124
Monsanto Co. 7.375% due 08/15/12		10		11
Morgan Stanley 6.750% due 04/15/11		125		126
2.000% due 09/22/11		350		350
5.300% due 03/01/13		175		164
Series GMTN 1.698% due 01/09/14		100		67
6.625% due 04/01/18		100		92
National Fuel Gas Co. 5.250% due 03/01/13		20		19
Nationwide Financial Services 5.900% due 07/01/12		41		37
New Cingular Wireless Services, Inc. 8.125% due 05/01/12		75		81
News America Holdings, Inc. 9.250% due 02/01/13		60		63
8.000% due 10/17/16		75		75
Nisource Finance Corp. 7.875% due 11/15/10		36		35
Ohio Power Co. Series F 5.500% due 02/15/13		25		25
Oncor Electric Delivery Co. 6.375% due 05/01/12		25		25
Oracle Corp. 5.250% due 01/15/16		75		76
PepsiCo, Inc. 5.000% due 06/01/18		125		127
Pitney Bowes, Inc. 4.625% due 10/01/12		45		45
PPL Energy Supply LLC 5.400% due 08/15/14		50		47
Praxair, Inc. 6.375% due 04/01/12		50		53
Principal Life Income Funding Trusts 5.125% due 03/01/11		25		25
Procter & Gamble Co. 4.600% due 01/15/14		175		184
4.950% due 08/15/14		50		53
PSEG Power LLC 5.500% due 12/01/15		50		46
Public Service Electric & Gas Co. 5.000% due 08/15/14		50		52
Qwest Corp. 7.875% due 09/01/11		50		49
Reed Elsevier Capital, Inc. 6.750% due 08/01/11		60		57

	Principal Amount ($) or Shares		Market Value $
Sempra Energy 7.950% due 03/01/10		55		57
Simon Property Group, LP 6.100% due 05/01/16		125		99
Southern California Edison Co. 5.000% due 01/15/14		30		31
Spectra Energy Capital LLC 5.668% due 08/15/14		100		92
SunTrust Bank 6.375% due 04/01/11		50		50
Time Warner Cable, Inc. Series WI 5.400% due 07/02/12		50		48
Time Warner, Inc. 6.875% due 05/01/12		25		25
Union Pacific Corp. 5.650% due 05/01/17		50		47
United Technologies Corp. 6.100% due 05/15/12		90		96
US Bank NA Series BKNT 6.375% due 08/01/11		100		105
Valero Energy Corp. 6.125% due 06/15/17		50		44
Verizon Communications, Inc. 4.900% due 09/15/15		100		94
8.750% due 11/01/18		125		143
Verizon Wireless Capital LLC (l)8.500% due 11/15/18		150		169
Viacom, Inc. 6.250% due 04/30/16		50		43
Virginia Electric and Power Co. Series A 4.750% due 03/01/13		50		50
Wal-Mart Stores, Inc. 5.375% due 04/05/17		125		129
Walt Disney Co. (The) Series MTNC 6.000% due 07/17/17		100		105
WellPoint, Inc. 6.375% due 01/15/12		30		31
Wells Fargo & Co. 3.000% due 12/09/11		350		359
4.375% due 01/31/13		150		142
5.625% due 12/11/17		200		190
Wells Fargo Bank NA Series BKNT 6.450% due 02/01/11		150		152
Western Union Co. (The) Series WI 5.930% due 10/01/16		90		84

Intermediate Fund
15

SSgA
Intermediate Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Wisconsin Energy Corp. 6.500% due 04/01/11		59		61
Wyeth 6.950% due 03/15/11		75		80
Xerox Corp. 6.400% due 03/15/16		70		59
Yum! Brands, Inc. 6.250% due 04/15/16		50		46
Zions Bancorporation 5.500% due 11/16/15		50		34
				12,695
International Debt - 5.5%
BHP Billiton Finance USA, Ltd. 8.500% due 12/01/12		26		29
BP Capital Markets PLC 5.250% due 11/07/13		175		186
British Telecommunications PLC 5.950% due 01/15/18		100		82
Canadian National Railway Co. 4.400% due 03/15/13		50		50
Canadian Natural Resources, Ltd. 5.450% due 10/01/12		55		53
Credit Suisse New York 5.000% due 05/15/13		225		217
Deutsche Telekom International Finance BV 5.250% due 07/22/13		75		75
Diageo Capital PLC 7.375% due 01/15/14		150		167
EnCana Corp. 6.300% due 11/01/11		50		52
Falconbridge, Ltd. 7.350% due 06/05/12		16		13
France Telecom SA 7.750% due 03/01/11		75		81
Hydro Quebec Series IF 8.000% due 02/01/13		85		98
Koninklijke (Royal) KPN NV 8.000% due 10/01/10		25		26
Korea National Housing Corp. (Ê)(l) 1.501% due 11/22/11		90		90
Kowloon Canton Railway Corp. 8.000% due 03/15/10		90		94
Lloyds Banking Group PLC (ƒ)(l) 6.267% due 12/31/49		105		21
Mexico Government International Bond Series MTNA 5.875% due 01/15/14		100		101
Petrobras International Finance Co. 6.125% due 10/06/16		25		25

	Principal Amount ($) or Shares		Market Value $
Rio Tinto Alcan, Inc. 4.875% due 09/15/12		10		9
4.500% due 05/15/13		50		43
Rogers Cable, Inc. 6.250% due 06/15/13		75		74
Royal Bank of Scotland Group PLC 5.050% due 01/08/15		100		83
South Africa Government International Bond 7.375% due 04/25/12		50		51
Telefonica Emisiones SAU 6.421% due 06/20/16		65		66
TransCanada Pipelines, Ltd. 4.000% due 06/15/13		50		47
Tyco International Finance SA 6.000% due 11/15/13		25		24
Vale Overseas, Ltd. 6.250% due 01/23/17		75		72
XL Capital Finance Europe PLC 6.500% due 01/15/12		26		19
				1,948
Mortgage-Backed Securities - 4.1%
Commercial Mortgage Acceptance Corp. Series 1999-C1 Class A2 7.030% due 06/15/31		45		45
Fannie Mae 5.505% due 2036 (Ê)		645		668
30 Year TBA (Ï) 4.500%		350		351
Freddie Mac 5.643% due 2037 (Ê)		3		3
GE Capital Commercial Mortgage Corp. Series 2002-1A Class A2 5.994% due 12/10/35		385		381
				1,448
United States Government Agencies - 14.5%
Fannie Mae 3.625% due 02/12/13		1,500		1,576
Federal Home Loan Bank 2.750% due 06/18/10		1,000		1,017
4.250% due 11/02/10		500		521
4.000% due 09/06/13		750		793
Freddie Mac 5.125% due 11/17/17		675		741
3.250% due 02/25/11		500		515
				5,163

Intermediate Fund
16

SSgA
Intermediate Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
United States Government Treasuries - 35.3%
United States Treasury Notes 2.750% due 07/31/10		200		206
0.875% due 01/31/11		2,625		2,619
3.875% due 10/31/12		750		810
2.875% due 01/31/13		1,550		1,622
3.125% due 04/30/13		1,000		1,057
3.500% due 05/31/13		500		535
3.375% due 06/30/13		500		534
3.375% due 07/31/13		1,250		1,334
1.500% due 12/31/13		1,250		1,224
1.750% due 01/31/14		800		791
3.875% due 05/15/18		100		107
2.750% due 02/15/19		1,800		1,755
				12,594
Total Long-Term Investments (cost $34,703)				34,516

	Principal Amount ($) or Shares		Market Value $
Short-Term Investments - 2.5%
Merrill Lynch & Co., Inc. Series MTNC 4.250% due 02/08/10		100		96
SSgA Prime Money Market Fund		811,014		811
Total Short-Term Investments (cost $910)				907
Total Investments - 99.3% (identified cost $35,613)				35,423
Other Assets and Liabilities, Net - 0.7%				261
Net Assets - 100.0%				35,684

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Asset-Backed Securities		1.9
Corporate Bonds and Notes		35.5
International Debt		5.5
Mortgage-Backed Securities		4.1
United States Government Agencies		14.5
United States Government Treasuries		35.3
Short-Term Investments		2.5
Total Investments		99.3
Other Assets and Liabilities, Net		0.7
		100.0

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

Intermediate Fund
17

This page has been intentionally left blank.

SSgA
High Yield Bond Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	814.40	$	1,021.08
Expenses Paid During Period *	$	3.37	$	3.76

* Expenses are equal to the Fund's 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
19

This page has been intentionally left blank.

SSgA
High Yield Bond Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Long-Term Investments - 92.7%
Corporate Bonds and Notes - 85.1%
Actuant Corp. 6.875% due 06/15/17		175		155
AES Corp. (The) (l) 8.000% due 06/01/20		330		274
Airgas, Inc. (l) 7.125% due 10/01/18		375		356
Albertsons, Inc. 7.500% due 02/15/11		100		99
7.450% due 08/01/29		230		186
Allied Waste North America, Inc. 7.875% due 04/15/13		150		150
7.250% due 03/15/15		250		244
AMC Entertainment, Inc. 8.625% due 08/15/12		375		362
American Greetings Corp. 7.375% due 06/01/16		375		193
Aramarck Corp. 8.500% due 02/01/15		200		182
Arch Western Finance LLC 6.750% due 07/01/13		425		397
Baldor Electric Co. 8.625% due 02/15/17		500		396
Bausch & Lomb, Inc. (l) 9.875% due 11/01/15		175		159
BE Aerospace, Inc. 8.500% due 07/01/18		175		140
Biomet, Inc. Series WI 11.625% due 10/15/17		375		347
Boston Scientific Corp. 5.450% due 06/15/14		325		306
Cablevision Systems Corp. Series B 8.000% due 04/15/12		200		194
Centennial Cellular Operating Co./ Centennial Communications Corp. 10.125% due 06/15/13		175		181
Chesapeake Energy Corp. 9.500% due 02/15/15		435		405
6.500% due 08/15/17		1,050		827
Chiquita Brands International, Inc. 8.875% due 12/01/15		425		324
CHS/Community Health Systems, Inc. Series WI 8.875% due 07/15/15		500		473
Cincinnati Bell, Inc. 7.250% due 07/15/13		200		191
CMS Energy Corp. 8.500% due 04/15/11		375		378

	Principal Amount ($) or Shares		Market Value $
Constellation Brands, Inc. 7.250% due 05/15/17		350		331
Corrections Corp. of America 6.250% due 03/15/13		325		311
6.750% due 01/31/14		200		194
Cricket Communications, Inc. 9.375% due 11/01/14		450		411
10.000% due 07/15/15 (l)		250		231
Crown Americas LLC/ Crown Americas Capital Corp. 7.625% due 11/15/13		325		327
CSC Holdings, Inc. (l) 8.500% due 04/15/14		400		384
8.625% due 02/15/19		375		349
Deluxe Corp. 7.375% due 06/01/15		200		127
Denbury Resources, Inc. 7.500% due 12/15/15		240		205
9.750% due 03/01/16		425		399
DirecTV Holdings LLC/DirecTV Financing Co. 6.375% due 06/15/15		800		726
DISH DBS Corp. 6.375% due 10/01/11		160		153
6.625% due 10/01/14		250		225
Dollar General Corp. 10.625% due 07/15/15		475		476
Domtar Corp. Series * 5.375% due 12/01/13		600		420
D.R. Horton, Inc. 5.375% due 06/15/12		300		246
Dynegy Roseton/Danskammer Pass Through Trust Series B 7.670% due 11/08/16		280		210
Edison Mission Energy 7.000% due 05/15/17		425		359
El Paso Corp. 12.000% due 12/12/13		475		503
8.250% due 02/15/16		250		233
First Data Corp. 9.875% due 09/24/15		200		110
Ford Motor Credit Co. LLC 9.750% due 09/15/10		875		565
8.000% due 12/15/16		695		327
Forest Oil Corp. (l) 8.500% due 02/15/14		450		409
7.250% due 06/15/19		150		120	��
Frontier Communications Corp. 9.250% due 05/15/11		145		148

High Yield Bond Fund
21

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Frontier Oil Corp. 8.500% due 09/15/16		375		362
GameStop Corp. & GameStop, Inc. 8.000% due 10/01/12		200		200
Georgia-Pacific LLC 8.125% due 05/15/11		200		194
7.000% due 01/15/15 (l)		250		233
Goodyear Tire & Rubber Co. (The) 8.625% due 12/01/11		127		102
Graham Packaging Co., Inc. 8.500% due 10/15/12		175		136
9.875% due 10/15/14		175		110
HCA, Inc. 6.250% due 02/15/13		750		585
9.250% due 11/15/16		480		439
Health Net, Inc. 6.375% due 06/01/17		200		134
Host Hotels & Resorts, LP Series Q 6.750% due 06/01/16		570		410
Huntsman LLC 11.625% due 10/15/10		375		371
Inergy, LP/Inergy Finance Corp. 8.750% due 03/01/15 (l)		375		367
Knight, Inc. 6.500% due 09/01/12		380		357
L-3 Communications Corp. 7.625% due 06/15/12		965		970
LBI Media, Inc. (l) 8.500% due 08/01/17		300		90
Lender Processing Services, Inc. 8.125% due 07/01/16		275		275
Mediacom Broadband LLC/ Mediacom Broadband Corp. 8.500% due 10/15/15		200		170
Mediacom LLC/Mediacom Capital Corp. 9.500% due 01/15/13		400		348
MetroPCS Wireless, Inc. 9.250% due 11/01/14		450		425
MGM Mirage 6.750% due 04/01/13		425		182
Midwest Generation LLC Series B 8.560% due 01/02/16		238		235
Mirant NA LLC 7.375% due 12/31/13		375		343
Nalco Co. 8.875% due 11/15/13		300		290
Newfield Exploration Co. 7.125% due 05/15/18		250		220
Nielsen Finance LLC/Nielsen Finance Co. (l) 11.625% due 02/01/14		375		324

	Principal Amount ($) or Shares		Market Value $
NRG Energy, Inc. 7.375% due 02/01/16		290		268
7.375% due 01/15/17		635		587
Oncor Electric Delivery Co. (l) 6.800% due 09/01/18		225		221
Orion Power Holdings, Inc. 12.000% due 05/01/10		325		334
Owens Brockway Glass Container, Inc. 8.250% due 05/15/13		360		364
Peabody Energy Corp. Series B 6.875% due 03/15/13		350		340
PetroHawk Energy Corp. (l) 10.500% due 08/01/14		300		295
7.875% due 06/01/15		250		215
Pinnacle Foods Finance LLC/ Pinnacle Foods Finance Corp. 10.625% due 04/01/17		350		248
Plains Exploration & Production Co. 7.000% due 03/15/17		200		171
Qwest Communications International, Inc. Series B 7.500% due 02/15/14		325		275
Qwest Corp. 1.000% due 03/15/12		375		369
Range Resources Corp. 7.250% due 05/01/18		325		294
RBS Global, Inc./Rexnord LLC 11.750% due 08/01/16		400		262
Reliant Energy, Inc. 6.750% due 12/15/14		250		220
Rite Aid Corp. 10.375% due 07/15/16		300		186
Rockwood Specialties Group, Inc. 7.500% due 11/15/14		525		446
Sally Holdings LLC/Sally Capital, Inc. 10.500% due 11/15/16		500		434
Service Corp. International Series WI 6.750% due 04/01/15		300		277
Sprint Capital Corp. 7.625% due 01/30/11		650		564
6.900% due 05/01/19		650		422
Stater Brothers Holdings 7.750% due 04/15/15		200		192
Steel Dynamics, Inc. 6.750% due 04/01/15		450		350
Sungard Data Systems, Inc. 9.125% due 08/15/13		625		531
SUPERVALU, Inc. 7.500% due 11/15/14		375		364

High Yield Bond Fund
22

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Tenet Healthcare Corp. 7.375% due 02/01/13		175		148
9.875% due 07/01/14		200		159
Tenneco, Inc. 8.625% due 11/15/14		210		29
Tennessee Gas Pipeline Co. (l) 8.000% due 02/01/16		500		491
Texas Competitive Electric Holdings Co. LLC 10.250% due 11/01/15		650		328
Tyson Foods, Inc. (l) 10.500% due 03/01/14		175		165
United Rentals NA, Inc. 6.500% due 02/15/12		175		137
Warner Chilcott Corp. 8.750% due 02/01/15		195		183
Waste Services, Inc. 9.500% due 04/15/14		325		257
Williams Cos., Inc. 8.750% due 03/15/32		200		187
Windstream Corp. 8.125% due 08/01/13		250		243
8.625% due 08/01/16		525		504
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp. Series EXCH 6.625% due 12/01/14		300		212
				34,562
International Debt - 6.5%
Ashtead Holdings PLC (l) 8.625% due 08/01/15		150		90
Avago Technologies Finance 10.125% due 12/01/13		340		287
Baytex Energy, Ltd. 9.625% due 07/15/10		230		216
Bombardier, Inc. (l) 6.750% due 05/01/12		400		314
Intelsat Jackson Holdings, Ltd. 11.250% due 06/15/16		900		848
Intelsat Subsidiary Holding Co., Ltd. (l) 8.875% due 01/15/15		175		166
8.875% due 01/15/15		125		118
Quebecor Media, Inc. 7.750% due 03/15/16		500		408
Videotron Ltee (l) 9.125% due 04/15/18		175		176
				2,623

	Principal Amount ($) or Shares		Market Value $
Loan Agreements - 1.1%
Aldabra 2 Acquisition Corp. (ß)(l) 9.250% due 01/11/16		300		87
Quicksilver Resources, Inc. (ß)(l) 7.750% due 08/08/13		420		350
				437
Total Long-Term Investments (cost $40,159)				37,622
Warrants & Rights - 0.0%
Consumer Discretionary - 0.0%
Sirius XM Radio, Inc. (Æ) 2010 Warrants		400		—	*
Total Warrants & Rights (cost $80)				—	*
Short-Term Investments - 1.3%
GMAC LLC 5.625% due 05/15/09		275		246
7.750% due 01/19/10 (l)		275		220
Goodyear Tire & Rubber Co. (The) (Ê) 6.318% due 12/01/09		80		75
SSgA Prime Money Market Fund		2,625		3
Total Short-Term Investments (cost $596)				544
Total Investments - 94.0% (identified cost $40,835)				38,166
Other Assets and Liabilities, Net - 6.0%				2,442
Net Assets - 100.0%				40,608

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

High Yield Bond Fund
23

SSgA
High Yield Bond Fund

Presentation of Porfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Corporate Bonds and Notes		85.1
International Debt		6.5
Loan Agreements		1.1
Warrants and Rights		—	*
Short-Term Investments		1.3
Total Investments		94.0
Other Assets and Liabilities, Net		6.0
		100.0

* Less than .05% of net assets.

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

High Yield Bond Fund
24

SSgA
Fixed Income Funds

Notes to Schedules of Investments — February 28, 2009 (Unaudited)

Footnotes

(Æ)  Nonincome-producing security.

(ö)  Real Estate Investment Trust (REIT).

(§)  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.

(Ø)  In default.

(ß)  Illiquid security.

(Ñ)  All or a portion of the shares of this security are on loan.

(l)  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.

  ±  Less than $500.

Abbreviations

ADR - American Depositary Receipt

ADS - American Depositary Share

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, 2009 (Unaudited)

Amounts in thousands	Bond Market Fund			Intermediate Fund			High Yield Bond Fund
Assets
Investments, at identified cost	$	45,844		$	35,613		$	40,835
Investments, at market		45,455			35,423			38,166
Receivables:
Dividends and interest		361			318			837
Investments sold		1,824			3,653			2,965
Fund shares sold		13			8			49
From Advisor		20			17			9
Daily variation margin on futures contracts		8			1			—
Prepaid expenses		1			1			16
Total assets		47,682			39,421			42,042
Liabilities
Payables:
Due to custodian		—			—			115
Investments purchased		3,232			1,597			990
Fund shares redeemed		74			2,073			275
Accrued fees to affiliates		66			37			35
Other accrued expenses		53			30			19
Total liabilities		3,425			3,737			1,434
Net Assets	$	44,257		$	35,684		$	40,608
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	147		$	85		$	371
Accumulated net realized gain (loss)		(44,953	)		(10,521	)		(11,119	)
Unrealized appreciation (depreciation) on:
Investments		(389	)		(190	)		(2,669	)
Futures contracts		11			—			—
Shares of beneficial interest		6			4			7
Additional paid-in capital		89,435			46,306			54,018
Net Assets	$	44,257		$	35,684		$	40,608
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class*	$	7.92		$	8.19		$	5.90
Net assets	$	44,244,800		$	35,683,810		$	40,608,355
Shares outstanding ($.001 par value)		5,585,667			4,359,505			6,888,119
Net asset value per share: Class R*	$	7.88		$	—		$	—
Net assets	$	11,851		$	—		$	—
Shares outstanding ($.001 par value)		1,505			—			—

*  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
26

SSgA
Fixed Income Funds

Statements of Operations — For the Period Ended February 28, 2009 (Unaudited)

Amounts in thousands	Bond Market Fund			Intermediate Fund			High Yield Bond Fund
Investment Income
Dividends from affiliated money market funds	$	10		$	8		$	26
Interest		1,170			723			1,905
Total investment income		1,180			731			1,931
Expenses
Advisory fees		70			54			58
Administrative fees		22			21			21
Custodian fees		48			35			34
Distribution fees		14			21			18
Transfer agent fees		31			15			18
Professional fees		24			23			18
Registration fees		24			12			13
Shareholder servicing fees		9			16			8
Trustees' fees		7			7			7
Insurance fees		1			—	*		—	*
Printing fees		6			3			4
Miscellaneous		5			3			3
Expenses before reductions		261			210			202
Expense reductions		(145	)		(101	)		(56	)
Net expenses		116			109			146
Net investment income (loss)		1,064			622			1,785
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(2,827	)		(1,166	)		(8,837	)
Futures contracts		280			3			—
Net realized gain (loss)		(2,547	)		(1,163	)		(8,837	)
Net change in unrealized appreciation (depreciation) on:
Investments		965			401			(838	)
Futures contracts		61			29			—
Net change in unrealized appreciation (depreciation)		1,026			430			(838	)
Net realized and unrealized gain (loss)		(1,521	)		(733	)		(9,675	)
Net Increase (Decrease) in Net Assets from Operations	$	(457	)	$	(111	)	$	(7,890	)

*  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
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	1,064		$	5,980		$	622		$	1,898
Net realized gain (loss)		(2,547	)		(39,010	)		(1,163	)		(6,394	)
Net change in unrealized appreciation (depreciation)		1,026			20,766			430			3,340
Net increase (decrease) in net assets from operations		(457	)		(12,264	)		(111	)		(1,156	)
Distributions
From net investment income
Institutional Class		(1,102	)		(6,748	)		(648	)		(2,031	)
Class R		—			(1	)		—			—
From net realized gain		—			—			—			—
Net decrease in net assets from distributions		(1,102	)		(6,749	)		(648	)		(2,031	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(6,652	)		(204,556	)		(2,054	)		(11,815	)
Total Net Increase (Decrease) in Net Assets		(8,211	)		(223,569	)		(2,813	)		(15,002	)
Net Assets
Beginning of period		52,468			276,037			38,497			53,499
End of period	$	44,257		$	52,468		$	35,684		$	38,497
Undistributed (overdistributed) net investment income included in net assets	$	147		$	185		$	85		$	111

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

Statements of Changes in Net Assets
28

	High Yield Bond Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	1,785		$	2,790
Net realized gain (loss)		(8,837	)		(2,044	)
Net change in unrealized appreciation (depreciation)		(838	)		(976	)
Net increase (decrease) in net assets from operations		(7,890	)		(230	)
Distributions
From net investment income
Institutional Class		(1,741	)		(2,665	)
Class R		—			—
From net realized gain		—			—
Net decrease in net assets from distributions		(1,741	)		(2,665	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(126	)		19,341
Total Net Increase (Decrease) in Net Assets		(9,757	)		16,446
Net Assets
Beginning of period		50,365			33,919
End of period	$	40,608		$	50,365
Undistributed (overdistributed) net investment income included in net assets	$	371		$	327

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

Statements of Changes in Net Assets
29

SSgA
Fixed Income Funds

Financial Highlights — For the Periods Ended

For a Share Outstanding Throughout Each Period.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)			$ Net Realized and Unrealized Gain (Loss)(a)			$ Total Income from Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions
Bond Market Fund
Institutional Class
February 28, 2009*		8.17		.18			(.24	)		(.06	)		(.19	)		—			(.19	)
August 31, 2008		9.14		.44			(.99	)		(.55	)		(.42	)		—			(.42	)
August 31, 2007		9.78		.49			(.63	)		(.14	)		(.50	)		—	(c)		(.50	)
August 31, 2006		10.21		.45			(.31	)		.14			(.50	)		(.07	)		(.57	)
August 31, 2005		10.41		.39			(.04	)		.35			(.41	)		(.14	)		(.55	)
August 31, 2004		10.26		.37			.24			.61			(.31	)		(.15	)		(.46	)
Class R
February 28, 2009*		8.12		—	(c)		(.07	)		(.07	)		(.17	)		—			(.17	)
August 31, 2008		9.11		.36			(.95	)		(.59	)		(.40	)		—			(.40	)
August 31, 2007		9.78		.47			(.62	)		(.15	)		(.52	)		—	(c)		(.52	)
August 31, 2006		10.21		.46			(.32	)		.14			(.50	)		(.07	)		(.57	)
August 31, 2005		10.41		.40			(.04	)		.36			(.42	)		(.14	)		(.56	)
August 31, 2004 (1)		10.07		.15			.27			.42			(.08	)		—			(.08	)
Intermediate Fund
February 28, 2009*		8.34		.14			(.14	)		—			(.15	)		—			(.15	)
August 31, 2008		9.00		.38			(.64	)		(.26	)		(.40	)		—			(.40	)
August 31, 2007		9.62		.47			(.63	)		(.16	)		(.46	)		—			(.46	)
August 31, 2006		9.94		.40			(.26	)		.14			(.45	)		(.01	)		(.46	)
August 31, 2005		10.19		.32			(.13	)		.19			(.28	)		(.16	)		(.44	)
August 31, 2004		10.08		.29			.20			.49			(.31	)		(.07	)		(.38	)
High Yield Bond Fund
February 28, 2009*		7.60		.28			(1.68	)		(1.40	)		(.30	)		—			(.30	)
August 31, 2008		8.27		.61			(.68	)		(.07	)		(.60	)		—			(.60	)
August 31, 2007		8.31		.60			(.04	)(d)		.56			(.60	)		—			(.60	)
August 31, 2006		8.78		.57			(.34	)(d)		.23			(.68	)		(.02	)		(.70	)
August 31, 2005		8.76		.58			.06	(d)		.64			(.62	)		—			(.62	)
August 31, 2004		8.44		.62			.33	(d)		.95			(.63	)		—			(.63	)

*  For the six months ended February 28, 2009 (unaudited).
(1)  For the period May 14, 2004 (commencement of sale) to August 31, 2004.
(a)  Average month-end shares outstanding were used for this calculation.
(b)  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.
(c)  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 the periods less than one year are annualized.

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

Financial Highlights
30

	$ Net Asset Value, End of Period		% Total Return(e)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(f)		% Ratio of Expenses to Average Net Assets, Gross(f)		% Ratio of Net Investment Income to Average Net Assets(b)(f)		% Portfolio Turnover Rate(e)
Bond Market Fund
Institutional Class
February 28, 2009*		7.92		(.78	)		44,245		.50		1.12		4.58		87
August 31, 2008		8.17		(6.14	)		52,456		.50		.78		4.96		287
August 31, 2007		9.14		(1.64	)		276,017		.50		.61		4.93		368
August 31, 2006		9.78		1.45			354,654		.50		.60		4.62		487
August 31, 2005		10.21		3.50			274,134		.50		.57		3.92		357
August 31, 2004		10.41		6.11			331,490		.50		.53		3.55		574
Class R
February 28, 2009*		7.88		(.96	)		12		.61		1.23		4.47		87
August 31, 2008		8.12		(6.62	)		12		1.00		1.54		4.23		287
August 31, 2007		9.11		(1.73	)		20		.57		.68		4.88		368
August 31, 2006		9.78		1.51			20		.42		.53		4.75		487
August 31, 2005		10.21		3.55			11		.46		.52		3.99		357
August 31, 2004 (1)		10.41		4.18			10		.45		.48		5.00		574
Intermediate Fund
February 28, 2009*		8.19		(.17	)		35,684		.60		1.16		3.43		99
August 31, 2008		8.34		(2.94	)		38,497		.60		1.06		4.42		330
August 31, 2007		9.00		(1.78	)		53,499		.60		.87		4.73		511
August 31, 2006		9.62		1.52			88,898		.60		.79		4.17		550
August 31, 2005		9.94		1.95			126,849		.60		1.11		3.23		440
August 31, 2004		10.19		4.93			138,501		.60		1.23		2.92		197
High Yield Bond Fund
February 28, 2009*		5.90		(18.56	)		40,608		.75		1.04		9.21		116
August 31, 2008		7.60		(.87	)		50,365		.75		1.02		7.66		106
August 31, 2007		8.27		6.85			33,919		.75		.99		7.01		95
August 31, 2006		8.31		2.83			50,406		.75		.77		6.74		167
August 31, 2005		8.78		7.53			60,432		.68		.68		6.70		137
August 31, 2004		8.76		11.64			120,740		.63		.63		7.07		152

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, 2009 (Unaudited)

1.  Organization

The SSgA Funds (the "Investment Company") is a series mutual fund, comprising of 21 investment portfolios that were in operation as of February 28, 2009. 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 including 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, 2009, 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 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".

The Funds 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.

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 net asset value ("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 calculat e 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 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

Notes to Financial Statements
32

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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.

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.

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. In accordance with SFAS 157, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. SFAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification 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 va luation 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

•  Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)

Inputs used in valuing the Funds' investments carried at value for the period ended February 28, 2009 were as follows:

	Bond Market Fund				Intermediate Fund				High Yield Bond Fund
	Investments in Securities		Other Financial Instruments*		Investments in Securities		Other Financial Instruments*		Investments in Securities		Other Financial Instruments*
Level 1	$	1,841,262	$	10,596	$	811,015	$	—	$	2,729	$	—
Level 2		43,613,979		—		34,612,178		—		38,162,927		—
Level 3		—		—		—		—		—		—
	$	45,455,241	$	10,596	$	35,423,193	$	—	$	38,165,656	$	—

* Other financial instruments are not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instruments.

A reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ending February 28, 2009 were as follows:

	High Yield Bond Fund
Balance as of 09/01/08	$	384,440
Accrued discounts/(premiums)		348
Realized gain/(loss)		(56,296	)
Net change in unrealized appreciation/(depreciation) from investments still held as of 02/28/09		1,684
Net purchases (sales)		(330,176	)
Net transfers in and/or out of Level 3		—
Balance as of 02/28/09	$	—

Notes to Financial Statements
33

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

On April 9, 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157 when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. Management is currently evaluating the impact the adoption FSP 157-4161 will have on the Funds' or Investment Company's financial statement disclosures.

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 requires each Fund to distribute substantially all of its taxable income to its shareholders. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required.

At August 31, 2008, 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
Funds	08/31/2014		08/31/2015		08/31/2016		Total
Bond Market	$	—	$	2,466,296	$	167,913	$	2,634,209
Intermediate		583,826		1,337,557		690,788		2,612,171
High Yield		223,831		—		52,902		276,733

As of February 28, 2009, 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	$	45,918,595		$	35,674,866		$	41,089,791
Gross Tax Unrealized Appreciation		1,141,445			933,932			1,022,910
Gross Tax Unrealized Depreciation		(1,604,799	)		(1,185,605	)		(3,947,046	)
Net Tax Unrealized Depreciation	$	(463,354	)	$	(251,673	)	$	(2,924,136	)

As permitted by tax regulations, the Funds may defer a net realized capital loss incurred from November 1, 2007 to August 31, 2008, and treat it as arising in the fiscal year 2009. As of August 31, 2008, the Funds realized a capital loss as follows:

Bond Market	$	39,724,386
Intermediate		6,661,731
High Yield Bond		1,995,978

The Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109" ("FIN 48"), in June 2006. FIN 48 permits the recognition of tax benefits of an uncertain tax position only when the position is "more likely than not" to be sustained assuming examination by taxing authorities. The Funds adopted the provisions of FIN 48 on September 1, 2007. Management has reviewed the Funds tax positions for the years that remain open (2005-2008), and concluded that adoption had no effect on the Funds financial position

Notes to Financial Statements
34

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

or results of operations. As of February 28, 2009, the Funds have 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.

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 sold by the fund declines 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.

Loan Agreements

The High Yield Bond Fund may invest in direct debt instruments which are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. This Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both th e borrower and the lender that is selling the loan agreement. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. For the period ended February 28, 2009, there were no unfunded loan commitments in the High Yield Bond Fund.

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 in the principal amount of an inflation indexed security is recorded as interest income, even though the principal is not received until maturity.

Notes to Financial Statements
35

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (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 or credit risk.

In March 2008, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Funds' or Investment Company's financial statement disclosures.

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.

Notes to Financial Statements
36

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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, 2009, 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	$	22,876,047	$	25,694,728
Intermediate		21,102,561		23,152,640
High Yield Bond		43,287,466		41,206,077

US Government and Agencies

For the period ended February 28, 2009, purchases and sales of US Government and Agency obligations, excluding short-term investments and futures contracts, aggregated to the following:

	Purchases		Sales
Bond Market	$	17,811,306	$	19,458,744
Intermediate		13,435,212		12,486,908

Securities Lending

The Investment Company has 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 or U.S. Government agency obligations as collateral against the loaned securities. To the extent that a loan is secured by non-cash collateral, such collateral must be invested by State Street Bank and Trust Company ("State Street", the lending agent and an affiliate of SSgA Funds Management, Inc., the "Advisor") in short-term instruments, money market mutual funds, and other short-term investments that 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 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 Fund. 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 Fund 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, 2009, there were no outstanding securities on loan and no securities lending income earned during the year.

4.  Related Parties

Advisor

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

Notes to Financial Statements
37

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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. If after waiving the full 0.70% of the average daily net assets of Class R and Class R remains above the cap, then the Advisor will reimburse Class R for all expenses to the level of the cap.

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of waiver for the period ended February 28, 2009 was $143,961 for the Institutional Class and $37 for Class R. There were no reimbursements for the period ended February 28, 2009.

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of the waiver for the period ended February 28, 2009 was $100,770. There were no reimbursements for the period ended February 28, 2009.

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of the waiver for the period ended February 28, 2009 was $53,675. There were no reimbursements for the period ended February 28, 2009.

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, 2009, $2,654,901 of the Prime Money Market Fund's net assets represents investments by these Funds, and $75,290,173 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 SSgA Prime Money Market 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

Notes to Financial Statements
38

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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, 2009, the total advisory fees waived are as follows:

	Amount Waived
Bond Market	$	770
Intermediate		607
High Yield Bond		2,285

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 year, the Funds' custodian fees were reduced by the following amounts under these arrangements:

	Amount Waived
Bond Market	$	16
Intermediate		9
High Yield Bond		243

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 o ut-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 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"), High Net Worth Services Division of State Street ("High Net Worth Services") and CitiStreet LLC ("CitiStreet") (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, 2009, each Institutional Class paid the following shareholder servicing expenses to the Agents:

	State Street		Global Markets		CitiStreet
Bond Market	$	5,811	$	254	$	—
Intermediate		4,534		836		2,074
High Yield Bond		4,859		142		—

Notes to Financial Statements
39

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 nonco ntinuance. There were no carryover expenses as of February 28, 2009.

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 th at 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. There were no carryover expenses as of February 28, 2009.

Under the R Plan, the Funds have a distribution agreement with Global Markets. For these services, Class R pays Global Markets 0.05% of the daily net asset value. For the period ended February 28, 2009, the Bond Market Fund Class R paid $4.

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, 2009 were as follows:

	Bond Market		Intermediate		High Yield Bond
Advisory fees	$	10,308	$	8,767	$	11,394
Administration fees		3,461		3,299		3,567
Custodian fees		19,673		13,124		10,542
Distribution fees		18,326		1,307		32
Shareholder servicing fees		1,368		3,102		1,710
Transfer agent fees		10,334		5,116		5,589
Trustees' fees		2,109		2,023		2,038
	$	65,579	$	36,738	$	34,872

Beneficial Interest

As of February 28, 2009, the following table includes shareholders (four of which were also affiliates of the Investment Company) with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund:

	# of Shareholders		%
Bond Market		3		77.3
Intermediate		3		75.1
High Yield Bond		1		29.5

Notes to Financial Statements
40

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

5.  Fund Share Transactions

	(amounts in thousands) For the Periods Ended
	Shares						Dollars
Bond Market Fund	February 29, 2009			August, 31, 2008			February 29, 2009			August, 31, 2008
Institutional Class
Proceeds from shares sold		363			1,628		$	2,891		$	14,182
Proceeds from reinvestment of distributions		138			610			1,100			5,296
Payments for shares redeemed		(1,335	)		(26,032	)		(10,643	)		(224,027	)
		(834	)		(23,794	)		(6,652	)		(204,549	)
Class R
Proceeds from shares sold		—			—		$	—		$	1
Proceeds from reinvestment of distributions		—			—			—			—
Payments for shares redeemed		—			(1	)		—			(8	)
		—			(1	)		—			(7	)
Total net increase (decrease)		(834	)		(23,795	)	$	(6,652	)	$	(204,556	)
Intermediate Fund
Proceeds from shares sold		508			1,395		$	4,168		$	12,045
Proceeds from reinvestment of distributions		79			233			648			2,023
Payments for shares redeemed		(844	)		(2,957	)		(6,870	)		(25,883	)
Total net increase (decrease)		(257	)		(1,329	)	$	(2,054	)	$	(11,815	)
High Yield Bond Fund
Proceeds from shares sold		6,842			4,182		$	41,645		$	32,518
Proceeds from reinvestment of distributions		146			136			901			1,074
Payments for shares redeemed		(6,723	)		(1,796	)		(42,672	)		(14,251	)
Total net increase (decrease)		265			2,522		$	(126	)	$	19,341

6.  Interfund Lending Program

The Funds have been granted permission from the Securities and Exchange Commission to 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 M oney Market Fund could result in additional borrowing costs. For the period ended February 28, 2009, 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.

Notes to Financial Statements
41

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 28, 2009 (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.

The following table lists restricted securities held by a Fund that are illiquid. The following table does not include (1) securities deemed liquid by the Advisor pursuant to Board approved policies and procedures or (2) illiquid securities that are not restricted securities as designated on the Fund's Schedule of Investments:

Fund - % of Net Assets Securities	Acquisition Date	Principal Amount ($) or Shares Outstanding		Cost per Unit $		Cost (000) $		Market Value (000) $
High Yield Bond Fund - 1.1%
Aldabra 2 Acquisition Corp.	02/19/08		300,000		91.18		274		87
Quicksilver Resources, Inc., Second Lien Term Loan	08/05/05		419,997		98.21		412		350
								$	437

Illiquid securities and restricted securities may be priced by the Funds using fair value procedures approved by the Board of Trustees.

8.  Dividends

On March 2, 2009, the Funds declared the following dividends from net investment income payable on March 6, 2009 to shareholders of record March 3, 2009.

	Net Investment Income
Bond Market Fund - Institutional Class	$	0.0251
Bond Market Fund - Class R		0.0245
Intermediate Fund		0.0190
High Yield Bond Fund		0.0508

On April 1, 2009, the Funds declared the following dividends from net investment income payable on April 7, 2009 to shareholders of record April 2, 2009.

	Net Investment Income
Bond Market Fund - Institutional Class	$	0.0313
Bond Market Fund - Class R		0.0315
Intermediate Fund		0.0237
High Yield Bond Fund		0.0515

Notes to Financial Statements
42

SSgA
Fixed Income Funds

Shareholder Requests for Additional Information — February 28, 2009 (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
43

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2009 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 21 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.

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since 2008 Interested Person of the SSgA Funds (as defined in the 1940 Act)	Appointed until successor is duly elected and qualified	• 2003 to Present, Senior Managing Director; Chairman, SSgA Investment Committee, State Street Global Advisors; • 2006 to Present, Trustee, Berea College; and • 2008 to Present, Chairman, Financial Service Sector Coordinating Counsel.		21	Listed under Principal Occupations
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified Until successor is chosen and qualified by the Trustees	• Until December 2008, Director, Russell Trust Company; and • Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant) (Retired); and Chairman of the Board, Russell Investment Company and Russell Investment Funds (registered investment companies) (Retired).		21	Listed under Principal Occupations
William L. Marshall Born December 12, 1942 909 A Street Tacoma, WA 98402	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services); • Certified Financial Planner and Member, Financial Planners Association; and • Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
44

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Steven J. Mastrovich Born November 3, 1956 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• September 2000 to Present, 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).		21	Listed under Principal Occupations
Patrick J. Riley Born November 30, 1948 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified	• 2003 to 2008, Associate Justice, Commonwealth of Massachusetts Superior Court (Retired); • 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
45

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); • November 1998 to Present, Board Member, Healthcare Georgia Foundation (private foundation); and • September 2002 to Present, Board Member, Amerigroup Corp. (managed health care).		21	Listed under Principal Occupations
Bruce D. Taber Born April 25, 1947 909 A Street Tacoma, WA 98402	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Consultant, Computer Simulation, General Electric Industrial Control Systems (diversified technology and services company); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations
Henry W. Todd Born May 4, 1947 909 A Street Tacoma, WA 98402	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Chairman, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
46

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During the Past 5 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 Principal Executive Officer since 2005	Until successor is chosen and qualified 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 and SPDR Index Shares Funds, Trustee, Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment 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 chosen and qualified by Trustees	• Principal, SSgA Funds Management, Inc. (investment advisor); and • July 2007 to present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.
Mark E. Swanson Born November 26, 1963 909 A Street Tacoma, WA 98402	Treasurer and Principal Accounting Officer since 2000	Until successor is chosen and qualified by Trustees	• Director – Fund Administration, Russell Investment Management Company, Russell Fund Services Company, and Russell Trust Company; • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds; and • Director, Russell Fund Distributors, Inc., Russell Investment Management Company, and Russell Fund Services Company.
Julie B. Piatelli Born August 5, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since August 2007	Until successor is chosen and qualified by Trustees	• 2004 to Present, Principal and Senior Compliance Officer, SSgA Funds Management, Inc.; Vice President, State Street Global Advisors; and • 1999-2004, Senior Manager, PricewaterhouseCoopers LLC.
Gregory J. Lyons Born August 24, 1960 909 A Street Tacoma, WA 98402	Secretary since 2007 and Chief Legal Officer since 2008	Until successor is chosen and qualified by Trustees	• US General Counsel and Assistant Secretary, Frank Russell Company, • Director and Assistant Secretary, Russell Insurance Agency, Inc.; • Secretary, Russell Investment Management Company, Russell Financial Services, Inc., and Russell Fund Services Company; • Secretary and Chief Legal Counsel, Russell Investment Company and Russell Investment Funds; and • Secretary and US General Counsel, Russell Trust Company, Russell Institutional Funds Management LLC.

Disclosure of Information about Fund Trustees and Officers
47

SSgA
Fixed Income Funds

State Street Financial Center

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

Trustees

Lynn L. Anderson

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

Julie B. Piatelli, Chief Compliance Officer

Gregory J. Lyons, Secretary and Chief Legal Officer

Rick Chase, Assistant Treasurer

Ross E. Erickson, Assistant Treasurer

Kimberlee A. Lloyd, Assistant Treasurer

David J. Craig, Assistant Treasurer

Carla L. Anderson, Assistant Secretary

Sandra G. Richardson, Assistant Secretary

Investment Adviser

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
909 A Street
Tacoma, Washington 98402

Legal Counsel

Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109

Fund Management and Service Providers
48

FISAR-02/09 (51897)

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, 2009

SSgA Funds
International Equity Funds

Semiannual Report

February 28, 2009 (Unaudited)

Table of Contents

	Page
Emerging Markets Fund		3
International Stock Selection Fund		13
Notes to Schedules of Investments		19
Statement of Assets and Liabilities		20
Statement of Operations		22
Statement of Changes in Net Assets		23
Financial Highlights		24
Notes to Financial Statements		26
Shareholder Requests for Additional Information		37
Disclosure of Information about Fund Trustees and Officers		38
Fund Management and Service Providers		42

"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.ssga.com. Investment in the Funds poses investment risks, including the 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, 2009 (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 both classes is from September 1, 2008 to February 28, 2009.

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.

Institutional Class	Actual Performance		Hypothetical Performance 5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	502.70	$	1,018.60
Expenses Paid During Period *	$	4.66	$	6.26

* Expenses are equal to the Fund's 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.

Select Class	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	503.40	$	1,019.79
Expenses Paid During Period *	$	3.76	$	5.06

* Expenses are equal to the Fund's 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.

Emerging Markets Fund
3

This page has been intentionally left blank.

SSgA
Emerging Markets Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 83.7%
Argentina - 0.1%
Banco Patagonia SA		266,930		1,909
Grupo Clarin Class B (l)		168,751		447
				2,356
Brazil - 8.5%
Banco do Brasil SA		691,100		4,003
Cia Energetica de Minas Gerais - ADR		729,462		9,964
Cia Vale do Rio Doce Class B (Ñ)		3,355,655		43,254
EDP - Energias do Brasil SA		91,500		895
Ez Tec Empreendimentos e Participacoes SA		404,437		372
General Shopping Brasil SA (Æ)		1,363,959		1,084
LPS Brasil Consultoria de Imoveis SA		25,509		75
Natura Cosmeticos SA		432,700		3,926
Petroleo Brasileiro SA - ADR		2,594,958		63,452
Redecard SA		363,003		3,795
Souza Cruz SA (Æ)		132,400		2,658
				133,478
Chile - 2.7%
Banco Santander Chile - ADR		169,996		5,938
Centros Comerciales Sudamericanos SA		2,131,189		3,685
Cia Cervecerias Unidas SA - ADR		102,175		2,722
Empresa Nacional de Electricidad SA		5,220,485		6,298
Empresa Nacional de Telecomunicaciones SA		331,726		3,599
Empresas CMPC SA		9,296		172
Enersis SA - ADR		491,357		7,085
Lan Airlines SA - ADR (Ñ)		622,775		5,138
Sociedad Quimica y Minera de Chile SA - ADR		299,547		8,633
				43,270
China - 9.9%
Anhui Conch Cement Co., Ltd. Class H (Æ)(Ñ)		548,000		2,272
Bank of China, Ltd. (Ñ)		29,052,000		7,986
China Coal Energy Co.		5,174,000		3,097
China Communications Construction Co., Ltd. Class H (Ñ)		5,887,024		5,579
China Communications Services Corp., Ltd. Class H (Ñ)		4,358,800		2,434
China Construction Bank Corp. Class H (Ñ)		42,510,000		21,245
China COSCO Holdings Co., Ltd. Class H (Ñ)		4,880,500		2,585
China Life Insurance Co., Ltd. Class H (Ñ)		5,928,000		16,489

	Principal Amount ($) or Shares		Market Value $
China National Materials Co., Ltd. (Æ)(Ñ)		5,059,000		2,037
China Petroleum & Chemical Corp. Class H (Ñ)		13,693,000		7,051
China Railway Construction Corp., Ltd. (Æ)(Ñ)		4,580,500		5,515
China Shenhua Energy Co., Ltd. (Ñ)		2,472,800		4,767
China Shipping Development Co., Ltd. Class H (Ñ)		4,468,000		3,427
China Telecom Corp., Ltd. Class H (Ñ)		8,298,000		2,764
Industrial & Commercial Bank of China (Ñ)		39,441,000		15,866
Jiangxi Copper Co., Ltd. Class H (Ñ)		1,461,000		1,061
New Oriental Education & Technology Group - ADR (Æ)(Ñ)		90,659		4,059
Parkson Retail Group, Ltd. (Ñ)		3,955,000		3,178
PetroChina Co., Ltd. Class H (Ñ)		20,594,000		14,608
Ping An Insurance Group Co. of China, Ltd. Class H (Ñ)		2,449,500		11,535
Tencent Holdings, Ltd. (Ñ)		1,621,000		9,236
Want Want China Holdings, Ltd. (Ñ)		2,950,700		1,162
Xinao Gas Holdings, Ltd.		2,118,000		2,245
Yanzhou Coal Mining Co., Ltd. Class H (Ñ)		3,512,000		1,968
Zijin Mining Group Co., Ltd. Class H (Ñ)		6,127,000		3,206
				155,372
Colombia - 0.5%
Ecopetrol SA		8,230,295		6,783
Suramericana de Inversiones SA		98,303		601
				7,384
Czech Republic - 1.1%
CEZ		402,538		12,168
Telefonica O2 Czech Republic AS		350,466		5,957
				18,125
Egypt - 1.8%
Commercial International Bank		1,115,976		7,030
Egyptian Co. for Mobile Services		163,208		3,993
Egyptian Financial Group-Hermes Holding		912,494		2,149
El Swedy Cables Holding Co. (Æ)		295,828		2,061
Maridive & Oil Services		295,470		740
Orascom Construction Industries		220,168		4,455
Orascom Hotels & Development (Æ)		1		—	±
Orascom Telecom Holding SAE		1,004,325		3,416
Telecom Egypt		1,884,217		4,962
				28,806

Emerging Markets Fund
5

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Hong Kong - 6.8%
Beijing Enterprises Holdings, Ltd. (Ñ)		1,290,000		5,026
Chaoda Modern Agriculture Holdings, Ltd. (Ñ)		3,100,000		1,778
China Everbright, Ltd.		2,150,000		2,362
China High Speed Transmission Equipment Group Co., Ltd.		1,768,000		2,273
China Mobile, Ltd. (Ñ)		6,257,700		53,861
China Overseas Land & Investment, Ltd. (Ñ)		9,004,320		11,705
China Resources Power Holdings Co., Ltd. (Ñ)		2,764,000		5,144
CNOOC, Ltd. (Ñ)		16,785,500		14,496
GOME Electrical Appliances Holdings, Ltd. (Ñ)		9,104,000		1,315
Hengan International Group Co., Ltd. (Ñ)		1,480,000		5,355
Shanghai Industrial Holdings, Ltd. (Ñ)		905,000		2,038
Sinofert Holdings, Ltd. (Ñ)		4,281,900		1,933
				107,286
Hungary - 0.6%
Magyar Telekom Telecommunications PLC		1,460,702		3,373
MOL Hungarian Oil and Gas Nyrt		95,319		3,577
Richter Gedeon Nyrt		29,229		3,025
				9,975
India - 2.0%
Bharat Heavy Electricals, Ltd.		63,905		1,739
Bharti Airtel, Ltd. (Æ)		58,997		730
Dr Reddys Laboratories, Ltd.		83,044		628
GAIL India, Ltd.		297,444		1,176
Grasim Industries, Ltd.		39,668		1,058
Housing Development Finance Corp.		96,071		1,652
Hero Honda Motors, Ltd.		58,930		1,068
Hindustan Unilever, Ltd.		408,650		2,019
Housing Development Finance Corp.		69,788		1,724
ICICI Bank, Ltd.		189,364		1,220
ICICI Bank, Ltd. - ADR (Ñ)		39,207		489
Infosys Technologies, Ltd.		172,229		4,105
ITC, Ltd.		341,687		1,214
Maruti Suzuki India, Ltd.		48,389		629
NTPC, Ltd.		256,647		923
Oil & Natural Gas Corp., Ltd.		90,446		1,214
Reliance Industries, Ltd.		234,384		5,734
Reliance Infrastructure, Ltd. (Æ)		58,389		550
State Bank of India, Ltd.		34,330		682
Steel Authority of India, Ltd.		604,400		889
Sun Pharmaceutical Industries, Ltd.		54,854		1,084
Tata Power Co., Ltd.		40,278		569
				31,096

	Principal Amount ($) or Shares		Market Value $
Indonesia - 1.6%
Aneka Tambang Tbk PT		19,702,500		1,932
Astra International Tbk		4,216,620		3,907
Bank Central Asia Tbk PT		15,303,000		2,964
Bank Mandiri Persero Tbk PT		12,798,500		1,823
Bank Rakyat Indonesia		8,574,000		2,618
Bumi Resources Tbk PT		21,236,500		1,327
International Nickel Indonesia Tbk PT		3,287,500		587
Perusahaan Gas Negara PT		7,267,500		1,138
Telekomunikasi Indonesia Tbk PT		14,369,500		7,486
United Tractors Tbk PT		4,474,500		1,970
				25,752
Ireland - 0.1%
Dragon Oil PLC (Æ)		457,264		967
Israel - 5.6%
Bank Hapoalim BM (Æ)		662,987		1,134
Bank Leumi Le-Israel BM		1,119,762		1,920
Bezeq Israeli Telecommunication Corp., Ltd.		1,140,061		1,749
Check Point Software Technologies (Æ)(Ñ)		346,611		7,615
Elbit Systems, Ltd.		88,792		3,842
Israel Chemicals, Ltd.		1,188,536		9,083
Mizrahi Tefahot Bank, Ltd.		170,735		739
Ormat Industries		86,935		558
Partner Communications		263,775		3,802
Teva Pharmaceutical Industries, Ltd. - ADR (Ñ)		1,299,065		57,912
				88,354
Malaysia - 0.8%
British American Tobacco Malaysia BHD		118,700		1,430
Bumiputra-Commerce Holdings BHD		1,353,100		2,503
Kuala Lumpur Kepong BHD		799,100		2,135
Malayan Banking BHD		1,414,600		1,935
Petronas Gas BHD		541,700		1,423
Public Bank BHD		789,737		1,848
SP Setia BHD		49		—	±
TM International BHD (Æ)		1,639,900		1,329
				12,603
Mexico - 3.5%
America Movil SAB de CV Series L		829,489		21,135
Cemex SAB de CV - ADR (Æ)(Ñ)		781,544		4,213
Coca-Cola Femsa SAB de CV - ADR (Ñ)		66,600		2,075
Fomento Economico Mexicano SAB de CV - ADR		258,500		5,956
Grupo Elektra SA de CV		41,480		827

Emerging Markets Fund
6

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Grupo Financiero Banorte SAB de CV Class O (Ñ)		665,093		703
Grupo Mexico SAB de CV		2,882,055		1,637
Grupo Televisa SA - ADR		543,827		6,618
Kimberly-Clark de Mexico SAB de CV Class A		454,300		1,431
Mexichem SAB de CV (Ñ)		2,064,700		1,406
Telefonos de Mexico SAB de CV (Ñ)		2,319,400		1,608
Telefonos de Mexico SAB de CV (Ñ) Series L - ADR		236,000		3,243
Wal-Mart de Mexico SAB de CV (Ñ)		2,525,250		4,707
				55,559
Nigeria - 0.1%
Guaranty Trust Bank PLC - GDR (l)		573,490		2,093
Philippines - 0.5%
Ayala Corp.		300,240		1,169
Bank of the Philippine Islands		1,647,100		1,153
Philippine Long Distance Telephone Co. - ADR		105,498		4,689
SM Investments Corp.		195,070		760
				7,771
Poland - 0.3%
Polski Koncern Naftowy Orlen		148,809		835
Powszechna Kasa Oszczednosci Bank Polski SA		343,134		1,791
Telekomunikacja Polska SA		325,329		1,574
				4,200
Russia - 5.6%
Gazprom OAO - ADR		2,491,442		32,364
Gazpromneft OAO - ADR (Ñ)		241,212		2,605
LSR Group - GDR (l)		71,265		41
LUKOIL		67,061		2,084
LUKOIL - ADR		486,989		15,603
MMC Norilsk Nickel - ADR (Ñ)		948,644		4,459
Mobile Telesystems OJSC - ADR		272,970		6,467
Novolipetsk Steel OJSC - GDR		131,306		1,295
Pharmstandard - GDR (Æ)		197,932		1,290
Polyus Gold Co.		39,315		1,337
Rosneft Oil Co.		1,061,905		3,729
Rostelecom		169,652		1,274
Rostelecom - ADR (Ñ)		36,614		1,762
RusHydro (Æ)		162,111,337		2,618
Sberbank		8,294,104		3,129
Sistema JSFC - GDR		149,947		498
SOLLERS		37,062		111
Tatneft - GDR		79,851		2,837
Uralkali - GDR		292,351		1,854
Vimpel-Communications - ADR		328,584		1,722

	Principal Amount ($) or Shares		Market Value $
VTB Bank OJSC		1,082,041,83		541
Wimm-Bill-Dann Foods OJSC (Æ)		24,750		340
				87,960
South Africa - 7.8%
ABSA Group, Ltd. (Ñ)		579,618		5,096
African Bank Investments, Ltd.		1,018,394		2,118
African Rainbow Minerals, Ltd.		388,676		4,336
AngloGold Ashanti, Ltd. - ADR (Ñ)		297,522		8,875
ArcelorMittal South Africa, Ltd.		441,993		3,241
Aspen Pharmacare Holdings, Ltd. (Æ)		358,693		1,470
Aveng, Ltd.		863,234		2,203
Exxaro Resources, Ltd.		469,365		3,128
FirstRand, Ltd.		3,573,541		4,253
Foschini, Ltd.		602,572		2,470
Gold Fields, Ltd.		689,772		7,058
Harmony Gold Mining Co., Ltd. (Æ)(Ñ)		367,468		4,425
Kumba Iron Ore, Ltd.		275,677		4,382
Massmart Holdings, Ltd.		233,425		1,669
MTN Group, Ltd.		1,731,185		14,699
Murray & Roberts Holdings, Ltd.		457,623		1,671
Naspers, Ltd. Class N		470,133		7,151
Nedbank Group, Ltd. (Ñ)		159,050		1,181
Remgro, Ltd.		586,521		3,841
Sasol, Ltd.		707,424		17,558
Shoprite Holdings, Ltd.		1,015,698		5,009
Standard Bank Group, Ltd. (Ñ)		1,320,381		8,478
Steinhoff International Holdings, Ltd.		2,054,891		2,276
Telkom SA, Ltd.		129,197		1,264
Tiger Brands, Ltd.		170,485		2,130
Truworths International, Ltd.		1,193,773		3,675
				123,657
South Korea - 11.7%
CJ CheilJedang Corp. (Ñ)		8,710		704
Daelim Industrial Co., Ltd. (Ñ)		67,860		1,791
DC Chemical Co., Ltd. (Æ)(Ñ)		26,405		3,687
Dongbu Insurance Co., Ltd.		151,500		1,385
GS Engineering & Construction Corp. (Ñ)		40,900		1,265
Hana Financial Group, Inc.		145,715		1,711
Hanjin Heavy Industries & Construction Co., Ltd.		90,860		1,470
Hite Brewery Co., Ltd. (Æ)		11,036		977
Hyundai Department Store Co., Ltd.		89,268		3,230
Hyundai Development Co.		124,488		2,286
Hyundai Heavy Industries (Ñ)		37,709		4,266
Hyundai Mipo Dockyard		49,206		3,767
Hyundai Mobis		125,717		5,997
Hyundai Motor Co. (Ñ)		165,430		5,231
Hyundai Steel Co. (Ñ)		92,340		2,069
KB Financial Group, Inc. (Æ)		442,872		8,418
Korea Gas Corp. (Æ)		33,540		888

Emerging Markets Fund
7

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
KT&G Corp. (Ñ)		313,335		16,041
LG Chem, Ltd.		107,990		5,923
LG Corp. (Ñ)		113,625		2,967
LG Electronics, Inc. (Ñ)		96,630		4,480
LG Household & Health Care, Ltd.		28,425		2,753
LG Telecom, Ltd.		516,428		2,978
NHN Corp. (Æ)		90,153		7,680
POSCO		59,395		12,024
Samsung Electronics Co., Ltd.		139,516		43,127
Samsung Engineering Co., Ltd.		40,946		1,201
Samsung Fire & Marine Insurance Co., Ltd. (Ñ)		65,561		6,643
Samsung Heavy Industries Co., Ltd. (Ñ)		188,760		2,631
Shinhan Financial Group Co., Ltd. (Æ)		488,782		7,290
Shinsegae Co., Ltd.		11,002		2,846
SK Energy Co., Ltd. (Ñ)		79,298		3,643
SK Holdings Co., Ltd. (Ñ)		39,631		2,177
SK Telecom Co., Ltd.		73,480		8,938
Yuhan Corp.		15,254		1,916
				184,400
Sri Lanka - 0.2%
Dialog Telekom, Ltd.		56,711,403		2,378
Taiwan - 7.6%
Acer, Inc.		2,287,105		2,973
Advanced Semiconductor Engineering, Inc.		4,577,679		1,578
Asia Cement Corp.		1,266,433		936
Asustek Computer, Inc.		2,645,076		2,497
AU Optronics Corp.		7,254,939		5,279
Cathay Financial Holding Co., Ltd.		5,951,459		4,672
China Steel Corp. Class H		6,376,289		3,993
Chunghwa Telecom Co., Ltd.		4,507,628		6,941
Compal Electronics, Inc.		3,546,645		1,997
Far Eastern Department Stores Co., Ltd.		2,438,100		949
Far Eastern Textile Co., Ltd.		4,948,201		2,926
First Financial Holding Co., Ltd.		4,884,660		1,921
Formosa Chemicals & Fibre Corp.		1,556,543		1,549
Formosa Petrochemical Corp.		632,000		1,030
Formosa Plastics Corp.		6,360,000		8,664
Formosa Taffeta Co., Ltd.		2,451,000		1,124
Fubon Financial Holding Co., Ltd.		6,477,000		3,426
HON HAI Precision Industry Co., Ltd.		4,003,915		7,903
HTC Corp.		609,302		6,528
Hua Nan Financial Holdings Co., Ltd.		5,072,680		2,395
InnoLux Display Corp.		1,302,644		1,105
MediaTek, Inc.		897,938		7,707
Powertech Technology, Inc.		1,453,993		2,184
President Chain Store Corp.		536,000		1,121
Siliconware Precision Industries Co.		4,467,347		3,755
Silitech Technology Corp.		690,284		982

	Principal Amount ($) or Shares		Market Value $
Taiwan Cooperative Bank		5,586,000		2,280
Taiwan Fertilizer Co., Ltd. Class H		1,026,000		1,549
Taiwan Mobile Co., Ltd.		2,407,092		3,134
Taiwan Semiconductor Manufacturing Co., Ltd.		15,395,662		19,302
Tripod Technology Corp.		1,514,035		1,811
U-Ming Marine Transport Corp.		825,000		1,047
Wafer Works Corp.		1		—	±
Wistron Corp.		3,087,695		2,299
Yuanta Financial Holding Co., Ltd.		5,461,220		1,951
				119,508
Thailand - 1.4%
Advanced Info Service PCL		887,900		1,976
Bangkok Bank PCL		1,558,500		3,177
Banpu PCL		196,000		1,124
BEC World PCL		217,400		123
CP ALL PCL		2,626,100		878
Kasikornbank PCL		1,572,000		1,915
Krung Thai Bank PCL		12,378,600		1,417
Minor International PCL		5,583,292		1,096
PTT Chemical PCL		541,454		442
PTT Exploration & Production PCL		1,036,100		2,549
PTT PCL		836,733		3,608
Ratchaburi Electricity Generating Holding PCL		640,900		673
Siam Commercial Bank PCL		809,300		1,152
Thai Oil PCL		1,328,218		881
Total Access Communication PCL		1,024,300		857
				21,868
Turkey - 2.9%
Akbank TAS		1,810,388		4,166
Aksigorta AS - GDR		277,835		387
Anadolu Efes Biracilik Ve Malt Sanayii AS		587,749		3,736
BIM Birlesik Magazalar AS		97,445		1,917
Enka Insaat ve Sanayi AS		379,636		1,382
Eregli Demir ve Celik Fabrikalari TAS		1,084,427		2,190
Ford Otomotiv Sanayi AS		191,340		471
Haci Omer Sabanci Holding AS		1,560,156		2,239
KOC Holding AS (Æ)		1,652,834		2,048
Tupras Turkiye Petrol Rafine		311,384		2,834
Turk Sise ve Cam Fabrikalari AS (Æ)		709,530		396
Turk Telekomunikasyon AS (Æ)		1,033,864		2,368
Turkcell Iletisim Hizmet AS		1,569,154		7,797
Turkiye Garanti Bankasi AS (Æ)		3,665,786		4,452
Turkiye Halk Bankasi AS		898,566		1,888
Turkiye Is Bankasi Class C		2,200,926		4,236
Turkiye Sinai Kalkinma Bankasi AS (Æ)		533,887		210
Yapi ve Kredi Bankasi AS (Æ)		2,780,319		2,677
				45,394

Emerging Markets Fund
8

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
United Kingdom - 0.0%
Highland Gold Mining, Ltd. (Æ)		26,327		20
United States - 0.0%
Central European Distribution Corp. (Æ)(Ñ)		39,183		261
Total Common Stocks (cost $1,743,467)				1,319,893
Preferred Stocks - 6.4%
Brazil - 5.5%
AES Tiete SA (Æ)		200,000		1,476
Banco Bradesco SA - ADR (Ñ)		1,420,086		12,383
Banco Cruzeiro do Sul SA Class Preferenc		705,184		1,651
Banco Daycoval SA Class Preferenc		640,713		1,270
Banco do Estado do Rio Grande do Sul		368,495		870
Banco Itau Holding Financeira SA		2,318,025		21,519
Banco Pine SA (Æ)		426,669		985
Banco Sofisa SA (Æ)		977,892		1,566
Brasil Telecom SA		385,534		1,885
Cia Brasileira de Distribuicao Grupo Pao de Acucar - ADR (Æ)(Ñ)		246,572		5,974
Cia Paranaense de Energia - ADR (Ñ)		949,803		8,729
Cia de Transmissao de Energia Eletrica Paulista		222,240		4,210
NET Servicos de Comunicacao SA (Æ)		1		—	±
Perdigao SA - ADR (Æ)(Ñ)		311,474		7,575
Ultrapar Participacoes SA		348,300		7,957
Usinas Siderurgicas de Minas Gerais SA		539,150		5,846
Vivo Participacoes SA		200,200		3,240
				87,136
Colombia - 0.3%
BanColombia SA - ADR		278,336		4,620
Russia - 0.1%
Surgutneftegaz		4,708,649		1,093
South Korea - 0.5%
Hyundai Motor Co.		72,100		830
LG Electronics, Inc.		25,720		486
Samsung Electronics Co., Ltd.		35,802		6,334
				7,650
Total Preferred Stocks (cost $156,639)				100,499

	Principal Amount ($) or Shares		Market Value $
Warrants & Rights - 0.0%
Brazil - 0.0%
Banco Daycoval SA 2009 Warrants		284,968		—
Vivo Participacoes SA 2009 Rights		3,171		6
				6
Malaysia - 0.0%
IJM Land BHD 2013 Warrants		85,730		4
South Korea - 0.0%
Busan Bank 2009 Rights		91,195		11
Shinhan Financial Group Co., Ltd. 2009 Rights		70,992		148
				159
Total Warrants & Rights (cost $0)				169
Short-Term Investments - 8.1%
United States - 8.1%
Bank of America Corp. (Ê) Series BKNT
1.898% due 03/27/09		28,000		27,994
1.898% due 05/29/09		40,000		39,939
SSgA Prime Money Market Fund		59,591,319		59,591
				127,524
Total Short-Term Investments (cost $127,591)				127,524
Other Securities - 14.2%
State Street Navigator Securities Prime Lending Portfolio (W)		223,336,526		223,337
Total Other Securities (cost $223,337)				223,337
Total Investments - 112.4% (identified cost $2,251,034)				1,771,422
Other Assets and Liabilities, Net - (12.4%)				(194,830	)
Net Assets - 100.0%				1,576,592

A portion of the portfolio has been fair valued as of period end.

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

Emerging Markets Fund
9

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except contracts)

Futures Contracts	Number of Contracts		Notional Amount		Expiration Date	Unrealized Appreciaion (Depreciation) $
Long Positions
Hang Seng Index (Hong Kong)		104	HKD	35,755	03/09		(157	)
JSE-40 Index (South Africa)		331	ZAR	54,483	03/09		(996	)
MSCI Taiwan Index		2,564	USD	43,793	03/09		500
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts (å)							(653	)

Foreign Currency Exchange Contracts

Amount Sold		Amount Bought		Settlement Date		Unrealized Appreciation (Depreciation) $
TRY	267	USD	159		03/02/09		2
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts							2

Industry Diversification	% of Net Assets			Market Value $
Consumer Discretionary		4.1			65,180
Consumer Staples		5.3			83,762
Energy		13.2			208,633
Financials		19.2			303,071
Health Care		4.6			72,680
Industrials		4.1			63,774
Information Technology		9.5			149,088
Materials		13.1			206,551
Telecommunication Services		12.4			194,724
Utilities		4.6			72,929
Short-Term Investments		8.1			127,524
Other Securities		14.2			223,337
Warrants & Rights		—			169
Total Investments		112.4			1,771,422
Other Assets and Liabilities, Net		(12.4	)		(194,830	)
Net Assets		100.0			1,576,592

Geographic Diversification	% of Net Assets			Market Value $
Africa		8.0			125,750
Asia		42.9			675,847
Europe		10.6			167,714
Latin America		21.2			333,809
Middle East		7.4			117,160
Other Regions		8.1			127,785
United Kingdom		—			20
Other Securities		14.2			223,337
Total Investments		112.4			1,771,422
Other Assets and Liabilities, Net		(12.4	)		(194,830	)
Net Assets		100.0			1,576,592

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

Emerging Markets Fund
10

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands

Index Swap Contracts

Fund Receives Underlying Security	Counter Party	Notional Amount $		Fund Pays Floating Rate	Termination Date	Unrealized Appreciation (Depreciation) $
MSCI India Gross Dividends Reinvested	Barclays Bank		7,981	3 Month USD LIBOR- BBA minus 3.80%	01/29/10		(654	)
MSCI India Gross Dividends Reinvested	Deutsche Bank		4,662	3 Month USD LIBOR- BBA minus 4.45%	03/27/09		(525	)
MSCI India Gross Dividends Reinvested	Deutsche Bank		5,318	3 Month USD LIBOR- BBA minus 3.25%	04/24/09		(58	)
MSCI India Gross Dividends Reinvested	Morgan Stanley		5,581	3 Month USD LIBOR- BBA minus 3.00%	04/30/09		(571	)
MSCI India Gross Dividends Reinvested	Morgan Stanley		11,098	3 Month USD LIBOR- BBA minus 4.05%	06/26/09		(1,011	)
MSCI India Gross Dividends Reinvested	Deutsche Bank		11,046	3 Month USD LIBOR- BBA minus 2.75%	09/14/09		(1,374	)
MSCI India Gross Dividends Reinvested	Deutsche Bank		6,000	3 Month USD LIBOR- BBA minus 3.25%	01/28/10		(557)
MSCI India Gross Dividends Reinvested	Deutsche Bank		9,500	3 Month USD LIBOR- BBA minus 3.00%	02/25/10		(442	)
MSCI Poland Gross Dividends Reinvested	Merrill Lynch		1,028	3 Month USD LIBOR- BBA minus 2.25%	01/12/10		(378	)
MSCI Thailand Free Gross Dividends Reninvested	Citigroup		887	3 Month USD LIBOR- BBA minus 1.50%	05/29/09		39
MSCI Turkey Free Gross Dividends Reinvested	Deutsche Bank		661	1 Month USD LIBOR- BBA minus 1.50%	07/14/09		(47	)
Total Unrealized Appreciation (Depreciation) on Open Index Swap Contracts							(5,578	)

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

Emerging Markets Fund
11

SSgA
Emerging Markets Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Argentina		0.1
Brazil		8.5
Chile		2.7
China		9.9
Colombia		0.5
Czech Republic		1.1
Egypt		1.8
Hong Kong		6.8
Hungary		0.6
India		2.0
Indonesia		1.6
Ireland		0.1
Israel		5.6
Malaysia		0.8
Mexico		3.5
Nigeria		0.1
Philippines		0.5
Poland		0.3
Russia		5.6
South Africa		7.8
South Korea		11.7
Sri Lanka		0.2
Taiwan		7.6
Thailand		1.4
Turkey		2.9
United Kingdom		—	*
United States		—	*
Preferred Stocks		6.4
Warrants & Rights		—	*
Short-Term Investments		8.1
Other Securities		14.2
Total Investments		112.4
Other Assets and Liabilities, Net		(12.4	)
		100.0
Futures Contracts		(—	)*
Foreign Currency Exchange Contracts		—	*
Index Swap Contracts		(0.4	)

* Less than .05% of net assets.

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

Emerging Markets Fund
12

SSgA
International Stock Selection Fund

Shareholder Expense Example — February 28, 2009 (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 both classes is from September 1, 2008 to February 28, 2009.

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.

Institutional Class	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	557.00	$	1,019.84
Expenses Paid During Period *	$	3.86	$	5.01

* Expenses are equal to the Fund's 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.

Class R	Actual Performance		Hypothetical Performance (5% return before expense)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	556.10	$	1,017.65
Expenses Paid During Period *	$	5.56	$	7.20

* Expenses are equal to the Fund's expense ratio of 1.44% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the period since inception). 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

This page has been intentionally left blank.

SSgA
International Stock Selection Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 95.3%
Australia - 5.7%
Amcor, Ltd.		1,126,959		3,159
Commonwealth Bank of Australia (Ñ)		593,662		11,170
Computershare, Ltd. (Ñ)		657,783		2,931
Newcrest Mining, Ltd. (Ñ)		653,443		12,843
Stockland (ö)(Ñ)		1,802,856		3,112
Westpac Banking Corp. (Ñ)		1,165,237		12,419
Woolworths, Ltd.		583,435		9,678
				55,312
Belgium - 0.8%
Anheuser-Busch InBev NV		81,053		2,238
Belgacom SA		162,985		5,344
				7,582
Denmark - 1.2%
Danisco A/S		39,069		1,372
Novo Nordisk A/S Series B		205,424		9,983
				11,355
Finland - 1.0%
Konecranes OYJ (Ñ)		240,516		3,903
Stora Enso OYJ Class R (Ñ)		954,004		3,989
UPM-Kymmene OYJ		344,693		2,439
				10,331
France - 14.5%
Alstom SA		152,481		7,264
AXA SA		510,273		4,717
BNP Paribas		219,440		7,201
Dassault Systemes SA (Ñ)		78,562		2,751
Eutelsat Communications		255,581		5,284
France Telecom SA		708,417		15,981
GDF Suez (Æ)(Ñ)		438,753		14,012
L'Oreal SA		74,434		4,825
Lafarge SA (Ñ)		148,853		6,421
Peugeot SA (Ñ)		354,173		6,105
Renault SA		162,346		2,367
Sanofi-Aventis SA		310,082		16,025
Societe BIC SA		6,889		338
Total SA		619,707		29,326
UBISOFT Entertainment (Æ)		289,472		4,366
Vallourec SA (Ñ)		47,632		3,758
Vivendi		465,016		11,139
				141,880
Germany - 7.8%
Allianz SE		115,363		7,815
BASF SE		291,452		8,085
Deutsche Boerse AG		61,618		2,834

	Principal Amount ($) or Shares		Market Value $
Deutsche Lufthansa AG (Ñ)		444,173		4,898
Deutsche Telekom AG		874,544		10,587
Fresenius Medical Care AG & Co. KGaA		159,914		6,586
Muenchener Rueckversicherungs AG		86,641		10,629
RWE AG		253,709		16,000
Siemens AG		173,669		8,851
				76,285
Hong Kong - 4.4%
BOC Hong Kong Holdings, Ltd. (Ñ)		7,790,000		7,723
Cheung Kong Holdings, Ltd. (Ñ)		243,000		1,966
Hang Seng Bank, Ltd. (Ñ)		786,400		8,695
HongKong Electric Holdings (Ñ)		1,392,000		8,568
Hutchison Whampoa, Ltd.		2,120,000		11,042
New World Development, Ltd.		3,270,000		2,925
Sun Hung Kai Properties, Ltd.		222,000		1,715
				42,634
Italy - 0.8%
ENI SpA		402,939		8,049
Japan - 22.4%
Astellas Pharma, Inc.		355,200		11,790
Bank of Yokohama, Ltd. (The)		646,000		2,742
Brother Industries, Ltd.		685,000		4,592
Canon, Inc.		209,200		5,283
Central Japan Railway Co.		1,774		10,734
Chubu Electric Power Co., Inc. (Ñ)		440,800		10,882
Chugai Pharmaceutical Co., Ltd. (Ñ)		205,007		3,478
Fujitsu, Ltd.		1,278,000		4,347
Honda Motor Co., Ltd.		238,800		5,737
ITOCHU Corp. (Ñ)		1,499,000		6,707
JFE Holdings, Inc.		165,800		3,570
Kansai Electric Power Co., Inc. (The)		210,700		5,060
KDDI Corp.		330		1,722
Kyocera Corp. (Ñ)		102,900		6,017
Kyushu Electric Power Co., Inc.		377,600		8,927
Mitsubishi Electric Corp.		1,012,000		4,003
Mitsubishi Estate Co., Ltd.		188,000		1,877
Mitsubishi UFJ Financial Group, Inc.		2,530,600		11,509
Mitsui OSK Lines, Ltd. (Ñ)		573,000		2,919
Mizuho Financial Group, Inc. (Ñ)		3,387,300		6,395
Nintendo Co., Ltd.		27,000		7,653
Nippon Telegraph & Telephone Corp.		383,100		16,425
NTT DoCoMo, Inc.		8,586		13,431
Osaka Gas Co., Ltd.		1,159,000		4,138
Panasonic Corp.		295,000		3,418
Ricoh Co., Ltd. (Ñ)		477,000		5,381
Seiko Epson Corp. (Ñ)		237,400		2,679
Softbank Corp. (Ñ)		148,600		1,786
Sony Corp. (Ñ)		150,100		2,507

International Stock Selection Fund
15

SSgA
International Stock Selection Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Sumitomo Electric Industries, Ltd.		980,600		7,582
Sumitomo Mitsui Financial Group, Inc. (Ñ)		302,400		9,637
Suzuki Motor Corp. (Ñ)		313,300		4,858
Takeda Pharmaceutical Co., Ltd.		324,900		13,125
Toho Gas Co., Ltd. (Ñ)		403,000		2,076
UNY Co., Ltd. (Ñ)		818,000		5,976
				218,963
Netherlands - 5.3%
ING Groep NV (Æ)		659,268		3,032
Koninklijke Ahold NV		1,286,286		14,416
Koninklijke DSM NV		336,460		7,765
Koninklijke Philips Electronics NV (Ñ)		427,785		6,899
Unilever NV		993,333		19,190
				51,302
Norway - 0.7%
StatoilHydro ASA (Ñ)		436,800		7,301
Spain - 3.2%
Banco Bilbao Vizcaya Argentaria SA (Ñ)		668,180		4,871
Banco Santander SA		1,479,409		9,122
Telefonica SA		946,172		17,621
				31,614
Sweden - 1.6%
Alfa Laval AB (Ñ)		570,218		3,981
Eniro AB (Ñ)		788,582		537
Hennes & Mauritz AB Series B (Ñ)		183,696		6,864
Swedish Match AB (Ñ)		327,759		4,290
				15,672
Switzerland - 7.1%
Baloise Holding AG		65,573		3,711
Nestle SA		855,159		27,962
Novartis AG (Ñ)		349,294		12,713
Roche Holding, Ltd.		106,664		12,097
Swiss Reinsurance		129,751		1,603
Zurich Financial Services AG		75,918		10,781
				68,867
United Kingdom - 17.5%
Aggreko PLC (Ñ)		935,062		4,759
AstraZeneca PLC		271,965		8,700
Atkins WS PLC		116,534		762
BAE Systems PLC		1,237,233		6,552
BHP Billiton PLC		700,857		11,023

	Principal Amount ($) or Shares		Market Value $
BP PLC		4,739,651		30,301
British American Tobacco PLC		596,939		15,334
Centrica PLC		2,436,830		9,412
Compass Group PLC		1,908,790		8,439
Diageo PLC		388,717		4,544
Drax Group PLC		339,131		2,521
Game Group PLC		2,574,230		5,364
GlaxoSmithKline PLC		921,822		14,070
HSBC Holdings PLC		2,450,858		17,137
Mondi PLC		2,138,049		3,758
Reckitt Benckiser Group PLC		203,721		7,841
Royal Dutch Shell PLC Class A (Ñ)		616,770		13,597
WM Morrison Supermarkets PLC		1,680,635		6,197
				170,311
United States - 1.3%
Synthes, Inc.		107,432		12,443
Total Common Stocks (cost $1,432,401)				929,901
Preferred Stocks - 0.2%
Germany - 0.2%
Volkswagen AG		43,145		1,946
Total Preferred Stocks (cost $1,914)				1,946
Short-Term Investments - 1.6%
United States - 1.6%
SSgA Prime Money Market Fund		15,690,570		15,691
Total Short-Term Investments (cost $15,691)				15,691
Other Securities - 8.9%
State Street Navigator Securities Prime Lending Portfolio (W)		86,395,749		86,396
Total Other Securities (cost $86,396)				86,396
Total Investments - 106.0% (identified cost $1,536,402)				1,033,934
Other Assets and Liabilities, Net - (6.0%)				(58,535	)
Net Assets - 100.0%				975,399

A portion of the portfolio has been fair valued as of period end.

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

International Stock Selection Fund
16

SSgA
International Stock Selection Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except contracts)

Futures Contracts	Number of Contracts		Notional Amount		Expiration Date	Unrealized Appreciaion (Depreciation) $
Long Positions
MSCI Pan Euro Index (EMU)		1,500	EUR	22,252	03/09		(2,061	)
TOPIX Index (Japan)		90	JPY	7,004	03/09		(167	)
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts (å)							(2,228	)

Foreign Currency Exchange Contracts

Amount Sold		Amount Bought		Settlement Date	Unrealized Appreciation (Depreciation) $
USD	9,800	EUR	7,800	03/27/09		87
USD	5,254	GBP	3,700	03/27/09		42
USD	6,759	JPY	630,000	03/27/09		(301	)
CHF	2,456	AUD	3,296	03/03/09		41
CHF	2,456	AUD	3,296	03/03/09		(33	)
Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts						(164	)

Industry Diversification	% of Net Assets			Market Value $
Consumer Discretionary		6.6			64,471
Consumer Staples		13.0			126,326
Energy		9.1			88,574
Financials		19.7			192,071
Health Care		12.4			121,010
Industrials		8.0			77,845
Information Technology		4.3			42,440
Materials		6.8			66,810
Telecommunication Services		8.9			86,395
Utilities		8.3			81,596
Other Securities		8.9			86,396
Total Investments		106.0			1,033,934
Other Assets and Liabilities, Net		(6.0	)		(58,535	)
Net Assets		100.0			975,399

Geographic Diversification	% of Net Assets			Market Value $
Asia		4.4			42,634
Europe		44.2			432,184
Japan		22.4			218,963
Other Regions		8.6			83,446
United Kingdom		17.5			170,311
Other Securities		8.9			86,396
Total Investments		106.0			1,033,934
Other Assets and Liabilities, Net		(6.0	)		(58,535	)
Net Assets		100.0			975,399

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, 2009 (Unaudited)

Categories	% of Net Assets
Australia		5.7
Belgium		0.8
Denmark		1.2
Finland		1.0
France		14.5
Germany		7.8
Hong Kong		4.4
Italy		0.8
Japan		22.4
Netherlands		5.3
Norway		0.7
Spain		3.2
Sweden		1.6
Switzerland		7.1
United Kingdom		17.5
United States		1.3
Preferred Stocks		0.2
Short-Term Investments		1.6
Other Securities		8.9
Total Investments		106.0
Other Assets and Liabilities, Net		(6.0	)
		100.0
Futures		(0.2	)
Foreign Currency Exchange Contracts		—	*

* Less than .05% of net assets.

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

International Stock Selection Fund
18

SSgA
International Equity Funds

Notes to Schedules of Investments — February 28, 2009 (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.

(l)  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.

(W)  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, 2009 (Unaudited)

Amounts in thousands	Emerging Markets Fund			International Stock Selection Fund
Assets
Investments, at identified cost	$	2,251,034		$	1,536,402
Investments, at market*		1,771,422			1,033,934
Cash		43			—
Cash (restricted)		23,095			5,956
Foreign currency holdings**		12,779			14,794
Unrealized appreciation on foreign currency exchange contracts		2			170
Receivables:
Dividends and interest		6,243			2,692
Investments sold		462			8,121
Fund shares sold		6,717			5,065
Foreign taxes recoverable		2			203
From Advisor		35			36
Prepaid expenses		31			18
Unrealized appreciation on index swap contracts		39			—
Total assets		1,820,870			1,070,989
Liabilities
Payables:
Investments purchased		3,588			3,663
Fund shares redeemed		7,120			3,420
Accrued fees to affiliates		3,100			1,254
Other accrued expenses		145			257
Daily variation margin on futures contracts		265			266
Deferred tax liability		1,106			—
Unrealized depreciation on foreign currency exchange contracts		—			334
Payable upon return of securities loaned		223,337			86,396
Unrealized depreciation on index swap contracts		5,617			—
Total liabilities		244,278			95,590
Net Assets	$	1,576,592		$	975,399
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(879	)	$	1,950
Accumulated net realized gain (loss)		(582,394	)		(564,651	)
Unrealized appreciation (depreciation) on:
Investments (Emerging Markets Fund - net of deferred tax liability for foreign capital gains taxes)		(480,718	)		(502,468	)
Futures contracts		(653	)		(2,228	)
Index swap contracts		(5,578	)		—
Foreign currency-related transactions		(897	)		(254	)
Shares of beneficial interest		157			153
Additional paid-in capital		2,647,554			2,042,897
Net Assets	$	1,576,592		$	975,399

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

Statements of Assets and Liabilities
20

SSgA
International Equity Funds

Statements of Assets and Liabilities, continued — February 28, 2009 (Unaudited)

	Emerging Markets Fund		International Stock Selection Fund
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class***	$	10.00	$	6.39
Net assets	$	945,539,942	$	973,770,720
Shares outstanding ($.001 par value)		94,514,569		152,428,426
Net asset value per share: Class R***	$	—	$	6.36
Net assets	$	—	$	1,628,472
Shares outstanding ($.001 par value)		—		256,172
Net asset value per share: Select Class***	$	10.03	$	—
Net assets	$	631,052,493	$	—
Shares outstanding ($.001 par value)		62,917,201		—
Amounts in thousands
* Securities on loan included in investments	$	223,549	$	119,883
** Foreign currency holdings - cost	$	13,042	$	14,818
*** 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, 2009 (Unaudited)

Amounts in thousands	Emerging Markets Fund			International Stock Selection Fund
Investment Income
Dividends	$	24,573		$	17,314
Dividends from affiliated money market fund		949			197
Interest		902			—
Securities lending income		1,802			1,186
Less foreign taxes withheld		(2,119	)		(1,217	)
Total investment income		26,107			17,480
Expenses
Advisory fees		7,202			4,752
Administrative fees		440			289
Custodian fees		1,784			434
Distribution fees		972			1,357
Distribution fees - Class R		—			2
Transfer agent fees		281			297
Professional fees		28			23
Registration fees		37			57
Shareholder servicing fees - Institutional Class		561			252
Shareholder servicing fees - Select Class		93			—
Shareholder servicing fees - Class R		—			5
Trustees' fees		37			26
Insurance fees		34			19
Printing fees		127			192
Miscellaneous		12			9
Expenses before reductions		11,608			7,714
Expense reductions		(480	)		(1,374	)
Net expenses		11,128			6,340
Net investment income (loss)		14,979			11,140
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (Emerging Markets Fund - net of foreign capital gains taxes)		(498,881	)		(367,730	)
Futures contracts		(28,361	)		(7,106	)
Index swap contracts		(46,578	)		—
Foreign currency-related transactions		(4,096	)		(1,576	)
Net realized gain (loss)		(577,916	)		(376,412	)
Net change in unrealized appreciation (depreciation) on:
Investments (Emerging Markets Fund - net of deferred tax liability for foreign
capital gains taxes)		(1,009,840	)		(438,365	)
Futures contracts		(1,405	)		(2,258	)
Index swap contracts		(2,661	)		—
Foreign currency-related transactions		1,500			11
Net change in unrealized appreciation (depreciation)		(1,012,406	)		(440,612	)
Net realized and unrealized gain (loss)		(1,590,322	)		(817,024	)
Net Increase (Decrease) in Net Assets from Operations	$	(1,575,343	)	$	(805,884	)

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

Statements of Operations
22

SSgA
International Equity Funds

Statements of Changes in Net Assets

	Emerging Markets Fund						International Stock Selection Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	14,979		$	58,250		$	11,140		$	50,227
Net realized gain (loss)		(577,916	)		289,964			(376,412	)		(156,799	)
Net change in unrealized appreciation (depreciation)		(1,012,406	)		(821,104	)		(440,612	)		(348,732	)
Net increase (decrease) in net assets from operations		(1,575,343	)		(472,890	)		(805,884	)		(455,304	)
Distributions
From net investment income
Institutional Class		—			(81,438	)		(33,824	)		(71,703	)
Class R		—			—			(42	)		(49	)
Select Class		—			(45,254	)		—			—
From realized gain
Institutional Class		(138,780	)		(179,979	)		—			(74,384	)
Class R		—			—			—			(54	)
Select Class		(91,383	)		(92,834	)		—			—
Net decrease in net assets from distributions		(230,163	)		(399,505	)		(33,866	)		(146,190	)
Share Transactions
Net increase (decrease) in net assets from share transactions		227,365			142,861			(11,219	)		(742,096	)
Total Net Increase (Decrease) in Net Assets		(1,578,141	)		(729,534	)		(850,969	)		(1,343,590	)
Net Assets
Beginning of period		3,154,733			3,884,267			1,826,368			3,169,958
End of period	$	1,576,592		$	3,154,733		$	975,399		$	1,826,368
Undistributed (overdistributed) net investment income included in net assets	$	(879	)	$	(15,858	)	$	1,950		$	24,676

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.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)			$ Net Realized and Unrealized Gain (Loss)(a)			$ Total Income from Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions			$ Redemption Fees Added to Additional Paid-in Capital
Emerging Markets Fund
Institutional Class
February 28, 2009*		22.72		.10			(11.15	)		(11.05	)		—			(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	)		—	(d)
August 31, 2006		17.47		.26			5.00			5.26			(.48	)		(1.09	)		(1.57	)		.02
August 31, 2005		12.72		.26			5.09			5.35			(.19	)		(.41	)		(.60	)		—	(d)
August 31, 2004		10.80		.18			2.00			2.18			(.26	)		—			(.26	)		—	(d)
Select Class
February 28, 2009*		22.75		.11			(11.16	)		(11.05	)		—			(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	)		—	(d)
August 31, 2006 (1)		21.48		.20			(.48	)		(.28	)		—			—			—			—	(d)
International Stock Selection Fund
Institutional Class
February 28, 2009*		11.79		.07			(5.25	)		(5.18	)		(.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	)		—	(d)
August 31, 2006		10.54		.26			2.56			2.82			(.15	)		(.33	)		(.48	)		—	(d)
August 31, 2005		8.51		.17			2.05			2.22			(.19	)		—			(.19	)		—	(d)
August 31, 2004		6.97		.12			1.55			1.67			(.13	)		—			(.13	)		—	(d)
Class R
February 28, 2009*		11.68		.05			(5.20	)		(5.15	)		(.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	)		—	(d)
August 31, 2006		10.47		.21			2.53			2.74			(.08	)		(.33	)		(.41	)		—	(d)
August 31, 2005		8.51		—	(d)		2.15			2.15			(.19	)		—			(.19	)		—	(d)
August 31, 2004 (2)		8.08		.05			.38			.43			—			—			—			—	(d)

*  For the six months ended February 28, 2009 (Unaudited).
(1)  For the period March 2, 2006 (commencement of sale) to August 31, 2006.
(2)  For the period May 14, 2004 (commencement of sale) to August 31, 2004.
(a)  Average month-end shares outstanding were used for this calculation.
(b)  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%.
(c)  Less than .005% of average net asse ts.
(d)  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.

Financial Highlights
24

	$ Net Asset Value, End of Period		% Total Return(e)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(f)		% Ratio of Expenses to Average Net Assets, Gross(f)		% Ratio of Net Investment Income to Average Net Assets(b)(f)			% Portfolio Turnover Rate(e)
Emerging Markets Fund
Institutional Class
February 28, 2009*		10.00		(49.73	)		945,540		1.25		1.30		1.48			27
August 31, 2008		22.72		(13.53	)		1,949,537		1.24		1.25		1.39			42
August 31, 2007		28.86		45.69			2,582,843		1.25		1.27		1.35			39
August 31, 2006		21.18		33.09			1,358,140		1.25		1.28		1.29			37
August 31, 2005		17.47		43.83			1,134,727		1.25		1.31		1.64			53
August 31, 2004		12.72		20.38			697,893		1.25		1.40		1.44			64
Select Class
February 28, 2009*		10.03		(49.66	)		631,052		1.01		1.07		1.70			27
August 31, 2008		22.75		(13.33	)		1,205,196		1.02		1.03		1.64			42
August 31, 2007		28.89		46.00			1,301,424		1.04		1.06		1.59			39
August 31, 2006 (1)		21.20		(1.30	)		546,536		1.06		1.12		2.01			37
International Stock Selection Fund
Institutional Class
February 28, 2009*		6.39		(44.30	)		973,771		1.00		1.22		1.76			57
August 31, 2008		11.79		(16.20	)		1,823,516		1.00		1.19		1.94			75
August 31, 2007		14.71		19.07			3,168,823		1.00		1.18		2.29			54
August 31, 2006		12.88		27.98			1,014,605		1.00		1.20		2.21			60
August 31, 2005		10.54		26.53			268,878		1.00		1.24		1.78			59
August 31, 2004		8.51		24.19			124,521		1.00		1.24		1.50			78
Class R
February 28, 2009*		6.36		(44.39	)		1,628		1.44		1.65		1.29			57
August 31, 2008		11.68		(16.46	)		2,852		1.32		1.51		2.04			75
August 31, 2007		14.60		18.41			1,135		1.49		1.67		1.95			54
August 31, 2006		12.80		27.28			265		1.49		1.69		1.77			60
August 31, 2005		10.47		25.76			105		1.58		1.82		—	(c)		59
August 31, 2004 (2)		8.51		5.32			11		.91		1.34		1.84			78

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, 2009 (Unaudited)

1.  Organization

The SSgA Funds (the "Investment Company") is a series mutual fund, comprising of 21 investment portfolios that were in operation as of February 28, 2009. 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.

On October 16, 2008, the Board approved a plan to liquidate the SSgA International Growth Opportunities Fund. The liquidation occurred on December 12, 2008.

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. Securities traded on a domestic securities exchange or where markets do not offer an official closing price, are valued at the last sale price. 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) whe re 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.

Notes to Financial Statements
26

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 fo r 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.

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. In accordance with SFAS 157, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. SFAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification 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 va luation 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

•  Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)

Inputs used in valuing the Funds' investments carried at value for the period ended February 28, 2009 were as follows:

	Emerging Markets Fund					International Stock Selection Fund
	Investments in Securities		Other Financial Instruments*			Investments in Securities		Other Financial Instruments*
Level 1	$	791,736,763	$	(726,771	)	$	115,683,738	$	(2,220,490	)
Level 2		978,370,424		(5,577,475	)		918,250,125		(171,802	)
Level 3		1,314,784		—			—		—
	$	1,771,421,971	$	(6,304,246	)	$	1,033,933,863	$	(2,392,292	)

* Other financial instruments are not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instruments.

Notes to Financial Statements
27

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

A reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ending February 28, 2009 were as follows:

	Emerging Markets Fund
Balance as of 09/01/08	$	—
Accrued discounts/(premiums)		—
Realized gain/(loss)		—
Net change in unrealized appreciation/(depreciation) from investments still held as of 02/28/2009		(2,420,938	)
Net purchases (sales)		—
Net transfers in and/or out of Level 3		3,735,722
Balance as of 02/28/09	$	1,314,784

On April 9, 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157 when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. Management is currently evaluating the impact the adoption FSP 157-4161 will have on the Funds' or Investment Company's financial statement disclosures.

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. 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 (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 requires each Fund to distribute all of its taxable income. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required.

The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. At August 31, 2008, the Funds had no net tax basis capital loss carryforwards.

As of February 28, 2009, 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 Markets			International Stock Selection
Cost of Investments for Tax Purposes	$	2,285,824,501		$	1,548,599,289
Gross Tax Unrealized Appreciation		165,666,881			1,843,844
Gross Tax Unrealized Depreciation		(680,069,411	)		(516,509,270	)
Net Tax Unrealized Appreciation (Depreciation)	$	(514,402,530	)	$	(514,665,426	)

Notes to Financial Statements
28

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

As permitted by tax regulations, the Funds intend to defer a net realized capital loss incurred from November 1, 2007 to August 31, 2008 in the amount of $182,157,025 for the International Stock Selection Fund, and treat it as arising in the fiscal year 2009.

The Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109" ("FIN 48"), in June 2006. FIN 48 permits the recognition of tax benefits of an uncertain tax position only when the position is "more likely than not" to be sustained assuming examination by taxing authorities. The Funds adopted the provisions of FIN 48 on September 1, 2007. Management has reviewed the Funds tax positions the years that remain open (2005-2008), and concluded that adoption had no effect on the Funds' financial position or results of operations. As of February 28, 2009, the Funds have 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.

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.

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 or 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.

Notes to Financial Statements
29

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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, 2009. 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.

Fund	Deferred Tax Liability		Capital Gains Taxes
Emerging Markets	$	1,105,779	$	814,654

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.

In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Funds' or Investment Company's financial statement disclosures.

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 or losses arising from such transactions are included in net realized gain (or loss) from foreign currency-related transactions. Open forward currency exchange contracts at February 28, 2009 are presented in the accompanying Schedules of Investmen ts.

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 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, 200 9, the Emerging Markets Fund and International Stock Selection Fund had cash collateral balances in the amount of $20,742,329 and $5,956,035, respectively, held in connection with futures contracts purchased (sold).

Notes to Financial Statements
30

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 and depreciation on the underlying securities and accrued interest expense and interest income are recorded as net re alized gain (loss). The Fund is exposed to credit risk in the event of non-performance by the swap counterparties; however, the Fund does not anticipate non-performance by the counterparties. 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, 2009, the Emerging Markets Fund had cash collateral balances in the amount of $2,352,672 held in connection with swap contracts purchased (sold).

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, 2009, purchases and sales of investment securities, excluding short-term investments, aggregated to the following:

	Purchases		Sales
Emerging Markets	$	540,922,622	$	510,147,746
International Stock Selection		732,138,486		792,466,414

Securities Lending

The Investment Company has 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 or U.S. Government agency obligations 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 requirem ents. 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

Notes to Financial Statements
31

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

additional required collateral is delivered to the Fund 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, 2009, the non-cash collateral received for the securities on loan in the following funds was:

Funds	Non-Cash Collateral Value		Non-Cash Collateral Holding
Emerging Markets	$	13,687,900	Pool of US Government and Corporate Securities
International Stock Selection		42,230,587	Pool of US Government and Corporate Securities

4.  Related Parties

Advisor

SSgA Funds Management, Inc. (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% o f the average daily net assets of Distribution (12b-1) and service fees. 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, the Advisor will reimburse Class R for all expenses to the level of the cap.

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of waiver for the period ended February 28, 2009 was $252,425 for the Institutional Class and $159,910 for the Select Class. There were no reimbursements for the Institutional Class or the Select Class for the period ended February 28, 2009.

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of waiver for the period ended February 28, 2009 was $1,357,568 for the Institutional Class and $2,172 for Class R. There were no reimbursements for the Institutional Class or Class R for the period ended February 28, 2009.

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, 2009, $75,281,889 of the Central Fund's net assets represents investments by these Funds, and $2,663,185 represents the investments of other Investment Company Funds not presented herein.

Notes to Financial Statements
32

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 SSgA Prime Money Market 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, 2009, the total advisory fees waived are as follows:

	Amount Waived
Emerging Markets	$	66,561
International Stock Selection		13,913

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 year, the Funds' custodian fees were reduced by the following amounts under these arrangements:

	Amount Waived
Emerging Markets	$	1,765
International Stock Selection		62

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"), High Net Worth Services Division of State Street ("High Net Worth Services") and CitiStreet LLC ("CitiStreet") (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, 2009, each Institutional Class paid the following shareholder servicing expenses to the Agents:

	State Street		Global Markets		CitiStreet
Emerging Markets	$	146,967	$	97,917	$	160,723
International Stock Selection		158,141		1,197		2,400

Notes to Financial Statements
33

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 nonco ntinuance. There were no carryover expenses as of February 28, 2009.

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. There were no carryover expenses as of February 28, 2009.

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, 2009, this amounted to $93,103 for the Emerging Markets Fund and $506 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, 2009.

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, 2009 were as follows:

	Emerging Markets		International Stock Selection
Advisory fees	$	1,326,246	$	627,399
Administration fees		483,264		308,759
Custodian fees		1,013,847		185,478
Distribution fees		154,673		—
Shareholder servicing fees		—		14,239
Transfer agent fees		114,030		111,487
Trustees' fees		8,260		6,235
	$	3,100,320	$	1,253,597

Notes to Financial Statements
34

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

Securities Lending

For the period September 1, 2008 through February 28, 2009, State Street earned securities lending agent fees as follows:

	Securities Lending Agent Fees
SSgA Emerging Markets Fund	$	595,187
SSgA International Stock Selection Fund		392,569

Beneficial Interest

As of February 28, 2009, the following table includes shareholders (none of which were also affiliates of the Investment Company) with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund:

	# of Shareholders		%
Emerging Markets		2		48.7
International Stock Selection		1		67.7

5.  Fund Share Transactions

	(amounts in thousands) For the Periods Ended
	Shares						Dollars
Emerging Markets Fund	February 28, 2009			August 31, 2008			February 28, 2009			August 31, 2008
Institutional Class
Proceeds from shares sold		30,462			23,299		$	378,582		$	673,043
Proceeds from reinvestment of distributions		11,393			7,959			133,531			246,132
Payments for shares redeemed		(33,134	)		(34,961	)		(413,830	)		(1,002,433	)
		8,721			(3,703	)		98,283			(83,258	)
Select Class
Proceeds from shares sold		19,343			14,886		$	245,679		$	421,350
Proceeds from reinvestment of distributions		4,044			2,298			47,479			71,103
Payments for shares redeemed		(13,446	)		(9,260	)		(164,076	)		(266,334	)
		9,941			7,924			129,082			226,119
Total net increase (decrease)		18,662			4,221		$	227,365		$	142,861

Notes to Financial Statements
35

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

	(amounts in thousands) For the Periods Ended
	Shares						Dollars
International Stock Selection Fund	February 28, 2009			August 31, 2008			February 28, 2009			August 31, 2008
Institutional Class
Proceeds from shares sold		39,635			64,134		$	326,105		$	895,213
Proceeds from reinvestment of distributions		3,926			9,598			31,449			141,378
Payments for shares redeemed		(45,774	)		(134,561	)		(368,872	)		(1,781,067	)
		(2,213	)		(60,829	)		(11,318	)		(744,476	)
Class R
Proceeds from shares sold		40			601		$	284		$	8,078
Proceeds from reinvestment of distributions		5			7			41			101
Payments for shares redeemed		(29	)		(442	)		(226	)		(5,799	)
		16			166			99			2,380
Total net increase (decrease)		(2,197	)		(60,663	)	$	(11,219	)	$	(742,096	)

6.  Interfund Lending Program

The Funds have been granted permission from the Securities and Exchange Commission to 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 M oney Market Fund could result in additional borrowing costs. For the period ended February 28, 2009, the Funds did not utilize the Interfund Lending Program.

Notes to Financial Statements
36

SSgA
International Equity Funds

Shareholder Requests for Additional Information — February 28, 2009 (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
37

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2009 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 21 funds. The first table provides information about trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since 2008 Interested Person of the SSgA Funds (as defined in the 1940 Act)	Appointed until successor is duly elected and qualified	• 2003 to Present, Senior Managing Director; Chairman, SSgA Investment Committee, State Street Global Advisors; • 2006 to Present, Trustee, Berea College; and • 2008 to Present, Chairman, Financial Service Sector Coordinating Counsel.		21	Listed under Principal Occupations
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified Until successor is chosen and qualified by the Trustees	• Until December 2008, Director, Russell Trust Company; and • Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant) (Retired); and Chairman of the Board, Russell Investment Company and Russell Investment Funds (registered investment companies) (Retired).		21	Listed under Principal Occupations
William L. Marshall Born December 12, 1942 909 A Street Tacoma, WA 98402	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services); • Certified Financial Planner and Member, Financial Planners Association; and • Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
38

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Steven J. Mastrovich Born November 3, 1956 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• September 2000 to Present, 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).		21	Listed under Principal Occupations
Patrick J. Riley Born November 30, 1948 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified	• 2003 to 2008, Associate Justice, Commonwealth of Massachusetts Superior Court (Retired); • 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
39

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); • November 1998 to Present, Board Member, Healthcare Georgia Foundation (private foundation); and • September 2002 to Present, Board Member, Amerigroup Corp. (managed health care).		21	Listed under Principal Occupations
Bruce D. Taber Born April 25, 1947 909 A Street Tacoma, WA 98402	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Consultant, Computer Simulation, General Electric Industrial Control Systems (diversified technology and services company); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations
Henry W. Todd Born May 4, 1947 909 A Street Tacoma, WA 98402	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Chairman, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
40

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During the Past 5 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 Principal Executive Officer since 2005	Until successor is chosen and qualified 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 and SPDR Index Shares Funds, Trustee, Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment 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 chosen and qualified by Trustees	• Principal, SSgA Funds Management, Inc. (investment advisor); and • July 2007 to present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.
Mark E. Swanson Born November 26, 1963 909 A Street Tacoma, WA 98402	Treasurer and Principal Accounting Officer since 2000	Until successor is chosen and qualified by Trustees	• Director – Fund Administration, Russell Investment Management Company, Russell Fund Services Company, and Russell Trust Company; • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds; and • Director, Russell Fund Distributors, Inc., Russell Investment Management Company, and Russell Fund Services Company.
Julie B. Piatelli Born August 5, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since August 2007	Until successor is chosen and qualified by Trustees	• 2004 to Present, Principal and Senior Compliance Officer, SSgA Funds Management, Inc.; Vice President, State Street Global Advisors; and • 1999-2004, Senior Manager, PricewaterhouseCoopers LLC.
Gregory J. Lyons Born August 24, 1960 909 A Street Tacoma, WA 98402	Secretary since 2007 and Chief Legal Officer since 2008	Until successor is chosen and qualified by Trustees	• US General Counsel and Assistant Secretary, Frank Russell Company, • Director and Assistant Secretary, Russell Insurance Agency, Inc.; • Secretary, Russell Investment Management Company, Russell Financial Services, Inc., and Russell Fund Services Company; • Secretary and Chief Legal Counsel, Russell Investment Company and Russell Investment Funds; and • Secretary and US General Counsel, Russell Trust Company, Russell Institutional Funds Management LLC.

Disclosure of Information about Fund Trustees and Officers
41

SSgA
International Equity Funds

State Street Financial Center

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

Trustees

Lynn L. Anderson

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

Julie B. Piatelli, Chief Compliance Officer

Gregory J. Lyons, Secretary and Chief Legal Officer

Rick Chase, Assistant Treasurer

Ross E. Erickson, Assistant Treasurer

Kimberlee A. Lloyd, Assistant Treasurer

David J. Craig, Assistant Treasurer

Carla L. Anderson, Assistant Secretary

Sandra G. Richardson, Assistant Secretary

Investment Adviser

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
909 A Street
Tacoma, Washington 98402

Legal Counsel

Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109

Fund Management and Service Providers
42

IESAR-02/09 (51900)

S&P 500 INDEX FUND

Semiannual Report

February 28, 2009

SSgA Funds
S&P 500 Index Fund

Semiannual Report

February 28, 2009 (Unaudited)

Table of Contents

	Page
S&P 500 Index Fund		3
Statement of Assets & Liabilities		6
Statement of Operations		7
Statement of Changes in Net Assets		8
Financial Highlights		10
Notes to Financial Statements		12
Shareholder Requests for Additional Information		18
Disclosure of Information about Fund Trustees and Officers		19
Fund Management and Service Providers		23
Financial Statements of the S&P 500 Portfolio		24

"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, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	582.50	$	1,023.90
Expenses Paid During Period*	$	0.71	$	0.90

* Expenses are equal to the Fund's 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 waive 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, 2009 (Unaudited)

Categories	% of Net Assets
Consumer Discretionary		8.4
Consumer Staples		13.1
Energy		13.0
Financials		9.8
Health Care		15.1
Industrials		9.6
Information Technology		16.4
Materials		3.2
Telecommunication Services		4.0
Utilities		4.7
Short-Term Investments		3.1
Total Investments		100.4
Other Assets and Liabilities, Net		(0.4	)
		100.0
Futures Contracts		(0.5	)

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

S&P 500 Index Fund
4

This page has been intentionally left blank.

SSgA
S&P 500 Index Fund

Statements of Assets and Liabilities — February 28, 2009(Unaudited)

Amounts in thousands

Assets
Investments in Master Portfolio, at identified cost	$	1,076,014
Investments in Master Portfolio, at value		931,500
Receivable for fund shares sold		1,641
Receivable from Advisor		42
Prepaid expenses		11
Total assets		933,194
Liabilities
Payables:
Fund shares redeemed		7,634
Accrued fees to affiliates		193
Other accrued expenses		56
Total liabilities		7,883
Net Assets	$	925,311
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	7,949
Accumulated net realized gain (loss) allocated from Portfolio		(277,270	)
Unrealized appreciation (depreciation) allocated from Portfolio on:
Investments		(144,514	)
Futures contracts		(4,470	)
Shares of beneficial interest		76
Additional paid-in capital		1,343,540
Net Assets	$	925,311
Net Asset Value, offering and redemption price per share:
Net asset value per share*	$	12.17
Net assets	$	925,310,697
Shares outstanding ($.001 par value)		76,056,921

*Net asset value per share equals net assets divided by shares of beneficial interest outstanding.  

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

Statements of Assets and Liabilities
6

SSgA
S&P 500 Index Fund

Statements of Operations — For the Period Ended February 28, 2009(Unaudited)

Amounts in thousands

Investment Income Allocated From Portfolio
Dividends	$	16,731
Interest		216
Expenses		(257	)
Total investment income allocated from Portfolio		16,690
Fund Level Expenses
Administrative fees		148
Custodian fees		7
Distribution fees		260
Transfer agent fees		103
Professional fees		17
Registration fees		25
Shareholder servicing fees		234
Trustees' fees		23
Insurance fees		14
Printing fees		50
Miscellaneous		8
Expenses before reductions		889
Expense reductions		(116	)
Net Fund level expenses		773
Net investment income (loss)		15,917
Net Realized and Unrealized Gain (Loss) Allocated From Portfolio
Net realized gain (loss) on:
Investments		(24,114	)
Futures contracts		(12,750	)
Net realized gain (loss)		(36,864	)
Net change in unrealized appreciation (depreciation) on:
Investments		(626,305	)
Futures contracts		(2,986	)
Net change in unrealized appreciation (depreciation)		(629,291	)
Net realized and unrealized gain (loss)		(666,155	)
Net Increase (Decrease) in Net Assets from Operations	$	(650,238	)

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

Statements of Operations
7

SSgA
S&P 500 Index Fund

Statements of Changes in Net Assets

Amounts in thousands	Six Month Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	15,917		$	34,059
Net realized gain (loss)		(36,864	)		71,518
Net change in unrealized appreciation (depreciation)		(629,291	)		(308,839	)
Net increase (decrease) in net assets from operations		(650,238	)		(203,262	)
Distributions
From net investment income		(16,244	)		(33,731	)
Net decrease in net assets from distributions		(16,244	)		(33,731	)
Share Transactions
Net increase (decrease) in net assets from share transactions		60,944			(282,064	)
Total Net Increase (Decrease) in Net Assets		(605,538	)		(519,057	)
Net Assets
Beginning of period		1,530,849			2,049,906
End of period	$	925,311		$	1,530,849
Undistributed (overdistributed) net investment income included in net assets	$	7,949		$	8,276

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

Statements of Changes in Net Assets
8

This page has been intentionally left blank.

SSgA
S&P 500 Index Fund

Financial Highlights — For the Periods Ended

For a Share Outstanding Throughout Each Period.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)		$ Net Realized and Unrealized Gain (Loss)(a)			$ Total Income from Operations			$ Distributions from Net Investment Income			$ Total Distributions			$ Net Asset Value, End of Period
S&P 500 Index Fund
February 28, 2009*		21.17		.21		(8.99	)		(8.78	)		(.22	)		(.22	)		12.17
August 31, 2008		24.33		.45		(3.17	)		(2.72	)		(.44	)		(.44	)		21.17
August 31, 2007		21.53		.43		2.79			3.22			(.42	)		(.42	)		24.33
August 31, 2006		20.17		.38		1.34			1.72			(.36	)		(.36	)		21.53
August 31, 2005		18.28		.39		1.87			2.26			(.37	)		(.37	)		20.17
August 31, 2004		16.69		.28		1.59			1.87			(.28	)		(.28	)		18.28

*  For the six months ended February 28, 2009 (unaudited).
(a)  Average month-end shares outstanding were used for this calculation.
(b)  Expense ratios include the Fund's share of the Portfolio's allocated expenses.
(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)  Unaudited.
(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.

Financial Highlights
10

	(%) Total Return(e)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(c)(f)		% Ratio of Expenses to Average Net Assets, Gross(b)(f)		% Ratio of Net Investment Income to Average Net Assets(b)(c)(f)		% Portfolio Turnover of the Portfolio(d)
S&P 500 Index Fund
February 28, 2009*		(41.75	)		925,311		.18		.20		2.78		4
August 31, 2008		(11.34	)		1,530,849		.18		.18		1.89		13
August 31, 2007		15.07			2,049,906		.16		.16		1.80		12
August 31, 2006		8.63			1,997,386		.18		.18		1.80		8
August 31, 2005		12.44			1,860,743		.16		.16		1.99		10
August 31, 2004		11.23			1,940,183		.15		.15		1.56		10

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

Financial Highlights
11

SSgA
S&P 500 Index Fund

Notes to Financial Statements — February 28, 2009 (Unaudited)

1.  Organization

The SSgA Funds (the "Investment Company") is a series mutual fund, comprising of 21 investment portfolios that were in operation as of February 28, 2009. 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 73.10% at February 28, 2009). 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 each 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.

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. In accordance with SFAS 157, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. SFAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification 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 va luation 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

•  Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)

Notes to Financial Statements
12

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

Inputs used in valuing the Funds' investments carried at value for the period ended February 28, 2009 were as follows:

	S&P 500 Index Fund
	Investments in Securities		Other Financial Instruments*
Level 1	$	931,500,135	$	—
Level 2		—		—
Level 3		—		—
	$	931,500,135	$	—

* Other financial instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instruments.

As of February 28, 2009, there were no Level 3 securities held by the Funds.

On April 9, 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157 when the volume and level of activity for the asset or liability have significantly decreased. FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. Management is currently evaluating the impact the adoption FSP 157-4161 will have on the Funds' or Investment Company's financial statement disclosures.

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.

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 no federal income tax provision was required.

Capital Loss Carryovers

At August 31, 2008, 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
	08/31/2011		08/31/2012		08/31/2013		08/31/2014		Total
S&P 500 Index Fund	$	68,815,872	$	20,170,152	$	9,160,101	$	10,082,013	$	108,228,138

The Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109" ("Fin 48"), in June 2006. FIN 48 permits the recognition of tax benefits of an uncertain tax position only when the position is "more likely than not" to be sustained assuming examination by taxing authorities. The Funds adopted the provisions of FIN 48 on September 1, 2007. Management has reviewed the Fund's tax positions for the years that remain open (2005-2008), and concluded that adoption had no effect on the Fund's financial position or results of operations. As of February 28, 2009, the Fund has recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

Notes to Financial Statements
13

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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.

Derivatives

In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Funds' or Investment Company's financial statement disclosures.

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, 2009:

Increases		Decreases
$	96,104,756	$	47,713,142

4.  Related Parties

Advisor

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 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of the waiver for the period ended February 28, 2009 was $116,437.

Notes to Financial Statements
14

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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 addit ion, 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"), High Net Worth Services Division of State Street ("High Net Worth Services") and CitiStreet LLC ("CitiStreet") (collectively, the "Agents"), as well as several 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, 2009, the Fund paid the following shareholder servicing expenses to the Agents:

	State Street		Global Markets		CitiStreet
S&P 500 Index Fund	$	143,109	$	912	$	1,065

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. There were no carryover expenses as of Feb ruary 28, 2009.

Notes to Financial Statements
15

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2009 (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, 2009 were as follows:

	S&P 500 Index Fund
Administration fees	$	26,739
Custodian fees		2,517
Distribution fees		84,037
Shareholder servicing fees		41,835
Transfer agent fees		32,670
Trustees' fees		5,041
	$	192,839

Beneficial Interest

As of February 28, 2009, there were no shareholders with shares of beneficial interest greater than 10% of the total outstanding shares of the Fund.

5.  Fund Share Transactions

	(amounts in thousands) For the Periods Ended
	Shares						Dollars
S&P 500 Index Fund	February 28, 2009			August 31, 2008			February 28, 2009			August 31, 2008
Proceeds from shares sold		11,812			16,300		$	183,881		$	369,572
Proceeds from reinvestment of distributions		813			1,239			13,602			28,664
Payments for shares redeemed		(8,865	)		(29,505	)		(136,539	)		(680,300	)
Total net increase (decrease)		3,760			(11,966	)	$	60,944		$	(282,064	)

6.  Interfund Lending Program

The Fund has been granted permission from the Securities and Exchange Commission to participate 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 rep ayment to the SSgA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2009, the Fund did not utilize the Interfund Lending Program.

Notes to Financial Statements
16

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

7.  Dividends

On March 2, 2009, the Fund declared the following dividend from net investment income payable on March 6, 2009 to shareholders of record March 3, 2009:

	Net Investment Income
S&P 500 Index Fund	$	0.1053

Notes to Financial Statements
17

SSgA
S&P 500 Index Fund

Shareholder Requests for Additional Information — February 28, 2009(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 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.

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 is 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.

Shareholder Requests for Additional Information
18

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers —
February 28, 2009 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 21 funds. The first table provides information about trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since 2008 Interested Person of the SSgA Funds (as defined in the 1940 Act)	Appointed until successor is duly elected and qualified	• 2003 to Present, Senior Managing Director; Chairman, SSgA Investment Committee, State Street Global Advisors; • 2006 to Present, Trustee, Berea College; and • 2008 to Present, Chairman, Financial Service Sector Coordinating Counsel.		21	Listed under Principal Occupations
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified Until successor is chosen and qualified by the Trustees	• Until December 2008, Director, Russell Trust Company; and • Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant) (Retired); and Chairman of the Board, Russell Investment Company and Russell Investment Funds (registered investment companies) (Retired).		21	Listed under Principal Occupations
William L. Marshall Born December 12, 1942 909 A Street Tacoma, WA 98402	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services); • Certified Financial Planner and Member, Financial Planners Association; and • Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.		21	Listed under Principal Occupations

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, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Steven J. Mastrovich Born November 3, 1956 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• September 2000 to Present, 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).		21	Listed under Principal Occupations
Patrick J. Riley Born November 30, 1948 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified	• 2003 to 2008, Associate Justice, Commonwealth of Massachusetts Superior Court (Retired); • 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
20

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); • November 1998 to Present, Board Member, Healthcare Georgia Foundation (private foundation); and • September 2002 to Present, Board Member, Amerigroup Corp. (managed health care).		21	Listed under Principal Occupations
Bruce D. Taber Born April 25, 1947 909 A Street Tacoma, WA 98402	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Consultant, Computer Simulation, General Electric Industrial Control Systems (diversified technology and services company); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations
Henry W. Todd Born May 4, 1947 909 A Street Tacoma, WA 98402	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Chairman, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
21

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During the Past 5 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 Principal Executive Officer since 2005	Until successor is chosen and qualified 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 and SPDR Index Shares Funds, Trustee, Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment 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 chosen and qualified by Trustees	• Principal, SSgA Funds Management, Inc. (investment advisor); and • July 2007 to present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.
Mark E. Swanson Born November 26, 1963 909 A Street Tacoma, WA 98402	Treasurer and Principal Accounting Officer since 2000	Until successor is chosen and qualified by Trustees	• Director – Fund Administration, Russell Investment Management Company, Russell Fund Services Company, and Russell Trust Company; • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds; and • Director, Russell Fund Distributors, Inc., Russell Investment Management Company, and Russell Fund Services Company.
Julie B. Piatelli Born August 5, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since August 2007	Until successor is chosen and qualified by Trustees	• 2004 to Present, Principal and Senior Compliance Officer, SSgA Funds Management, Inc.; Vice President, State Street Global Advisors; and • 1999-2004, Senior Manager, PricewaterhouseCoopers LLC.
Gregory J. Lyons Born August 24, 1960 909 A Street Tacoma, WA 98402	Secretary since 2007 and Chief Legal Officer since 2008	Until successor is chosen and qualified by Trustees	• US General Counsel and Assistant Secretary, Frank Russell Company, • Director and Assistant Secretary, Russell Insurance Agency, Inc.; • Secretary, Russell Investment Management Company, Russell Financial Services, Inc., and Russell Fund Services Company; • Secretary and Chief Legal Counsel, Russell Investment Company and Russell Investment Funds; and • Secretary and US General Counsel, Russell Trust Company, Russell Institutional Funds Management LLC.

Disclosure of Information about Fund Trustees and Officers
22

SSgA
S&P 500 Index Fund

State Street Financial Center

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

Trustees

Lynn L. Anderson

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

Julie B. Piatelli, Chief Compliance Officer

Gregory J. Lyons, Secretary and Chief Legal Officer

Rick Chase, Assistant Treasurer

Ross E. Erickson, Assistant Treasurer

Kimberlee A. Lloyd, Assistant Treasurer

David J. Craig, Assistant Treasurer

Carla L. Anderson, Assistant Secretary

Sandra G. Richardson, Assistant Secretary

Investment Adviser

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
909 A Street
Tacoma, Washington 98402

Legal Counsel

Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109

Fund Management and Service Providers
23

This page has been intentionally left blank.

State Street Equity 500 Index Portfolio

Portfolio of Investments

February 28, 2009 (Unaudited)

		Market
		Value
	Shares	(000)
		��
COMMON STOCKS — 97.3%
Consumer Discretionary — 8.4%
Abercrombie & Fitch Co. Class A	15,846	$	348
Amazon.Com, Inc. (a)	61,592	3,991
Apollo Group, Inc. Class A (a)	20,329	1,474
AutoNation, Inc. (a)	23,063	230
AutoZone, Inc. (a)	7,664	1,090
Bed Bath & Beyond, Inc. (a)	49,845	1,062
Best Buy Co., Inc.	66,019	1,903
Big Lots, Inc. (a)	16,227	252
Black & Decker Corp.	11,937	283
Carnival Corp.	84,650	1,656
CBS Corp. Class B	130,703	558
Centex Corp.	24,082	150
Coach, Inc. (a)	63,228	884
Comcast Corp. Class A	551,448	7,202
D.R. Horton, Inc.	52,876	447
Darden Restaurants, Inc.	25,688	697
DIRECTV Group, Inc. (a)	104,377	2,081
Eastman Kodak Co.	54,482	174
eBay, Inc. (a)	206,503	2,245
Expedia, Inc. (a)	39,215	312
Family Dollar Stores, Inc.	26,858	737
Ford Motor Co. (a)	462,398	925
Fortune Brands, Inc.	27,745	659
GameStop Corp. (a)	32,400	872
Gannett Co., Inc.	42,074	136
Gap, Inc.	87,698	946
General Motors Corp.	122,645	276
Genuine Parts Co.	30,509	858
Goodyear Tire & Rubber Co. (a)	45,257	201
H&R Block, Inc.	66,715	1,274
Harley-Davidson, Inc.	43,201	436
Harman International Industries, Inc.	10,521	112
Hasbro, Inc.	24,425	559
Home Depot, Inc.	328,412	6,860
Host Hotels & Resorts, Inc.	100,665	372
International Game Technology	55,119	486
Interpublic Group of Cos., Inc. (a)	83,694	319
JC Penney Co., Inc.	40,310	618
Johnson Controls, Inc.	117,386	1,336
Jones Apparel Group, Inc.	13,434	36
KB HOME	14,794	132
Kohl’s Corp. (a)	58,433	2,053
Leggett & Platt, Inc.	27,898	319
Lennar Corp. Class A	27,931	187
Limited Brands	48,767	375
Lowe’s Cos., Inc.	284,862	4,512
Macy’s, Inc.	76,523	602
Marriot International, Inc. Class A	57,321	812
Mattel, Inc.	66,976	793
McDonald’s Corp.	215,225	11,245
McGraw-Hill, Inc.	60,266	1,189
Meredith Corp.	7,889	101
New York Times Co. Class A	22,922	95
Newell Rubbermaid, Inc.	51,593	291
News Corp. Class A	442,209		2,459
NIKE, Inc. Class B	75,052	3,117
Nordstrom, Inc.	32,733	441
Office Depot, Inc. (a)	51,256	54
Omnicom Group, Inc.	59,741	1,436
Polo Ralph Lauren Corp.	10,615	366
Pulte Homes, Inc.	41,426	380
Radioshack Corp.	26,203	192
Scripps Networks Interactive, Inc. Class A	16,835	335
Sears Holdings Corp. (a)	10,274	378
Sherwin-Williams Co.	18,396	845
Snap-On, Inc.	11,612	274
Stanley Works	14,583	390
Staples, Inc.	137,733	2,197
Starbucks Corp. (a)	145,061	1,327
Starwood Hotels & Resorts Worldwide, Inc.	33,647	390
Target Corp.	144,816	4,100
Tiffany & Co.	22,280	424
Time Warner, Inc.	695,973	5,310
TJX Cos., Inc.	81,606	1,817
V.F. Corp.	16,793	872
Viacom, Inc. Class B (a)	120,622	1,856
Walt Disney Co.	354,245	5,941
Washington Post Co. Class B	1,060	382
Whirlpool Corp.	13,761	306
Wyndham Worldwide Corp.	34,299	127
Wynn Resorts, Ltd. (a)	12,200	256
Yum! Brands, Inc.	86,692	2,278
		106,013
Consumer Staples — 13.1%
Altria Group, Inc.	399,299	6,165
Archer-Daniels-Midland Co.	120,924	3,224
Avon Products, Inc.	80,660	1,419
Brown-Forman Corp. Class B	18,655	802
Campbell Soup Co.	39,265	1,051
Clorox Co.	27,343	1,329
Coca-Cola Co.	383,811	15,679
Coca-Cola Enterprises, Inc.	62,501	718
Colgate-Palmolive Co.	97,901	5,892
ConAgra Foods, Inc.	84,075	1,268
Constellation Brands, Inc. Class A (a)	37,426	488
Costco Wholesale Corp.	82,789	3,505
CVS Corp.	275,132	7,082
Dean Foods Co. (a)	29,658	606
Dr Pepper Snapple Group, Inc. (a)	51,300	721
Estee Lauder Cos, Inc. Class A	23,252	527
General Mills, Inc.	64,632	3,392
H.J. Heinz Co.	60,269	1,969
Kellogg Co.	48,335	1,881
Kimberly-Clark Corp.	80,500	3,792
Kraft Foods, Inc.	284,509	6,481
Kroger Co.	124,876	2,581
Lorillard, Inc.	32,461	1,897

25

		Market
		Value
	Shares	(000)
Consumer Staples — (continued)
McCormick & Co., Inc.	24,853	$	779
Molson Coors Brewing Co., Class B	28,562	1,006
Pepsi Bottling Group, Inc.	26,753	495
PepsiCo, Inc.	299,656	14,425
Philip Morris International, Inc.	390,499	13,070
Procter & Gamble Co.	575,319	27,713
Reynolds American, Inc.	33,487	1,124
Safeway, Inc.	84,364	1,561
Sara Lee Corp.	140,534	1,084
SuperValu, Inc.	41,948	655
Sysco Corp.	114,809	2,468
The Hershey Company	31,782	1,071
The J.M. Smucker Co.	22,760	845
Tyson Foods, Inc., Class A	57,835	488
Wal-Mart Stores, Inc.	431,102	21,227
Walgreen Co.	192,318	4,589
Whole Foods Market, Inc.	25,433	309
		165,378
Energy — 13.0%
Anadarko Petroleum Corp.	88,126	3,080
Apache Corp.	65,125	3,848
Baker Hughes, Inc.	60,378	1,770
BJ Services Co.	52,248	505
Cabot Oil & Gas Corp.	20,300	414
Cameron International Corp. (a)	41,400	798
Chesapeake Energy Corp.	103,982	1,626
Chevron Corp. (e)	391,546	23,771
ConocoPhillips	285,930	10,679
Devon Energy Corp.	85,951	3,753
Diamond Offshore Drilling, Inc.	13,200	827
El Paso Corp.	132,492	894
ENSCO International, Inc.	26,077	641
EOG Resources, Inc.	47,717	2,388
ExxonMobil Corp. (e)	979,272	66,493
Halliburton Co.	170,334	2,778
Hess Corp.	54,201	2,964
Marathon Oil Corp.	136,377	3,174
Murphy Oil Corp.	37,541	1,570
Nabors Industries, Ltd. (a)	51,604	501
National Oilwell Varco, Inc. (a)	81,257	2,172
Noble Corp.	50,818	1,250
Noble Energy, Inc.	33,310	1,517
Occidental Petroleum Corp.	155,144	8,047
Pioneer Natural Resources Co.	21,600	315
Range Resources Corp.	29,400	1,046
Rowan Cos., Inc.	19,520	236
Schlumberger, Ltd.	229,175	8,722
Smith International, Inc.	42,934	922
Sunoco, Inc.	21,584	722
Tesoro Corp.	26,365	389
Valero Energy Corp.	99,109	1,921
Williams Cos., Inc.	109,968	1,243
XTO Energy, Inc.	112,452	3,560
		164,536
Financials — 9.8%
AFLAC, Inc.	88,890		1,490
Allstate Corp.	102,006	1,717
American Capital Ltd.	39,402	53
American Express Co.	226,464	2,731
American International Group, Inc.	483,466	203
Ameriprise Financial, Inc.	39,907	636
AON Corp.	52,147	1,994
Apartment Investment & Management Co. Class A	29,552	154
Assurant, Inc.	21,431	437
AvalonBay Communities, Inc.	15,398	653
Bank of America Corp.	1,224,671	4,838
Bank of New York Mellon Corp.	222,685	4,937
BB&T Corp.	109,070	1,759
Boston Properties, Inc.	22,967	852
Capital One Financial Corp.	74,963	903
CB Richard Ellis Group, Inc. Class A (a)	47,275	137
Charles Schwab Corp.	182,193	2,316
Chubb Corp.	66,775	2,607
Cincinnati Financial Corp.	31,214	641
CIT Group, Inc.	75,542	185
Citigroup, Inc.	1,065,402	1,598
CME Group, Inc.	12,891	2,351
Comerica, Inc.	27,144	407
Developers Diversified Realty Corp.	22,824	67
Discover Financial Services	95,905	550
E*Trade Financial Corp. (a)	81,315	65
Equity Residential	51,457	906
Federated Investors, Inc. Class B	15,270	288
Fidelity National Information Services, Inc.	36,777	644
Fifth Third Bancorp	107,116	226
First Horizon National Corp.	40,272	369
Franklin Resources, Inc.	29,880	1,369
Genworth Financial, Inc. Class A	79,351	96
Goldman Sachs Group, Inc.	84,700	7,715
Hartford Financial Services Group, Inc.	58,297	356
HCP, Inc.	46,700	853
Health Care REIT, Inc.	21,400	659
Hudson City Bancorp, Inc.	103,492	1,073
Huntington Bancshares, Inc.	64,656	94
IntercontinentalExchange, Inc. (a)	13,980	794
Invesco Ltd.	75,800	866
J.P. Morgan Chase & Co.	720,215	16,457
Janus Capital Group, Inc.	26,407	117
KeyCorp	93,575	656
Kimco Realty Corp.	41,069	364
Legg Mason, Inc.	26,342	338
Leucadia National Corp. (a)	35,436	518
Lincoln National Corp.	46,692	401
Loews Corp.	69,031	1,370
M & T Bank Corp.	14,137	517
Marsh & McLennan Cos., Inc.	98,453	1,765

26

		Market
		Value
	Shares	(000)
Financials — (continued)
Marshall & Ilsley Corp.	45,493	$	208
Mastercard, Inc. Class A	13,500	2,133
MBIA, Inc. (a)	31,984	88
MetLife, Inc.	154,596	2,854
Moody’s Corp.	38,966	699
Morgan Stanley	203,330	3,973
NASDAQ OMX Group, Inc. (a)	24,600	514
Northern Trust Corp.	43,006	2,389
NYSE Euronext	53,000	895
People’s United Financial Inc.	68,100	1,186
Plum Creek Timber Co., Inc.	33,011	866
PNC Financial Services Group, Inc.	81,517	2,229
Principal Financial Group, Inc.	50,491	403
Progressive Corp. (a)	127,401	1,474
ProLogis	48,091	279
Prudential Financial, Inc.	81,039	1,330
Public Storage, Inc.	23,887	1,325
Regions Financial Corp.	129,789	444
Simon Property Group, Inc.	42,400	1,403
SLM Corp. (a)	91,354	420
State Street Corp. (b)	81,725	2,065
SunTrust Banks, Inc.	66,618	801
T. Rowe Price Group, Inc.	51,275	1,166
Torchmark Corp.	15,621	322
Travelers Cos, Inc.	112,404	4,063
U.S. Bancorp	341,152	4,882
Unum Group	60,829	619
Vornado Realty Trust	26,034	852
Wells Fargo Co.	808,849	9,787
Western Union Co.	141,085	1,575
XL Capital, Ltd. Class A	54,468	180
Zions Bancorp	21,753	204
		124,720
Health Care — 15.1%
Abbott Laboratories	299,306	14,169
Aetna, Inc.	89,250	2,130
Allergan, Inc.	58,392	2,262
AmerisourceBergen Corp.	29,893	949
Amgen, Inc. (a)	203,236	9,944
Baxter International, Inc.	119,161	6,066
Becton, Dickinson & Co.	46,397	2,872
Biogen Idec, Inc. (a)	54,831	2,524
Boston Scientific Corp. (a)	281,334	1,975
Bristol-Myers Squibb Co.	379,238	6,982
C.R. Bard, Inc.	18,697	1,501
Cardinal Health, Inc.	69,857	2,267
Celgene Corp. (a)	89,018	3,982
Cephalon, Inc. (a)	13,400	879
CIGNA Corp.	53,596	845
Coventry Health Care, Inc. (a)	27,603	318
Covidien Ltd.	98,104	3,107
DaVita, Inc. (a)	20,300	952
Dentsply International Inc.	27,200	629
Eli Lilly & Co.	191,475	5,626
Express Scripts, Inc. (a)	47,599		2,394
Forest Laboratories, Inc. (a)	58,202	1,248
Genzyme Corp. (a)	52,692	3,211
Gilead Sciences, Inc. (a)	176,299	7,898
Hospira, Inc. (a)	31,703	735
Humana, Inc. (a)	32,007	758
IMS Health, Inc.	34,832	436
Intuitive Surgical, Inc. (a)	7,500	682
Johnson & Johnson	534,649	26,732
King Pharmaceuticals, Inc. (a)	48,592	357
Laboratory Corp. of America Holdings (a)	20,622	1,134
Life Technologies Corp. (a)	33,687	982
McKesson Corp.	52,955	2,172
Medco Health Solutions, Inc. (a)	96,768	3,927
Medtronic, Inc.	214,178	6,338
Merck & Co., Inc.	405,519	9,814
Millipore Corp. (a)	11,135	613
Mylan Laboratories Inc. (a)	60,109	747
Patterson Cos., Inc. (a)	18,294	331
Pfizer, Inc.	1,300,571	16,010
Quest Diagnostics, Inc.	29,800	1,366
Schering-Plough Corp.	315,255	5,482
St. Jude Medical, Inc. (a)	66,126	2,193
Stryker Corp.	46,089	1,552
Tenet Healthcare Corp. (a)	66,670	74
Thermo Fisher Scientific, Inc. (a)	80,424	2,916
UnitedHealth Group, Inc.	231,196	4,543
Varian Medical Systems, Inc. (a)	22,860	697
Watson Pharmaceuticals, Inc. (a)	20,646	584
Wellpoint, Inc. (a)	97,938	3,322
Wyeth	255,387	10,425
Zimmer Holdings, Inc. (a)	43,552	1,525
		191,177
Industrials — 9.6%
3M Co.	134,272	6,104
Avery Dennison Corp.	18,988	383
Boeing Co.	142,288	4,474
Burlington Northern Santa Fe Corp.	52,882	3,108
Caterpillar, Inc.	113,479	2,793
CH Robinson Worldwide, Inc.	31,961	1,323
Cintas Corp.	25,088	509
Cooper Industries, Ltd. Class A	32,034	676
CSX Corp.	75,538	1,864
Cummins, Inc.	37,258	775
Danaher Corp.	48,986	2,487
Deere & Co.	79,937	2,197
Domtar Corp. (a),(c)	11
Dover Corp.	37,095	925
Eaton Corp.	31,995	1,157
Emerson Electric Co.	149,148	3,990
Equifax, Inc.	23,683	509
Expeditors International Washington, Inc.	40,120	1,105
Fastenal Co.	25,500	768

27

		Market
		Value
	Shares	(000)
Industrials — (continued)
FedEx Corp.	59,500	$	2,571
Flir Systems, Inc. (a)	26,100	533
Flowserve Corp.	10,300	520
Fluor Corp.	35,360	1,176
General Dynamics Corp.	74,661	3,272
General Electric Co. (e)	2,025,733	17,239
Goodrich Co.	24,445	810
Honeywell International, Inc.	139,081	3,732
Illinois Tool Works, Inc.	75,071	2,087
Ingersoll-Rand Co. Class A	63,557	901
Iron Mountain, Inc. (a)	33,700	626
ITT Industries, Inc.	35,192	1,314
Jacobs Engineering Group, Inc. (a)	23,400	790
L-3 Communications Holdings, Inc.	23,503	1,590
Lockheed Martin Corp.	64,652	4,080
Manitowoc Co., Inc.	24,000	98
Masco Corp.	67,523	348
Monster Worldwide, Inc. (a)	22,609	149
Norfolk Southern Corp.	71,255	2,260
Northrop Grumman Corp.	62,811	2,347
PACCAR, Inc.	71,274	1,787
Pall Corp.	22,209	528
Parker-Hannifin Corp.	32,003	1,068
Pitney Bowes, Inc.	40,027	772
Precision Castparts Corp.	26,907	1,491
R.R. Donnelley & Sons Co.	38,309	298
Raytheon Co.	79,082	3,161
Republic Services, Inc.	61,603	1,226
Robert Half International, Inc.	30,640	471
Rockwell Automation, Inc.	27,505	553
Rockwell Collins, Inc.	30,231	943
Ryder Systems, Inc.	9,821	224
Southwest Airlines Co.	147,786	870
Stericycle, Inc. (a)	17,200	825
Textron, Inc.	45,239	256
Total System Services, Inc.	37,775	475
Tyco Electronics Ltd.	86,204	817
Tyco International Ltd.	90,961	1,824
Union Pacific Corp.	98,568	3,698
United Parcel Service, Inc. Class B	190,646	7,851
United Technologies Corp.	182,178	7,438
W.W. Grainger, Inc.	12,169	805
Waste Management, Inc.	95,239	2,571
		121,542
Information Technology — 16.4%
Adobe Systems, Inc. (a)	104,257	1,741
Advanced Micro Devices, Inc. (a)	114,986	251
Affiliated Computer Services, Inc. Class A (a)	18,737	874
Agilent Technologies, Inc. (a)	68,068	944
Akamai Technologies, Inc. (a)	34,224	619
Altera Corp.	58,354	895
Amphenol Corp. Class A	34,300	872
Analog Devices, Inc.	54,669	1,019
Apple Computer, Inc. (a)	171,484		15,315
Applied Materials, Inc.	257,707	2,374
Autodesk, Inc. (a)	41,676	529
Automatic Data Processing, Inc.	99,017	3,382
BMC Software, Inc. (a)	35,621	1,056
Broadcom Corp. Class A (a)	83,259	1,370
CA, Inc.	73,599	1,248
CIENA Corp. (a)	14,529	78
Cisco Systems, Inc. (a)	1,129,419	16,456
Citrix Systems, Inc. (a)	33,467	689
Cognizant Technology Solutions Corp. Class A (a)	54,884	1,010
Computer Sciences Corp. (a)	28,244	981
Compuware Corp. (a)	51,350	304
Convergys Corp. (a)	20,035	129
Corning, Inc.	297,476	3,138
Dell, Inc. (a)	330,450	2,819
Dun & Bradstreet Corp.	9,900	732
Electronic Arts, Inc. (a)	62,700	1,023
EMC Corp. (a)	396,784	4,166
Fiserv, Inc. (a)	29,952	977
Google, Inc. Class A (a)	46,190	15,612
Harris Corp.	26,400	984
Hewlett-Packard Co.	472,716	13,723
Intel Corp.	1,073,656	13,678
International Business Machines Corp.	258,942	23,831
Intuit, Inc. (a)	61,963	1,412
Jabil Circuit, Inc.	39,951	165
Juniper Networks, Inc. (a)	100,793	1,432
KLA-Tencor Corp.	34,105	588
Lexmark International Group, Inc. Class A (a)	15,842	272
Linear Technology Corp.	44,263	965
LSI Corp. (a)	112,662	327
McAfee, Inc. (a)	28,700	802
MEMC Electronic Materials, Inc. (a)	40,878	614
Microchip Technology, Inc.	33,189	623
Micron Technology, Inc. (a)	142,362	458
Microsoft Corp. (e)	1,474,435	23,812
Molex, Inc.	24,805	282
Motorola, Inc.	436,765	1,537
National Semiconductor Corp.	39,396	429
NetApp, Inc. (a)	61,157	822
Novell, Inc. (a)	68,720	217
Novellus Systems, Inc. (a)	20,030	255
NVIDIA Corp. (a)	100,756	834
Oracle Corp. (a)	756,462	11,755
Paychex, Inc.	61,038	1,347
PerkinElmer, Inc.	21,118	272
QLogic Corp. (a)	24,322	224
QUALCOMM, Inc.	317,511	10,614
Salesforce.com, Inc. (a)	21,500	602
SanDisk Corp. (a)	40,167	358
Sun Microsystems, Inc. (a)	142,341	666
Symantec Corp. (a)	159,663	2,208

28

		Market
		Value
	Shares	(000)
Information Technology — (continued)
Tellabs, Inc. (a)	73,830	$	281
Teradata Corp. (a)	33,520	518
Teradyne, Inc. (a)	27,649	114
Texas Instruments, Inc.	252,399	3,622
VeriSign, Inc. (a)	37,521	725
Waters Corp. (a)	18,665	657
Xerox Corp.	161,834	838
Xilinx, Inc.	53,002	937
Yahoo!, Inc. (a)	266,319	3,523
		207,926
Materials — 3.2%
Air Products & Chemicals, Inc.	40,009	1,850
AK Steel Holding Corp.	20,000	124
Alcoa, Inc.	152,249	948
Allegheny Technologies, Inc.	17,528	345
Ball Corp.	17,562	708
Bemis Co., Inc.	17,262	321
CF Industries Holdings, Inc.	11,550	743
Consol Energy, Inc.	36,073	983
Dow Chemical Co.	182,428	1,306
E.I. Du Pont de Nemours & Co.	175,912	3,300
Eastman Chemical Co.	14,204	292
Ecolab, Inc.	33,366	1,060
Freeport-McMoRan Copper & Gold, Inc. Class B	80,552	2,450
International Flavors & Fragrances, Inc.	14,331	377
International Paper Co.	82,811	471
Massey Energy Co.	14,300	165
MeadWestvaco Corp.	32,320	302
Monsanto Co.	104,955	8,005
Newmont Mining Corp.	92,606	3,855
Nucor Corp.	60,254	2,028
Owens-Illinois, Inc. (a)	31,400	484
Pactiv Corp. (a)	23,915	379
Peabody Energy Corp.	50,924	1,205
PPG Industries, Inc.	31,871	990
Praxair, Inc.	59,011	3,349
Rohm & Haas Co.	24,406	1,271
Sealed Air Corp.	28,492	318
Sigma-Aldrich Corp.	23,934	854
Titanium Metals Corp.	16,600	97
United States Steel Corp.	20,978	413
Vulcan Materials Co.	20,861	864
Weyerhaeuser Co.	42,137	1,018
		40,875
Telecommunication Services — 4.0%
American Tower Corp. Class A (a)	74,100	2,158
AT&T, Inc.	1,135,650	26,994
CenturyTel, Inc.	19,441	512
Embarq Corp.	27,397	958
Fairpoint Communications, Inc. (c)	8	—
Frontier Communications Corp.	60,384	435
JDS Uniphase Corp. (a)	42,723	118
Qwest Communications International, Inc.	283,890		962
Sprint Nextel Corp. (a)	555,165	1,827
Verizon Communications, Inc.	548,066	15,636
Windstream Corp.	79,613	594
		50,194
Utilities — 4.7%
AES Corp. (a)	128,395	809
Allegheny Energy, Inc.	33,059	782
Ameren Corp.	41,060	976
American Electric Power Co., Inc.	75,552	2,119
CenterPoint Energy, Inc.	65,611	677
CMS Energy Corp.	45,756	506
Consolidated Edison, Inc.	52,552	1,903
Constellation Energy Group, Inc.	38,914	769
Dominion Resources, Inc.	113,262	3,418
DTE Energy Co.	30,484	816
Duke Energy Corp.	242,320	3,264
Dynegy, Inc. (a)	82,690	107
Edison International	62,119	1,691
Entergy Corp.	36,198	2,439
EQT Corp.	24,300	747
Exelon Corp.	127,521	6,022
FirstEnergy Corp.	58,307	2,482
FPL Group, Inc.	79,521	3,605
Integrys Energy Group, Inc.	14,716	354
Nicor, Inc.	9,400	295
NiSource, Inc.	49,982	437
Pepco Holdings, Inc.	41,700	626
PG&E Corp.	70,126	2,680
Pinnacle West Capital Corp.	20,160	529
PPL Corp.	71,975	2,007
Progress Energy, Inc.	53,381	1,891
Public Service Enterprise Group, Inc.	96,324	2,629
Questar Corp.	32,968	950
SCANA Corp.	22,200	669
Sempra Energy	47,886	1,991
Southern Co.	150,443	4,560
Southwestern Energy Co. (a)	66,900	1,925
Spectra Energy Corp.	118,398	1,539
TECO Energy, Inc.	42,151	404
Wisconsin Energy Corp.	22,800	908
Xcel Energy, Inc.	88,551	1,571
		59,097
TOTAL COMMON STOCKS(Cost $1,460,001,313)		1,231,458

29

	Par		Market
	Amount		Value
	(000)		(000)
U.S. GOVERNMENT SECURITIES — 0.4%
United States Treasury
Bill(d),(e) 0.2% due 06/11/09	$	195	$	195
United States Treasury
Bill(d),(e) 0.2% due 06/11/09	4,620		4,618
TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,812,419)			4,813

	Shares
	(000)
MONEY MARKET FUND — 2.7%
AIM Short Term Investment Prime Portfolio	34,093	34,093
Federated Money Market Obligations Trust	573	573
Total MONEY MARKET FUND (Cost $34,666,420)		34,666
Total Investments† — 100.4% (identified cost $1,499,480,152(f))		1,270,937
Liabilities in Excess of Assets — (0.4)%		(5,094		)
Net Assets — 100.0%		$	1,265,843

(a) Non-income producing security.

(b) Affiliated issuer. See table that follows for more information.

(c) Amount is less than $1,000.

(d) Rate represents annualized yield at date of purchase.

(e) All or part of this security has been designated as collateral for futures contracts.

(f) Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2009 was $226,169,794 and $454,712,468, respectively, resulting in net unrealized depreciation of investments of $228,542,674.

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. 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 value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.

	Number	Unrealized
	of	Depreciation
	Contracts	(000)
Schedule of Futures Contracts
S&P 500 Financial Futures Contracts (long) Expiration Date 03/2009	924	$	(6,709	)
Total unrealized depreciation on open futures contracts purchased		$	(6,709	)

(†) 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

30

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 Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. In accordance with FAS 157, 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 Fund’s investments. FAS 157 established a three tier hierarchy of inputs to establish a classification of fair value measurements and disclosure. 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 Fund’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, 2009, in valuing the Fund’s assets carried at fair value:

	Investments		Other
Valuation	in		Financial
Inputs	Securities		Instruments*
Level 1 – Quoted Prices	$	1,266,125,059	$	(6,709,025	)
Level 2 – Other Significant Observable Inputs	4,812,419		—
Level 3 – Significant Unobservable Inputs	—		—
Total	$	1,270,937,478	$	(6,709,025	)

*Other financial instruments include futures contracts.

In March 2008, the Financial Accounting Standards board (“FASB”) issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“SFAS 161”). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds’ derivative and hedging activities. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Funds’ financial statement disclosures.

31

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, 2009 is listed in the Portfolio of Investments.

							Income Earned		Realized
			Shares sold		Value		for the 2		Gain/Loss
		Shares purchased	for the 2		at		months ended		on shares
Security	Number of shares	for the 2 months	months ended	Number of shares	2/28/09		2/28/09		sold
Description	held at 12/31/08	ended 2/28/09	2/28/09	held at 2/28/09	(000)		(000)		(000)
State Street Corp.	81,725	—	—	81,725	$	2,065	$	20	—

32

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

February 28, 2009 (Unaudited)

(Amounts in thousands)

Assets
Investments in unaffiliated issuers at market (identified cost $1,495,906)	$	1,268,872
Investments in non-controlled affiliates at market (identified cost $3,574)	2,065
	1,270,937
Receivables:
Investment securities sold	1,233
Dividends and interest	5,108
Total assets	1,277,278
Liabilities
Payables:
Investment securities purchased	10,563
Daily variation margin on futures contracts	822
Management fees	50
Total liabilities	11,435
Net Assets	$	1,265,843

33

State Street Equity 500 Index Portfolio

Portfolio of Investments

December 31, 2008

		Market
		Value
	Shares	(000)
COMMON STOCKS — 97.3%
Consumer Discretionary — 8.4%
Abercrombie & Fitch Co. Class A	15,846	$	366
Amazon. Com, Inc. (a)	59,892	3,071
Apollo Group, Inc. Class A (a)	20,329	1,558
AutoNation, Inc. (a)	23,063	228
AutoZone, Inc. (a)	7,864	1,097
Bed Bath & Beyond, Inc. (a)	49,845	1,267
Best Buy Co., Inc.	62,919	1,769
Big Lots, Inc. (a)	16,227	235
Black & Decker Corp.	11,937	499
Carnival Corp.	80,550	1,959
CBS Corp. Class B	130,703	1,070
Centex Corp.	24,082	256
Coach, Inc. (a)	63,228	1,313
Comcast Corp. Class A	547,948	9,249
D.R. Horton, Inc.	52,876	374
Darden Restaurants, Inc.	25,688	724
DIRECTV Group, Inc. (a)	104,377	2,391
Eastman Kodak Co.	54,482	358
eBay, Inc. (a)	206,503	2,883
Expedia, Inc. (a)	39,215	323
Family Dollar Stores, Inc.	26,858	700
Ford Motor Co. (a)	462,398	1,059
Fortune Brands, Inc.	27,745	1,145
GameStop Corp. (a)	29,000	628
Gannett Co., Inc.	42,074	337
Gap, Inc.	87,698	1,174
General Motors Corp.	122,645	392
Genuine Parts Co.	30,509	1,155
Goodyear Tire & Rubber Co. (a)	45,257	270
H&R Block, Inc.	62,615	1,423
Harley-Davidson, Inc.	43,201	733
Harman International Industries, Inc.	10,521	176
Hasbro, Inc.	24,425	712
Home Depot, Inc.	318,512	7,332
Host Hotels & Resorts, Inc.	100,665	762
International Game Technology	55,119	655
Interpublic Group of Cos., Inc. (a)	83,694	331
JC Penney Co., Inc.	40,310	794
Johnson Controls, Inc.	110,886	2,014
Jones Apparel Group, Inc.	13,434	79
KB HOME	14,794	202
Kohl’s Corp. (a)	56,033	2,028
Leggett & Platt, Inc.	27,898	424
Lennar Corp. Class A	27,931	242
Limited Brands	48,767	490
Lowe’s Cos., Inc.	274,062	5,898
Macy’s, Inc.	76,523	792
Marriot International, Inc. Class A	57,321	1,115
Mattel, Inc.	66,976	1,072
McDonald’s Corp.	210,525	13,093
McGraw-Hill, Inc.	60,266	1,398
Meredith Corp.	7,889	135
New York Times Co. Class A	22,922	168
Newell Rubbermaid, Inc.	51,593	505
News Corp. Class A	431,009	3,918
NIKE, Inc. Class B	73,252	3,736
Nordstrom, Inc.	27,033	360
Office Depot, Inc. (a)	51,256	153
Omnicom Group, Inc.	59,741	1,608
Polo Ralph Lauren Corp.	10,615	482
Pulte Homes, Inc.	41,426	453
Radioshack Corp.	26,203	313
Scripps Networks Interactive, Inc. Class A	16,835	370
Sears Holdings Corp. (a)	10,274	399
Sherwin-Williams Co.	18,396	1,099
Snap-On, Inc.	11,612	457
Stanley Works	14,583	497
Staples, Inc.	132,933	2,382
Starbucks Corp. (a)	136,061	1,287
Starwood Hotels & Resorts Worldwide, Inc.	33,647	602
Target Corp.	141,816	4,897
Tiffany & Co.	22,280	526
Time Warner, Inc.	672,173	6,762
TJX Cos., Inc.	77,406	1,592
V.F. Corp.	16,793	920
Viacom, Inc. Class B (a)	115,622	2,204
Walt Disney Co.	349,345	7,927
Washington Post Co. Class B	1,060	414
Whirlpool Corp.	13,761	569
Wyndham Worldwide Corp.	34,299	225
Wynn Resorts, Ltd. (a)	12,200	516
Yum! Brands, Inc.	87,192	2,747
		127,838
Consumer Staples — 12.5%
Altria Group, Inc.	385,299	5,803
Archer-Daniels-Midland Co.	121,724	3,509
Avon Products, Inc.	80,660	1,938
Brown-Forman Corp. Class B	18,655	961
Campbell Soup Co.	39,265	1,178
Clorox Co.	25,643	1,425
Coca-Cola Co.	375,311	16,990
Coca-Cola Enterprises, Inc.	62,501	752
Colgate-Palmolive Co.	95,001	6,512
ConAgra Foods, Inc.	84,075	1,387
Constellation Brands, Inc. Class A (a)	37,426	590
Costco Wholesale Corp.	81,089	4,257
CVS Corp.	269,032	7,732
Dean Foods Co. (a)	29,658	533
Dr Pepper Snapple Group, Inc. (a)	45,800	744
Estee Lauder Cos, Inc. Class A	20,552	636
General Mills, Inc.	62,932	3,823
H.J. Heinz Co.	57,769	2,172
Kellogg Co.	45,935	2,014
Kimberly-Clark Corp.	77,200	4,072
Kraft Foods, Inc.	277,909	7,462
Kroger Co.	121,476	3,208
Lorillard, Inc.	32,461	1,829

See Notes to Financial Statements

34

		Market
		Value
	Shares	(000)
Consumer Staples — (continued)
McCormick & Co., Inc.	24,853	$	792
Molson Coors Brewing Co., Class B	28,562	1,397
Pepsi Bottling Group, Inc.	26,753	602
PepsiCo, Inc.	292,856	16,040
Philip Morris International, Inc.	381,699	16,608
Procter & Gamble Co.	562,619	34,781
Reynolds American, Inc.	31,387	1,265
Safeway, Inc.	80,364	1,910
Sara Lee Corp.	130,834	1,281
SuperValu, Inc.	37,648	550
Sysco Corp.	111,909	2,567
The Hershey Company	31,782	1,104
The J.M. Smucker Co.	22,760	987
Tyson Foods, Inc., Class A	57,835	507
UST Corp.	27,837	1,931
Wal-Mart Stores, Inc.	421,502	23,630
Walgreen Co.	184,018	4,540
Whole Foods Market, Inc.	25,433	240
		190,259
Energy — 12.6%
Anadarko Petroleum Corp.	88,126	3,397
Apache Corp.	62,325	4,645
Baker Hughes, Inc.	57,578	1,847
BJ Services Co.	52,248	610
Cabot Oil & Gas Corp.	20,300	528
Cameron International Corp. (a)	41,400	849
Chesapeake Energy Corp.	97,582	1,578
Chevron Corp. (e)	383,846	28,393
ConocoPhillips	281,330	14,573
Devon Energy Corp.	82,951	5,451
El Paso Corp.	132,492	1,037
ENSCO International, Inc.	26,077	740		��
EOG Resources, Inc.	46,717	3,110
Equitable Resources, Inc.	24,300	815
ExxonMobil Corp. (e)	957,872	76,467
Halliburton Co.	170,334	3,097
Hess Corp.	52,501	2,816
Marathon Oil Corp.	133,077	3,641
Murphy Oil Corp.	35,641	1,581
Nabors Industries, Ltd. (a)	51,604	618
National Oilwell Varco, Inc. (a)	78,157	1,910
Noble Corp.	50,818	1,123
Noble Energy, Inc.	31,510	1,551
Occidental Petroleum Corp.	152,144	9,127
Pioneer Natural Resources Co.	21,600	349
Range Resources Corp.	29,400	1,011
Rowan Cos., Inc.	19,520	310
Schlumberger, Ltd.	224,675	9,511
Smith International, Inc.	39,634	907
Sunoco, Inc.	21,584	938
Tesoro Corp.	26,365	347
Valero Energy Corp.	99,109	2,145
Weatherford International Ltd. (a)	127,010	1,374
Williams Cos., Inc.	109,968	1,592
XTO Energy, Inc.	109,552	3,864
		191,852
Financials — 13.1%
AFLAC, Inc.	88,890	4,075
Allstate Corp.	102,006	3,342
American Capital Ltd.	39,402	128
American Express Co.	216,164	4,010
American International Group, Inc.	483,466	759
Ameriprise Financial, Inc.	39,907	932
AON Corp.	52,147	2,382
Apartment Investment & Management Co. Class A	24,281	280
Assurant, Inc.	21,431	643
AvalonBay Communities, Inc.	14,653	888
Bank of America Corp.	947,062	13,335
Bank of New York Mellon Corp.	214,285	6,071
BB&T Corp.	102,870	2,825
Boston Properties, Inc.	22,967	1,263
Capital One Financial Corp.	74,963	2,391
CB Richard Ellis Group, Inc. Class A (a)	47,275	204
Charles Schwab Corp.	175,393	2,836
Chubb Corp.	67,475	3,441
Cincinnati Financial Corp.	31,214	907
CIT Group, Inc.	54,842	249
Citigroup, Inc.	1,030,602	6,915
CME Group, Inc.	12,391	2,579
Comerica, Inc.	27,144	539
Developers Diversified Realty Corp.	22,824	111
Discover Financial Services	85,605	816
E*Trade Financial Corp. (a)	81,315	94
Equity Residential	51,457	1,534
Federated Investors, Inc. Class B	15,270	259
Fidelity National Information Services, Inc.	36,777	598
Fifth Third Bancorp	107,116	885
First Horizon National Corp.	40,272	426
Franklin Resources, Inc.	28,180	1,797
Genworth Financial, Inc. Class A	79,351	225
Goldman Sachs Group, Inc.	83,700	7,063
Hartford Financial Services Group, Inc.	58,297	957
HCP, Inc.	46,700	1,297
Hudson City Bancorp, Inc.	95,992	1,532
Huntington Bancshares, Inc.	64,656	495
IntercontinentalExchange, Inc. (a)	13,980	1,152
Invesco Ltd.	69,400	1,002
J.P. Morgan Chase & Co.	703,715	22,188
Janus Capital Group, Inc.	26,407	212
KeyCorp	93,575	797
Kimco Realty Corp.	41,069	751
Legg Mason, Inc.	26,342	577
Leucadia National Corp. (a)	31,136	616
Lincoln National Corp.	46,692	880
Loews Corp.	69,031	1,950

See Notes to Financial Statements

35

		Market
		Value
	Shares	(000)
Financials — (continued)
M & T Bank Corp.	14,137	$	812
Marsh & McLennan Cos., Inc.	94,753	2,300
Marshall & Ilsley Corp.	45,493	621
Mastercard, Inc. Class A	13,600	1,944
MBIA, Inc. (a)	31,984	130
Merrill Lynch & Co., Inc.	304,490	3,544
MetLife, Inc.	150,396	5,243
Moody’s Corp.	35,466	712
Morgan Stanley	205,330	3,293
NASDAQ OMX Group, Inc. (a)	24,600	608
National City Corp.	384,354	696
Northern Trust Corp.	41,706	2,175
NYSE Euronext	48,800	1,336
People’s United Financial Inc.	63,600	1,134
Plum Creek Timber Co., Inc.	33,011	1,147
PNC Financial Services Group, Inc.	64,051	3,138
Principal Financial Group, Inc.	46,591	1,052
Progressive Corp.	127,401	1,887
ProLogis	48,091	668
Prudential Financial, Inc.	81,039	2,452
Public Storage, Inc.	23,887	1,899
Regions Financial Corp.	129,789	1,033
Simon Property Group, Inc.	42,400	2,253
SLM Corp. (a)	83,254	741
Sovereign Bancorp, Inc. (a)	105,974	316
State Street Corp. (b)	81,725	3,214
SunTrust Banks, Inc.	66,618	1,968
T. Rowe Price Group, Inc.	48,075	1,704
Torchmark Corp.	15,621	698
Travelers Cos, Inc.	110,204	4,981
U.S. Bancorp	331,752	8,297
Unum Group	66,529	1,237
Vornado Realty Trust	26,034	1,571
Wachovia Corp.	399,078	2,211
Wells Fargo Co.	714,593	21,066
Western Union Co.	134,085	1,923
XL Capital, Ltd. Class A	54,468	202
Zions Bancorp	21,753	533
		199,947
Health Care — 14.3%
Abbott Laboratories	292,706	15,622
Aetna, Inc.	89,650	2,555
Allergan, Inc.	58,392	2,354
AmerisourceBergen Corp.	29,893	1,066
Amgen, Inc. (a)	200,036	11,552
Baxter International, Inc.	117,361	6,289
Becton, Dickinson & Co.	45,197	3,091
Biogen Idec, Inc. (a)	55,031	2,621
Boston Scientific Corp. (a)	283,034	2,191
Bristol-Myers Squibb Co.	369,638	8,594
C. R. Bard, Inc.	18,697	1,575
Cardinal Health, Inc.	67,557	2,329
Celgene Corp. (a)	85,618	4,733
Cephalon, Inc. (a)	12,400	955
CIGNA Corp.	53,596	903
Coventry Health Care, Inc. (a)	27,603	411
Covidien Ltd.	95,704	3,468
DaVita, Inc. (a)	20,300	1,006
Dentsply International Inc.	27,200	768
Eli Lilly & Co.	187,675	7,558
Express Scripts, Inc. (a)	46,299	2,546
Forest Laboratories, Inc. (a)	58,202	1,482
Genzyme Corp. (a)	49,892	3,311
Gilead Sciences, Inc. (a)	173,899	8,893
Hospira, Inc. (a)	28,503	765
Humana, Inc. (a)	32,007	1,193
IMS Health, Inc.	34,832	528
Intuitive Surgical, Inc. (a)	7,500	953
Johnson & Johnson	522,149	31,240
King Pharmaceuticals, Inc. (a)	48,592	516
Laboratory Corp. of America Holdings (a)	20,622	1,328
Life Technologies Corp. (a)	31,287	729
McKesson Corp.	50,655	1,962
Medco Health Solutions, Inc. (a)	94,468	3,959
Medtronic, Inc.	210,278	6,607
Merck & Co., Inc.	401,219	12,197
Millipore Corp. (a)	9,535	491
Mylan Laboratories Inc. (a)	60,109	595
Patterson Cos., Inc. (a)	18,294	343
Pfizer, Inc.	1,271,271	22,514
Quest Diagnostics, Inc.	29,800	1,547
Schering-Plough Corp.	306,055	5,212
St. Jude Medical, Inc. (a)	63,126	2,081
Stryker Corp.	46,089	1,841
Tenet Healthcare Corp. (a)	66,670	77
Thermo Fisher Scientific, Inc. (a)	78,524	2,675
UnitedHealth Group, Inc.	226,996	6,038
Varian Medical Systems, Inc. (a)	22,860	801
Watson Pharmaceuticals, Inc. (a)	20,646	549
Wellpoint, Inc. (a)	95,838	4,038
Wyeth	248,887	9,336
Zimmer Holdings, Inc. (a)	41,652	1,684
		217,672
Industrials — 10.9%
3M Co.	130,572	7,513
Avery Dennison Corp.	18,988	621
Boeing Co.	138,988	5,931
Burlington Northern Santa Fe Corp.	52,982	4,011
Caterpillar, Inc.	114,479	5,114
CH Robinson Worldwide, Inc.	31,961	1,759
Cintas Corp.	25,088	583
Cooper Industries, Ltd. Class A	32,034	936
CSX Corp.	75,538	2,453
Cummins, Inc.	37,258	996
Danaher Corp.	47,386	2,683
Deere & Co.	80,637	3,090
Domtar Corp. (a),(c)	11	—
Dover Corp.	34,295	1,129

See Notes to Financial Statements

36

		Market
		Value
	Shares	(000)
Industrials — (continued)
Eaton Corp.	30,295	$	1,506
Emerson Electric Co.	144,148	5,277
Equifax, Inc.	23,683	628
Expeditors International Washington, Inc.	40,120	1,335
Fastenal Co.	23,200	809
FedEx Corp.	58,100	3,727
Flir Systems, Inc. (a)	26,100	803
Flowserve Corp.	10,300	530
Fluor Corp.	33,460	1,501
General Dynamics Corp.	74,961	4,317
General Electric Co. (e)	1,979,233	32,064
Goodrich Co.	24,445	905
Honeywell International, Inc.	140,381	4,609
Illinois Tool Works, Inc.	75,071	2,631
Ingersoll-Rand Co. Class A	58,457	1,014
ITT Industries, Inc.	33,492	1,540
Jacobs Engineering Group, Inc. (a)	23,400	1,126
L-3 Communications Holdings, Inc.	22,303	1,646
Lockheed Martin Corp.	62,652	5,268
Manitowoc Co., Inc.	24,000	208
Masco Corp.	67,523	752
Monster Worldwide, Inc. (a)	22,609	273
Norfolk Southern Corp.	69,355	3,263
Northrop Grumman Corp.	62,811	2,829
PACCAR, Inc.	67,874	1,941
Pall Corp.	22,209	631
Parker-Hannifin Corp.	31,803	1,353
Pitney Bowes, Inc.	40,027	1,020
Precision Castparts Corp.	25,507	1,517
R. R. Donnelley & Sons Co.	38,309	520
Raytheon Co.	77,482	3,955
Republic Services, Inc.	61,603	1,527
Robert Half International, Inc.	30,640	638
Rockwell Automation, Inc.	27,505	887
Rockwell Collins, Inc.	30,231	1,182
Ryder Systems, Inc.	9,821	381
Southwest Airlines Co.	136,186	1,174
Stericycle, Inc. (a)	15,600	812
Textron, Inc.	45,239	627
Total System Services, Inc.	37,775	529
Tyco Electronics Ltd.	86,204	1,397
Tyco International Ltd.	87,961	1,900
Union Pacific Corp.	94,368	4,511
United Parcel Service, Inc. Class B	189,246	10,439
United Technologies Corp.	181,078	9,706
W. W. Grainger, Inc.	12,169	959
Waste Management, Inc.	92,139	3,053
		166,039
Information Technology — 14.4%
Adobe Systems, Inc. (a)	99,657	2,122
Advanced Micro Devices, Inc. (a)	114,986	248
Affiliated Computer Services, Inc. Class A (a)	18,737	861
Agilent Technologies, Inc. (a)	68,068	1,064
Akamai Technologies, Inc. (a)	29,424	444
Altera Corp.	58,354	975
Amphenol Corp. Class A	31,900	765
Analog Devices, Inc.	54,669	1,040
Apple Computer, Inc. (a)	167,684	14,312
Applied Materials, Inc.	248,807	2,520
Autodesk, Inc. (a)	41,676	819
Automatic Data Processing, Inc.	94,317	3,710
BMC Software, Inc. (a)	35,621	959
Broadcom Corp. Class A (a)	83,259	1,413
CA, Inc.	73,599	1,364
CIENA Corp. (a)	14,529	97
Cisco Systems, Inc. (a)	1,106,619	18,038
Citrix Systems, Inc. (a)	33,467	789
Cognizant Technology Solutions Corp. Class A (a)	54,884	991
Computer Sciences Corp. (a)	28,244	992
Compuware Corp. (a)	51,350	347
Convergys Corp. (a)	20,035	128
Corning, Inc.	297,476	2,835
Dell, Inc. (a)	322,450	3,302
Dun & Bradstreet Corp.	9,900	764
Electronic Arts, Inc. (a)	58,200	934
EMC Corp. (a)	388,384	4,066
Fiserv, Inc. (a)	29,952	1,089
Google, Inc. Class A (a)	45,190	13,903
Harris Corp.	24,100	917
Hewlett-Packard Co.	462,016	16,767
Intel Corp.	1,053,556	15,445
International Business Machines Corp.	253,242	21,313
Intuit, Inc. (a)	58,463	1,391
Jabil Circuit, Inc.	39,951	270
Juniper Networks, Inc. (a)	100,793	1,765
KLA-Tencor Corp.	34,105	743
Lexmark International Group, Inc. Class A (a)	15,842	426
Linear Technology Corp.	40,863	904
LSI Corp. (a)	112,662	371
McAfee, Inc. (a)	28,700	992
MEMC Electronic Materials, Inc. (a)	40,878	584
Microchip Technology, Inc.	33,189	648
Micron Technology, Inc. (a)	142,362	376
Microsoft Corp. (e)	1,441,835	28,029
Molex, Inc.	24,805	359
Motorola, Inc.	417,065	1,848
National Semiconductor Corp.	39,396	397
NetApp, Inc. (a)	61,157	854
Novell, Inc. (a)	68,720	267
Novellus Systems, Inc. (a)	20,030	247
NVIDIA Corp. (a)	100,756	813
Oracle Corp. (a)	733,462	13,004
Paychex, Inc.	61,038	1,604
PerkinElmer, Inc.	21,118	294
QLogic Corp. (a)	24,322	327

See Notes to Financial Statements

37

		Market
		Value
	Shares	(000)
Information Technology — (continued)
QUALCOMM, Inc.	312,711	$	11,204
Salesforce. com, Inc. (a)	18,600	595
SanDisk Corp. (a)	40,167	386
Sun Microsystems, Inc. (a)	142,341	544
Symantec Corp. (a)	159,663	2,159
Tellabs, Inc. (a)	73,830	304
Teradata Corp. (a)	33,520	497
Teradyne, Inc. (a)	27,649	117
Texas Instruments, Inc.	247,399	3,840
VeriSign, Inc. (a)	37,521	716
Waters Corp. (a)	18,665	684
Xerox Corp.	161,834	1,290
Xilinx, Inc.	53,002	944
Yahoo!, Inc. (a)	260,319	3,176
		218,302
Materials — 3.1%
Air Products & Chemicals, Inc.	40,009	2,011
AK Steel Holding Corp.	20,000	186
Alcoa, Inc.	152,249	1,714
Allegheny Technologies, Inc.	17,528	447
Ball Corp.	17,562	730
Bemis Co., Inc.	17,262	409
CF Industries Holdings, Inc.	10,150	499
Consol Energy, Inc.	33,273	951
Dow Chemical Co.	173,228	2,614
E. I. Du Pont de Nemours & Co.	168,412	4,261
Eastman Chemical Co.	14,204	450
Ecolab, Inc.	33,566	1,180
Freeport-McMoRan Copper & Gold, Inc. Class B	70,752	1,729
International Flavors & Fragrances, Inc.	14,331	426
International Paper Co.	82,811	977
Massey Energy Co.	14,300	197
MeadWestvaco Corp.	32,320	362
Monsanto Co.	103,355	7,271
Newmont Mining Corp.	86,206	3,509
Nucor Corp.	58,554	2,705
Owens-Illinois, Inc. (a)	31,400	858
Pactiv Corp. (a)	23,915	595
Peabody Energy Corp.	50,924	1,159
PPG Industries, Inc.	29,871	1,267
Praxair, Inc.	59,011	3,503
Rohm & Haas Co.	23,006	1,422
Sealed Air Corp.	28,492	426
Sigma-Aldrich Corp.	23,934	1,011
Titanium Metals Corp.	16,600	146
United States Steel Corp.	20,978	780
Vulcan Materials Co.	20,861	1,452
Weyerhaeuser Co.	38,837	1,189
		46,436
Telecommunication Services — 3.7%
American Tower Corp. Class A (a)	74,300	2,179
AT&T, Inc.	1,110,550	31,651
CenturyTel, Inc.	19,441	531
Embarq Corp.	27,397	985
Fairpoint Communications, Inc. (c)	8	—
Frontier Communications Corp.	60,384	528
JDS Uniphase Corp. (a)	42,723	156
Qwest Communications International, Inc.	283,890	1,033
Sprint Nextel Corp. (a)	517,465	947
Verizon Communications, Inc.	532,566	18,054
Windstream Corp.	79,613	732
		56,796
Utilities — 4.3%
AES Corp. (a)	128,395	1,058
Allegheny Energy, Inc.	30,759	1,042
Ameren Corp.	38,360	1,276
American Electric Power Co., Inc.	75,952	2,528
CenterPoint Energy, Inc.	65,611	828
CMS Energy Corp.	38,856	393
Consolidated Edison, Inc.	50,152	1,952
Constellation Energy Group, Inc.	34,414	863
Dominion Resources, Inc.	108,262	3,880
DTE Energy Co.	30,484	1,087
Duke Energy Corp.	236,920	3,556
Dynegy, Inc. (a)	82,690	165
Edison International	62,119	1,995
Entergy Corp.	36,198	3,009
Exelon Corp.	123,321	6,858
FirstEnergy Corp.	56,507	2,745
FPL Group, Inc.	76,721	3,861
Integrys Energy Group, Inc.	14,716	633
Nicor, Inc.	7,400	257
NiSource, Inc.	49,982	548
Pepco Holdings, Inc.	41,700	741
PG&E Corp.	67,626	2,618
Pinnacle West Capital Corp.	17,760	571
PPL Corp.	69,075	2,120
Progress Energy, Inc.	49,081	1,956
Public Service Enterprise Group, Inc.	96,324	2,810
Questar Corp.	32,968	1,078
SCANA Corp.	22,200	789
Sempra Energy	45,686	1,948
Southern Co.	144,743	5,355
Southwestern Energy Co. (a)	64,000	1,854
Spectra Energy Corp.	113,398	1,785
TECO Energy, Inc.	42,151	521
Wisconsin Energy Corp.	21,200	890
Xcel Energy, Inc.	83,951	1,557
		65,127
TOTAL COMMON STOCKS (Cost $1,445,363,525)		1,480,268

See Notes to Financial Statements

38

	Par		Market
	Amount		Value
	(000)		(000)
U.S. GOVERNMENT SECURITIES — 0.3%
United States Treasury
Bill(d)(e) 0.2% due 06/11/09	$	195	$	195
United States Treasury
Bill(d)(e) 0.2% due 06/11/09	4,620		4,616
TOTAL U.S. GOVERNMENTSECURITIES
(Cost $4,810,926)			4,811
	Shares
	(000)
MONEY MARKET FUNDS — 2.3%
AIM Short Term Investment Prime Portfolio	35,121		35,121
Federated Money Market Obligations Trust	571		571
TOTAL MONEY MARKET FUNDS (Cost $35,692,807)			35,692
Total Investments† — 99.9%(identified cost $1,485,867)			1,520,771
Other Assets in Excess of Liabilities — 0.1%			1,437
Net Assets — 100.0%			$	1,522,208

(a) Non-income producing security.

(b) Affiliated issuer. See table that follows for more information.

(c) Amount is less than $1,000.

(d) Rate represents annualized yield at date of purchase.

(e) All or part of this security has been designated as collateral for futures contracts.

† See Note 2 of the Notes to Financial Statements.

	Number	Unrealized
	of	Appreciation
	Contracts	(000)
Schedule of Futures Contracts
S&P 500 Financial Futures Contracts (long) Expiration Date 03/2009	924	$	951
Total unrealized depreciation on open futures contracts purchased		$	951

See Notes to Financial Statements

39

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, 2008 is listed in the Portfolio of Investments.

		Shares
		purchased					Income earned		Realized
		for the 12					for the 12		loss
	Number of	months	Shares sold for	Number of	Value at		months ended		on shares
Security	shares held	ended	the 12 months	shares held at	12/31/08		12/31/08		sold
Description	at 12/31/07	12/31/08	ended 12/31/08	12/31/08	(000)		(000)		(000)
State Street Corp.	70,325	19,000	7,600	81,725	$	3,214	$	72	$	(8	)

See Notes to Financial Statements

40

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

December 31, 2008

(Amounts in thousands)

Assets
Investments in unaffiliated issuers at market (identified cost $1,482,293)	$	1,517,557
Investments in non-controlled affiliates at market (identified cost $3,574) (Note 4)	3,214
Total investments at market (identified cost $1,485,867)	1,520,771
Cash	8
Receivables:
Daily variation margin on futures contracts	545
Dividends and interest	3,390
Total assets	1,524,714
Liabilities
Payables:
Investment securities purchased	2,450
Management fees (Note 4)	56
Total liabilities	2,506
Net Assets	$	1,522,208

See Notes to Financial Statements.

41

State Street Equity 500 Index Portfolio

Statement of Operations

For the Year Ended December 31, 2008

(Amounts in thousands)

Investment Income
Dividend income - unaffiliated issuers				$	45,238
Dividend income - non-controlled affiliated issuer				72
Interest				1,146
Total Investment Income				46,456
Expenses
Management fees (Note 4)	$	893
Total Expenses				893
Net Investment Income				45,563
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments - unaffiliated issuers	1,264
Investments - non-controlled affiliated issuer	(8		)
Futures contracts	(21,109		)
				(19,853		)
Net change in net unrealized appreciation (depreciation) on:
Investments	(898,078		)
Futures contracts	276
				(897,802		)
Net realized and unrealized loss				(917,655		)
Net Decrease in Net Assets Resulting from Operations				$	(872,092	)

See Notes to Financial Statements.

42

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

(Amounts in thousands)

	For the Year			For the Year
	Ended			Ended
	December 31, 2008			December 31, 2007
Increase (Decrease) in Net Assets From:
Operations
Net Investment Income	$	45,563		$	53,117
Net realized gain (loss) on investments and futures contracts	(19,853		)	169,211
Net change in net unrealized appreciation (depreciation)	(897,802		)	(66,481		)
Net increase (decrease) in net assets resulting from operations	(872,092		)	155,847
Capital Transactions
Proceeds from contributions	288,497			328,812
Fair value of withdrawal	(316,574		)	(765,322		)
Withdrawals in-kind	—			(63,656		)
Net decrease in net assets from capital transactions	(28,077		)	(500,166		)
Total Net Decrease in Net Assets	(900,169		)	(344,319		)
Net Assets
Beginning of Year	2,422,377			2,766,696
End of Year	$	1,522,208		$	2,422,377

See Notes to Financial Statements.

43

State Street Equity 500 Index Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:

	Year			Year			Year			Year			Year
	Ended			Ended			Ended			Ended			Ended
	12/31/08			12/31/07			12/31/06			12/31/05			12/31/04
Supplemental Data and Ratios:
Net assets, end of year (in thousands)	$	1,522,208		$	2,422,377		$	2,766,696		$	2,453,109		$	2,767,467
Ratios to average net assets:
Operating expenses	0.045		%	0.045		%	0.045		%	0.045		%	0.045		%
Net investment income	2.30		%	1.96		%	1.94		%	1.84		%	1.97		%
Portfolio turnover rate*	14		%	12		%	10		%	8		%	9		%
Total return (a)	(37.02		)%	5.49		%	15.75		%	4.87		%	10.86		%

* The portfolio turnover rate excludes in-kind security transactions.

(a) Results represent past performance and are not indicative of future results.

See Notes to Financial Statements.

44

State Street Equity 500 Index Portfolio

Notes to Financial Statements

December 31, 2008

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, 2008, only the 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 Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio were in operation. 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 Composite Stock Price 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 Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. In accordance with FAS 157, 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. FAS 157 established a three tier hierarchy of inputs to establish a classification of fair value measurements and disclosure. The three tier hierarchy of inputs is summarized below:

· Level 1 – quoted prices in active markets for identical securities

· Level 3 – 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)

45

State Street Equity 500 Index Portfolio

Notes to Financial Statements (continued)

December 31, 2008

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 December 31, 2008, in valuing the Portfolio’s assets carried at fair value:

	Investments in		Other Financial
Valuation Inputs	Securities		Instruments*
Level 1 – Quoted Prices	$	1,515,960,091	$	950,935
Level 2 – Other Significant Observable Inputs	4,810,926		—
Level 3 – Significant Unobservable Inputs	—		—
Total	$	1,520,771,017	$	950,935

*Other financial instruments include futures contracts.

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, 2008, 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, 2008, tax years 2005 through 2008 remain subject to examination by the portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

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. 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 value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.

Use of Estimates: The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles that require the use of management estimates. Actual results could differ from those estimates.

46

State Street Equity 500 Index Portfolio

Notes to Financial Statements (continued)

December 31, 2008

3. Securities Transactions

For the year ended December 31, 2008, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $307,643,773 and $281,597,781, respectively.

At December 31, 2008, the book cost of investments was $1,485,867,258 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $357,487,087 and $322,583,328, respectively, resulting in net appreciation of $34,903,759 for all securities as computed on a federal income tax basis.

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, 2008 is listed in the Portfolio of Investments.

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.

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.

7. New Accounting Pronouncements

On March 19, 2008, the FASB released Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements. The application of FAS 161 is required for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 161 and believes the impact of adopting FAS 161 will be limited to additional disclosures.

47

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 the 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, 2008, and the related statement of operations for the year then ended, the statement 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, 2008, 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 of State Street Master Funds at December 31, 2008, 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 23, 2009

48

State Street Equity 500 Index Portfolio

General Information (Unaudited)

December 31, 2008

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 (i) 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 20, 2008 (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 thoroughly 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 Board 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 $1.69 trillion in assets under management as of September 30, 2008, including over $157 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 satisfactory. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio was appropriate, had been of uniformly high quality, and could be expected to remain so.

49

The Trustees noted that, in view of the investment objective of the Portfolio, the investment performance was satisfactory. 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 the Portfolio was satisfactory.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. The Trustees had been provided with data regarding the profitability to the Adviser and its affiliated service providers with respect to the Portfolio individually, and on an aggregate basis, for the year ended June 30, 2008. 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 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. The Trustees found that the Portfolio’s advisory fee and total expense ratio were lower than the average for its peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee. 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 that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions. 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 Board also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Board 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 necessary to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Board decided to approve the continuance of the Advisory Agreement.

50

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.

Name, Address, and Date of Birth (“DOB”)	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee*	Other Directorships Heldby 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.; Chairman and Trustee, Scottish Widows Investment Partnership Trust; 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	Trustee of Old Mutual South Africa Master Trust (investments) (1995 - present); Chairman emeritus, Children’s Hospital (1984 - present); Director, Boston Plan For Excellence (non-profit) (1994 - present); President and Chief Operations Officer, John Hancock Mutual Life Insurance Company (1959 - 1999). Mr. Boyan retired in 1999.	22	Trustee, State Street Institutional Investment Trust; and Trustee, Old Mutual South Africa Master Trust
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 (1998 - present); Member of the Advisory Board, Ingenium Corp. (technology company) (2001 - 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); Trustee, Eastern Enterprise (utilities) (1988 - 2000).	22	Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America; and Director, IEmily.com
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

* The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust.

51

Name, Address, and Date of Birth (“DOB”)	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee*	Other Directorships Heldby 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 (March 2006 – present); Principal, State Street Global Advisers (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:
Gary L. French State Street Bank and Trust Company 2 Avenue de Lafayette Boston, MA 02111 DOB: 1951	Treasurer	Term: Indefinite Elected: 5/05	Senior Vice President of State Street Bank and Trust Company (2002 – present).	—	—
Laura F. Healy State Street Bank and Trust Company 2 Avenue de Lafayette Boston, MA 02111 DOB: 1964	Assistant Treasurer	Term: Indefinite Elected: 11/08	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.	—	—

* 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.

52

Name, Address, and Date of Birth (“DOB”)	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee*	Other Directorships Heldby Trustee
Officers: (continued)
Julie Piatelli SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 DOB: 1967	Chief Compliance Officer	Term: Indefinite Elected: 7/07	Principal and Senior Compliance and Risk Management Officer, SSgA Funds Management, Inc. (2004- present), Vice President State Street Global Advisors (2004-present).	—	—
Nancy L. Conlin State Street Bank and Trust Company 2 Avenue de Lafayette Boston, MA 02111 DOB: 1953	Secretary	Term: Indefinite Elected: 2/09	Vice President and Managing Counsel, State Street Bank and Trust Company (2007–present); General Counsel, Plymouth Rock Companies (2004- 2007).	—	—
Brian C. Poole State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 DOB: 1971	Assistant Secretary	Term: Indefinite Elected 9/08	Vice President and Counsel (2008 – present) and Associate Counsel (2004 – 2007), State Street Bank and Trust Company (formerly Investors Bank and Trust Company); Legal Product Manager, Fidelity Investments (2000 – 2004).	—	—

* The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment 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.

53

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.

State Street Equity 500 Index Portfolio

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206

54

ISAR-02/09 (51898)

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

Core Edge Equity Fund

Semiannual Report

February 28, 2009

SSgA Funds
Equity Funds

Semiannual Report

February 28, 2009 (Unaudited)

Table of Contents

	Page
Disciplined Equity Fund		3
Small Cap Fund		11
Tuckerman Active REIT Fund		17
IAM SHARES Fund		21
Enhanced Small Cap Fund		29
Directional Core Equity Fund		41
Core Edge Equity Fund		47
Notes to Schedules of Investments		53
Statement of Assets and Liabilities		54
Statement of Operations		56
Statement of Changes in Net Assets		58
Statement of Cash Flows — Core Edge Equity Fund		60
Financial Highlights		62
Notes to Financial Highlights		66
Notes to Financial Statements		67
Shareholder Requests for Additional Information		78
Disclosure of Information about Fund Trustees and Officers		79
Fund Management and Service Providers		83

"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
Disciplined Equity Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	569.60	$	1,021.67
Expenses Paid During Period *	$	2.45	$	3.16

* Expenses are equal to the Fund's expense ratio of 0.63% (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).

Disciplined Equity Fund
3

This page has been intentionally left blank.

SSgA
Disciplined Equity Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 100.9%
Consumer Discretionary - 8.7%
Advance Auto Parts, Inc.		192		7
Amazon.com, Inc. (Æ)(Ñ)		1,100		71
AutoZone, Inc. (Æ)(Ñ)		575		82
Best Buy Co., Inc. (Ñ)		10,785		311
Big Lots, Inc. (Æ)(Ñ)		6,435		100
Brink's Home Security Holdings, Inc. (Æ)		7,942		167
Cablevision Systems Corp. Class A (Ñ)		3,910		51
Coach, Inc. (Æ)		2,168		30
Comcast Corp. Class A		37,488		490
Darden Restaurants, Inc. (Ñ)		6,393		173
DIRECTV Group, Inc. (The) (Æ)(Ñ)		12,132		242
DISH Network Corp. Class A (Æ)		4,181		47
Expedia, Inc. (Æ)		1,138		9
Family Dollar Stores, Inc. (Ñ)		6,294		173
Federal Mogul Corp. (Æ)		100		1
Ford Motor Co. (Æ)(Ñ)		100		—	±
Gap, Inc. (The)		24,710		267
H&R Block, Inc.		9,889		189
Hasbro, Inc. (Ñ)		8,948		205
Home Depot, Inc.		19,753		413
HSN, Inc. (Æ)		1,029		4
Interpublic Group of Cos., Inc. (Æ)		7,400		28
Interval Leisure Group, Inc. (Æ)		892		4
JC Penney Co., Inc. (Ñ)		8,700		133
Johnson Controls, Inc.		442		5
KB Home (Ñ)		1,814		16
Limited Brands, Inc.		1,604		12
Lowe's Cos., Inc. (Ñ)		12,345		196
Macy's, Inc. (Ñ)		2,500		20
McDonald's Corp.		17,631		921
MDC Holdings, Inc. (Ñ)		2,700		68
News Corp. Class A		12,587		70
Nike, Inc. Class B		1,000		41
NVR, Inc. (Æ)(Ñ)		1,073		357
Polo Ralph Lauren Corp. Class A		44		1
RadioShack Corp.		29,433		216
Sherwin-Williams Co. (The) (Ñ)		300		14
Ticketmaster Entertainment, Inc. (Æ)		892		4
Time Warner Cable, Inc. Class A (Æ)(Ñ)		15,266		278
Time Warner, Inc.		88,176		673
TJX Cos., Inc.		18,760		418
Virgin Media, Inc. (Ñ)		31,922		153
Walt Disney Co. (The)		3,700		62
Warner Music Group Corp. (Æ)		700		1
Whirlpool Corp. (Ñ)		2,200		49
Yum! Brands, Inc.		11,116		292
				7,064

	Principal Amount ($) or Shares		Market Value $
Consumer Staples - 13.1%
Alberto-Culver Co. Class B		2,791		62
Altria Group, Inc.		51,200		790
Archer-Daniels-Midland Co. (Ñ)		16,800		448
Brown-Forman Corp. Series Class B (Ñ)		1,200		52
Campbell Soup Co.		4,800		128
Coca-Cola Co. (The)		21,556		881
Coca-Cola Enterprises, Inc.		27,187		312
Colgate-Palmolive Co.		12,000		722
Costco Wholesale Corp.		700		30
CVS Caremark Corp.		9,100		234
Del Monte Foods Co.		4,203		30
Dr Pepper Snapple Group, Inc. (Æ)		1,947		27
General Mills, Inc.		3,142		165
Herbalife, Ltd.		400		5
HJ Heinz Co.		12,322		403
Kimberly-Clark Corp.		4,282		202
Kraft Foods, Inc. Class A		8,500		194
Kroger Co. (The) (Ñ)		25,400		525
Pepsi Bottling Group, Inc.		12,690		235
PepsiCo, Inc.		11,600		558
Philip Morris International, Inc.		30,235		1,012
Procter & Gamble Co.		30,340		1,461
Safeway, Inc.		2,200		41
Sara Lee Corp.		18,881		146
SUPERVALU, Inc.		4,600		72
SYSCO Corp.		3,134		67
Wal-Mart Stores, Inc.		35,741		1,760
				10,562
Energy - 14.1%
Anadarko Petroleum Corp. (Ñ)		3,705		129
Apache Corp.		6,967		412
Chevron Corp.		31,820		1,932
ConocoPhillips		26,890		1,004
Devon Energy Corp.		7,675		335
El Paso Corp.		4,300		29
ENSCO International, Inc.		6,471		159
Exxon Mobil Corp.		70,500		4,787
Halliburton Co.		18,600		303
Hess Corp.		4,055		222
Marathon Oil Corp.		6,169		144
Nabors Industries, Ltd. (Æ)(Ñ)		1,571		15
National Oilwell Varco, Inc. (Æ)		4,739		127
Occidental Petroleum Corp.		14,014		727
Pride International, Inc. (Æ)		400		7
Schlumberger, Ltd.		5,000		190
SEACOR Holdings, Inc. (Æ)(Ñ)		5,878		352
Sunoco, Inc. (Ñ)		7,714		258
Tidewater, Inc. (Ñ)		500		18

Disciplined Equity Fund
5

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Williams Cos., Inc.		11,400		129
XTO Energy, Inc.		3,726		118
				11,397
Financials - 10.0%
Aflac, Inc.		12,998		218
Allied Capital Corp. (Ñ)		9,200		10
Allied World Assurance Co. Holdings, Ltd.		200		8
Allstate Corp. (The)		3,600		61
American Express Co. (Ñ)		3,200		39
Ameriprise Financial, Inc.		8,900		142
Annaly Capital Management, Inc. (ö)		12,100		168
AON Corp.		8,232		315
Apartment Investment & Management Co. Class A (ö)(Ñ)		1,785		9
Arch Capital Group, Ltd. (Æ)		3,000		162
Assurant, Inc.		1,001		20
Bank of America Corp.		83,590		330
Bank of New York Mellon Corp. (The)		21,581		478
BB&T Corp. (Ñ)		3,772		61
Brandywine Realty Trust (ö)		9,999		47
CapitalSource, Inc. (Ñ)		9,546		18
Charles Schwab Corp. (The)		6,780		86
Chubb Corp.		8,637		337
Cincinnati Financial Corp.		934		19
Citigroup, Inc.		52,563		79
CME Group, Inc.		200		36
CNA Financial Corp.		199		2
Digital Realty Trust, Inc. (ö)(Ñ)		4,197		125
Discover Financial Services		1,833		11
Federated Investors, Inc. Class B (Ñ)		10,507		198
First Citizens BancShares, Inc. Class A		133		14
GLG Partners, Inc. (Ñ)		26,336		57
Goldman Sachs Group, Inc. (The)		3,424		312
Hartford Financial Services Group, Inc.		1,239		8
HCC Insurance Holdings, Inc.		8,506		187
HCP, Inc. (ö)		10,900		199
HRPT Properties Trust (ö)		26,800		87
Hudson City Bancorp, Inc.		19,900		206
JPMorgan Chase & Co.		43,867		1,002
Loews Corp.		12,656		251
Mack-Cali Realty Corp. (ö)(Ñ)		7,776		133
MetLife, Inc.		9,364		173
Morgan Stanley		13,500		264
NASDAQ OMX Group, Inc. (The) (Æ)		2,522		53
Northern Trust Corp.		5,862		326
NYSE Euronext		1,918		32
PartnerRe, Ltd. - ADR		719		45
PNC Financial Services Group, Inc.		2,266		62
Principal Financial Group, Inc. (Ñ)		8,924		71

	Principal Amount ($) or Shares		Market Value $
Prudential Financial, Inc.		2,885		47
Raymond James Financial, Inc. (Ñ)		6,000		84
SL Green Realty Corp. (ö)(Ñ)		1,500		17
SLM Corp. (Æ)(Ñ)		9,600		44
TD Ameritrade Holding Corp. (Æ)		9,200		109
Travelers Cos., Inc. (The)		7,223		261
Unum Group		16,039		163
US Bancorp		18,764		269
Vornado Realty Trust (ö)(Ñ)		1,416		46
Wells Fargo & Co. (Ñ)		46,611		564
				8,065
Health Care - 15.1%
Abbott Laboratories		19,400		918
Aetna, Inc.		3,612		86
Amgen, Inc. (Æ)		17,700		866
Baxter International, Inc.		10,531		536
Becton Dickinson and Co.		4,400		272
Biogen Idec, Inc. (Æ)		754		35
Boston Scientific Corp. (Æ)		38,249		269
Bristol-Myers Squibb Co.		26,202		482
Celgene Corp. (Æ)		7,890		353
Cigna Corp.		8,097		128
Coventry Health Care, Inc. (Æ)		3,100		36
Covidien, Ltd. Class W		11,658		369
Eli Lilly & Co.		17,877		525
Express Scripts, Inc. Class A (Æ)		7,123		358
Forest Laboratories, Inc. (Æ)		8,718		187
Gilead Sciences, Inc. (Æ)(Ñ)		6,200		278
Hill-Rom Holdings, Inc. (Ñ)		19,700		193
Humana, Inc. (Æ)		4,184		99
Johnson & Johnson		33,297		1,665
Kinetic Concepts, Inc. (Æ)(Ñ)		3,031		66
King Pharmaceuticals, Inc. (Æ)		15,500		114
Life Technologies Corp. (Æ)		4,685		137
Lincare Holdings, Inc. (Æ)(Ñ)		1,300		27
McKesson Corp.		6,300		258
Medtronic, Inc.		1,930		57
Merck & Co., Inc. (Ñ)		35,239		853
Pfizer, Inc.		110,355		1,358
Quest Diagnostics, Inc.		100		5
Schering-Plough Corp.		13,163		229
Tenet Healthcare Corp. (Æ)		24,356		27
UnitedHealth Group, Inc.		19,521		384
Varian Medical Systems, Inc. (Æ)(Ñ)		7,765		237
Vertex Pharmaceuticals, Inc. (Æ)(Ñ)		675		20
WellPoint, Inc. (Æ)		8,300		282
Wyeth		12,302		502
				12,211

Disciplined Equity Fund
6

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Industrials - 9.1%
3M Co.		900		41
AGCO Corp. (Æ)		4,491		77
AMR Corp. (Æ)		6,333		26
Avery Dennison Corp.		9,435		190
Avis Budget Group, Inc. (Æ)		15,618		6
Boeing Co.		1,044		33
Brink's Co. (The)		7,942		190
Burlington Northern Santa Fe Corp.		3,905		230
Cooper Industries, Ltd. Class A		1,582		33
CSX Corp.		14,776		365
Cummins, Inc.		10,683		222
Delta Air Lines, Inc. (Æ)		25,230		127
Dover Corp.		6,992		174
Emerson Electric Co.		1,509		40
FedEx Corp.		3,750		162
Flowserve Corp.		1,892		95
Fluor Corp. (Ñ)		1,862		62
Gardner Denver, Inc. (Æ)		619		12
General Dynamics Corp.		10,132		444
General Electric Co.		122,893		1,046
Harsco Corp.		232		5
Honeywell International, Inc.		16,500		443
ITT Corp.		2,300		86
John Bean Technologies Corp.		11,089		107
Joy Global, Inc. (Ñ)		2,075		36
KBR, Inc.		995		13
Lockheed Martin Corp.		8,393		530
Masco Corp.		5,900		30
Monster Worldwide, Inc. (Æ)(Ñ)		4,203		28
Norfolk Southern Corp.		1,803		57
Northrop Grumman Corp.		6,039		226
Parker Hannifin Corp.		2,433		81
Raytheon Co.		6,300		252
RR Donnelley & Sons Co.		3,086		24
Ryder System, Inc. (Ñ)		3,032		69
Southwest Airlines Co.		17,886		105
Terex Corp. (Æ)(Ñ)		4,700		42
Toro Co. (Ñ)		1,300		28
Trinity Industries, Inc. (Ñ)		3,941		29
Tyco International, Ltd. Class W		1,205		24
Union Pacific Corp.		5,188		195
United Parcel Service, Inc. Class B		4,842		199
United Technologies Corp.		14,489		592
Waste Management, Inc.		19,964		539
				7,315
Information Technology - 18.9%
Accenture, Ltd. Class A		12,748		372
Activision Blizzard, Inc. (Æ)		12,510		125

	Principal Amount ($) or Shares		Market Value $
Adobe Systems, Inc. (Æ)		1,000		17
Affiliated Computer Services, Inc. Class A (Æ)		500		23
Alliance Data Systems Corp. (Æ)(Ñ)		5,098		151
Apple, Inc. (Æ)		9,491		848
Arrow Electronics, Inc. (Æ)		13,086		218
Avnet, Inc. (Æ)		5,826		101
AVX Corp.		7,754		66
BMC Software, Inc. (Æ)(Ñ)		11,400		338
CA, Inc.		14,000		237
Ciena Corp. (Æ)(Ñ)		3,584		19
Cisco Systems, Inc. (Æ)		49,100		715
Computer Sciences Corp. (Æ)		9,660		336
Corning, Inc.		35,148		371
Cypress Semiconductor Corp. (Æ)(Ñ)		15,500		86
Dell, Inc. (Æ)		57,362		489
eBay, Inc. (Æ)		12,068		131
EMC Corp. (Æ)		15,300		161
Google, Inc. Class A (Æ)		2,325		786
Harris Corp.		5,962		222
Hewlett-Packard Co.		42,563		1,236
Ingram Micro, Inc. Class A (Æ)		21,669		236
Intel Corp. (Ñ)		100,100		1,275
InterActiveCorp (Æ)		28,368		423
International Business Machines Corp.		21,667		1,994
Jabil Circuit, Inc.		39,035		162
Lender Processing Services, Inc.		3,800		99
Lexmark International, Inc. Class A (Æ)(Ñ)		6,305		108
LSI Corp. (Æ)		10,342		30
Metavante Technologies, Inc. (Æ)		874		15
Micron Technology, Inc. (Æ)(Ñ)		21,470		69
Microsoft Corp.		105,690		1,707
Oracle Corp. (Æ)		27,103		421
QLogic Corp. (Æ)		4,545		42
QUALCOMM, Inc.		8,400		281
SAIC, Inc. (Æ)		6,150		116
Sohu.com, Inc. (Æ)		597		29
Sun Microsystems, Inc. (Æ)		14,100		66
Symantec Corp. (Æ)(Ñ)		22,744		315
Synopsys, Inc. (Æ)		15,653		292
Teradata Corp. (Æ)		1,810		28
Texas Instruments, Inc.		11,200		161
Visa, Inc.		800		45
Vishay Intertechnology, Inc. (Æ)		39,300		100
Western Digital Corp. (Æ)		1,289		18
Western Union Co. (The)		2,743		31
Yahoo!, Inc. (Æ)		13,900		184
				15,295

Disciplined Equity Fund
7

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Materials - 2.9%
AK Steel Holding Corp.		2,055		13
Ashland, Inc.		2,167		13
Celanese Corp. Class A		18,472		158
CF Industries Holdings, Inc.		3,928		252
Crown Holdings, Inc. (Æ)		10,328		218
Dow Chemical Co. (The)		33,724		241
EI Du Pont de Nemours & Co.		13,030		244
FMC Corp.		967		39
Freeport-McMoRan Copper & Gold, Inc. Class B (Ñ)		6,598		201
International Paper Co. (Ñ)		487		3
MeadWestvaco Corp.		19,025		177
Monsanto Co.		4,972		379
Mosaic Co. (The)		2,900		125
Nucor Corp. (Ñ)		3,235		109
Scotts Miracle-Gro Co. (Ñ)		600		17
Sonoco Products Co.		2,174		42
Terra Industries, Inc. (Ñ)		3,750		97
				2,328
Telecommunication Services - 4.6%
AT&T, Inc.		67,885		1,614
CenturyTel, Inc. (Ñ)		10,350		273
Qwest Communications International, Inc. (Ñ)		16,525		56
Sprint Nextel Corp. (Æ)		59,501		196
Telephone & Data Systems, Inc.		1,294		38
Verizon Communications, Inc.		49,400		1,409
Windstream Corp. Class W		17,864		133
				3,719
Utilities - 4.4%
AES Corp. (The) (Æ)(Ñ)		49,502		312
American Electric Power Co., Inc.		6,861		192
Centerpoint Energy, Inc.		13,129		136
CMS Energy Corp. (Ñ)		38,520		426
Dominion Resources, Inc.		10,182		307
DPL, Inc. (Ñ)		5,500		111
DTE Energy Co.		1,327		36
Duke Energy Corp.		42,507		573
Dynegy, Inc. Class A (Æ)		7,610		10
Exelon Corp. (Ñ)		1,000		47
FirstEnergy Corp.		8,539		363
Integrys Energy Group, Inc. (Ñ)		6,500		156
MDU Resources Group, Inc.		1,726		26
NV Energy, Inc.		1,759		16
Progress Energy, Inc. (Ñ)		5,033		178
Public Service Enterprise Group, Inc.		20,100		549

	Principal Amount ($) or Shares		Market Value $
SCANA Corp.		697		21
Southern Union Co.		9,559		128
				3,587
Total Common Stocks (cost $105,753)				81,543
Short-Term Investments - 1.7%
AIM Short Term Investment Treasury Portfolio		6		—	±
Federated Investors Prime Cash Obligations Fund		1,045,369		1,045
United States Treasury Bills (ç)(ÿ)(§) Zero Coupon due 06/11/09		350		350
Total Short-Term Investments (cost $1,395)				1,395
Other Securities - 14.2%
State Street Navigator Securities Prime Lending Portfolio (W)		11,457,872		11,458
Total Other Securities (cost $11,458)				11,458
Total Investments - 116.8% (identified cost $118,606)				94,396
Other Assets and Liabilities, Net - (16.8%)				(13,577	)
Net Assets - 100.0%				80,819

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

Disciplined Equity Fund
8

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except contracts)

Futures Contracts	Number of Contracts		Notional Amount		Expiration Date	Unrealized Appreciaion (Depreciation) $
Long Positions
S&P 500 Index (CME)		7	USD	1,285	03/09		(200	)
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts							(200	)

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Consumer Discretionary		8.7
Consumer Staples		13.1
Energy		14.1
Financials		10.0
Health Care		15.1
Industrials		9.1
Information Technology		18.9
Materials		2.9
Telecommunication Services		4.6
Utilities		4.4
Short-Term Investments		1.7
Other Securities		14.2
Total Investments		116.8
Other Assets and Liabilities, Net		(16.8	)
		100.0
Futures Contracts		(0.2	)

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

Disciplined Equity Fund
9

This page has been intentionally left blank.

SSgA
Small Cap Fund

Shareholder Expense Example — February 28, 2009 (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 both classes is from September 1, 2008 to February 28, 2009.

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.

Institutional Class	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	503.60	$	1,015.52
Expenses Paid During Period *	$	6.97	$	9.35

* Expenses are equal to the Fund's expense ratio of 1.87% (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.

Class R	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	503.40	$	1,016.86
Expenses Paid During Period *	$	5.96	$	8.00

* Expenses are equal to the Fund's 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

This page has been intentionally left blank.

SSgA
Small Cap Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.6%
Consumer Discretionary - 13.0%
AFC Enterprises, Inc. (Æ)		4,700		20
Big Lots, Inc. (Æ)(Ñ)		8,731		135
Career Education Corp. (Æ)(Ñ)		7,289		180
CEC Entertainment, Inc. (Æ)(Ñ)		7,681		179
Genesco, Inc. (Æ)(Ñ)		12,575		180
Hot Topic, Inc. (Æ)(Ñ)		18,861		168
Jo-Ann Stores, Inc. (Æ)(Ñ)		14,358		173
Landry's Restaurants, Inc. (Ñ)		4,700		25
M/I Homes, Inc. (Ñ)		4,400		28
Monro Muffler, Inc. (Ñ)		2,100		49
New York & Co., Inc. (Æ)(Ñ)		10,330		23
Panera Bread Co. Class A (Æ)		2,400		106
Retail Ventures, Inc. (Æ)		7,000		11
Shuffle Master, Inc. (Æ)		9,500		28
Stoneridge, Inc. (Æ)(Ñ)		11,656		21
Warner Music Group Corp. (Æ)(Ñ)		30,600		53
				1,379
Consumer Staples - 5.0%
Cal-Maine Foods, Inc. (Ñ)		6,930		154
Central Garden and Pet Co. (Æ)		5,600		42
Nash Finch Co. (Ñ)		2,100		73
Pantry, Inc. (The) (Æ)(Ñ)		9,375		145
Spartan Stores, Inc.		6,786		104
USANA Health Sciences, Inc. (Æ)		500		10
				528
Energy - 5.5%
Clayton Williams Energy, Inc. (Æ)(Ñ)		6,354		159
McMoRan Exploration Co. (Æ)(Ñ)		29,600		136
Vaalco Energy, Inc. (Æ)(Ñ)		23,966		137
World Fuel Services Corp. (Ñ)		5,500		159
				591
Financials - 18.7%
1st Source Corp. (Ñ)		600		11
Allied World Assurance Co. Holdings, Ltd. (Ñ)		2,655		102
Amerisafe, Inc. (Æ)		6,600		96
Arbor Realty Trust, Inc. (ö)(Ñ)		11,579		7
Berkshire Hills Bancorp, Inc. (Ñ)		1,400		30
Calamos Asset Management, Inc. Class A (Ñ)		4,400		15
Cash America International, Inc. (Ñ)		3,063		44
CNA Surety Corp. (Æ)		600		9
CompuCredit Corp. (Æ)(Ñ)		4,000		8
Crawford & Co. Class B (Æ)(Ñ)		6,300		50
CVB Financial Corp. (Ñ)		8,700		61
EZCORP, Inc. Class A (Æ)(Ñ)		15,015		154

	Principal Amount ($) or Shares		Market Value $
First Bancorp (Ñ)		1,184		12
First Citizens BancShares, Inc. Class A		451		48
Getty Realty Corp. (ö)		2,600		43
HRPT Properties Trust (ö)(Ñ)		18,800		61
International Bancshares Corp. (Ñ)		8,536		86
Knight Capital Group, Inc. Class A (Æ)(Ñ)		4,300		76
Life Partners Holdings, Inc.		2,300		39
Mission West Properties, Inc. (ö)		7,369		52
NorthStar Realty Finance Corp. (ö)(Ñ)		637		1
Odyssey Re Holdings Corp.		3,132		146
Pennsylvania Commerce Bancorp, Inc. (Æ)(Ñ)		200		3
Penson Worldwide, Inc. (Æ)(Ñ)		10,400		50
Platinum Underwriters Holdings, Ltd. (Ñ)		6,724		189
Potlatch Corp. (ö)(Ñ)		4,142		94
Prosperity Bancshares, Inc. (Ñ)		7,053		180
Provident Financial Services, Inc. (Ñ)		11,800		110
PS Business Parks, Inc. (ö)		1,100		38
RAIT Financial Trust (ö)(Ñ)		5,900		5
SWS Group, Inc. (Ñ)		4,300		58
Trico Bancshares (Ñ)		1,000		13
WesBanco, Inc. (Ñ)		1,600		28
Wilshire Bancorp, Inc. (Ñ)		11,600		55
World Acceptance Corp. (Æ)(Ñ)		1,447		21
				1,995
Health Care - 16.2%
Alliance HealthCare Services, Inc. (Æ)		2,887		24
AMN Healthcare Services, Inc. (Æ)(Ñ)		12,525		82
Centene Corp. (Æ)		9,316		158
Computer Programs & Systems, Inc. (Ñ)		1,250		33
Emergent Biosolutions, Inc. (Æ)		7,480		144
Gentiva Health Services, Inc. (Æ)		3,100		54
Hill-Rom Holdings, Inc. (Ñ)		9,520		94
Inspire Pharmaceuticals, Inc. (Æ)		5,500		19
LHC Group, Inc. (Æ)(Ñ)		7,500		149
Martek Biosciences Corp. (Æ)		6,538		122
Maxygen, Inc. (Æ)(Ñ)		7,700		54
Myriad Genetics, Inc. (Æ)(Ñ)		2,150		170
NPS Pharmaceuticals, Inc. (Æ)(Ñ)		23,200		106
Owens & Minor, Inc. (Ñ)		2,905		98
Questcor Pharmaceuticals, Inc. (Æ)(Ñ)		16,675		81
RehabCare Group, Inc. (Æ)		2,500		37
STERIS Corp. (Ñ)		5,300		122
Universal American Corp. (Æ)		8,400		56
Valeant Pharmaceuticals International (Æ)(Ñ)		3,200		56
Viropharma, Inc. (Æ)(Ñ)		15,033		62
				1,721

Small Cap Fund
13

SSgA
Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Industrials - 15.3%
AAON, Inc. (Ñ)		2,000		31
Alaska Air Group, Inc. (Æ)(Ñ)		1,350		30
American Commercial Lines, Inc. (Æ)(Ñ)		15,600		52
American Science & Engineering, Inc.		900		55
Applied Signal Technology, Inc.		2,300		44
Beacon Roofing Supply, Inc. (Æ)(Ñ)		8,906		98
Briggs & Stratton Corp. (Ñ)		11,000		134
EMCOR Group, Inc. (Æ)(Ñ)		3,740		58
EnPro Industries, Inc. (Æ)(Ñ)		7,891		130
Force Protection, Inc. (Æ)		22,900		118
Gibraltar Industries, Inc. (Ñ)		12,279		81
GrafTech International, Ltd. (Æ)		4,400		25
Granite Construction, Inc. (Ñ)		4,124		147
Hawaiian Holdings, Inc. (Æ)		37,005		117
John Bean Technologies Corp.		17,700		171
Knoll, Inc. (Ñ)		14,300		94
Michael Baker Corp. (Æ)		1,100		35
PRG-Schultz International, Inc. (Æ)		5,500		21
Republic Airways Holdings, Inc. (Æ)		5,100		35
Spherion Corp. (Æ)(Ñ)		5,400		7
Standex International Corp.		1,100		12
Tecumseh Products Co. Class A (Æ)(Ñ)		2,163		11
Tredegar Corp.		4,900		82
United Rentals, Inc. (Æ)(Ñ)		11,000		44
				1,632
Information Technology - 20.1%
3Com Corp. (Æ)		58,000		128
Actuate Corp. (Æ)		6,900		25
Acxiom Corp. (Ñ)		16,300		135
Adaptec, Inc. (Æ)(Ñ)		11,600		27
Alliance Data Systems Corp. (Æ)(Ñ)		300		9
Arris Group, Inc. (Æ)(Ñ)		28,852		177
BigBand Networks, Inc. (Æ)		4,800		25
Black Box Corp. (Ñ)		6,502		129
Broadridge Financial Solutions, Inc.		8,300		135
Ciber, Inc. (Æ)(Ñ)		6,800		18
Compuware Corp. (Æ)		22,900		135
CSG Systems International, Inc. (Æ)(Ñ)		11,660		158
Dice Holdings, Inc. (Æ)(Ñ)		2,500		6
Earthlink, Inc. (Æ)(Ñ)		24,923		157
Hackett Group, Inc. (The) (Æ)(Ñ)		10,400		27
InterDigital, Inc. (Æ)(Ñ)		6,539		192
Methode Electronics, Inc. (Ñ)		19,486		69
Netscout Systems, Inc. (Æ)(Ñ)		3,800		50
QLogic Corp. (Æ)(Ñ)		15,836		146
Radisys Corp. (Æ)(Ñ)		3,200		19

	Principal Amount ($) or Shares		Market Value $
S1 Corp. (Æ)(Ñ)		11,400		65
TIBCO Software, Inc. (Æ)(Ñ)		26,100		126
Wind River Systems, Inc. (Æ)(Ñ)		23,800		180
				2,138
Materials - 1.8%
Innophos Holdings, Inc.		12,227		130
Rock-Tenn Co. Class A		1,435		40
Spartech Corp. (Ñ)		7,400		18
				188
Telecommunication Services - 1.2%
USA Mobility, Inc. (Æ)		14,039		128
Utilities - 2.8%
Laclede Group, Inc. (The)		4,007		159
NorthWestern Corp.		2,600		53
Southwest Gas Corp. (Ñ)		4,500		88
				300
Total Common Stocks (cost $14,290)				10,600
Short-Term Investments - 0.9% Federated Investors Prime Cash Obligations Fund		96,208		96
Total Short-Term Investments (cost $96)				96
Other Securities - 25.0%
State Street Navigator Securities Prime Lending Portfolio (W)		2,660,472		2,660
Total Other Securities (cost $2,660)				2,660
Total Investments - 125.5% (identified cost $17,046)				13,356
Other Assets and Liabilities, Net - (25.5%)				(2,715	)
Net Assets - 100.0%				10,641

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

Small Cap Fund
14

SSgA
Small Cap Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Consumer Discretionary		13.0
Consumer Staples		5.0
Energy		5.5
Financials		18.7
Health Care		16.2
Industrials		15.3
Information Technology		20.1
Materials		1.8
Telecommunication Services		1.2
Utilities		2.8
Short-Term Investments		0.9
Other Securities		25.0
Total Investments		125.5
Other Assets and Liabilities, Net		(25.5	)
		100.0

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

Small Cap Fund
15

This page has been intentionally left blank.

SSgA
Tuckerman Active REIT Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	378.50	$	1,019.84
Expenses Paid During Period *	$	3.42	$	5.01

* Expenses are equal to the Fund's 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
17

This page has been intentionally left blank.

SSgA
Tuckerman Active REIT Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 99.3%
Apartments - 17.8%
American Campus Communities, Inc. (ö)		65,650		1,124
AvalonBay Communities, Inc. (ö)		41,751		1,771
BRE Properties, Inc. Class A (ö)(Ñ)		54,612		1,033
Equity Residential (ö)(Ñ)		158,381		2,788
Essex Property Trust, Inc. (ö)(Ñ)		30,584		1,664
				8,380
Diversified - 15.3%
Digital Realty Trust, Inc. (ö)(Ñ)		99,118		2,963
Vornado Realty Trust (ö)(Ñ)		100,738		3,297
Washington Real Estate Investment Trust (ö)(Ñ)		53,564		918
				7,178
Health Care - 13.1%
HCP, Inc. (ö)(Ñ)		149,775		2,736
Medical Properties Trust, Inc. (ö)		118,520		414
Ventas, Inc. (ö)		139,058		3,000
				6,150
Office - 17.0%
Alexandria Real Estate Equities, Inc. (ö)(Ñ)		31,739		1,268
Boston Properties, Inc. (ö)(Ñ)		71,345		2,646
Corporate Office Properties Trust SBI MD (ö)(Ñ)		85,115		2,128
Douglas Emmett, Inc. (ö)(Ñ)		160,989		1,211
SL Green Realty Corp. (ö)(Ñ)		62,729		729
				7,982
Regional Malls - 12.4%
Simon Property Group, Inc. (ö)(Ñ)		145,066		4,802
Taubman Centers, Inc. (ö)		66,270		1,037
				5,839
Storage - 7.7%
Public Storage (ö)		65,671		3,643
Shopping Centers - 16.0%
Acadia Realty Trust (ö)(Ñ)		115,961		1,164
Federal Realty Investment Trust (ö)(Ñ)		46,746		1,923
Kimco Realty Corp. (ö)(Ñ)		166,442		1,473
Regency Centers Corp. (ö)(Ñ)		61,713		1,665
Tanger Factory Outlet Centers (ö)(Ñ)		47,545		1,312
				7,537
Total Common Stocks (cost $71,576)				46,709

	Principal Amount ($) or Shares		Market Value $
Short-Term Investments - 1.3%
AIM Short Term Investment Prime Portfolio		2,172		2
Federated Investors Prime Cash Obligations Fund		594,751		594
Total Short-Term Investments (cost $596)				596
Other Securities - 25.6%
State Street Navigator Securities Prime Lending Portfolio (W)		12,019,861		12,020
Total Other Securities (cost $12,020)				12,020
Total Investments - 126.2% (identified cost $84,422)				59,325
Other Assets and Liabilities, Net - (26.2%)				(12,316	)
Net Assets - 100.0%				47,009

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

Tuckerman Active REIT Fund
19

SSgA
Tuckerman Active REIT Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Apartments		17.8
Diversified		15.3
Health Care		13.1
Office		17.0
Regional Malls		12.4
Storage		7.7
Shopping Centers		16.0
Short-Term Investments		1.3
Other Securities		25.6
Total Investments		126.2
Other Assets and Liabilities, Net		(26.2	)
		100.0

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

Tuckerman Active REIT Fund
20

SSgA
IAM SHARES Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	578.10	$	1,022.22
Expenses Paid During Period *	$	2.03	$	2.61

* Expenses are equal to the Fund's expense ratio of 0.52% (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
21

This page has been intentionally left blank.

SSgA
IAM SHARES Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 96.4%
Consumer Discretionary - 9.3%
99 Cents Only Stores (Æ)(Ñ)		5,700		47
Amazon.com, Inc. (Æ)(Ñ)		4,500		292
AutoNation, Inc. (Æ)(Ñ)		7,300		73
Bed Bath & Beyond, Inc. (Æ)(Ñ)		3,900		83
Best Buy Co., Inc. (Ñ)		5,225		151
Black & Decker Corp.		2,600		61
Brunswick Corp. (Ñ)		3,500		11
Carnival Corp.		4,300		84
CBS Corp. Class B		10,201		44
Coach, Inc. (Æ)		11,376		159
Comcast Corp. Class A		42,966		561
Denny's Corp. (Æ)		14,500		23
DIRECTV Group, Inc. (The) (Æ)(Ñ)		11,111		222
DR Horton, Inc. (Ñ)		5,100		43
Ethan Allen Interiors, Inc. (Ñ)		4,666		44
Family Dollar Stores, Inc. (Ñ)		2,500		69
Ford Motor Co. (Æ)(Ñ)		43,243		86
Gap, Inc. (The)		7,300		79
General Motors Corp. (Ñ)		11,400		26
Genuine Parts Co.		2,800		79
Goodyear Tire & Rubber Co. (The) (Æ)(Ñ)		4,300		19
H&R Block, Inc.		3,000		57
Hanesbrands, Inc. (Æ)(Ñ)		2,100		15
Harley-Davidson, Inc. (Ñ)		7,200		73
Home Depot, Inc.		27,700		579
Jakks Pacific, Inc. (Æ)		100		1
JC Penney Co., Inc. (Ñ)		3,900		60
Johnson Controls, Inc.		9,500		108
Kohl's Corp. (Æ)(Ñ)		5,700		200
Koninklijke Philips Electronics NV		1,089		17
Leggett & Platt, Inc. (Ñ)		7,900		90
Liberty Global, Inc. Class A (Æ)(Ñ)		3,900		48
Liberty Media Corp. - Capital Series A (Æ)		601		3
Liberty Media Corp. - Interactive (Æ)(Ñ)		7,298		24
Lowe's Cos., Inc. (Ñ)		20,000		317
Macy's, Inc. (Ñ)		9,268		73
Marriott International, Inc. Class A (Ñ)		9,300		132
Matthews International Corp. Class A		3,000		104
McClatchy Co. Class A (Ñ)		3,070		1
McDonald's Corp.		17,930		937
Meredith Corp. (Ñ)		4,900		63
New York Times Co. (The) Class A (Ñ)		7,200		30
Newell Rubbermaid, Inc.		10,100		57
News Corp. Class A		27,100		151
Nordstrom, Inc. (Ñ)		3,600		48
Office Depot, Inc. (Æ)		4,800		5
Omnicom Group, Inc. (Ñ)		3,200		77

	Principal Amount ($) or Shares		Market Value $
Phillips-Van Heusen Corp.		5,200		86
Sears Holdings Corp. (Æ)(Ñ)		4,339		159
Sherwin-Williams Co. (The) (Ñ)		3,500		161
Snap-On, Inc.		1,000		24
Sonic Automotive, Inc. Class A (Ñ)		4,700		7
Stanley Works (The)		1,400		37
Staples, Inc.		8,400		134
Starbucks Corp. (Æ)		8,800		80
Starwood Hotels & Resorts Worldwide, Inc. (ö)		4,300		50
Target Corp.		14,600		413
Tiffany & Co. (Ñ)		6,000		114
Time Warner, Inc.		52,150		398
Viacom, Inc. Class B (Æ)		10,001		154
Walt Disney Co. (The)		29,400		493
Washington Post Co. (The) Class B		321		116
Whirlpool Corp. (Ñ)		3,000		67
Wyndham Worldwide Corp.		3,360		12
Yum! Brands, Inc.		5,200		137
				8,168
Consumer Staples - 11.1%
Altria Group, Inc.		31,885		492
Archer-Daniels-Midland Co. (Ñ)		9,698		259
Arden Group, Inc. Class A		600		62
Campbell Soup Co.		5,990		160
Coca-Cola Co. (The)		27,375		1,118
ConAgra Foods, Inc.		9,900		149
Costco Wholesale Corp.		6,100		258
CVS Caremark Corp.		19,119		492
Dean Foods Co. (Æ)		4,700		96
Energizer Holdings, Inc. (Æ)(Ñ)		300		13
Great Atlantic & Pacific Tea Co. (Æ)(Ñ)		3,000		12
Imperial Sugar Co. (Ñ)		700		4
JM Smucker Co. (The)		4,007		149
Kellogg Co.		5,435		212
Kimberly-Clark Corp.		8,188		386
Kraft Foods, Inc. Class A		22,509		513
Kroger Co. (The) (Ñ)		14,700		304
PepsiCo, Inc.		21,523		1,036
Philip Morris International, Inc.		29,085		974
Procter & Gamble Co.		41,621		2,005
Rite Aid Corp. (Æ)		25,600		7
Safeway, Inc.		11,100		205
Sara Lee Corp.		17,430		134
SUPERVALU, Inc.		5,700		89
Sysco Corp.		10,400		224
Walgreen Co.		16,300		389
				9,742

IAM SHARES Fund
23

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Energy - 13.5%
Anadarko Petroleum Corp. (Ñ)		7,000		245
Apache Corp.		5,400		319
Baker Hughes, Inc.		7,200		211
BP PLC - ADR (Ñ)		2,868		110
Chevron Corp.		29,829		1,811
ConocoPhillips		23,777		888
Devon Energy Corp.		7,700		336
El Paso Corp.		10,300		70
EOG Resources, Inc.		3,200		160
Exxon Mobil Corp.		69,368		4,710
Halliburton Co.		18,160		296
Hess Corp.		6,300		345
Marathon Oil Corp.		8,200		191
Occidental Petroleum Corp.		9,500		493
Schlumberger, Ltd.		21,882		833
Southwestern Energy Co. (Æ)(Ñ)		5,700		164
Spectra Energy Corp.		9,498		123
Valero Energy Corp.		8,200		159
Williams Cos., Inc.		8,400		95
XTO Energy, Inc.		7,625		241
				11,800
Financials - 9.0%
Aegon NV		8,014		28
Aflac, Inc.		7,900		132
Allstate Corp. (The)		8,800		148
American Express Co.		19,300		233
American Financial Group, Inc.		4,621		72
American International Group, Inc. (Ñ)		34,074		14
Ameriprise Financial, Inc.		3,340		53
AON Corp.		5,900		226
Bank of America Corp.		84,232		333
Bank of New York Mellon Corp. (The)		15,598		346
BB&T Corp. (Ñ)		7,500		121
Capital One Financial Corp. (Ñ)		6,661		80
Charles Schwab Corp. (The)		13,300		169
Chubb Corp.		2,800		109
Citigroup, Inc.		79,201		119
CME Group, Inc. Class A		200		36
Discover Financial Services		6,550		38
E*TRADE Financial Corp. (Æ)(Ñ)		7,100		6
Fifth Third Bancorp (Ñ)		4,800		10
Franklin Resources, Inc.		1,700		78
Goldman Sachs Group, Inc. (The)		5,700		519
Hartford Financial Services Group, Inc.		3,200		20
Host Hotels & Resorts, Inc. (ö)(Ñ)		27,754		103
HSBC Holdings PLC - ADR		2,252		78
Hudson City Bancorp, Inc.		7,600		79
Janus Capital Group, Inc. (Ñ)		12,987		57
JPMorgan Chase & Co.		52,034		1,189

	Principal Amount ($) or Shares		Market Value $
Keycorp		5,100		36
M&T Bank Corp. (Ñ)		1,200		44
Marsh & McLennan Cos., Inc.		9,000		161
MetLife, Inc.		11,099		205
Moody's Corp. (Ñ)		4,000		72
Morgan Stanley		13,100		256
Northern Trust Corp.		3,100		172
People's United Financial, Inc.		8,200	��	143
Plum Creek Timber Co., Inc. (ö)(Ñ)		2,400		63
PNC Financial Services Group, Inc.		4,350		119
Potlatch Corp. (ö)		7,200		164
Principal Financial Group, Inc. (Ñ)		2,500		20
Progressive Corp. (The) (Æ)		9,600		111
Prologis (ö)(Ñ)		3,200		19
Prudential Financial, Inc.		7,600		125
Public Storage (ö)(Ñ)		1,000		55
Regions Financial Corp. (Ñ)		9,142		31
Simon Property Group, Inc. (ö)(Ñ)		3,100		103
SLM Corp. (Æ)(Ñ)		6,300		29
SunTrust Banks, Inc.		3,100		37
Travelers Cos., Inc. (The)		11,183		404
US Bancorp		23,612		338
Vornado Realty Trust (ö)(Ñ)		2,000		65
Wells Fargo & Co. (Ñ)		56,135		679
				7,847
Health Care - 15.3%
Abbott Laboratories		21,900		1,037
Aetna, Inc.		7,900		189
Allergan, Inc.		4,200		163
Allied Healthcare Products (Æ)		700		2
Amgen, Inc. (Æ)		14,872		728
Baxter International, Inc.		10,136		516
Biogen Idec, Inc. (Æ)		4,500		207
Boston Scientific Corp. (Æ)		15,263		107
Bristol-Myers Squibb Co.		26,000		479
Cardinal Health, Inc. (Ñ)		4,000		130
Celgene Corp. (Æ)		7,300		326
Cigna Corp.		4,500		71
Coventry Health Care, Inc. (Æ)		2,100		24
Covidien, Ltd.		9,075		287
Edwards Lifesciences Corp. (Æ)(Ñ)		1,833		102
Eli Lilly & Co.		13,700		402
Express Scripts, Inc. Class A (Æ)		4,600		231
Forest Laboratories, Inc. (Æ)		4,400		94
Genzyme Corp. (Æ)		3,800		231
Gilead Sciences, Inc. (Æ)(Ñ)		13,400		600
Humana, Inc. (Æ)		2,200		52
Johnson & Johnson		38,000		1,900
Life Technologies Corp. (Æ)		3,812		111
McKesson Corp.		4,600		189

IAM SHARES Fund
24

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Medco Health Solutions, Inc. (Æ)		8,624		350
Medtronic, Inc.		16,900		500
Merck & Co., Inc. (Ñ)		28,356		686
PerkinElmer, Inc.		4,700		61
Pfizer, Inc.		87,945		1,083
Schering-Plough Corp.		23,800		414
St. Jude Medical, Inc. (Æ)		5,200		172
STERIS Corp. (Ñ)		3,191		74
Stryker Corp. (Ñ)		3,200		108
Thermo Fisher Scientific, Inc. (Æ)(Ñ)		7,600		276
UnitedHealth Group, Inc.		17,700		348
WellPoint, Inc. (Æ)		8,100		275
Wyeth		18,100		739
Zimmer Holdings, Inc. (Æ)		3,370		118
				13,382
Industrials - 10.6%
3M Co.		11,300		514
Actuant Corp. Class A (Ñ)		5,600		58
Alaska Air Group, Inc. (Æ)		800		18
Ametek, Inc.		3,200		85
Arkansas Best Corp. (Ñ)		400		7
Avery Dennison Corp.		1,900		38
Avis Budget Group, Inc. (Æ)		1,800		1
Boeing Co.		9,600		302
Caterpillar, Inc. (Ñ)		9,821		242
Continental Airlines, Inc. Class B (Æ)(Ñ)		700		7
Cooper Industries, Ltd. Class A		3,100		65
CSX Corp.		8,300		205
Cummins, Inc.		3,700		77
Danaher Corp. (Ñ)		5,800		294
Deere & Co.		7,200		198
Dover Corp.		5,300		132
Eaton Corp.		3,800		137
Emerson Electric Co.		12,600		337
Energy Conversion Devices, Inc. (Æ)(Ñ)		1,800		39
FedEx Corp.		3,100		134
Gardner Denver, Inc. (Æ)		800		15
General Dynamics Corp.		5,710		250
General Electric Co.		141,021		1,200
Goodrich Corp.		2,200		73
Hexcel Corp. (Æ)		2,600		16
HNI Corp. (Ñ)		900		9
Honeywell International, Inc.		10,862		291
Illinois Tool Works, Inc.		8,608		239
Ingersoll-Rand Co., Ltd. Class A		5,898		84
Kansas City Southern (Æ)(Ñ)		2,550		45
Katy Industries, Inc. (Æ)		5,900		6
L-3 Communications Holdings, Inc.		2,500		169
Lockheed Martin Corp.		4,819		304
Manitowoc Co., Inc. (The)		2,300		9

	Principal Amount ($) or Shares		Market Value $
Manpower, Inc.		2,100		59
Masco Corp. (Ñ)		14,300		74
Norfolk Southern Corp.		6,700		213
Northrop Grumman Corp.		4,796		179
PACCAR, Inc. (Ñ)		6,675		167
Parker Hannifin Corp.		3,000		100
Precision Castparts Corp.		2,500		139
Raytheon Co.		5,800		232
Republic Services, Inc. Class A		4,680		93
Rockwell Automation, Inc.		3,900		78
Rockwell Collins, Inc.		2,100		66
RR Donnelley & Sons Co.		5,700		44
Ryder System, Inc.		4,800		110
Siemens AG - ADR		200		10
Southwest Airlines Co.		9,325		55
Tecumseh Products Co. Class A (Æ)(Ñ)		1,600		9
Terex Corp. (Æ)(Ñ)		1,800		16
Textron, Inc. (Ñ)		3,500		20
Toro Co. (Ñ)		2,300		50
Tyco International, Ltd.		8,475		170
Union Pacific Corp.		8,500		319
United Parcel Service, Inc. Class B		15,714		647
United Technologies Corp.		13,500		551
US Airways Group, Inc. (Æ)(Ñ)		1,000		3
Waste Management, Inc.		10,218		276
Watts Water Technologies, Inc. Class A (Ñ)		400		7
YRC Worldwide, Inc. (Æ)(Ñ)		200		—	±
				9,287
Information Technology - 16.8%
Adobe Systems, Inc. (Æ)		8,200		137
Advanced Micro Devices, Inc. (Æ)(Ñ)		8,100		18
Agilent Technologies, Inc. (Æ)		4,142		57
Amphenol Corp. Class A		5,200		132
Analog Devices, Inc.		6,800		127
Apple, Inc. (Æ)		12,400		1,107
Applied Materials, Inc.		20,600		190
Autodesk, Inc. (Æ)		3,000		38
Automatic Data Processing, Inc. (Ñ)		6,900		236
Broadcom Corp. Class A (Æ)(Ñ)		5,850		96
CA, Inc.		4,700		80
Cisco Systems, Inc. (Æ)		79,400		1,157
Computer Sciences Corp. (Æ)		4,845		168
Corning, Inc.		23,600		249
Dell, Inc. (Æ)		26,300		224
Diebold, Inc.		2,300		51
eBay, Inc. (Æ)		16,100		175
Electronic Arts, Inc. (Æ)(Ñ)		5,000		82
EMC Corp. (Æ)		30,000		315
Google, Inc. Class A (Æ)		3,300		1,115
Hewlett-Packard Co.		34,932		1,014

IAM SHARES Fund
25

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Intel Corp. (Ñ)		75,400		961
International Business Machines Corp.		19,100		1,758
KLA-Tencor Corp.		2,500		43
Mastercard, Inc. Class A (Ñ)		1,400		221
Micron Technology, Inc. (Æ)(Ñ)		13,500		43
Microsoft Corp.		104,600		1,689
Motorola, Inc. (Ñ)		35,900		126
National Semiconductor Corp.		5,600		61
NetApp, Inc. (Æ)(Ñ)		4,900		66
Oracle Corp. (Æ)		57,949		901
Paychex, Inc.		4,300		95
Qualcomm, Inc.		21,200		709
Quantum Corp. (Æ)		14,000		5
Seagate Technology		2,200		9
Sun Microsystems, Inc. (Æ)		11,150		52
Symantec Corp. (Æ)		16,445		227
Texas Instruments, Inc.		20,800		298
Total System Services, Inc.		2,032		26
Tyco Electronics, Ltd.		9,075		86
Western Union Co. (The)		8,736		98
Xerox Corp.		16,000		83
Xilinx, Inc.		7,000		124
Yahoo!, Inc. (Æ)		20,700		274
				14,723
Materials - 2.7%
Air Products & Chemicals, Inc.		4,800		222
AK Steel Holding Corp.		5,100		32
Alcoa, Inc. (Ñ)		15,700		98
Allegheny Technologies, Inc. (Ñ)		3,300		65
Ashland, Inc.		1,204		7
Ball Corp.		1,700		69
Bemis Co., Inc.		1,800		33
Brush Engineered Materials, Inc. (Æ)(Ñ)		1,000		12
Chemtura Corp.		1,900		1
Crown Holdings, Inc. (Æ)		200		4
Dow Chemical Co. (The)		15,688		112
Ecolab, Inc.		3,100		99
EI Du Pont de Nemours & Co.		5,200		98
FMC Corp.		100		4
Freeport-McMoRan Copper & Gold, Inc. Class B (Ñ)		1,876		57
International Paper Co. (Ñ)		11,073		63
Martin Marietta Materials, Inc. (Ñ)		1,500		115
MeadWestvaco Corp.		3,000		28
Monsanto Co.		4,200		320
Newmont Mining Corp.		5,100		212
Owens-Illinois, Inc. (Æ)		2,900		45
PPG Industries, Inc.		2,900		90
Rohm & Haas Co.		4,036		210

	Principal Amount ($) or Shares		Market Value $
Sigma-Aldrich Corp. (Ñ)		2,300		82
Temple-Inland, Inc. (Ñ)		5,100		24
Vulcan Materials Co. (Ñ)		3,600		149
Weyerhaeuser Co. (Ñ)		5,603		135
				2,386
Telecommunication Services - 3.9%
AT&T, Inc.		80,581		1,915
Embarq Corp.		2,559		89
Qwest Communications International, Inc. (Ñ)		25,000		85
Sprint Nextel Corp. (Æ)		39,389		130
Verizon Communications, Inc.		40,372		1,152
				3,371
Utilities - 4.2%
AES Corp. (The) (Æ)(Ñ)		11,000		69
Ameren Corp.		3,000		71
American Electric Power Co., Inc.		5,300		149
Consolidated Edison, Inc. (Ñ)		2,800		101
Constellation Energy Group, Inc.		3,000		59
Dominion Resources, Inc.		10,600		320
Duke Energy Corp.		19,496		263
Edison International		5,500		150
Entergy Corp.		2,200		148
Exelon Corp. (Ñ)		10,800		510
FirstEnergy Corp.		4,200		179
FPL Group, Inc.		6,500		295
PG&E Corp. (Ñ)		5,800		222
PPL Corp.		6,400		178
Public Service Enterprise Group, Inc.		8,400		229
Sempra Energy		4,100		170
Southern Co. (Ñ)		13,200		400
Wisconsin Energy Corp.		2,300		92
Xcel Energy, Inc.		4,000		71
				3,676
Total Common Stocks (cost $128,548)				84,382

IAM SHARES Fund
26

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Short-Term Investments - 3.2%
AIM Short Term Investment Prime Portfolio		2,238,286		2,238
American Beacon Money Market Fund		106,141		106
United States Treasury Bills (ç)(ÿ)(§) 0.100% due 06/11/09		31		31
0.170% due 06/11/09		17		17
0.190% due 06/11/09		400		400
Total Short-Term Investments (cost $2,792)				2,792
Other Securities - 11.3%
State Street Navigator Securities Prime Lending Portfolio (W)		9,889,073		9,889
Total Other Securities (cost $9,889)				9,889
Total Investments - 110.9% (identified cost $141,229)				97,063
Other Assets and Liabilities, Net - (10.9%)				(9,550	)
Net Assets - 100.0%				87,513

Amounts in thousands (except contracts)

Futures Contracts	Number of Contracts		Notional Amount		Expiration Date	Unrealized Appreciaion (Depreciation) $
Long Positions
S&P 500 Index (CME)		17	USD	3,120	03/09		(590	)
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts							(590	)

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

IAM SHARES Fund
27

SSgA
IAM SHARES Fund

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Consumer Discretionary		9.3
Consumer Staples		11.1
Energy		13.5
Financials		9.0
Health Care		15.3
Industrials		10.6
Information Technology		16.8
Materials		2.7
Telecommunications Services		3.9
Utilities		4.2
Short-Term Investments		3.2
Other Securities		11.3
Total Investments		110.9
Other Assets and Liabilities, Net		(10.9	)
		100.0
Futures Contracts		(0.7	)

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

IAM SHARES Fund
28

SSgA
Enhanced Small Cap Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	523.20	$	1,021.08
Expenses Paid During Period *	$	2.83	$	3.76

* Expenses are equal to the Fund's 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
29

This page has been intentionally left blank.

SSgA
Enhanced Small Cap Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 95.0%
Consumer Discretionary - 11.7%
Aaron Rents, Inc.		3,900		94
Aeropostale, Inc. (Æ)		3,500		81
Bally Technologies, Inc. (Æ)		2,300		43
Blockbuster, Inc. Class A (Æ)		12,300		12
Blyth, Inc.		700		14
Bob Evans Farms, Inc.		2,400		44
Brown Shoe Co., Inc.		2,225		8
Buckle, Inc. (The)		275		6
Buffalo Wild Wings, Inc. (Æ)		600		18
California Pizza Kitchen, Inc. (Æ)		5,700		59
Callaway Golf Co.		3,500		24
Carter's, Inc. (Æ)		4,600		75
Cato Corp. (The) Class A		2,800		41
CEC Entertainment, Inc. (Æ)		2,000		47
Charming Shoppes, Inc. (Æ)		3,700		3
Cheesecake Factory, Inc. (The) (Æ)		3,700		30
Chico's FAS, Inc. (Æ)		3,000		14
Childrens Place Retail Stores, Inc. (The) (Æ)		2,000		37
Cinemark Holdings, Inc.		1,200		9
CKE Restaurants, Inc.		3,400		24
Coinstar, Inc. (Æ)		2,700		71
Collective Brands, Inc. (Æ)		4,700		49
Corinthian Colleges, Inc. (Æ)		2,300		45
Courier Corp.		482		7
Denny's Corp. (Æ)		2,600		4
Dover Downs Gaming & Entertainment, Inc.		2,300		6
Dress Barn, Inc. (Æ)		4,900		49
Einstein Noah Restaurant Group, Inc. (Æ)		400		2
FGX International Holdings, Ltd. (Æ)		500		4
Fuel Systems Solutions, Inc. (Æ)		600		12
Gaylord Entertainment Co. (Æ)		900		6
Genesco, Inc. (Æ)		2,500		36
Gymboree Corp. (Æ)		1,400		36
Harte-Hanks, Inc.		400		2
hhgregg, Inc. (Æ)		1,100		11
Hooker Furniture Corp.		700		5
HOT Topic, Inc. (Æ)		800		7
Iconix Brand Group, Inc. (Æ)		2,100		17
Jack in the Box, Inc. (Æ)		600		12
Jackson Hewitt Tax Service, Inc.		4,100		31
Jakks Pacific, Inc. (Æ)		3,600		46
Jo-Ann Stores, Inc. (Æ)		3,000		36
K-Swiss, Inc. Class A		800		8
Knology, Inc. (Æ)		1,000		4
LIN TV Corp. Class A (Æ)		2,200		1

	Principal Amount ($) or Shares		Market Value $
M/I Homes, Inc.		1,600		10
Maidenform Brands, Inc. (Æ)		4,200		37
Marcus Corp.		500		4
Marvel Entertainment, Inc. (Æ)		1,700		44
Matthews International Corp. Class A		1,000		35
Mediacom Communications Corp. Class A (Æ)		9,200		36
Men's Wearhouse, Inc. (The)		3,800		41
Meritage Homes Corp. (Æ)		1,800		18
Midas, Inc. (Æ)		900		7
Move, Inc. (Æ)		8,100		13
National Presto Industries, Inc.		400		24
NetFlix, Inc. (Æ)		3,000		108
New York & Co., Inc. (Æ)		7,000		15
NutriSystem, Inc.		1,231		16
O'Charleys, Inc.		3,300		7
Overstock.com, Inc. (Æ)		400		3
Papa John's International, Inc. (Æ)		2,100		46
PF Chang's China Bistro, Inc. (Æ)		4,600		91
Pinnacle Entertainment, Inc. (Æ)		900		7
Polaris Industries, Inc.		2,900		53
Pre-Paid Legal Services, Inc. (Æ)		2,300		73
RC2 Corp. (Æ)		900		4
RCN Corp. (Æ)		5,700		24
Red Robin Gourmet Burgers, Inc. (Æ)		3,000		43
Regis Corp.		2,100		26
Rent-A-Center, Inc. Class A (Æ)		4,952		87
Retail Ventures, Inc. (Æ)		1,300		2
Ryland Group, Inc.		2,500		35
Sauer-Danfoss, Inc.		2,300		13
Shoe Carnival, Inc. (Æ)		600		4
Shuffle Master, Inc. (Æ)		3,000		9
Sinclair Broadcast Group, Inc. Class A		5,600		6
Steinway Musical Instruments (Æ)		400		4
Stewart Enterprises, Inc. Class A		8,300		19
Stoneridge, Inc. (Æ)		3,700		7
Tempur-Pedic International, Inc.		5,800		36
Thinkorswim Group, Inc. (Æ)		2,800		22
Timberland Co. Class A (Æ)		5,200		58
Town Sports International Holdings, Inc. (Æ)		1,383		3
Tractor Supply Co. (Æ)		2,200		69
Tupperware Brands Corp.		1,400		20
Ulta Salon Cosmetics & Fragrance, Inc. (Æ)		1,000		6
Unifi, Inc. (Æ)		4,700		3
Unifirst Corp.		1,500		36
Vail Resorts, Inc. (Æ)		1,600		30
Warnaco Group, Inc. (The) (Æ)		200		4
Wendy's/Arby's Group, Inc.		2,400		11

Enhanced Small Cap Fund
31

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Wet Seal, Inc. (The) Class A (Æ)		6,400		16
WMS Industries, Inc. (Æ)		2,300		42
				2,517
Consumer Staples - 3.5%
Alliance One International, Inc. (Æ)		14,300		49
American Oriental Bioengineering, Inc. (Æ)		2,300		9
Boston Beer Co., Inc. Class A (Æ)		400		10
Cadiz, Inc. (Æ)		300		2
Cal-Maine Foods, Inc.		2,300		51
Casey's General Stores, Inc.		4,500		90
Central Garden and Pet Co. (Æ)		3,400		25
Chiquita Brands International, Inc. (Æ)		3,400		17
Darling International, Inc. (Æ)		11,100		48
Flowers Foods, Inc.		525		12
Green Mountain Coffee Roasters, Inc. (Æ)		300		11
J&J Snack Foods Corp.		1,200		38
Lancaster Colony Corp.		300		12
Lance, Inc.		300		7
Nash Finch Co.		1,300		45
Nu Skin Enterprises, Inc. Class A		1,300		12
Pantry, Inc. (The) (Æ)		1,935		30
Prestige Brands Holdings, Inc. (Æ)		4,700		26
Ralcorp Holdings, Inc. (Æ)		2,300		139
Seaboard Corp.		35		31
Spartan Stores, Inc.		1,700		26
TreeHouse Foods, Inc. (Æ)		700		19
USANA Health Sciences, Inc. (Æ)		100		2
Vector Group, Ltd.		1,072		13
Village Super Market, Inc.		200		5
Winn-Dixie Stores, Inc. (Æ)		2,000		19
				748
Energy - 3.5%
Arena Resources, Inc. (Æ)		2,100		45
Atlas America, Inc.		1,100		11
Basic Energy Services, Inc. (Æ)		2,500		16
Bill Barrett Corp. (Æ)		4,600		89
Brigham Exploration Co. (Æ)		2,700		4
Cal Dive International, Inc. (Æ)		1,900		10
Callon Petroleum Co. (Æ)		3,900		5
Clayton Williams Energy, Inc. (Æ)		600		15
Complete Production Services, Inc. (Æ)		5,300		16
Comstock Resources, Inc. (Æ)		2,600		79
Concho Resources, Inc. (Æ)		900		18
Contango Oil & Gas Co. (Æ)		300		11
Delek US Holdings, Inc.		500		3
Dril-Quip, Inc. (Æ)		600		13
EXCO Resources, Inc. (Æ)		3,000		27

	Principal Amount ($) or Shares		Market Value $
General Maritime Corp.		600		5
GMX Resources, Inc. (Æ)		700		12
Goodrich Petroleum Corp. (Æ)		1,700		34
Gran Tierra Energy, Inc. (Æ)		1,800		4
Gulf Island Fabrication, Inc.		400		3
Gulfmark Offshore, Inc. (Æ)		1,100		23
Hornbeck Offshore Services, Inc. (Æ)		1,200		16
Knightsbridge Tankers, Ltd.		800		10
Lufkin Industries, Inc.		400		13
McMoRan Exploration Co. (Æ)		6,500		30
Newpark Resources (Æ)		400		1
Penn Virginia Corp.		1,200		17
Petroleum Development Corp. (Æ)		1,200		14
PHI, Inc. (Æ)		300		3
Pioneer Drilling Co. (Æ)		5,100		20
Rosetta Resources, Inc. (Æ)		8,300		42
RPC, Inc.		2,000		12
TXCO Resources, Inc. (Æ)		1,800		3
Union Drilling, Inc. (Æ)		2,000		7
Vaalco Energy, Inc. (Æ)		9,400		54
Westmoreland Coal Co. (Æ)		1,200		7
Willbros Group, Inc. (Æ)		1,800		13
World Fuel Services Corp.		1,496		43
				748
Financials - 19.3%
1st Source Corp.		3,060		55
Advance America Cash Advance Centers, Inc.		300		—	±
Alexander's, Inc. (ö)		100		14
American Capital Agency Corp. (ö)		500		8
American Equity Investment Life Holding Co.		7,900		30
American Physicians Capital, Inc.		1,200		51
Ameris Bancorp		1,000		5
Amerisafe, Inc. (Æ)		900		13
Amtrust Financial Services, Inc.		4,900		41
Anworth Mortgage Asset Corp. (ö)		10,800		65
Apollo Investment Corp.		2,700		11
Ares Capital Corp.		2,800		10
Argo Group International Holdings, Ltd. (Æ)		1,137		32
Arrow Financial Corp.		400		9
Ashford Hospitality Trust, Inc. (ö)		3,100		3
Aspen Insurance Holdings, Ltd.		4,900		107
Associated Estates Realty Corp. (ö)		4,800		26
Bancfirst Corp.		400		14
Banco Latinoamericano de Exportaciones SA Class E		4,860		44
Bank of the Ozarks, Inc.		600		12
BankFinancial Corp.		300		3

Enhanced Small Cap Fund
32

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Beneficial Mutual Bancorp, Inc. (Æ)		400		4
Berkshire Hills Bancorp, Inc.		1,300		27
BioMed Realty Trust, Inc. (ö)		3,200		27
Boston Private Financial Holdings, Inc.		3,000		10
Calamos Asset Management, Inc. Class A		800		3
CapLease, Inc. (ö)		5,900		12
Capstead Mortgage Corp. (ö)		2,000		20
Cash America International, Inc.		1,000		14
Cathay General Bancorp		1,000		10
Cedar Shopping Centers, Inc. (ö)		3,400		16
Central Pacific Financial Corp.		1,800		7
Chemical Financial Corp.		800		15
City Holding Co.		1,900		50
Clifton Savings Bancorp, Inc.		400		4
CNA Surety Corp. (Æ)		900		13
Cogdell Spencer, Inc. (ö)		600		4
Colonial Properties Trust (ö)		2,200		8
Community Bank System, Inc.		1,300		22
Community Trust Bancorp, Inc.		500		13
Compass Diversified Holdings		4,900		43
Corporate Office Properties Trust SBI MD (ö)		1,600		40
Cousins Properties, Inc. (ö)		2,100		15
DiamondRock Hospitality Co. (ö)		5,400		17
Dime Community Bancshares		1,700		17
Downey Financial Corp.		700		—	±
DuPont Fabros Technology, Inc. (ö)		2,800		15
Education Realty Trust, Inc. (ö)		6,200		23
Employers Holdings, Inc.		1,900		18
Encore Capital Group, Inc. (Æ)		3,300		13
Entertainment Properties Trust (ö)		2,200		33
Evercore Partners, Inc. Class A		300		4
Extra Space Storage, Inc. (ö)		800		5
Ezcorp, Inc. Class A (Æ)		4,400		45
Farmers Capital Bank Corp.		100		1
FelCor Lodging Trust, Inc. (ö)		2,716		2
First Bancorp		7,700		34
First Busey Corp.		300		2
First Commonwealth Financial Corp.		4,000		33
First Community Bancshares, Inc.		500		6
First Financial Bancorp		2,000		15
First Financial Corp.		400		13
First Financial Northwest, Inc.		5,800		43
First Industrial Realty Trust, Inc. (ö)		3,300		7
First Merchants Corp.		1,100		11
First Niagara Financial Group, Inc.		1,000		12
First Place Financial Corp.		3,700		8
First Potomac Realty Trust (ö)		5,700		42
FirstMerit Corp.		600		9
Flagstone Reinsurance Holdings, Ltd.		4,000		30
Flushing Financial Corp.		1,100		7

	Principal Amount ($) or Shares		Market Value $
Fox Chase Bancorp, Inc. (Æ)		2,200		19
Fpic Insurance Group, Inc. (Æ)		1,100		41
Getty Realty Corp. (ö)		2,000		33
Glacier Bancorp, Inc.		1,400		22
Glimcher Realty Trust (ö)		5,200		7
Greenhill & Co., Inc.		200		13
Greenlight Capital Re, Ltd. (Æ)		3,500		51
Hancock Holding Co.		1,400		40
Harleysville Group, Inc.		2,000		59
Harleysville National Corp.		700		5
Hercules Technology Growth Capital, Inc.		800		3
Highwoods Properties, Inc. (ö)		4,400		83
Home Properties, Inc. (ö)		1,400		37
Horace Mann Educators Corp.		1,400		11
Iberiabank Corp.		800		35
Independent Bank Corp./Rockland MA		600		9
Inland Real Estate Corp. (ö)		600		5
Integra Bank Corp.		1,175		1
Interactive Brokers Group, Inc. Class A (Æ)		1,400		20
International Assets Holding Corp. (Æ)		967		7
International Bancshares Corp.		4,100		41
IPC Holdings, Ltd.		3,200		81
Kansas City Life Insurance Co.		700		17
Kearny Financial Corp.		900		9
Knight Capital Group, Inc. Class A (Æ)		5,800		102
LaBranche & Co., Inc. (Æ)		7,400		43
Ladenburg Thalmann Financial Services, Inc. (Æ)		2,400		1
Lakeland Bancorp, Inc.		565		4
Lakeland Financial Corp.		400		7
Lexington Realty Trust (ö)		15,900		51
LTC Properties, Inc. (ö)		1,700		29
MainSource Financial Group, Inc.		1,920		11
Max Capital Group, Ltd.		1,000		16
MB Financial, Inc.		1,800		23
MCG Capital Corp.		600		—	±
Medical Properties Trust, Inc. (ö)		6,300		22
MFA Financial, Inc. (ö)		10,100		58
Mid-America Apartment Communities, Inc. (ö)		2,400		62
Montpelier Re Holdings, Ltd.		6,000		76
National Financial Partners Corp.		300		1
National Health Investors, Inc. (ö)		200		5
National Retail Properties, Inc. (ö)		1,000		14
NBT Bancorp, Inc.		2,600		51
Nelnet, Inc. Class A (Æ)		900		5
NewAlliance Bancshares, Inc.		6,100		70
NorthStar Realty Finance Corp. (ö)		6,029		12
OceanFirst Financial Corp.		900		9
Ocwen Financial Corp. (Æ)		1,500		14

Enhanced Small Cap Fund
33

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Odyssey Re Holdings Corp.		1,300		60
Old National Bancorp		5,100		59
Omega Healthcare Investors, Inc. (ö)		800		10
optionsXpress Holdings, Inc.		3,900		38
Pacific Capital Bancorp NA		2,500		18
PacWest Bancorp		2,900		40
Park National Corp.		400		19
Parkway Properties, Inc. (ö)		1,200		14
Pennsylvania Real Estate Investment Trust (ö)		3,900		12
Penson Worldwide, Inc. (Æ)		800		4
Peoples Bancorp, Inc.		1,000		9
Phoenix Cos., Inc. (The)		800		—	±
Pico Holdings, Inc. (Æ)		1,400		31
Platinum Underwriters Holdings, Ltd.		3,200		90
PMA Capital Corp. Class A (Æ)		3,483		18
Portfolio Recovery Associates, Inc. (Æ)		700		16
ProAssurance Corp. (Æ)		600		29
Prospect Capital Corp.		1,400		11
Prosperity Bancshares, Inc.		2,100		54
Provident Bankshares Corp.		3,400		20
Provident Financial Services, Inc.		5,200		49
Provident New York Bancorp		500		4
PS Business Parks, Inc. (ö)		1,700		58
Radian Group, Inc.		2,700		5
RAIT Financial Trust (ö)		12,900		11
Realty Income Corp. (ö)		1,200		21
Republic Bancorp, Inc. Class A		1,820		34
Resource Capital Corp. (ö)		4,300		7
Santander BanCorp		1,400		12
Saul Centers, Inc. (ö)		1,200		31
SCBT Financial Corp.		200		4
SeaBright Insurance Holdings, Inc. (Æ)		3,500		34
Senior Housing Properties Trust (ö)		2,300		29
Simmons First National Corp. Class A		900		23
South Financial Group, Inc. (The)		2,400		3
Southside Bancshares, Inc.		800		14
Southwest Bancorp, Inc.		1,300		13
Sterling Bancorp Class N		400		3
Sterling Bancshares, Inc.		2,500		14
Stifel Financial Corp. (Æ)		700		23
Strategic Hotels & Resorts, Inc. (ö)		12,900		11
Suffolk Bancorp		1,200		31
Sun Communities, Inc. (ö)		4,400		39
Sunstone Hotel Investors, Inc. (ö)		14,894		33
Susquehanna Bancshares, Inc.		2,800		25
SWS Group, Inc.		800		11
SY Bancorp, Inc.		100		2
Tanger Factory Outlet Centers (ö)		500		14
Tower Group, Inc.		400		8
TowneBank		800		11
TradeStation Group, Inc. (Æ)		1,000		5

	Principal Amount ($) or Shares		Market Value $
Trustco Bank Corp. NY		2,600		16
U-Store-It Trust (ö)		5,600		14
UCBH Holdings, Inc.		3,000		5
UMB Financial Corp.		2,100		80
Umpqua Holdings Corp.		2,600		22
United Bankshares, Inc.		1,800		28
Univest Corp. of Pennsylvania		200		4
Validus Holdings, Ltd.		400		10
WesBanco, Inc.		2,900		51
Westwood Holdings Group, Inc.		700		25
Wilshire Bancorp, Inc.		1,800		9
World Acceptance Corp. (Æ)		700		10
WSFS Financial Corp.		600		13
				4,151
Health Care - 14.3%
Acorda Therapeutics, Inc. (Æ)		900		20
Adolor Corp. (Æ)		1,500		3
Affymetrix, Inc. (Æ)		4,500		10
Albany Molecular Research, Inc. (Æ)		6,300		55
Alexion Pharmaceuticals, Inc. (Æ)		2,300		79
Align Technology, Inc. (Æ)		3,600		25
Alkermes, Inc. (Æ)		3,400		34
Alliance HealthCare Services, Inc. (Æ)		7,400		61
Allos Therapeutics, Inc. (Æ)		2,100		12
Allscripts-Misys Healthcare Solutions, Inc.		2,600		23
Alnylam Pharmaceuticals, Inc. (Æ)		2,900		53
AMAG Pharmaceuticals, Inc. (Æ)		500		14
Amedisys, Inc. (Æ)		900		29
American Medical Systems Holdings, Inc. (Æ)		1,700		18
AMERIGROUP Corp. Class A (Æ)		3,700		92
Amicus Therapeutics, Inc. (Æ)		1,300		10
AMN Healthcare Services, Inc. (Æ)		3,500		23
Amsurg Corp. Class A (Æ)		1,000		16
Angiodynamics, Inc. (Æ)		1,500		18
Arqule, Inc. (Æ)		600		2
Auxilium Pharmaceuticals, Inc. (Æ)		500		14
Bio-Rad Laboratories, Inc. Class A (Æ)		900		50
Biodel, Inc. (Æ)		800		3
BioMimetic Therapeutics, Inc. (Æ)		1,900		16
Bruker Corp. (Æ)		2,800		12
Cadence Pharmaceuticals, Inc. (Æ)		1,100		7
Cantel Medical Corp. (Æ)		300		4
Cardiac Science Corp. (Æ)		2,100		8
CardioNet, Inc. (Æ)		400		10
Celldex Therapeutics, Inc. (Æ)		4,200		29
Centene Corp. (Æ)		5,400		92
Chemed Corp.		600		24
Conmed Corp. (Æ)		4,600		62

Enhanced Small Cap Fund
34

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Corvel Corp. (Æ)		500		9
CryoLife, Inc. (Æ)		300		1
Cubist Pharmaceuticals, Inc. (Æ)		3,200		45
CV Therapeutics, Inc. (Æ)		3,900		62
Cyberonics, Inc. (Æ)		300		4
Cynosure, Inc. Class A (Æ)		700		4
Dendreon Corp. (Æ)		3,100		9
Depomed, Inc. (Æ)		4,600		8
Durect Corp. (Æ)		1,100		2
Emergent Biosolutions, Inc. (Æ)		1,800		35
Enzon Pharmaceuticals, Inc. (Æ)		12,800		68
eResearchTechnology, Inc. (Æ)		2,600		13
ev3, Inc. (Æ)		3,400		20
Exelixis, Inc. (Æ)		2,100		9
Facet Biotech Corp. (Æ)		760		5
Genomic Health, Inc. (Æ)		500		10
Geron Corp. (Æ)		2,400		11
Greatbatch, Inc. (Æ)		1,600		31
Haemonetics Corp. (Æ)		300		16
Healthsouth Corp. (Æ)		200		2
Healthspring, Inc. (Æ)		6,100		49
Healthways, Inc. (Æ)		1,000		9
Human Genome Sciences, Inc. (Æ)		6,700		13
ICU Medical, Inc. (Æ)		500		16
Idenix Pharmaceuticals, Inc. (Æ)		600		2
Indevus Pharmaceuticals, Inc. (Æ)		2,200		11
Insulet Corp. (Æ)		800		5
Integra LifeSciences Holdings Corp. (Æ)		500		13
Invacare Corp.		4,800		77
IRIS International, Inc. (Æ)		400		4
Isis Pharmaceuticals, Inc. (Æ)		5,700		73
Kensey Nash Corp. (Æ)		500		10
Kindred Healthcare, Inc. (Æ)		3,300		47
Magellan Health Services, Inc. (Æ)		400		13
MannKind Corp. (Æ)		900		2
Martek Biosciences Corp. (Æ)		1,300		24
Masimo Corp. (Æ)		400		10
Maxygen, Inc. (Æ)		2,438		17
Medarex, Inc. (Æ)		4,900		19
MedAssets, Inc. (Æ)		800		12
Medcath Corp. (Æ)		1,400		11
Medicis Pharmaceutical Corp. Class A		2,700		30
Merit Medical Systems, Inc. (Æ)		1,100		12
Molina Healthcare, Inc. (Æ)		900		17
Momenta Pharmaceuticals, Inc. (Æ)		3,400		33
Myriad Genetics, Inc. (Æ)		1,300		102
Nabi Biopharmaceuticals (Æ)		3,000		11
Nektar Therapeutics (Æ)		2,800		13
Neurocrine Biosciences, Inc. (Æ)		2,229		7
Nighthawk Radiology Holdings, Inc. (Æ)		2,700		7
NPS Pharmaceuticals, Inc. (Æ)		4,500		20
NuVasive, Inc. (Æ)		1,100		31

	Principal Amount ($) or Shares		Market Value $
NxStage Medical, Inc. (Æ)		3,200		10
Obagi Medical Products, Inc. (Æ)		500		3
Odyssey HealthCare, Inc. (Æ)		2,300		24
Onyx Pharmaceuticals, Inc. (Æ)		2,200		66
Optimer Pharmaceuticals, Inc. (Æ)		500		5
OraSure Technologies, Inc. (Æ)		2,300		6
Orthofix International NV (Æ)		600		10
OSI Pharmaceuticals, Inc. (Æ)		900		31
Osiris Therapeutics, Inc. (Æ)		1,100		20
Owens & Minor, Inc.		1,200		40
Pain Therapeutics, Inc. (Æ)		2,100		9
Par Pharmaceutical Cos., Inc. (Æ)		565		8
PDL BioPharma, Inc.		7,900		46
PharMerica Corp. (Æ)		1,600		27
Progenics Pharmaceuticals, Inc. (Æ)		600		4
PSS World Medical, Inc. (Æ)		2,800		40
Psychiatric Solutions, Inc. (Æ)		700		12
Questcor Pharmaceuticals, Inc. (Æ)		3,800		18
Quidel Corp. (Æ)		1,400		15
Regeneron Pharmaceuticals, Inc. (Æ)		1,500		21
RehabCare Group, Inc. (Æ)		2,500		37
Res-Care, Inc. (Æ)		2,700		33
Rigel Pharmaceuticals, Inc. (Æ)		1,000		5
Salix Pharmaceuticals, Ltd. (Æ)		3,200		24
Seattle Genetics, Inc. (Æ)		3,400		27
Sequenom, Inc. (Æ)		1,700		25
Somanetics Corp. (Æ)		2,600		32
SonoSite, Inc. (Æ)		300		6
Stereotaxis, Inc. (Æ)		3,800		12
STERIS Corp.		5,400		124
Sun Healthcare Group, Inc. (Æ)		500		4
SurModics, Inc. (Æ)		500		9
Theravance, Inc. (Æ)		1,300		18
Thoratec Corp. (Æ)		1,400		32
United Therapeutics Corp. (Æ)		300		20
Universal American Corp. (Æ)		3,200		21
Valeant Pharmaceuticals International (Æ)		4,400		77
Varian, Inc. (Æ)		2,300		52
Viropharma, Inc. (Æ)		8,700		36
Vivus, Inc. (Æ)		7,100		29
Volcano Corp. (Æ)		1,600		24
Zoll Medical Corp. (Æ)		200		3
				3,077
Industrials - 15.4%
AAON, Inc.		200		3
Actuant Corp. Class A		3,000		31
Acuity Brands, Inc.		1,400		32
Administaff, Inc.		1,400		27
Advisory Board Co. (The) (Æ)		200		3
Alaska Air Group, Inc. (Æ)		3,200		70

Enhanced Small Cap Fund
35

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Altra Holdings, Inc. (Æ)		2,300		12
Amerco, Inc. (Æ)		500		14
American Reprographics Co. (Æ)		2,600		10
American Science & Engineering, Inc.		300		18
American Woodmark Corp.		2,700		39
Ameron International Corp.		200		10
Ampco-Pittsburgh Corp.		1,400		15
AO Smith Corp.		2,400		61
Apogee Enterprises, Inc.		1,800		17
Applied Industrial Technologies, Inc.		3,100		50
Applied Signal Technology, Inc.		600		11
Argon ST, Inc. (Æ)		1,000		17
Arkansas Best Corp.		2,300		40
Astec Industries, Inc. (Æ)		500		11
ATC Technology Corp. (Æ)		4,000		42
Barnes Group, Inc.		1,100		10
Beacon Roofing Supply, Inc. (Æ)		2,000		22
Brady Corp. Class A		2,100		36
CBIZ, Inc. (Æ)		4,700		32
CDI Corp.		800		6
Celadon Group, Inc. (Æ)		1,800		10
Ceradyne, Inc. (Æ)		3,800		65
Chart Industries, Inc. (Æ)		4,100		26
CIRCOR International, Inc.		2,000		44
Comfort Systems USA, Inc.		3,400		32
CoStar Group, Inc. (Æ)		100		3
CRA International, Inc. (Æ)		600		13
Cubic Corp.		1,800		47
Deluxe Corp.		1,800		14
Ducommun, Inc.		500		6
Dycom Industries, Inc. (Æ)		3,000		14
Dynamex, Inc. (Æ)		300		3
DynCorp International, Inc. Class A (Æ)		500		6
EMCOR Group, Inc. (Æ)		6,000		92
Energy Conversion Devices, Inc. (Æ)		1,900		42
EnerSys (Æ)		1,600		17
EnPro Industries, Inc. (Æ)		3,900		64
ESCO Technologies, Inc. (Æ)		100		3
Exponent, Inc. (Æ)		300		7
Federal Signal Corp.		2,000		13
Force Protection, Inc. (Æ)		7,300		38
FuelCell Energy, Inc. (Æ)		9,900		27
Genco Shipping & Trading, Ltd.		1,100		14
GeoEye, Inc. (Æ)		600		14
Gibraltar Industries, Inc.		3,400		22
GrafTech International, Ltd. (Æ)		6,300		36
Graham Corp.		400		3
Granite Construction, Inc.		2,400		85
GT Solar International, Inc. (Æ)		2,300		10
H&E Equipment Services, Inc. (Æ)		2,900		15
Hawaiian Holdings, Inc. (Æ)		7,800		25
Heartland Express, Inc.		4,666		58

	Principal Amount ($) or Shares		Market Value $
Heico Corp.		500		12
Heidrick & Struggles International, Inc.		1,423		23
Herman Miller, Inc.		3,100		31
Hexcel Corp. (Æ)		2,200		14
HNI Corp.		1,600		16
Houston Wire & Cable Co.		4,300		26
HUB Group, Inc. Class A (Æ)		2,100		38
Hudson Highland Group, Inc. (Æ)		10,400		12
Huron Consulting Group, Inc. (Æ)		100		4
II-VI, Inc. (Æ)		500		9
Insteel Industries, Inc.		3,600		23
Kadant, Inc. (Æ)		1,900		17
Kaman Corp. Class A		1,000		12
Kelly Services, Inc. Class A		2,200		17
Kenexa Corp. (Æ)		2,000		9
Kforce, Inc. (Æ)		3,400		22
Kimball International, Inc. Class B		2,700		16
Knoll, Inc.		2,800		19
Korn/Ferry International (Æ)		500		5
Layne Christensen Co. (Æ)		1,400		23
Lydall, Inc. (Æ)		8,700		24
M&F Worldwide Corp. (Æ)		1,900		20
Marten Transport, Ltd. (Æ)		1,300		22
MasTec, Inc. (Æ)		1,300		12
Mcgrath Rentcorp		1,000		16
MPS Group, Inc. (Æ)		5,200		26
Mueller Water Products, Inc. Class A		3,200		7
Navigant Consulting, Inc. (Æ)		4,400		57
NCI Building Systems, Inc. (Æ)		1,900		10
NN, Inc.		6,000		6
Nordson Corp.		2,100		52
Old Dominion Freight Line, Inc. (Æ)		1,600		35
On Assignment, Inc. (Æ)		1,900		5
Orbital Sciences Corp. (Æ)		1,300		18
Pacer International, Inc.		6,200		18
Perini Corp. (Æ)		1,400		21
PHH Corp. (Æ)		500		5
Pike Electric Corp. (Æ)		500		4
Polypore International, Inc. (Æ)		500		2
Pool Corp.		700		9
PRG-Schultz International, Inc. (Æ)		3,800		14
Regal-Beloit Corp.		600		17
Republic Airways Holdings, Inc. (Æ)		2,700		19
Resources Connection, Inc. (Æ)		2,100		29
Robbins & Myers, Inc.		3,200		52
RSC Holdings, Inc. (Æ)		2,900		13
Saia, Inc. (Æ)		1,700		15
Simpson Manufacturing Co., Inc.		615		10
Skywest, Inc.		6,300		65
Spherion Corp. (Æ)		13,834		17
Standard Parking Corp. (Æ)		2,800		46
Standard Register Co. (The)		2,300		11

Enhanced Small Cap Fund
36

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Standex International Corp.		200		2
Steiner Leisure, Ltd. (Æ)		800		20
Sun Hydraulics Corp.		200		3
SYKES Enterprises, Inc. (Æ)		3,500		56
TAL International Group, Inc.		900		7
Taser International, Inc. (Æ)		3,600		15
TBS International, Ltd. Class A (Æ)		500		3
Tecumseh Products Co. Class A (Æ)		2,400		13
Tennant Co.		600		6
Tetra Tech, Inc. (Æ)		2,400		54
Titan International, Inc.		1,950		11
Titan Machinery, Inc. (Æ)		300		3
TransDigm Group, Inc. (Æ)		600		21
Tredegar Corp.		2,700		45
Triumph Group, Inc.		800		29
TrueBlue, Inc. (Æ)		5,600		39
Twin Disc, Inc.		2,300		11
UAL Corp. (Æ)		1,500		7
United Stationers, Inc. (Æ)		2,000		43
US Airways Group, Inc. (Æ)		1,600		5
Viad Corp.		2,500		35
VSE Corp.		100		2
Wabash National Corp.		900		2
Wabtec Corp.		1,600		43
Waste Connections, Inc. (Æ)		3,850		92
Waste Services, Inc. (Æ)		2,000		9
Watson Wyatt Worldwide, Inc. Class A		900		44
Watts Water Technologies, Inc. Class A		1,400		24
Werner Enterprises, Inc.		5,600		76
Woodward Governor Co.		3,100		53
Xerium Technologies, Inc. (Æ)		4,500		3
YRC Worldwide, Inc. (Æ)		3,900		9
				3,317
Information Technology - 18.4%
3Com Corp. (Æ)		26,600		59
3PAR, Inc. (Æ)		600		4
ACI Worldwide, Inc. (Æ)		3,700		66
Actel Corp. (Æ)		3,600		33
Acxiom Corp.		11,600		96
Adaptec, Inc. (Æ)		2,500		6
Adtran, Inc.		1,700		25
Agilysys, Inc.		3,700		13
American Superconductor Corp. (Æ)		1,300		18
Applied Micro Circuits Corp. (Æ)		5,100		18
Arris Group, Inc. (Æ)		8,993		55
Art Technology Group, Inc. (Æ)		1,200		3
AsiaInfo Holdings, Inc. (Æ)		600		7
Atheros Communications, Inc. (Æ)		700		8
Avocent Corp. (Æ)		2,000		24
Benchmark Electronics, Inc. (Æ)		5,900		58

	Principal Amount ($) or Shares		Market Value $
Black Box Corp.		1,200		24
Brightpoint, Inc. (Æ)		2,000		8
Brooks Automation, Inc. (Æ)		3,500		15
CACI International, Inc. Class A (Æ)		600		26
Ciber, Inc. (Æ)		6,300		16
Cirrus Logic, Inc. (Æ)		9,200		33
Cogent, Inc. (Æ)		2,000		21
Cognex Corp.		2,400		26
Cogo Group, Inc. (Æ)		1,000		6
Coherent, Inc. (Æ)		3,300		51
Compellent Technologies, Inc. (Æ)		1,200		16
Comtech Telecommunications Corp. (Æ)		600		23
CSG Systems International, Inc. (Æ)		5,800		78
CTS Corp.		2,300		7
Cybersource Corp. (Æ)		1,400		17
Cymer, Inc. (Æ)		2,500		46
DealerTrack Holdings, Inc. (Æ)		300		3
Digi International, Inc. (Æ)		5,500		39
Digital River, Inc. (Æ)		3,900		93
DivX, Inc. (Æ)		1,600		7
DSP Group, Inc. (Æ)		1,700		9
Earthlink, Inc. (Æ)		10,800		68
Ebix, Inc. (Æ)		200		4
Electronics for Imaging, Inc. (Æ)		400		4
EPIQ Systems, Inc. (Æ)		1,050		18
Fair Isaac Corp.		1,900		21
Forrester Research, Inc. (Æ)		3,400		62
Gartner, Inc. (Æ)		5,400		55
Global Cash Access Holdings, Inc. (Æ)		5,777		16
Harmonic, Inc. (Æ)		2,684		15
Harris Stratex Networks, Inc. Class A (Æ)		1,877		7
Heartland Payment Systems, Inc.		600		3
Hutchinson Technology, Inc. (Æ)		1,100		2
i2 Technologies, Inc. (Æ)		300		2
iGate Corp.		2,100		6
Imation Corp.		4,400		35
Infinera Corp. (Æ)		3,700		27
infoGROUP, Inc. (Æ)		13,200		39
Infospace, Inc. (Æ)		2,800		15
InterDigital, Inc. (Æ)		3,300		97
Internap Network Services Corp. (Æ)		5,700		17
IXYS Corp.		1,300		11
j2 Global Communications, Inc. (Æ)		1,900		36
JDA Software Group, Inc. (Æ)		3,400		33
L-1 Identity Solutions, Inc. Class 1 (Æ)		1,800		8
Lawson Software, Inc. (Æ)		7,567		29
Littelfuse, Inc. (Æ)		2,600		30
LoopNet, Inc. (Æ)		1,700		10
Manhattan Associates, Inc. (Æ)		2,600		39
Mantech International Corp. Class A (Æ)		800		42
MAXIMUS, Inc.		1,100		41
Mentor Graphics Corp. (Æ)		1,000		4

Enhanced Small Cap Fund
37

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Methode Electronics, Inc.		9,000		32
Micrel, Inc.		10,600		71
Micros Systems, Inc. (Æ)		1,900		31
Microsemi Corp. (Æ)		2,500		25
MicroStrategy, Inc. Class A (Æ)		1,200		44
MKS Instruments, Inc. (Æ)		5,600		71
Monotype Imaging Holdings, Inc. (Æ)		6,300		16
MTS Systems Corp.		900		21
Multi-Fineline Electronix, Inc. (Æ)		1,300		19
Net 1 UEPS Technologies, Inc. (Æ)		1,800		26
Netezza Corp. (Æ)		1,700		10
Netgear, Inc. (Æ)		2,000		22
NIC, Inc.		800		4
Novatel Wireless, Inc. (Æ)		3,500		19
OSI Systems, Inc. (Æ)		300		5
Palm, Inc. (Æ)		4,400		32
Parametric Technology Corp. (Æ)		3,140		26
PC-Telephone, Inc.		1,700		9
Pegasystems, Inc.		3,100		44
Perficient, Inc. (Æ)		700		2
Pericom Semiconductor Corp. (Æ)		3,900		21
Perot Systems Corp. Class A (Æ)		2,200		25
Plexus Corp. (Æ)		1,000		13
PMC - Sierra, Inc. (Æ)		4,400		22
Polycom, Inc. (Æ)		4,800		64
Power Integrations, Inc.		600		11
Progress Software Corp. (Æ)		3,600		57
Quest Software, Inc. (Æ)		2,300		26
Rackable Systems, Inc. (Æ)		3,800		14
RF Micro Devices, Inc. (Æ)		2,400		2
RightNow Technologies, Inc. (Æ)		500		4
Riverbed Technology, Inc. (Æ)		5,200		54
Rofin-Sinar Technologies, Inc. (Æ)		600		9
Rogers Corp. (Æ)		2,700		49
Rubicon Technology, Inc. (Æ)		1,766		7
S1 Corp. (Æ)		2,700		15
Sapient Corp. (Æ)		5,600		21
SAVVIS, Inc. (Æ)		2,600		15
Semtech Corp. (Æ)		6,700		79
Sigma Designs, Inc. (Æ)		998		14
Silicon Image, Inc. (Æ)		10,100		23
Silicon Storage Technology, Inc. (Æ)		20,600		30
Skyworks Solutions, Inc. (Æ)		10,800		70
Solera Holdings, Inc. (Æ)		1,200		25
SonicWALL, Inc. (Æ)		9,800		43
SPSS, Inc. (Æ)		3,100		78
Standard Microsystems Corp. (Æ)		800		12
SuccessFactors, Inc. (Æ)		5,200		26
Switch & Data Facilities Co., Inc. (Æ)		800		5
Sybase, Inc. (Æ)		6,200		169
Symmetricom, Inc. (Æ)		4,335		15
Synaptics, Inc. (Æ)		1,550		32

	Principal Amount ($) or Shares		Market Value $
Take-Two Interactive Software, Inc. (Æ)		4,000		25
Tekelec (Æ)		5,600		69
TeleCommunication Systems, Inc. (Æ)		1,900		16
TeleTech Holdings, Inc. (Æ)		3,800		33
Tessera Technologies, Inc. (Æ)		1,400		15
TIBCO Software, Inc. (Æ)		17,400		84
Time Warner Telecom, Inc. Class A (Æ)		7,900		64
TiVo, Inc. (Æ)		4,000		28
TNS, Inc. (Æ)		500		3
TriQuint Semiconductor, Inc. (Æ)		10,300		24
TTM Technologies, Inc. (Æ)		7,900		36
United Online, Inc.		5,000		23
Viasat, Inc. (Æ)		1,200		22
Vignette Corp. (Æ)		4,100		27
VistaPrint, Ltd. (Æ)		1,200		29
Volterra Semiconductor Corp. (Æ)		2,300		19
Websense, Inc. (Æ)		1,200		13
Wind River Systems, Inc. (Æ)		1,900		14
				3,976
Materials - 3.7%
Brush Engineered Materials, Inc. (Æ)		800		10
Buckeye Technologies, Inc. (Æ)		10,300		23
Calgon Carbon Corp. (Æ)		700		10
Compass Minerals International, Inc.		600		31
Glatfelter		3,500		22
HB Fuller Co.		4,100		47
Headwaters, Inc. (Æ)		1,400		3
Hecla Mining Co. (Æ)		3,700		6
Innophos Holdings, Inc.		1,900		20
Lawson Products, Inc.		400		7
Minerals Technologies, Inc.		2,000		60
Myers Industries, Inc.		500		2
Olin Corp.		7,400		77
OM Group, Inc. (Æ)		2,100		32
PolyOne Corp. (Æ)		1,400		2
Quaker Chemical Corp.		500		3
Rock-Tenn Co. Class A		3,000		83
Rockwood Holdings, Inc. (Æ)		2,400		14
RTI International Metals, Inc. (Æ)		1,200		13
Schulman A, Inc.		2,100		30
Schweitzer-Mauduit International, Inc.		300		5
Sensient Technologies Corp.		2,700		54
Silgan Holdings, Inc.		1,900		93
Solutia, Inc. (Æ)		2,900		11
Spartech Corp.		1,500		4
Stepan Co.		1,500		43
Stillwater Mining Co. (Æ)		5,300		17
Wausau Paper Corp.		1,600		9
Worthington Industries, Inc.		5,400		44
WR Grace & Co. (Æ)		3,900		22
				797

Enhanced Small Cap Fund
38

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Telecommunication Services - 1.2%
Cbeyond, Inc. (Æ)		400		6
Cogent Communications Group, Inc. (Æ)		1,200		8
DG FastChannel, Inc. (Æ)		400		6
General Communication, Inc. Class A (Æ)		9,800		53
Global Crossing, Ltd. (Æ)		1,400		10
NTELOS Holdings Corp.		1,700		33
Premiere Global Services, Inc. (Æ)		7,200		60
Shenandoah Telecommunications Co.		300		6
Syniverse Holdings, Inc. (Æ)		3,300		50
USA Mobility, Inc. (Æ)		3,100		28
				260
Utilities - 4.0%
Allete, Inc.		1,800		48
Avista Corp.		7,700		110
California Water Service Group		700		27
Central Vermont Public Service Corp.		1,200		25
Cleco Corp.		200		4
El Paso Electric Co. (Æ)		5,800		82
Empire District Electric Co. (The)		300		4
Idacorp, Inc.		5,200		127
Laclede Group, Inc. (The)		1,100		44
Northwest Natural Gas Co.		3,000		123
NorthWestern Corp.		2,200		45
Piedmont Natural Gas Co.		300		7

	Principal Amount ($) or Shares		Market Value $
PNM Resources, Inc.		2,500		19
Portland General Electric Co.		3,900		64
South Jersey Industries, Inc.		500		18
Southwest Gas Corp.		5,500		107
WGL Holdings, Inc.		300		9
				863
Total Common Stocks (cost $31,828)				20,454
Short-Term Investments - 4.4%
AIM Short Term Investment Prime Portfolio		176		—	±
Federated Investors Prime Cash Obligations Fund		956,589		957
Total Short-Term Investments (cost $957)				957
Total Investments - 99.4% (identified cost $32,785)				21,411
Other Assets and Liabilities, Net - 0.6%				130
Net Assets - 100.0%				21,541

Amounts in thousands (except contracts)

Futures Contracts	Number of Contracts		Notional Amount		Expiration Date	Unrealized Appreciaion (Depreciation) $
Long Positions
Russell 2000 Mini Index (CME)		23	USD	894	03/09		(77	)
Total Unrealized Appreciation (Depreciation) on Open Futures Contracts (å)							(77	)

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

Enhanced Small Cap Fund
39

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Consumer Discretionary		11.7
Consumer Staples		3.5
Energy		3.5
Financials		19.3
Health Care		14.3
Industrials		15.4
Information Technology		18.4
Materials		3.7
Telecommunication Services		1.2
Utilities		4.0
Short-Term Investments		4.4
Total Investments		99.4
Other Assets and Liabilities, Net		0.6
		100.0
Futures Contracts		(0.4	)

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

Enhanced Small Cap Fund
40

SSgA
Directional Core Equity Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	789.50	$	1,015.52
Expenses Paid During Period *	$	8.30	$	9.35

* Expenses are equal to the Fund's expense ratio of 1.87% (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). On an annual basis and based on average daily net assets, the annualized expense ratio is 1.60% not including the dividends from securities sold short as contractually agreed by the advisor. 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, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 86.0%
Consumer Discretionary - 16.7%
Apollo Group, Inc. Class A (Æ)		1,577		114
AutoZone, Inc. (Æ)		713		102
Big Lots, Inc. (Æ)(Û)		5,140		80
Career Education Corp. (Æ)		4,868		120
Carter's, Inc. (Æ)		6,224		102
Centex Corp.		5,539		34
Childrens Place Retail Stores, Inc. (The) (Æ)		610		11
Gap, Inc. (The)		3,913		42
Harman International Industries, Inc.		7,305		78
Hillenbrand, Inc.		2,274		38
McDonald's Corp.		2,376		124
NVR, Inc. (Æ)(Û)		241		80
				925
Consumer Staples - 5.0%
Coca-Cola Co. (The)(Û)		249		10
Constellation Brands, Inc. Class A (Æ)		2,011		26
Fresh Del Monte Produce, Inc. (Æ)		439		9
Philip Morris International, Inc.		1,380		46
Procter & Gamble Co. (Û)		248		12
Safeway, Inc.		5,408		100
Wal-Mart Stores, Inc.		1,500		74
				277
Energy - 14.4%
Anadarko Petroleum Corp.		646		23
Apache Corp.		851		50
ConocoPhillips		2,949		110
ENSCO International, Inc.		2,653		65
Exxon Mobil Corp. (Û)		3,993		271
Sunoco, Inc.		2,738		92
Transocean, Ltd. (Æ)		1,425		85
Valero Energy Corp.		639		12
World Fuel Services Corp. (Û)		3,125		91
				799
Financials - 7.6%
ACE, Ltd. (Û)		84		3
Aflac, Inc.		496		8
AON Corp.		2,730		104
Axis Capital Holdings, Ltd.		230		5
Bank of America Corp.		649		3
Brown & Brown, Inc.		3,267		55
Cincinnati Financial Corp.		1,493		31
Hatteras Financial Corp. (ö)		1,825		43
JPMorgan Chase & Co.		2,504		57

	Principal Amount ($) or Shares		Market Value $
Knight Capital Group, Inc. Class A (Æ)		5,830		103
Provident Financial Services, Inc.		956		9
				421
Health Care - 15.1%
Amgen, Inc. (Æ)		770		38
Boston Scientific Corp. (Æ)		4,156		29
Cephalon, Inc. (Æ)		607		40
Chemed Corp.		2,947		117
Eli Lilly & Co.		3,990		117
Express Scripts, Inc. Class A (Æ)(Û)		291		15
Gilead Sciences, Inc. (Æ)		375		17
Hill-Rom Holdings, Inc.		1,660		16
IMS Health, Inc.		1,959		24
Johnson & Johnson (Û)		194		10
King Pharmaceuticals, Inc. (Æ)		11,446		84
Martek Biosciences Corp. (Æ)		626		12
Myriad Genetics, Inc. (Æ)		950		75
Omnicare, Inc.		3,792		98
Owens & Minor, Inc. (Û)		197		7
Teleflex, Inc.		1,197		57
Thermo Fisher Scientific, Inc. (Æ)		2,145		78
Viropharma, Inc. (Æ)		633		2
				836
Industrials - 5.3%
Alaska Air Group, Inc. (Æ)		2,260		49
Chart Industries, Inc. (Æ)		3,368		22
EMCOR Group, Inc. (Æ)		1,797		28
Gardner Denver, Inc. (Æ)		3,440		65
General Electric Co. (Û)		886		8
Joy Global, Inc. (Û)		353		6
Lockheed Martin Corp. (Û)		75		5
Shaw Group, Inc. (The) (Æ)		2,806		65
Skywest, Inc.		308		3
WESCO International, Inc. (Æ)		2,689		45
				296
Information Technology - 14.1%
Accenture, Ltd. Class A		650		19
Alliance Data Systems Corp. (Æ)		2,528		75
Avocent Corp. (Æ)		6,762		81
Gartner, Inc. (Æ)		4,381		44
Hewlett-Packard Co.		1,553		45
Ingram Micro, Inc. Class A (Æ)		7,409		81
Intel Corp.		5,450		69
International Business Machines Corp.		1,926		177
Lexmark International, Inc. Class A (Æ)		2,333		40
Microsoft Corp.		364		6
Oracle Corp. (Æ)		795		12

Directional Core Equity Fund
43

SSgA
Directional Core Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Quest Software, Inc. (Æ)		1,751			20
Symantec Corp. (Æ)		8,350			116
					785
Materials - 3.8%
CF Industries Holdings, Inc.		1,065			68
Cliffs Natural Resources, Inc.		559			9
Compass Minerals International, Inc.		474			25
Foster Wheeler AG (Æ)		2,983			45
Pactiv Corp. (Æ)		4,049			64
					211
Telecommunication Services - 0.7%
CenturyTel, Inc.		967			25
Syniverse Holdings, Inc. (Æ)		836			13
					38
Utilities - 3.3%
Centerpoint Energy, Inc.		4,310			44
Consolidated Edison, Inc.		207			7
Dominion Resources, Inc.		134			4
Edison International (Û)		246			7
Integrys Energy Group, Inc.		1,835			44
Unisource Energy Corp.		3,163			80
					186
Total Common Stocks (cost $6,237)					4,774
Short-Term Investments - 0.5%
AIM Short Term Investment Treasury Portfolio		100			—	±
Federated Investors Prime Cash Obligations Fund		29,035			29
Total Short-Term Investments (cost $29)					29
Total Investments - 86.5% (identified cost $6,266)					4,803
Securities Sold Short - (22.4%)
Consumer Discretionary - (3.2%)
Gaylord Entertainment Co. (Æ)		(2,736	)		(18	)
Goodyear Tire & Rubber Co. (The) (Æ)		(8,377	)		(37	)
J Crew Group, Inc. (Æ)		(2,502	)		(28	)
Las Vegas Sands Corp. (Æ)		(9,759	)		(22	)
Morningstar, Inc. (Æ)		(967	)		(27	)
Sotheby's Class A		(6,474	)		(45	)
					(177	)

	Principal Amount ($) or Shares			Market Value $
Energy - (5.3%)
Arena Resources, Inc. (Æ)		(1,513	)		(32	)
Atwood Oceanics, Inc. (Æ)		(3,218	)		(49	)
Continental Resources, Inc. (Æ)		(1,923	)		(31	)
EQT Corp.		(1,503	)		(46	)
Forest Oil Corp. (Æ)		(2,678	)		(38	)
Hercules Offshore, Inc. (Æ)		(7,595	)		(11	)
PetroHawk Energy Corp. (Æ)		(3,291	)		(56	)
Quicksilver Resources, Inc. (Æ)		(3,774	)		(23	)
Weatherford International, Ltd. (Æ)		(636	)		(7	)
					(293	)
Financials - (0.7%)
First Horizon National Corp.		(1,703	)		(16	)
Post Properties, Inc. (ö)		(2,417	)		(23	)
UDR, Inc. (ö)		(127	)		(1	)
					(40	)
Health Care - (4.0%)
Cepheid, Inc. (Æ)		(3,899	)		(26	)
Eclipsys Corp. (Æ)		(3,799	)		(30	)
Illumina, Inc. (Æ)		(2,297	)		(72	)
Intuitive Surgical, Inc. (Æ)		(543	)		(49	)
Medcath Corp. (Æ)		(5,938	)		(48	)
					(225	)
Industrials - (4.5%)
Corporate Executive Board Co. (The)		(817	)		(12	)
Energy Conversion Devices, Inc. (Æ)		(1,015	)		(22	)
Geo Group, Inc. (The) (Æ)		(1,386	)		(16	)
Hexcel Corp. (Æ)		(6,570	)		(41	)
Steelcase, Inc. Class A		(9,411	)		(38	)
Tyco International, Ltd.		(2,296	)		(46	)
United Stationers, Inc. (Æ)		(301	)		(7	)
USG Corp. (Æ)		(5,426	)		(31	)
Woodward Governor Co.		(2,081	)		(36	)
					(249	)
Information Technology - (3.0%)
AVX Corp.		(3,651	)		(31	)
L-1 Identity Solutions, Inc. (Æ)		(7,193	)		(33	)
Rofin-Sinar Technologies, Inc. (Æ)		(2,817	)		(41	)
Time Warner Telecom, Inc. Class A (Æ)		(7,426	)		(60	)
					(165	)
Materials - (0.6%)
Commercial Metals Co.		(2,319	)		(24	)
OM Group, Inc. (Æ)		(603	)		(9	)
					(33	)

Directional Core Equity Fund
44

SSgA
Directional Core Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Utilities - (1.1%)
Calpine Corp. (Æ)		(4,302	)		(24	)
Reliant Energy, Inc. (Æ)		(10,402	)		(36	)
					(60	)
Total Securities Sold Short (proceeds $2,025)					(1,242	)
Other Assets and Liabilities, Net - 35.9%					1,989
Net Assets - 100.0%					5,550

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Consumer Discretionary		16.7
Consumer Staples		5.0
Energy		14.4
Financials		7.6
Health Care		15.1
Industrials		5.3
Information Technology		14.1
Materials		3.8
Telecommunication Services		0.7
Utilities		3.3
Short-Term Investments		0.5
Total Investments		86.5
Securities Sold Short		(22.4	)
Other Assets and Liabilities, Net		35.9
		100.0

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

Directional Core Equity Fund
45

This page has been intentionally left blank.

SSgA
Core Edge Equity Fund

Shareholder Expense Example — February 28, 2009 (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, 2008 to February 28, 2009.

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.

	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2008	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2009	$	649.60	$	1,015.52
Expenses Paid During Period *	$	7.65	$	9.35

* Expenses are equal to the Fund's expense ratio of 1.87% (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). On an annual basis and based on average daily net assets, the annualized expense ratio is 1.60% not including the dividends from securities sold short as contractually agreed by the advisor. Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.

Core Edge Equity Fund
47

This page has been intentionally left blank.

SSgA
Core Edge Equity Fund

Schedule of Investments — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Common Stocks - 126.4%
Consumer Discretionary - 17.0%
Advance Auto Parts, Inc. (Û)		679		26
Aeropostale, Inc. (Æ)(Û)		826		19
Apollo Group, Inc. Class A (Æ)(Û)		1,244		90
AutoNation, Inc. (Æ)(Û)		5,700		57
AutoZone, Inc. (Æ)(Û)		651		93
Big Lots, Inc. (Æ)(Û)		4,282		67
Career Education Corp. (Æ)(Û)		3,878		96
Carter's, Inc. (Æ)(Û)		4,868		79
Dollar Tree, Inc. (Æ)(Û)		881		34
Family Dollar Stores, Inc. (Û)		3,428		94
GameStop Corp. Class A (Æ)(Û)		178		5
Gap, Inc. (The) (Û)		7,608		82
Harman International Industries, Inc.		2,100		22
Hasbro, Inc. (Û)		1,667		38
McDonald's Corp. (Û)		1,074		56
NVR, Inc. (Æ)(Û)		196		65
Polo Ralph Lauren Corp. Class A (Û)		636		22
RadioShack Corp. (Û)		7,515		55
Regis Corp. (Û)		872		11
Ross Stores, Inc. (Û)		1,327		39
Tractor Supply Co. (Æ)		1,046		33
WMS Industries, Inc. (Æ)(Û)		3,246		59
				1,142
Consumer Staples - 11.0%
Altria Group, Inc. (Û)		1,842		28
Chattem, Inc. (Æ)(Û)		827		53
Church & Dwight Co., Inc. (Û)		1,754		86
Coca-Cola Co. (The) (Û)		614		25
Dean Foods Co. (Æ)(Û)		3,830		78
Fresh Del Monte Produce, Inc. (Æ)(Û)		2,465		46
Molson Coors Brewing Co. Class B (Û)		200		7
PepsiCo, Inc. (Û)		371		18
Philip Morris International, Inc. (Û)		1,884		63
Procter & Gamble Co. (Û)		3,058		147
Safeway, Inc.		4,409		82
Wal-Mart Stores, Inc. (Û)		2,143		106
				739
Energy - 18.8%
Apache Corp. (Û)		1,403		83
Chevron Corp. (Û)		3,259		198
Complete Production Services, Inc. (Æ)(Û)		8,104		25
ConocoPhillips (Û)		1,518		57
Devon Energy Corp. (Û)		390		17

	Principal Amount ($) or Shares		Market Value $
Exxon Mobil Corp. (Û)		6,299		428
Hess Corp. (Û)		258		14
Noble Corp.		319		8
Occidental Petroleum Corp. (Û)		819		42
Sunoco, Inc. (Û)		2,500		84
Tesoro Corp. (Û)		5,497		81
Transocean, Ltd. (Æ)		1,431		85
Valero Energy Corp. (Û)		4,095		79
Walter Industries, Inc. Class A		1,228		22
World Fuel Services Corp.		1,126		33
				1,256
Financials - 11.6%
ACE, Ltd. (Û)		1,446		53
American Express Co. (Û)		1,138		14
AON Corp. (Û)		257		10
Aspen Insurance Holdings, Ltd. (Û)		2,603		57
Bank of America Corp. (Û)		3,800		15
Bank of New York Mellon Corp. (The) (Û)		485		11
Brown & Brown, Inc.		2,965		50
CapitalSource, Inc. (Û)		11,080		21
Cash America International, Inc. (Û)		1,091		16
Chubb Corp. (Û)		338		13
Cincinnati Financial Corp. (Û)		1,248		26
Goldman Sachs Group, Inc. (The)		512		46
Hartford Financial Services Group, Inc.		4,700		29
Hudson City Bancorp, Inc. (Û)		476		5
JPMorgan Chase & Co. (Û)		3,819		87
Knight Capital Group, Inc. Class A (Æ)(Û)		4,376		77
MBIA, Inc. (Æ)(Û)		7,267		20
Morgan Stanley		4,776		93
New York Community Bancorp, Inc. (Û)		2,839		28
Northern Trust Corp.		277		15
Principal Financial Group, Inc.		2,303		18
ProLogis (ö)		9,553		55
Wells Fargo & Co. (Û)		1,588		19
				778
Health Care - 22.6%
Abbott Laboratories		1,587		75
Aetna, Inc. (Û)		697		17
Alexion Pharmaceuticals, Inc. (Æ)(Û)		247		8
Amgen, Inc. (Æ)(Û)		1,078		53
Becton Dickinson and Co. (Û)		288		18
Biogen Idec, Inc. (Æ)		1,496		69
Boston Scientific Corp. (Æ)(Û)		1,600		11
Cephalon, Inc. (Æ)(Û)		866		57

Core Edge Equity Fund
49

SSgA
Core Edge Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares		Market Value $
Cigna Corp. (Û)		4,191		66
CR Bard, Inc. (Û)		100		8
Eli Lilly & Co. (Û)		3,511		103
Express Scripts, Inc. Class A (Æ)(Û)		1,852		93
Forest Laboratories, Inc. (Æ)(Û)		3,975		85
Genzyme Corp. (Æ)		802		49
Johnson & Johnson (Û)		2,833		142
King Pharmaceuticals, Inc. (Æ)(Û)		10,845		80
LifePoint Hospitals, Inc. (Æ)(Û)		1,169		25
Lincare Holdings, Inc. (Æ)		983		21
Martek Biosciences Corp. (Æ)(Û)		1,887		35
Medtronic, Inc. (Û)		1,081		32
Myriad Genetics, Inc. (Æ)(Û)		722		57
Omnicare, Inc. (Û)		3,569		92
Pfizer, Inc. (Û)		6,245		77
PSS World Medical, Inc. (Æ)		768		11
Schering-Plough Corp. (Û)		1,572		27
St. Jude Medical, Inc. (Æ)(Û)		313		10
STERIS Corp.		983		23
Teleflex, Inc. (Û)		1,797		85
Thermo Fisher Scientific, Inc. (Æ)(Û)		443		16
Vertex Pharmaceuticals, Inc. (Æ)(Û)		2,280		69
				1,514
Industrials - 12.7%
Acuity Brands, Inc. (Û)		445		10
Alaska Air Group, Inc. (Æ)(Û)		2,174		48
Burlington Northern Santa Fe Corp. (Û)		276		16
Chart Industries, Inc. (Æ)(Û)		1,391		9
Dover Corp. (Û)		169		4
EMCOR Group, Inc. (Æ)(Û)		2,484		38
Equifax, Inc.		891		19
Flowserve Corp. (Û)		1,974		100
Fluor Corp. (Û)		2,454		82
General Dynamics Corp. (Û)		1,960		86
General Electric Co. (Û)		5,385		46
Joy Global, Inc. (Û)		4,361		76
L-3 Communications Holdings, Inc. Class 3 (Û)		118		8
Norfolk Southern Corp.		359		11
Shaw Group, Inc. (The) (Æ)(Û)		2,916		68
Union Pacific Corp.		491		18
United Rentals, Inc. (Æ)(Û)		2,991		12
URS Corp. (Æ)(Û)		1,243		39
Waste Connections, Inc. (Æ)		1,830		44
Waste Management, Inc. (Û)		479		13
Watson Wyatt Worldwide, Inc. Class A (Û)		1,509		74
WESCO International, Inc. (Æ)(Û)		1,933		32
				853

	Principal Amount ($) or Shares		Market Value $
Information Technology - 22.1%
Adobe Systems, Inc. (Æ)(Û)		690		12
Affiliated Computer Services, Inc. Class A (Æ)(Û)		1,904		89
Alliance Data Systems Corp. (Æ)(Û)		2,123		63
Analog Devices, Inc. (Û)		333		6
Apple, Inc. (Æ)(Û)		1,763		157
Avocent Corp. (Æ)(Û)		1,090		13
BMC Software, Inc. (Æ)(Û)		244		7
Cisco Systems, Inc. (Æ)(Û)		5,735		84
Global Payments, Inc.		491		15
Google, Inc. Class A (Æ)(Û)		77		26
Hewitt Associates, Inc. Class A (Æ)(Û)		1,319		39
Hewlett-Packard Co. (Û)		4,942		143
Intel Corp. (Û)		5,694		73
International Business Machines Corp. (Û)		1,306		120
Lender Processing Services, Inc. (Û)		3,232		85
Lexmark International, Inc. Class A (Æ)(Û)		3,384		58
Microsoft Corp. (Û)		3,377		55
MicroStrategy, Inc. Class A (Æ)(Û)		496		18
Oracle Corp. (Æ)(Û)		9,456		147
Perot Systems Corp. Class A (Æ)(Û)		913		10
Plantronics, Inc. (Û)		4,083		35
QLogic Corp. (Æ)(Û)		6,532		60
Quest Software, Inc. (Æ)(Û)		1,768		20
Symantec Corp. (Æ)(Û)		7,427		103
Take-Two Interactive Software, Inc. (Æ)(Û)		2,160		13
Texas Instruments, Inc. (Û)		1,212		17
Western Union Co. (The) (Û)		821		9
Xerox Corp.		781		4
				1,481
Materials - 4.2%
CF Industries Holdings, Inc. (Û)		1,319		85
Cliffs Natural Resources, Inc. (Û)		2,933		45
Compass Minerals International, Inc.		1,195		62
Pactiv Corp. (Æ)		2,700		43
Rock-Tenn Co. Class A (Û)		1,610		45
				280
Telecommunication Services - 1.6%
AT&T, Inc. (Û)		2,664		63
CenturyTel, Inc. (Û)		1,228		33
Syniverse Holdings, Inc. (Æ)(Û)		728		11
				107
Utilities - 4.8%
Centerpoint Energy, Inc. (Û)		7,670		79
CMS Energy Corp.		7,496		83
Consolidated Edison, Inc.		2,392		86

Core Edge Equity Fund
50

SSgA
Core Edge Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Dominion Resources, Inc. (Û)		620			19
DTE Energy Co. (Û)		146			4
Edison International (Û)		324			9
FirstEnergy Corp. (Û)		304			13
Unisource Energy Corp.		1,081			27
					320
Total Common Stocks (cost $11,089)					8,470
Short-Term Investments - 0.1%
SSgA Prime Money Market Fund		8,284			8
Total Short-Term Investments (cost $8)					8
Total Investments - 126.5% (identified cost $11,097)					8,478
Securities Sold Short - (26.8%)
Consumer Discretionary - (2.8%)
Dick's Sporting Goods, Inc. (Æ)		(3,130	)		(39	)
Goodyear Tire & Rubber Co. (The) (Æ)		(10,005	)		(44	)
Las Vegas Sands Corp. (Æ)		(10,400	)		(24	)
Live Nation, Inc. (Æ)		(4,318	)		(15	)
Orient-Express Hotels, Ltd. Class A		(2,102	)		(8	)
Sotheby's Class A		(5,841	)		(39	)
Washington Post Co. (The) Class B		(42	)		(15	)
					(184	)
Energy - (6.3%)
Arena Resources, Inc. (Æ)		(1,592	)		(34	)
ATP Oil & Gas Corp. (Æ)		(5,436	)		(19	)
Carrizo Oil & Gas, Inc. (Æ)		(1,287	)		(14	)
Continental Resources, Inc. (Æ)		(2,131	)		(34	)
EQT Corp.		(1,964	)		(60	)
Exterran Holdings, Inc. (Æ)		(2,696	)		(49	)
Forest Oil Corp. (Æ)		(3,457	)		(49	)
Patriot Coal Corp. (Æ)		(1,637	)		(6	)
PetroHawk Energy Corp. (Æ)		(2,997	)		(51	)
Pride International, Inc. (Æ)		(3,276	)		(56	)
Rowan Cos., Inc.		(2,983	)		(36	)
SEACOR Holdings, Inc. (Æ)		(205	)		(13	)
					(421	)
Financials - (1.0%)
Legg Mason, Inc.		(1,500	)		(19	)
Post Properties, Inc. (ö)		(2,604	)		(25	)
St. Joe Co. (The) (Æ)		(1,327	)		(24	)
					(68	)

	Principal Amount ($) or Shares			Market Value $
Health Care - (4.8%)
Auxilium Pharmaceuticals, Inc. (Æ)		(672	)		(18	)
BioMarin Pharmaceutical, Inc. (Æ)		(2,044	)		(25	)
Cepheid, Inc. (Æ)		(5,243	)		(35	)
Eclipsys Corp. (Æ)		(3,829	)		(31	)
Idexx Laboratories, Inc. (Æ)		(509	)		(15	)
Illumina, Inc. (Æ)		(1,669	)		(52	)
Intuitive Surgical, Inc. (Æ)		(568	)		(52	)
Meridian Bioscience, Inc.		(1,602	)		(32	)
Onyx Pharmaceuticals, Inc. (Æ)		(846	)		(25	)
Parexel International Corp. (Æ)		(3,802	)		(36	)
					(321	)
Industrials - (5.5%)
Barnes Group, Inc.		(768	)		(7	)
Corporate Executive Board Co. (The)		(1,027	)		(15	)
General Cable Corp. (Æ)		(3,878	)		(60	)
Geo Group, Inc. (The) (Æ)		(1,678	)		(20	)
Hexcel Corp. (Æ)		(7,138	)		(44	)
II-VI, Inc. (Æ)		(551	)		(10	)
Kaydon Corp.		(716	)		(18	)
KBR, Inc.		(2,073	)		(26	)
Mine Safety Appliances Co.		(2,383	)		(43	)
Moog, Inc. Class A (Æ)		(363	)		(8	)
Trinity Industries, Inc.		(1,463	)		(11	)
Tyco International, Ltd. Class W		(2,725	)		(55	)
United Stationers, Inc. (Æ)		(251	)		(5	)
USG Corp. (Æ)		(8,054	)		(47	)
					(369	)
Information Technology - (2.9%)
Ariba, Inc. (Æ)		(1,163	)		(10	)
Cognizant Technology Solutions Corp. Class A (Æ)		(671	)		(12	)
Omniture, Inc. (Æ)		(1,305	)		(15	)
Rofin-Sinar Technologies, Inc. (Æ)		(2,409	)		(35	)
Synchronoss Technologies, Inc. (Æ)		(1,349	)		(13	)
Time Warner Telecom, Inc. Class A (Æ)		(2,400	)		(19	)
Total System Services, Inc.		(3,074	)		(39	)
VMware, Inc. Class A (Æ)		(2,579	)		(54	)
					(197	)
Materials - (1.9%)
Allegheny Technologies, Inc.		(1,910	)		(38	)
RTI International Metals, Inc. (Æ)		(3,572	)		(39	)
Steel Dynamics, Inc.		(5,776	)		(48	)
					(125	)
Telecommunication Services - (0.4%)
Telephone & Data Systems, Inc.		(997	)		(29	)

Core Edge Equity Fund
51

SSgA
Core Edge Equity Fund

Schedule of Investments, continued — February 28, 2009 (Unaudited)

Amounts in thousands (except share amounts)

	Principal Amount ($) or Shares			Market Value $
Utilities - (1.2%)
Calpine Corp. (Æ)		(7,925	)		(45	)
Reliant Energy, Inc. (Æ)		(11,201	)		(39	)
					(84	)
Total Securities Sold Short (proceeds $3,044)					(1,798	)
Other Assets and Liabilities, Net - 0.3%					23
Net Assets - 100.0%					6,703

Presentation of Portfolio Holdings — February 28, 2009 (Unaudited)

Categories	% of Net Assets
Consumer Discretionary		17.0
Consumer Staples		11.0
Energy		18.8
Financials		11.6
Health Care		22.6
Industrials		12.7
Information Technology		22.1
Materials		4.2
Telecommunication Services		1.6
Utilities		4.8
Short-Term Investments		0.1
Total Investments		126.5
Securities Sold Short		(26.8	)
Other Assets and Liabilities, Net		0.3
		100.0

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

Core Edge Equity Fund
52

SSgA
Equity Funds

Notes to Schedules of Investments — February 28, 2009 (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)  At amortized cost, which approximates market.

(Ñ)  All or a portion of the shares of this security are on loan.

(W)  Affiliate; the security is purchased with the cash collateral from the securities loaned.

(û)  All or a portion of the shares of this security are held as collateral in connection with securities sold short.

(l)  Restricted security (144A). Security may have contractual restriction on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.

±  Less than $500.

Abbreviations:

ADR - American Depositary Receipt

ADS - American Depositary Share

CME - Chicago Mercantile Exchange

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
53

SSgA
Equity Funds

Statements of Assets and Liabilities — February 28, 2009 (Unaudited)

Amounts in thousands	Disciplined Equity Fund			Small Cap Fund			Tuckerman Active REIT Fund			IAM SHARES Fund
Assets
Investments, at identified cost	$	118,606		$	17,046		$	84,422		$	141,229
Investments, at market*		94,396			13,356			59,325			97,063
Cash (restricted)		—			—			—			—
Deposits with brokers for securities sold short**		—			—			—			—
Receivables:
Dividends and interest		350			6			270			490
Investments sold		—			768			—			—
Fund shares sold		25			5			85			7
From Advisor		—			56			—			—
Prepaid expenses		1			1			1			6
Total assets		94,772			14,192			59,681			97,566
Liabilities
Payables:
Investments purchased		2			771			1			1
Fund shares redeemed		2,367			53			548			4
Accrued fees to affiliates		63			40			78			59
Other accrued expenses		32			27			25			24
Daily variation margin on futures contracts		31			—			—			76
Dividends for securities sold short		—			—			—			—
Securities sold short, at market value**		—			—			—			—
Payable upon return of securities loaned		11,458			2,660			12,020			9,889
Total liabilities		13,953			3,551			12,672			10,053
Net Assets	$	80,819		$	10,641		$	47,009		$	87,513
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	656		$	(46	)	$	(159	)	$	730
Accumulated net realized gain (loss)		(89,693	)		(24,877	)		(33,596	)		(35,465	)
Unrealized appreciation (depreciation) on:
Investments		(24,210	)		(3,690	)		(25,097	)		(44,166	)
Futures contracts		(200	)		—			—			(590	)
Securities sold short**		—			—			—			—
Shares of beneficial interest		14			1			10			16
Additional paid-in capital		194,252			39,253			105,851			166,988
Net Assets	$	80,819		$	10,641		$	47,009		$	87,513
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class***	$	5.63		$	11.15		$	4.80		$	5.64
Net assets	$	80,818,760		$	10,253,432		$	47,009,370		$	87,513,413
Shares outstanding ($.001 par value)		14,367,757			919,299			9,783,429			15,507,161
Net asset value per share: Class R***	$	—		$	11.08		$	—		$	—
Net assets	$	—		$	387,461		$	—		$	—
Shares outstanding ($.001 par value)		—			34,984			—			—
Amounts in thousands
* Securities on loan included in investments	$	11,184		$	2,572		$	11,825		$	9,584
** Proceeds on securities sold short	$	—		$	—		$	—		$	—
*** 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
54

Amounts in thousands	Enhanced Small Cap Fund			Directional Core Equity Fund			Core Edge Equity Fund
Assets
Investments, at identified cost	$	32,785		$	6,266		$	11,097
Investments, at market*		21,411			4,803			8,478
Cash (restricted)		155			—			48
Deposits with brokers for securities sold short**		—			1,969			—
Receivables:
Dividends and interest		23			13			23
Investments sold		178			—			6
Fund shares sold		1			1			—
From Advisor		14			48			14
Prepaid expenses		4			2			—
Total assets		21,786			6,836			8,569
Liabilities
Payables:
Investments purchased		176			—			23
Fund shares redeemed		—			5			—
Accrued fees to affiliates		35			21			25
Other accrued expenses		18			18			19
Daily variation margin on futures contracts		16			—			—
Dividends for securities sold short		—			—			1
Securities sold short, at market value**		—			1,242			1,798
Payable upon return of securities loaned		—			—			—
Total liabilities		245			1,286			1,866
Net Assets	$	21,541		$	5,550		$	6,703
Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	141		$	(20	)	$	7
Accumulated net realized gain (loss)		(13,572	)		(3,952	)		(2,629	)
Unrealized appreciation (depreciation) on:
Investments		(11,374	)		(1,463	)		(2,619	)
Futures contracts		(77	)		—			—
Securities sold short**		—			783			1,246
Shares of beneficial interest		4			1			1
Additional paid-in capital		46,419			10,201			10,697
Net Assets	$	21,541		$	5,550		$	6,703
Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class***	$	5.17		$	7.82		$	6.17
Net assets	$	21,540,605		$	5,550,468		$	6,702,591
Shares outstanding ($.001 par value)		4,167,403			709,450			1,087,198
Net asset value per share: Class R***	$	—		$	—		$	—
Net assets	$	—		$	—		$	—
Shares outstanding ($.001 par value)		—			—			—
Amounts in thousands
* Securities on loan included in investments	$	—		$	—		$	—
** Proceeds on securities sold short	$	—		$	2,025		$	3,044
*** 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
55

SSgA
Equity Funds

Statements of Operations — For the Period Ended February 28, 2009 (Unaudited)

Amounts in thousands	Disciplined Equity Fund			Small Cap Fund			Tuckerman Active REIT Fund			IAM SHARES Fund
Investment Income
Dividends	$	1,636		$	100		$	1,620		$	2,141
Dividends from affiliated money market fund		16			—			—			—
Interest		1			—			—			2
Securities lending income		99			33			100			173
Total investment income		1,752			133			1,720			2,316
Expenses
Advisory fees		132			65			291			179
Administrative fees		32			18			29			38
Custodian fees		30			28			22			27
Distribution fees		36			14			62			34
Transfer agent fees		21			30			48			15
Professional fees		23			15			19			21
Registration fees		13			23			19			13
Shareholder servicing fees		23			9			44			18
Shareholder servicing fees - Class R		—			2			—			—
Trustees' fees		8			6			8			8
Insurance fees		1			—	*		2			2
Printing fees		7			3			12			7
Dividends from securities sold short		—			—			—			—
Miscellaneous		6			4			7			8
Expenses before reductions		332			217			563			370
Expense reductions		—			(56	)		(115	)		—
Net expenses		332			161			448			370
Net investment income (loss)		1,420			(28	)		1,272			1,946
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(29,840	)		(7,839	)		(33,262	)		(17,243	)
Futures contracts		(818	)		—			—			(1,558	)
Securities sold short		—			—			—			—
Net realized gain (loss)		(30,658	)		(7,839	)		(33,262	)		(18,801	)
Net change in unrealized appreciation (depreciation) on:
Investments		(33,985	)		(4,730	)		(63,013	)		(64,924	)
Futures contracts		(193	)		—			—			(301	)
Securities sold short		—			—			—			—
Net change in unrealized appreciation (depreciation)		(34,178	)		(4,730	)		(63,013	)		(65,225	)
Net realized and unrealized gain (loss)		(64,836	)		(12,569	)		(96,275	)		(84,026	)
Net Increase (Decrease) in Net Assets from Operations	$	(63,416	)	$	(12,597	)	$	(95,003	)	$	(82,080	)

*  Less than $500.

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

Statements of Operations
56

Amounts in thousands	Enhanced Small Cap Fund			Directional Core Equity Fund			Core Edge Equity Fund
Investment Income
Dividends	$	251		$	46		$	79
Dividends from affiliated money market fund		—			—			1
Interest		—			7			—
Securities lending income		—			—			—
Total investment income		251			53			80
Expenses
Advisory fees		61			45			47
Administrative fees		19			16			16
Custodian fees		42			11			25
Distribution fees		4			4			1
Transfer agent fees		17			16			8
Professional fees		18			15			19
Registration fees		14			13			13
Shareholder servicing fees		3			6			1
Shareholder servicing fees - Class R		—			—			—
Trustees' fees		6			6			4
Insurance fees		1			—	*		—	*
Printing fees		2			2			—
Dividends from securities sold short		—			10			10
Miscellaneous		3			2			1
Expenses before reductions		190			146			145
Expense reductions		(88	)		(79	)		(74	)
Net expenses		102			67			71
Net investment income (loss)		149			(14	)		9
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		(8,154	)		(1,407	)		(2,780	)
Futures contracts		(432	)		—			—
Securities sold short		—			608			1,098
Net realized gain (loss)		(8,586	)		(799	)		(1,682	)
Net change in unrealized appreciation (depreciation) on:
Investments		(10,608	)		(1,871	)		(2,521	)
Futures contracts		(84	)		—			—
Securities sold short		—			793			889
Net change in unrealized appreciation (depreciation)		(10,692	)		(1,078	)		(1,632	)
Net realized and unrealized gain (loss)		(19,278	)		(1,877	)		(3,314	)
Net Increase (Decrease) in Net Assets from Operations	$	(19,129	)	$	(1,891	)	$	(3,305	)

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

Statements of Operations
57

SSgA
Equity Funds

Statements of Changes In Net Assets

	Disciplined Equity Fund						Small Cap Fund						Tuckerman Active REIT Fund						IAM SHARES Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	1,420		$	3,434		$	(28	)	$	(232	)	$	1,272		$	2,250		$	1,946		$	3,886
Net realized gain (loss)		(30,658	)		(2,926	)		(7,839	)		(17,055	)		(33,262	)		17,408			(18,801	)		(75	)
Net change in unrealized appreciation (depreciation)		(34,178	)		(31,387	)		(4,730	)		(2,200	)		(63,013	)		(30,471	)		(65,225	)		(30,221	)
Net increase (decrease) in net assets from operations		(63,416	)		(30,879	)		(12,597	)		(19,487	)		(95,003	)		(10,813	)		(82,080	)		(26,410	)
Distributions
From net investment income
Institutional Class		(1,460	)		(3,500	)		—			(100	)		(1,669	)		(2,000	)		(2,116	)		(3,750	)
Class R		—			—			—			—			—			—			—			—
From net realized gain
Institutional Class		—			—			—			(10,341	)		(7,358	)		(29,692	)		—			—
Class R		—			—			—			(140	)		—			—			—			—
Net decrease in net assets from distributions		(1,460	)		(3,500	)		—			(10,581	)		(9,027	)		(31,692	)		(2,116	)		(3,750	)
Share Transactions
Net increase (decrease) in net assets from share transactions		(4,670	)		(63,284	)		(3,716	)		(49,645	)		(7,245	)		64,503			(28,242	)		174
Total Net Increase (Decrease) in Net Assets		(69,546	)		(97,663	)		(16,313	)		(79,713	)		(111,275	)		21,998			(112,438	)		(29,986	)
Net Assets
Beginning of period		150,365			248,028			26,954			106,667			158,284			136,286			199,951			229,937
End of period	$	80,819		$	150,365		$	10,641		$	26,954		$	47,009		$	158,284		$	87,513		$	199,951
Undistributed (overdistributed) net investment income included in net assets	$	656		$	696		$	(46	)	$	(18	)	$	(159	)	$	238		$	730		$	900

*  For the period December 17, 2007 (commencement of operations) to August 31, 2008.

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

Statements of Changes in Net Assets
58

	Enhanced Small Cap Fund						Directional Core Equity Fund						Core Edge Equity Fund
Amounts in thousands	Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008			Six Months Ended February 28, 2009 (Unaudited)			Fiscal Year Ended August 31, 2008*
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	149		$	341		$	(14	)	$	169		$	9		$	(3	)
Net realized gain (loss)		(8,586	)		(5,012	)		(799	)		(2,730	)		(1,682	)		(944	)
Net change in unrealized appreciation (depreciation)		(10,692	)		(329	)		(1,078	)		(1,580	)		(1,632	)		259
Net increase (decrease) in net assets from operations		(19,129	)		(5,000	)		(1,891	)		(4,141	)		(3,305	)		(688	)
Distributions
From net investment income
Institutional Class		(343	)		(232	)		(175	)		(472	)		(2	)		—
Class R		—			—			—			—			—			—
From net realized gain
Institutional Class		—			(1,564	)		—			—						—
Class R		—			—			—			—			—			—
Net decrease in net assets from distributions		(343	)		(1,796	)		(175	)		(472	)		(2	)		—
Share Transactions
Net increase (decrease) in net assets from share transactions		(975	)		6,060			(2,233	)		(27,353	)		803			9,895
Total Net Increase (Decrease) in Net Assets		(20,447	)		(736	)		(4,299	)		(31,966	)		(2,504	)		9,207
Net Assets
Beginning of period		41,988			42,724			9,849			41,815			9,207			—
End of period	$	21,541		$	41,988		$	5,550		$	9,849		$	6,703		$	9,207
Undistributed (overdistributed) net investment income included in net assets	$	141		$	335		$	(20	)	$	169		$	7		$	—

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

Statements of Changes in Net Assets
59

SSgA
Equity Funds

Statement of Cash Flows — For the Period Ended February 28, 2009 (Unaudited)

Amounts in thousands	Core Edge Equity Fund*
Increase (decrease) in Cash
Cash flows from operating activities
Net decrease in net assets from operations	$	(3,305	)
Adjustments to reconcile net increase in net assets from
operations to net cash used in operating activities
Purchase of investment securities		(14,373	)
Proceeds from disposition of investment securities		13,577
Increase in deposits with brokers for securities sold short		(37	)
Increase in receivables for dividends and interest		2
Increase in receivables for investments sold		1,441
Increase in receivables from Advisor		7
Decrease in payables for investments purchased		(1,417	)
Decrease in payables for accrued fees to affiliates		(5	)
Decrease in payables for other accrued expenses		(4	)
Decrease in payables for dividends from securities sold short		(1	)
Change in unrealized appreciation on securities on investments		1,632
Net realized gain on investments		1,682
Net cash provided by operating activities	$	(801	)
Cash flows from financing activities
Proceeds from shares sold		1,185
Payment on shares redeemed		(384	)
Cash distributions paid		—
Net cash used in financing activities		801
Net increase in cash		—
Cash
Beginning balance		—
Ending balance	$	—

*  The Core Edge Equity Fund is the only fund presented herein required to prepare a Statement of Cash Flows.

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

Statement of Cash Flows
60

This page has been intentionally left blank.

SSgA
Equity Funds

Financial Highlights — For the Periods Ended

For a Share Outstanding Throughout Each Period.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)			$ Net Realized and Unrealized Gain (Loss)(a)			$ Total Income from Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions
Disciplined Equity Fund
February 28, 2009*		9.99		.10			(4.36	)		(4.26	)		(.10	)		—			(.10	)
August 31, 2008		11.83		.19			(1.85	)		(1.66	)		(.18	)		—			(.18	)
August 31, 2007		10.38		.16			1.46			1.62			(.17	)		—			(.17	)
August 31, 2006		9.65		.15			.72			.87			(.14	)		—			(.14	)
August 31, 2005		8.73		.15			.90			1.05			(.13	)		—			(.13	)
August 31, 2004		7.97		.11			.76			.87			(.11	)		—			(.11	)
Small Cap Fund
Insititutional Class
February 28, 2009*		22.14		(.03	)		(10.96	)		(10.99	)		—			—			—
August 31, 2008		30.06		(.08	)		(4.75	)		(4.83	)		(.03	)		(3.06	)		(3.09	)
August 31, 2007		29.32		.03			2.24			2.27			—			(1.53	)		(1.53	)
August 31, 2006		29.86		(.08	)		.76			.68			—	(b)		(1.22	)		(1.22	)
August 31, 2005		24.85		(.03	)		6.34			6.31			—			(1.30	)		(1.30	)
August 31, 2004		22.25		(.03	)		2.67			2.64			(.04	)		—			(.04	)
Class R
February 28, 2009*		21.99		—	(b)		(10.91	)		(10.91	)		—			—			—
August 31, 2008		29.87		(.11	)		(4.71	)		(4.82	)		—			(3.06	)		(3.06	)
August 31, 2007		29.28		(.14	)		2.26			2.12			—			(1.53	)		(1.53	)
August 31, 2006		29.80		(.24	)		.94			.70			—			(1.22	)		(1.22	)
August 31, 2005		24.86		(.15	)		6.39			6.24			—			(1.30	)		(1.30	)
August 31, 2004 (1)		24.48		—	(b)		.38			.38			—			—			—
Tuckerman Active REIT Fund
February 28, 2009*		14.00		.12			(8.44	)		(8.32	)		(.15	)		(.73	)		(.88	)
August 31, 2008		19.58		.26			(1.31	)		(1.05	)		(.24	)		(4.29	)		(4.53	)
August 31, 2007		20.55		.19			.50			.69			(.27	)		(1.39	)		(1.66	)
August 31, 2006		17.05		.30			4.06			4.36			(.28	)		(.58	)		(.86	)
August 31, 2005		14.20		.34			3.62			3.96			(.34	)		(.77	)		(1.11	)
August 31, 2004		11.45		.34			3.15			3.49			(.34	)		(.40	)		(.74	)
IAM SHARES Fund
February 28, 2009*		9.89		.10			(4.24	)		(4.14	)		(.11	)		—			(.11	)
August 31, 2008		11.37		.19			(1.49	)		(1.30	)		(.18	)		—			(.18	)
August 31, 2007		9.98		.17			1.39			1.56			(.17	)		—			(.17	)
August 31, 2006		9.26		.15			.71			.86			(.14	)		—			(.14	)
August 31, 2005		8.48		.16			.76			.92			(.14	)		—			(.14	)
August 31, 2004		7.80		.11			.68			.79			(.11	)		—			(.11	)
Enhanced Small Cap Fund
February 28, 2009*		10.01		.04			(4.79	)		(4.75	)		(.09	)		—			(.09	)
August 31, 2008		11.79		.08			(1.38	)		(1.30	)		(.06	)		(.42	)		(.48	)
August 31, 2007		11.72		.10			.77			.87			(.04	)		(.76	)		(.80	)
August 31, 2006		10.85		.04			.98			1.02			(.04	)		(.11	)		(.15	)
August 31, 2005 (2)		10.00		.02			.83			.85			—			—			—

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

Financial Highlights
62

	$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(d)(e)		% Ratio of Expenses to Average Net Assets, Gross(d)		% Ratio of Net Investment Income to Average Net Assets(d)(e)			% Portfolio Turnover Rate(c)
Disciplined Equity Fund
February 28, 2009*		5.63		(43.04	)		80,819		.63		.63		2.70			67
August 31, 2008		9.99		(14.13	)		150,365		.51		.51		1.69			70
August 31, 2007		11.83		15.66			248,028		.45		.45		1.38			53
August 31, 2006		10.38		9.10			219,712		.45		.46		1.47			44
August 31, 2005		9.65		12.14			237,100		.46		.46		1.60			34
August 31, 2004		8.73		10.93			251,932		.41		.41		1.30			36
Small Cap Fund
Insititutional Class
February 28, 2009*		11.15		(49.64	)		10,254		1.87		2.51		(.34	)		104
August 31, 2008		22.14		(17.93	)		25,927		1.38		1.38		(.35	)		159
August 31, 2007		30.06		7.70			105,292		1.11		1.11		.08			125
August 31, 2006		29.32		2.59			124,775		1.10		1.10		(.30	)		83
August 31, 2005		29.86		26.06			820,473		1.05		1.05		(.10	)		84
August 31, 2004		24.85		11.87			531,343		1.04		1.04		(.13	)		122
Class R
February 28, 2009*		11.08		(49.66	)		387		1.60		2.88		(.01	)		104
August 31, 2008		21.99		(18.05	)		1,027		1.60		1.86		(.49	)		159
August 31, 2007		29.87		7.18			1,375		1.60		1.68		(.45	)		125
August 31, 2006		29.28		2.66			1,574		1.60		1.70		(.79	)		83
August 31, 2005		29.80		25.75			481		1.54		1.54		(.52	)		84
August 31, 2004 (1)		24.86		1.55			10		.90		.90		(.06	)		122
Tuckerman Active REIT Fund
February 28, 2009*		4.80		(62.15	)		47,009		1.00		1.26		2.85			29
August 31, 2008		14.00		(6.47	)		158,284		1.00		1.10		1.73			35
August 31, 2007		19.58		2.98			136,286		1.00		1.06		.89			32
August 31, 2006		20.55		26.82			197,168		1.00		1.05		1.66			36
August 31, 2005		17.05		28.97			153,296		1.00		1.08		2.18			35
August 31, 2004		14.20		31.46			124,704		1.00		1.10		2.71			52
IAM SHARES Fund
February 28, 2009*		5.64		(42.19	)		87,513		.52		.52		2.71			3
August 31, 2008		9.89		(11.52	)		199,951		.46		.46		1.80			2
August 31, 2007		11.37		15.74			229,937		.45		.45		1.56			6
August 31, 2006		9.98		9.38			199,624		.47		.47		1.51			12
August 31, 2005		9.26		10.95			185,868		.46		.46		1.76			13
August 31, 2004		8.48		10.18			167,627		.44		.44		1.35			3
Enhanced Small Cap Fund
February 28, 2009*		5.17		(47.68	)		21,541		.75		1.40		1.09			43
August 31, 2008		10.01		(11.54	)		41,988		.75		1.09		.78			93
August 31, 2007		11.79		7.49			42,724		.75		1.15		.81			49
August 31, 2006		11.72		9.54			17,096		.75		1.55		.36			76
August 31, 2005 (2)		10.85		8.50			14,114		.75		2.73		.54			24

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

Financial Highlights
63

SSgA
Equity Funds

Financial Highlights, continued — For the Periods Ended

For a Share Outstanding Throughout Each Period.

	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)			$ Net Realized and Unrealized Gain (Loss)(a)			$ Total Income from Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions
Directional Core Equity Fund
February 28, 2009*		10.14		(.02	)		(2.10	)		(2.12	)		(.20	)		—			(.20	)
August 31, 2008		12.09		.09			(1.90	)		(1.81	)		(.14	)		—			(.14	)
August 31, 2007		11.54		.20			.56			.76			(.09	)		(.12	)		(.21	)
August 31, 2006		10.63		.11			.85			.96			(.05	)		—			(.05	)
August 31, 2005 (3)		10.00		.02			.61			.63			—			—			—
Core Edge Equity Fund
February 28, 2009*		9.50		.01			(3.34	)		(3.33	)		—	(b)		—			—	(b)
August 31, 2008 (4)		10.00		—			(.50	)		(.50	)		—			—			—

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

Financial Highlights
64

	$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(d)(e)			% Ratio of Expenses to Average Net Assets, Gross(d)		% Ratio of Net Investment Income to Average Net Assets(d)(e)			% Portfolio Turnover Rate(c)
Directional Core Equity Fund
February 28, 2009*		7.82		(21.05	)		5,550		1.87	(f)		4.11		(.41	)		104
August 31, 2008		10.14		(15.10	)		9,849		1.86	(f)		2.74		.79			114
August 31, 2007		12.09		6.65			41,815		1.72	(f)		2.16		1.59			185
August 31, 2006		11.54		9.06			24,589		1.79	(f)		2.61		.95			108
August 31, 2005 (3)		10.63		6.30			3,370		1.81	(f)		6.14		.48			95
Core Edge Equity Fund
February 28, 2009*		6.17		(35.04	)		6,703		1.87	(f)		3.84		.33			125
August 31, 2008 (4)		9.50		(5.00	)		9,207		1.86	(f)		2.98		(.03	)		125

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

Financial Highlights
65

SSgA
Equity Funds

Notes to Financial Highlights — February 28, 2009 (Unaudited)

*  For the six months ended February 28, 2009 (Unaudited).

(1)  For the period May 14, 2004 (commencement of sale) to August 31, 2004.

(2)  For the period March 22, 2005 (commencement of operations) to August 31, 2005.

(3)  For the period May 11, 2005 (commencement of operations) to August 31, 2005.

(4)  For the period December 17, 2007 (commencement of operations) to August 31, 2008.

(a)  Average month-end shares outstanding were used for this calculation.

(b)  Less than $0.005 per share

(c)  Periods less than one year are not annualized.

(d)  The ratios for the periods less than one year are annualized.

(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% per share.

(f)  The annualized net expense ratio is 1.60% not including the dividends from securities sold short as contractually agreed by the Advisor.

Notes to Financial Highlights
66

SSgA
Equity Funds

Notes to Financial Statements — February 28, 2009 (Unaudited)

1.  Organization

The SSgA Funds (the "Investment Company") is a series mutual fund, comprising of 21 investment portfolios that which are in operation as of February 28, 2009. These financial statements report on 7 funds: the SSgA Disciplined Equity Fund, SSgA Small Cap Fund, SSgA Tuckerman Active REIT Fund, SSgA IAM SHARES Fund, SSgA Enhanced Small Cap Fund, SSgA Directional Core Equity Fund and SSgA Core Edge 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 a n 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.

On October 16, 2008, the Board approved a plan to liquidate the SSgA Core Opportunities Fund, SSgA Aggressive Equity Fund, SSgA Concentrated Growth Opportunities Fund and SSgA Large Cap Value Fund. The liquidation occurred on December 12, 2008.

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 pricing service 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.

International securities traded on a national securities exchange or 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. 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) whe re 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

Notes to Financial Statements
67

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

Procedures. There can be no assurance that the Funds' net asset value 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 net asset value of fund shares is determined may be reflected in the Investment Company's calculation of net asset values for each applicable fund when the Investment Company deems that the particular event or circumstance would materially affect such fund's NAV.

In September 2006, Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("SFAS 157"), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. In accordance with SFAS 157, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. SFAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification 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 va luation 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 three-tier hierarchy of inputs is summarized in the three broad levels listed below.

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

•  Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)

Inputs used in valuing the Funds' investments carried at value for the period ended February 28, 2009 were as follows:

	Disciplined Equity Fund					Small Cap Fund					Tuckerman Active REIT Fund				IAM Shares Fund
	Investments in Securities		Other Financial Instruments*			Investments in Securities		Other Financial Instruments*			Investments in Securities		Other Financial Instruments*		Investments in Securities			Other Financial Instruments*
Level 1	$	94,045,983	$	(200,300	)	$	13,356,103	$	—		$	59,324,562	$	—	$	96,615,398		$	(590,024	)
Level 2		349,717		—			—		—			—		—		447,638			—
Level 3		—		—			—		—			—		—		—			—
	$	94,395,700	$	(200,300	)	$	13,356,103	$	—		$	59,324,562	$	—	$	97,063,036		$	(590,024	)
	Enhanced Small Cap Fund					Directional Core Equity Fund							Core Edge Equity Fund
	Investments in Securities		Other Financial Instruments*			Investments in Securities		Securities Sold Short			Other Financial Instruments*		Investments in Securities		Securities Sold Short			Other Financial Instruments*
Level 1	$	21,411,126	$	(77,327	)	$	4,803,416	$	(1,241,805	)	$	—	$	8,478,148	$	(1,798,323	)	$	—
Level 2		—		—			—		—			—		—		—			—
Level 3		—		—			—		—			—		—		—			—
	$	21,411,126	$	(77,327	)	$	4,803,416	$	(1,241,805	)	$	—	$	8,478,148	$	(1,798,323	)	$	—

* Other financial instruments are not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instruments.

As of February 28, 2009, there were no Level 3 securities held by the Funds.

On April 9, 2009, the Financial Accounting Standards Board ("FASB") issued FASB Staff position ("FSP") No. 157-4, "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP 157-4"). FSP 157-4 provides additional guidance for estimating fair value in accordance with SFAS 157 when the volume and level of activity for the asset or liability have significantly decreased.

Notes to Financial Statements
68

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

FSP 157-4 is effective for interim and annual reporting periods ending after June 15, 2009. Management is currently evaluating the impact the adoption FSP 157-4161 will have on the Funds' or Investment Company's financial statement disclosures.

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 (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 requires each Fund to distribute all of its taxable income to its shareholders. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required.

At August 31, 2008, 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
Funds	8/31/09		8/31/10		8/31/11		8/31/12		8/31/13		8/31/14		8/31/15		8/31/16		Totals
Disciplined Equity	$	-	$	12,729,043	$	18,406,161	$	19,079,919	$	-	$	-	$	-	$	-	$	50,215,123
Small Cap		-		-		-		-		-		-		-		950,872		950,872
IAM SHARES		557,200		1,240,367		8,639,128		1,396,175		859,207		-		-		2,906,502		15,598,579
Enhanced Small Cap		-		-		-		-		-		-		-		639,875		639,875
Directional Core Equity		-		-		-		-		-		-		217,099		426,008		643,107

As of February 28, 2009, 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:

	Disciplined Equity			Small Cap			Tuckerman Active REIT			IAM SHARES			Enhanced Small Cap			Directional Core Equity			Core Edge Equity
Cost of Investments for Tax Purposes	$	124,775,632		$	17,512,338		$	86,177,084		$	141,517,023		$	32,878,404		$	6,266,441		$	11,360,254
Gross Tax Unrealized Appreciation		7,385,411			274,611			1,584,402			11,443,036			457,086			204,013			246,664
Gross Tax Unrealized Depreciation		(37,765,343	)		(4,430,846	)		(28,436,924	)		(55,897,023	)		(11,924,364	)		(1,667,038	)		(3,128,770	)
Net Tax Unrealized Appreciation/ (Depreciation)	$	(30,379,932	)	$	(4,156,235	)	$	(26,852,522	)	$	(44,453,987	)	$	(11,467,278	)	$	(1,463,025	)	$	(2,882,106	)

The Financial Accounting Standards Board ("FASB") issued Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109" ("FIN 48"), in June 2006. FIN 48 permits the recognition of tax benefits of an uncertain tax position only when the position is "more likely than not" to be sustained assuming examination by taxing authorities. The Funds adopted the provisions of FIN 48 on September 1, 2007. Management has reviewed the Funds tax positions for the years that remain open (2005-2008), and concluded that adoption had no effect on the Funds financial position or results of operations. As of February 28, 2009, the Funds have 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.

Notes to Financial Statements
69

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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	Quarterly
IAM SHARES	Quarterly
Directional Core Equity	Annually
Enhanced Small Cap	Annually
Core Edge 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 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.

In March 2008, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Funds' or Investment Company's financial statement disclosures.

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
70

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (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 and losses are recognized. As of February 28, 2009, the Enhanced Small Cap Fund had a $154,740 cash collateral balance held in connection with futures contracts purchased (sold).

Short Sales

The SSgA Directional Core Equity Fund and the SSgA Core Edge Equity Fund may enter into short sale transactions. A short sale is a transaction in which the fund sells securities it does not own in anticipation of a decline in the market price of securities. The fund is obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited.

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, 2009, purchases and sales of investment securities, excluding short-term investments and futures contracts were as follows:

Funds	Purchases		Sales		Funds	Purchases		Sales
Disciplined Equity	$	72,161,709	$	75,231,736	Enhanced Small Cap	$	12,118,981	$	13,852,933
Small Cap		18,623,837		21,994,846	Directional Core Equity		6,191,274		6,581,147
Tuckerman Active REIT		27,029,273		38,616,673	Core Edge Equity		12,938,965		12,133,999
IAM SHARES		3,985,600		32,157,908

Securities Lending

The Investment Company has 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 or U.S. Government agency obligations 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 SSgA Funds Management, Inc., the "Advisor") in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain qualit y 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 Fund the next day. Should the borrower of the securities fail financially, there is a risk of delay in recovery or loss of rights i n 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.

Notes to Financial Statements
71

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

As of February 28, 2009, the non-cash collateral received for the securities on loan was as follows:

Funds	Non-Cash Collateral Value		Non-Cash Collateral Holding
Disciplined Equity	$	355,563	Pool of US Government and Corporate Securities
Tuckerman Active REIT		95,917	Pool of US Government and Corporate Securities
IAM SHARES		99,063	Pool of US Government and Corporate Securities

4.  Related Parties

Advisor

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	%		Funds	%
Disciplined Equity		0.25	Enhanced Small Cap		0.45
Small Cap		0.75	Directional Core Equity		1.25
Tuckerman Active REIT		0.65	Core Edge Equity		1.25
IAM SHARES		0.25

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. 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 both C lass R and the Institutional Class in an equal amount to reduce total expenses to the level of the cap in effect for Class R.

The Advisor has contractually agreed to waive up to the full amount of the Small Cap Fund Class R'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, 2009 (exclusive of non-recurring account fees and expenses). The total amount of the advisory waiver for the Institutional Class and Class R for the period ended February 28, 2009 was $53,730 and $2,005, respectively. There were no reimbursements for the period ended February 28, 2009. The total amount of distribution fee waiver for Class R for the period ended February 28, 2009 was $2,023.

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, 2009 (exclusive of non-recurring account fees and extraordinary expenses). The total amount of waiver for the period ended February 28, 2009 was $114,875. There were no reimbursements for the period ended February 28, 2009.

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, 2009 (exclusive of non-recurring account fees and expenses). There were no waivers or reimbursements for the period ended February 28, 2009.

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,

Notes to Financial Statements
72

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

2009 (exclusive of non-recurring account fees and expenses). The total amount of waiver for the period ended February 28, 2009 was $88,142. There were no reimbursements for the period ended February 28, 2009.

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, 2009 (exclusive of non-recurring account fees, extraordinary expenses and dividends and interest on securities sold short). The total amount of the waiver for the period ended February 28, 2009 was $79,407. There were no reimbursements for the period ended February 28, 2009.

The Advisor has contractually agreed to waive up to the full amount of the Core Edge 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, 2009 (exclusive of non-recurring account fees, extraordinary expenses and dividends and interest on securities sold short). The total amount of the waiver for the period ended February 28, 2009 was $74,469. There were no reimbursements for the period ended February 28, 2009.

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, 2009, $8,284 of the Central Fund's net assets represents investments by these Funds, and $77,936,790 represents the investments of other affiliated 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 SSgA Prime Money Market 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 participatory fund, in an amount that offsets the amount of such fee incurred by the participating fund. For the period ended February 28, 2009, the total advisory fees waived are as follows:

Funds	Amount Waived
Core Edge Equity	$	38

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:

Funds	Amount Waived		Funds	Amount Waived
Disciplined Equity	$	37	Enhanced Small Cap	$	8
Small Cap		7	Directional Core Equity		213
Tuckerman Active REIT		172	Core Edge Equity		9
IAM SHARES	24

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

Notes to Financial Statements
73

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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.

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"), High Net Worth Services Division of State Street ("High Net Worth Services") and CitiStreet LLC ("CitiStreet") (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, 2009, each Institutional Class paid the following shareholder servicing expenses to the Agents:

Funds	State Street		Global Markets		CitiStreet
Disciplined Equity	$	13,152	$	371	$	—
Small Cap		2,090		638		503
Tuckerman Active REIT		11,194		454		—
IAM SHARES		17,942		5		14
Enhanced Small Cap		3,416		—		—
Directional Core Equity		891		—		—
Core Edge Equity		946		—		—

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 termina tion or noncontinuance. There were no carryover expenses as of February 28, 2009.

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

Notes to Financial Statements
74

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

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. There were no carryover expenses as of February 28, 2009.

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, 2009, the Small Cap Fund paid $157.

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 payables to affiliates and trustees as of February 28, 2009, were as follows:

	Disciplined Equity		Small Cap		Tuckerman Active REIT		IAM SHARES		Enhanced Small Cap		Directional Core Equity		Core Edge Equity
Advisory fees	$	17,643	$	—	$	30,331	$	23,778	$	8,220	$	5,697	$	7,006
Administration fees		4,940		4,351		3,721		5,382		2,723		2,520		2,560
Custodian fees		15,630		14,457		7,877		9,872		13,351		3,471		7,889
Distribution fees		9,893		1,801		4,828		10,343		3,043		—		135
Shareholder servicing fees		5,141		5,463		14,065		2,388		655		—		140
Transfer agent fees		7,348		11,953		15,301		4,901		5,427		7,248		2,989
Trustees' fees		2,294		2,051		2,290		2,351		2,028		1,983		4,454
	$	62,889	$	40,076	$	78,413	$	59,015	$	35,447	$	20,919	$	25,173

Securities Lending

For the period September 1, 2008 through February 28, 2009, State Street earned securities lending agent fees as follows:

	Securities Lending Agent Fees
SSgA Disciplined Equity Fund	$	32,569
SSgA Small Cap Fund		10,883
SSgA Tuckerman Active REIT Fund		33,133
SSgA IAM Shares Fund		57,478

Beneficial Interest

As of February 28, 2009, the following table includes shareholders (three of which were also affiliates of the Investment Company) with shares of beneficial interest greater than 10% of the total outstanding shares of each respective Fund:

Funds	# of Shareholders		%
Small Cap		1		28.7
Tuckerman Active REIT		2		57.4
IAM SHARES		1		92.5
Enhanced Small Cap		1		10.6
Core Edge Equity		2		91.1

Notes to Financial Statements
75

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

5.  Fund Share Transactions

	(amounts in thousands) For the Periods Ended
	Shares						Dollars
Disciplined Equity	February 28, 2009			August 31, 2008			February 28, 2009			August 31, 2008
Proceeds from shares sold		1,972			1,306		$	14,350		$	14,418
Proceeds from reinvestment of distributions		47			73			375			807
Payments for shares redeemed		(2,702	)		(7,294	)		(19,395	)		(78,509	)
Total net increase (decrease)		(683	)		(5,915	)	$	(4,670	)	$	(63,284	)
Small Cap
Institutional Class
Proceeds from shares sold		95			501		$	1,431		$	11,897
Proceeds from reinvestment of distributions		—			379			—			10,223
Payments for shares redeemed		(347	)		(3,212	)		(4,956	)		(71,798	)
		(252	)		(2,332	)		(3,525	)		(49,678	)
Class R
Proceeds from shares sold		11			17		$	188		$	414
Proceeds from reinvestment of distributions		—			5			—			139
Payments for shares redeemed		(23	)		(21	)		(379	)		(520	)
		(12	)		1			(191	)		33
Total net increase (decrease)		(264	)		(2,331	)	$	(3,716	)	$	(49,645	)
Tuckerman Active REIT
Proceeds from shares sold		3,215			5,943		$	29,143		$	87,282
Proceeds from reinvestment of distributions		998			1,896			8,798			29,850
Payments for shares redeemed		(5,737	)		(3,492	)		(45,186	)		(52,629	)
Total net increase (decrease)		(1,524	)		4,347		$	(7,245	)	$	64,503
IAM SHARES
Proceeds from shares sold		25			60		$	175		$	636
Proceeds from reinvestment of distributions		269			331			2,085			3,576
Payments for shares redeemed		(5,010	)		(398	)		(30,502	)		(4,038	)
Total net increase (decrease)		(4,716	)		(7	)	$	(28,242	)	$	174
Enhanced Small Cap
Proceeds from shares sold		682			1,555		$	4,292		$	15,923
Proceeds from reinvestment of distributions		7			140			48			1,589
Payments for shares redeemed		(714	)		(1,127	)		(5,315	)		(11,452	)
Total net increase (decrease)		(25	)		568		$	(975	)	$	6,060

Notes to Financial Statements
76

SSgA
Equity Funds

Notes to Financial Statements, continued — February 28, 2009 (Unaudited)

	(amounts in thousands) For the Periods Ended
	Shares						Dollars
Directional Core Equity	February 28, 2009			August 31, 2008			February 28, 2009			August 31, 2008
Proceeds from shares sold		41			274		$	345		$	3,123
Proceeds from reinvestment of distributions		19			38			164			462
Payments for shares redeemed		(322	)		(2,801	)		(2,742	)		(30,938	)
Total net increase (decrease)		(262	)		(2,489	)	$	(2,233	)	$	(27,353	)
Core Edge Equity
Proceeds from shares sold		164			1,686		$	1,185		$	16,745
Proceeds from reinvestment of distributions		—			—			2			—
Payments for shares redeemed		(46	)		(717	)		(384	)		(6,850	)
Total net increase (decrease)		118			969		$	803		$	9,895

6.  Interfund Lending Program

The Funds have been granted permission from the Securities and Exchange Commission to 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 M oney Market Fund could result in a lost investment opportunity or additional borrowing costs. Miscellaneous expense on the Statements of Operations for the Tuckerman Active REIT Fund include $436 paid under the Interfund Lending Program for the period ended February 28, 2009.

7.  Dividends

On March 2, 2009, the Funds declared the following dividends from net investment income payable on March 6, 2009 to shareholders of record March 3, 2008:

Funds	Net Investment Income
Disciplined Equity	$	0.0459
Tuckerman Active REIT		0.0267
IAM SHARES		0.0460

On April 1, 2009, the Funds declared the following dividends from net investment income payable on April 7, 2009 to shareholders of record April 2, 2008:

Funds	Net Investment Income
Tuckerman Active REIT	$	0.0378

Notes to Financial Statements
77

SSgA
Equity Funds

Shareholder Requests for Additional Information — February 28, 2009 (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
78

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers —
February 28, 2009 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 21 funds. The first table provides information about trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INTERESTED TRUSTEE
Shawn C.D. Johnson Born March 3, 1963 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Trustee since 2008 Interested Person of the SSgA Funds (as defined in the 1940 Act)	Appointed until successor is duly elected and qualified	• 2003 to Present, Senior Managing Director; Chairman, SSgA Investment Committee, State Street Global Advisors; • 2006 to Present, Trustee, Berea College; and • 2008 to Present, Chairman, Financial Service Sector Coordinating Counsel.		21	Listed under Principal Occupations
INDEPENDENT TRUSTEES
Lynn L. Anderson Born April 22, 1939 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified Until successor is chosen and qualified by the Trustees	• Until December 2008, Director, Russell Trust Company; and • Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant) (Retired); and Chairman of the Board, Russell Investment Company and Russell Investment Funds (registered investment companies) (Retired).		21	Listed under Principal Occupations
William L. Marshall Born December 12, 1942 909 A Street Tacoma, WA 98402	Trustee since 1988 Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services); • Certified Financial Planner and Member, Financial Planners Association; and • Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
79

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Steven J. Mastrovich Born November 3, 1956 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• September 2000 to Present, 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).		21	Listed under Principal Occupations
Patrick J. Riley Born November 30, 1948 909 A Street Tacoma, WA 98402	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	Appointed until successor is duly elected and qualified	• 2003 to 2008, Associate Justice, Commonwealth of Massachusetts Superior Court (Retired); • 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
80

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During Past 5 Years	No. of Portfolios in Complex Overseen by Trustee		Other Directorships Held by Trustee
INDEPENDENT TRUSTEES (continued)
Richard D. Shirk Born October 31, 1945 909 A Street Tacoma, WA 98402	Trustee since 1988 Member, Audit Committee Member, Governance Committee Member, Valuation Committee Member, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); • November 1998 to Present, Board Member, Healthcare Georgia Foundation (private foundation); and • September 2002 to Present, Board Member, Amerigroup Corp. (managed health care).		21	Listed under Principal Occupations
Bruce D. Taber Born April 25, 1947 909 A Street Tacoma, WA 98402	Trustee since 1991 Member, Audit Committee Member, Governance Committee Chairman, Valuation Committee Member, Qualified Legal and Compliance Committee	Appointed until successor is duly elected and qualified	• Consultant, Computer Simulation, General Electric Industrial Control Systems (diversified technology and services company); and • 1998 to Present, Director, SSgA Cash Management Fund plc; and State Street Global Advisors Ireland, Ltd. (investment companies).		21	Listed under Principal Occupations
Henry W. Todd Born May 4, 1947 909 A Street Tacoma, WA 98402	Trustee since 1988 Alternate Chairman, Audit Committee Member, Governance Committee Member, Valuation Committee Chairman, Qualified Legal and Compliance Committee Audit Committee Financial Expert	Appointed until successor is duly elected and qualified	• Chairman, President and CEO, A.M. Todd Group, Inc. (flavorings manufacturer).		21	Listed under Principal Occupations

Disclosure of Information about Fund Trustees and Officers
81

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 28, 2009 (Unaudited)

Name, Age, Address	Position(s) Held with Fund and Length of Time Served	Term of Office	Principal Occupation(s) During the Past 5 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 Principal Executive Officer since 2005	Until successor is chosen and qualified 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 and SPDR Index Shares Funds, Trustee, Select Sector SPDR Trust; President, Principal Executive Officer and Trustee, State Street Master Funds and State Street Institutional Investment 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 chosen and qualified by Trustees	• Principal, SSgA Funds Management, Inc. (investment advisor); and • July 2007 to present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors.
Mark E. Swanson Born November 26, 1963 909 A Street Tacoma, WA 98402	Treasurer and Principal Accounting Officer since 2000	Until successor is chosen and qualified by Trustees	• Director – Fund Administration, Russell Investment Management Company, Russell Fund Services Company, and Russell Trust Company; • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds; and • Director, Russell Fund Distributors, Inc., Russell Investment Management Company, and Russell Fund Services Company.
Julie B. Piatelli Born August 5, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since August 2007	Until successor is chosen and qualified by Trustees	• 2004 to Present, Principal and Senior Compliance Officer, SSgA Funds Management, Inc.; Vice President, State Street Global Advisors; and • 1999-2004, Senior Manager, PricewaterhouseCoopers LLC.
Gregory J. Lyons Born August 24, 1960 909 A Street Tacoma, WA 98402	Secretary since 2007 and Chief Legal Officer since 2008	Until successor is chosen and qualified by Trustees	• US General Counsel and Assistant Secretary, Frank Russell Company, • Director and Assistant Secretary, Russell Insurance Agency, Inc.; • Secretary, Russell Investment Management Company, Russell Financial Services, Inc., and Russell Fund Services Company; • Secretary and Chief Legal Counsel, Russell Investment Company and Russell Investment Funds; and • Secretary and US General Counsel, Russell Trust Company, Russell Institutional Funds Management LLC.

Disclosure of Information about Fund Trustees and Officers
82

SSgA
Equity Funds

State Street Financial Center

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

Trustees

Lynn L. Anderson

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

Julie B. Piatelli, Chief Compliance Officer

Gregory J. Lyons, Secretary and Chief Legal Officer

Rick Chase, Assistant Treasurer

Ross E. Erickson, Assistant Treasurer

Kimberlee A. Lloyd, Assistant Treasurer

David J. Craig, Assistant Treasurer

Carla L. Anderson, Assistant Secretary

Sandra G. Richardson, Assistant Secretary

Investment Adviser

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
909 A Street
Tacoma, Washington 98402

Legal Counsel

Goodwin Procter LLP
Exchange Place
Boston, Massachusetts 02109

Fund Management and Service Providers
83

DESAR-02/09 (51895)

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 30, 2009

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 30, 2009
By:	/s/ Mark E. Swanson
	Mark E. Swanson
	Principal Financial Officer, Principal Accounting Officer and Treasurer
Date:	April 30, 2009