UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05430
SSGA FUNDS
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) | Copy to: | |
Sean O’Malley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: August 31
Date of reporting period: February 28, 2022
Item 1. Reports to Stockholders.
(a) | The Reports to Shareholders are attached herewith. |
State Street S&P 500 Index Fund |
1 | |
3 | |
10 | |
11 | |
12 | |
13 | |
14 | |
21 |
Description | % of Net Assets | ||
Apple, Inc. | 6.9% | ||
Microsoft Corp. | 6.0 | ||
Amazon.com, Inc. | 3.6 | ||
Alphabet, Inc. Class A | 2.2 | ||
Alphabet, Inc. Class C | 2.0 | ||
TOTAL | 20.7% |
% of Net Assets | |||
Software | 8.9% | ||
Technology Hardware, Storage & Peripherals | 7.2 | ||
Semiconductors & Semiconductor Equipment | 6.0 | ||
Interactive Media & Services | 5.7 | ||
Banks | 4.2 | ||
IT Services | 4.2 | ||
Internet & Direct Marketing Retail | 3.7 | ||
Pharmaceuticals | 3.7 | ||
Oil, Gas & Consumable Fuels | 3.3 | ||
Capital Markets | 3.0 | ||
Health Care Equipment & Supplies | 2.9 | ||
Health Care Providers & Services | 2.9 | ||
Equity Real Estate Investment Trusts (REITs) | 2.5 | ||
Automobiles | 2.2 | ||
Specialty Retail | 2.1 | ||
Insurance | 2.0 | ||
Hotels, Restaurants & Leisure | 1.9 | ||
Biotechnology | 1.8 | ||
Life Sciences Tools & Services | 1.8 | ||
Chemicals | 1.7 | ||
Aerospace & Defense | 1.7 | ||
Electric Utilities | 1.6 | ||
Diversified Financial Services | 1.6 | ||
Entertainment | 1.5 | ||
Machinery | 1.5 | ||
Beverages | 1.5 | ||
Food & Staples Retailing | 1.4 | ||
Household Products | 1.4 | ||
Diversified Telecommunication Services | 1.1 | ||
Media | 1.0 | ||
Industrial Conglomerates | 1.0 | ||
Food Products | 1.0 | ||
Road & Rail | 0.9 | ||
Communications Equipment | 0.9 | ||
Multi-Utilities | 0.8 | ||
Tobacco | 0.7 | ||
Consumer Finance | 0.7 | ||
Electronic Equipment, Instruments & Components | 0.6 | ||
Air Freight & Logistics | 0.6 | ||
Textiles, Apparel & Luxury Goods | 0.6 | ||
Electrical Equipment | 0.5 | ||
Multiline Retail | 0.5 | ||
Building Products | 0.4 | ||
Metals & Mining | 0.4 | ||
Commercial Services & Supplies | 0.4 | ||
Household Durables | 0.3 | ||
Containers & Packaging | 0.3 | ||
Energy Equipment & Services | 0.3 | ||
Professional Services | 0.3 | ||
Airlines | 0.2 | ||
Trading Companies & Distributors | 0.2 | ||
Wireless Telecommunication Services | 0.2 | ||
Personal Products | 0.2 | ||
Distributors | 0.1 | ||
Construction Materials | 0.1 | ||
Auto Components | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
Water Utilities | 0.1 | ||
Health Care Technology | 0.1 | ||
Construction & Engineering | 0.0* | ||
Independent Power & Renewable Electricity Producers | 0.0* | ||
Gas Utilities | 0.0* |
% of Net Assets | |||
Leisure Equipment & Products | 0.0*% | ||
Short-Term Investments | 1.2 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.6% | ||||||
COMMUNICATION SERVICES — 9.5% | ||||||
Activision Blizzard, Inc. | 31,700 | $ 2,583,550 | ||||
Alphabet, Inc. Class A (a) | 12,423 | 33,556,262 | ||||
Alphabet, Inc. Class C (a) | 11,545 | 31,146,332 | ||||
AT&T, Inc. | 295,400 | 6,998,026 | ||||
Charter Communications, Inc. Class A (a) | 5,100 | 3,069,078 | ||||
Comcast Corp. Class A | 188,430 | 8,810,987 | ||||
Discovery, Inc. Class A (a) | 6,597 | 185,046 | ||||
Discovery, Inc. Class C (a) | 13,760 | 384,867 | ||||
DISH Network Corp. Class A (a) | 11,017 | 352,103 | ||||
Electronic Arts, Inc. | 11,421 | 1,485,758 | ||||
Fox Corp. Class A | 12,603 | 527,184 | ||||
Fox Corp. Class B | 5,600 | 214,256 | ||||
Interpublic Group of Cos., Inc. | 15,428 | 567,750 | ||||
Live Nation Entertainment, Inc. (a) | 5,300 | 640,346 | ||||
Lumen Technologies, Inc. (b) | 35,987 | 372,825 | ||||
Match Group, Inc. (a) | 11,500 | 1,282,135 | ||||
Meta Platforms, Inc. Class A (a) | 98,007 | 20,682,417 | ||||
Netflix, Inc. (a) | 18,296 | 7,218,138 | ||||
News Corp. Class A | 14,614 | 326,184 | ||||
News Corp. Class B | 3,800 | 85,234 | ||||
Omnicom Group, Inc. | 8,450 | 708,871 | ||||
Take-Two Interactive Software, Inc. (a)(b) | 4,500 | 729,000 | ||||
T-Mobile US, Inc. (a) | 24,450 | 3,012,485 | ||||
Twitter, Inc. (a) | 34,100 | 1,212,255 | ||||
Verizon Communications, Inc. | 171,051 | 9,180,307 | ||||
ViacomCBS, Inc. Class B | 25,531 | 781,504 | ||||
Walt Disney Co. (a) | 75,338 | 11,184,679 | ||||
147,297,579 | ||||||
CONSUMER DISCRETIONARY — 11.7% | ||||||
Advance Auto Parts, Inc. | 2,500 | 511,200 | ||||
Amazon.com, Inc. (a) | 18,002 | 55,288,823 | ||||
Aptiv PLC (a) | 11,281 | 1,460,213 | ||||
AutoZone, Inc. (a) | 888 | 1,654,690 | ||||
Bath & Body Works, Inc. | 11,546 | 616,210 | ||||
Best Buy Co., Inc. | 8,913 | 861,352 | ||||
Booking Holdings, Inc. (a) | 1,708 | 3,710,203 | ||||
BorgWarner, Inc. | 10,723 | 439,750 | ||||
Caesars Entertainment, Inc. (a) | 9,400 | 791,386 | ||||
CarMax, Inc. (a) | 6,697 | 732,183 | ||||
Carnival Corp. (a) | 31,149 | 633,259 | ||||
Chipotle Mexican Grill, Inc. (a) | 1,114 | 1,697,012 | ||||
D.R. Horton, Inc. | 13,879 | 1,185,267 | ||||
Darden Restaurants, Inc. | 5,317 | 772,135 | ||||
Dollar General Corp. | 9,587 | 1,901,486 | ||||
Dollar Tree, Inc. (a) | 8,982 | 1,276,163 |
Security Description | Shares | Value | ||||
Domino's Pizza, Inc. | 1,500 | $ 648,315 | ||||
eBay, Inc. | 25,758 | 1,406,129 | ||||
Etsy, Inc. (a) | 5,200 | 805,428 | ||||
Expedia Group, Inc. (a) | 5,975 | 1,171,757 | ||||
Ford Motor Co. | 161,360 | 2,833,482 | ||||
Garmin, Ltd. | 6,560 | 724,486 | ||||
General Motors Co. (a) | 60,177 | 2,811,469 | ||||
Genuine Parts Co. | 6,120 | 747,619 | ||||
Hasbro, Inc. | 5,628 | 546,197 | ||||
Hilton Worldwide Holdings, Inc. (a) | 11,600 | 1,726,776 | ||||
Home Depot, Inc. | 43,810 | 13,836,512 | ||||
Las Vegas Sands Corp. (a) | 14,800 | 634,328 | ||||
Lennar Corp. Class A | 11,325 | 1,017,891 | ||||
LKQ Corp. | 11,800 | 554,010 | ||||
Lowe's Cos., Inc. | 28,612 | 6,324,969 | ||||
Marriott International, Inc. Class A (a) | 11,352 | 1,931,429 | ||||
McDonald's Corp. | 30,815 | 7,542,588 | ||||
MGM Resorts International | 15,500 | 686,495 | ||||
Mohawk Industries, Inc. (a) | 2,169 | 305,352 | ||||
Newell Brands, Inc. | 17,050 | 404,937 | ||||
NIKE, Inc. Class B | 52,702 | 7,196,458 | ||||
Norwegian Cruise Line Holdings, Ltd. (a) | 16,300 | 317,687 | ||||
NVR, Inc. (a) | 140 | 694,182 | ||||
O'Reilly Automotive, Inc. (a) | 2,820 | 1,830,857 | ||||
Penn National Gaming, Inc. (a) | 6,700 | 344,045 | ||||
Pool Corp. | 1,600 | 733,728 | ||||
PulteGroup, Inc. | 10,343 | 513,633 | ||||
PVH Corp. | 3,351 | 328,029 | ||||
Ralph Lauren Corp. | 2,236 | 295,241 | ||||
Ross Stores, Inc. | 14,444 | 1,320,037 | ||||
Royal Caribbean Cruises, Ltd. (a) | 8,900 | 718,408 | ||||
Starbucks Corp. | 49,092 | 4,506,155 | ||||
Tapestry, Inc. | 11,000 | 449,900 | ||||
Target Corp. | 20,344 | 4,064,121 | ||||
Tesla, Inc. (a) | 33,700 | 29,333,491 | ||||
TJX Cos., Inc. | 49,950 | 3,301,695 | ||||
Tractor Supply Co. | 4,574 | 932,135 | ||||
Ulta Beauty, Inc. (a) | 2,100 | 786,450 | ||||
Under Armour, Inc. Class A (a) | 8,476 | 151,636 | ||||
Under Armour, Inc. Class C (a) | 9,278 | 145,015 | ||||
VF Corp. | 13,328 | 773,291 | ||||
Whirlpool Corp. | 2,359 | 474,796 | ||||
Wynn Resorts, Ltd. (a) | 4,559 | 394,445 | ||||
Yum! Brands, Inc. | 11,890 | 1,457,476 | ||||
181,254,412 | ||||||
CONSUMER STAPLES — 6.1% | ||||||
Altria Group, Inc. | 75,670 | 3,881,114 | ||||
Archer-Daniels-Midland Co. | 23,092 | 1,811,567 | ||||
Brown-Forman Corp. Class B | 7,127 | 464,894 |
Security Description | Shares | Value | ||||
Campbell Soup Co. | 8,783 | $ 394,972 | ||||
Church & Dwight Co., Inc. | 10,100 | 988,285 | ||||
Clorox Co. | 4,979 | 725,888 | ||||
Coca-Cola Co. | 160,622 | 9,997,113 | ||||
Colgate-Palmolive Co. | 34,879 | 2,683,939 | ||||
Conagra Brands, Inc. | 20,751 | 725,662 | ||||
Constellation Brands, Inc. Class A | 6,676 | 1,439,479 | ||||
Costco Wholesale Corp. | 18,234 | 9,468,005 | ||||
Estee Lauder Cos., Inc. Class A | 9,563 | 2,833,804 | ||||
General Mills, Inc. | 25,122 | 1,693,976 | ||||
Hershey Co. | 6,015 | 1,216,594 | ||||
Hormel Foods Corp. | 12,498 | 595,405 | ||||
J.M. Smucker Co. | 4,255 | 573,361 | ||||
Kellogg Co. | 10,307 | 659,030 | ||||
Kimberly-Clark Corp. | 13,973 | 1,818,586 | ||||
Kraft Heinz Co. | 30,051 | 1,178,600 | ||||
Kroger Co. | 28,010 | 1,310,868 | ||||
Lamb Weston Holdings, Inc. | 5,700 | 378,651 | ||||
McCormick & Co., Inc. | 10,022 | 953,794 | ||||
Molson Coors Beverage Co. Class B | 7,409 | 386,602 | ||||
Mondelez International, Inc. Class A | 57,894 | 3,790,899 | ||||
Monster Beverage Corp. (a) | 15,487 | 1,307,103 | ||||
PepsiCo, Inc. | 57,138 | 9,355,776 | ||||
Philip Morris International, Inc. | 64,187 | 6,487,380 | ||||
Procter & Gamble Co. | 100,413 | 15,653,383 | ||||
Sysco Corp. | 21,235 | 1,849,569 | ||||
Tyson Foods, Inc. Class A | 11,691 | 1,083,288 | ||||
Walmart, Inc. | 58,699 | 7,933,757 | ||||
Walgreens Boots Alliance, Inc. | 29,713 | 1,369,472 | ||||
95,010,816 | ||||||
ENERGY — 3.6% | ||||||
APA Corp. | 14,370 | 512,003 | ||||
Baker Hughes Co. | 36,294 | 1,066,318 | ||||
Chevron Corp. | 79,698 | 11,476,512 | ||||
ConocoPhillips | 54,827 | 5,200,889 | ||||
Coterra Energy, Inc. | 35,122 | 819,396 | ||||
Devon Energy Corp. | 26,380 | 1,570,929 | ||||
Diamondback Energy, Inc. | 7,400 | 1,021,940 | ||||
EOG Resources, Inc. | 23,963 | 2,753,828 | ||||
Exxon Mobil Corp. | 175,572 | 13,768,356 | ||||
Halliburton Co. | 35,267 | 1,182,503 | ||||
Hess Corp. | 11,144 | 1,126,213 | ||||
Kinder Morgan, Inc. | 79,576 | 1,384,622 | ||||
Marathon Oil Corp. | 29,589 | 667,528 | ||||
Marathon Petroleum Corp. | 25,284 | 1,968,865 | ||||
Occidental Petroleum Corp. | 37,237 | 1,628,374 | ||||
ONEOK, Inc. | 18,304 | 1,195,251 | ||||
Phillips 66 | 18,092 | 1,524,070 | ||||
Pioneer Natural Resources Co. | 9,324 | 2,234,031 |
Security Description | Shares | Value | ||||
Schlumberger NV | 59,093 | $ 2,318,809 | ||||
Valero Energy Corp. | 16,686 | 1,393,448 | ||||
Williams Cos., Inc. | 49,610 | 1,551,801 | ||||
56,365,686 | ||||||
FINANCIALS — 11.4% | ||||||
Aflac, Inc. | 25,474 | 1,556,207 | ||||
Allstate Corp. | 11,767 | 1,439,810 | ||||
American Express Co. | 26,052 | 5,068,156 | ||||
American International Group, Inc. | 34,132 | 2,090,244 | ||||
Ameriprise Financial, Inc. | 4,663 | 1,397,921 | ||||
Aon PLC Class A | 9,147 | 2,672,205 | ||||
Arthur J Gallagher & Co. | 8,600 | 1,360,434 | ||||
Assurant, Inc. | 2,246 | 381,169 | ||||
Bank of America Corp. | 298,666 | 13,201,037 | ||||
Bank of New York Mellon Corp. | 31,291 | 1,663,117 | ||||
Berkshire Hathaway, Inc. Class B (a) | 75,819 | 24,372,018 | ||||
BlackRock, Inc. | 5,918 | 4,402,341 | ||||
Brown & Brown, Inc. | 10,200 | 689,622 | ||||
Capital One Financial Corp. | 17,568 | 2,692,647 | ||||
Cboe Global Markets, Inc. | 4,700 | 551,263 | ||||
Charles Schwab Corp. | 62,189 | 5,252,483 | ||||
Chubb, Ltd. | 17,841 | 3,633,141 | ||||
Cincinnati Financial Corp. | 6,005 | 737,354 | ||||
Citigroup, Inc. | 81,793 | 4,844,599 | ||||
Citizens Financial Group, Inc. | 16,800 | 880,656 | ||||
CME Group, Inc. | 14,892 | 3,522,405 | ||||
Comerica, Inc. | 5,817 | 555,465 | ||||
Discover Financial Services | 11,977 | 1,478,441 | ||||
Everest Re Group, Ltd. | 1,600 | 477,152 | ||||
FactSet Research Systems, Inc. | 1,600 | 649,744 | ||||
Fifth Third Bancorp | 29,054 | 1,389,943 | ||||
First Republic Bank | 7,300 | 1,264,798 | ||||
Franklin Resources, Inc. | 10,551 | 313,681 | ||||
Globe Life, Inc. | 3,684 | 371,937 | ||||
Goldman Sachs Group, Inc. | 14,088 | 4,808,094 | ||||
Hartford Financial Services Group, Inc. | 13,730 | 953,960 | ||||
Huntington Bancshares, Inc. | 60,065 | 932,209 | ||||
Intercontinental Exchange, Inc. | 23,525 | 3,014,023 | ||||
Invesco, Ltd. | 12,889 | 273,762 | ||||
JPMorgan Chase & Co. | 122,172 | 17,323,990 | ||||
KeyCorp. | 38,779 | 972,190 | ||||
Lincoln National Corp. | 7,410 | 499,582 | ||||
Loews Corp. | 8,912 | 546,662 | ||||
M&T Bank Corp. | 5,134 | 935,569 | ||||
MarketAxess Holdings, Inc. | 1,500 | 572,145 | ||||
Marsh & McLennan Cos., Inc. | 20,834 | 3,237,812 | ||||
MetLife, Inc. | 30,226 | 2,041,766 | ||||
Moody's Corp. | 6,634 | 2,136,347 | ||||
Morgan Stanley | 59,761 | 5,422,713 | ||||
MSCI, Inc. | 3,400 | 1,705,746 |
Security Description | Shares | Value | ||||
Nasdaq, Inc. | 5,025 | $ 860,029 | ||||
Northern Trust Corp. | 8,210 | 935,119 | ||||
People's United Financial, Inc. | 18,734 | 394,913 | ||||
PNC Financial Services Group, Inc. | 17,442 | 3,475,318 | ||||
Principal Financial Group, Inc. | 10,126 | 715,301 | ||||
Progressive Corp. | 24,152 | 2,558,421 | ||||
Prudential Financial, Inc. | 15,537 | 1,734,861 | ||||
Raymond James Financial, Inc. | 7,500 | 822,375 | ||||
Regions Financial Corp. | 41,343 | 1,000,087 | ||||
S&P Global, Inc. | 14,609 | 5,488,631 | ||||
Signature Bank | 2,600 | 896,714 | ||||
State Street Corp. (c) | 15,047 | 1,283,961 | ||||
SVB Financial Group (a) | 2,500 | 1,515,000 | ||||
Synchrony Financial | 22,071 | 944,197 | ||||
T Rowe Price Group, Inc. | 9,120 | 1,318,387 | ||||
Travelers Cos., Inc. | 10,398 | 1,786,688 | ||||
Truist Financial Corp. | 54,798 | 3,409,532 | ||||
US Bancorp | 56,530 | 3,196,206 | ||||
Wells Fargo & Co. | 164,746 | 8,792,494 | ||||
Willis Towers Watson PLC | 4,928 | 1,095,494 | ||||
WR Berkley Corp. | 6,100 | 550,830 | ||||
Zions Bancorp NA | 5,758 | 408,185 | ||||
177,469,303 | ||||||
HEALTH CARE — 13.2% | ||||||
Abbott Laboratories | 73,049 | 8,811,170 | ||||
AbbVie, Inc. | 73,252 | 10,824,448 | ||||
ABIOMED, Inc. (a) | 1,800 | 559,332 | ||||
Agilent Technologies, Inc. | 12,275 | 1,600,169 | ||||
Align Technology, Inc. (a) | 3,100 | 1,585,526 | ||||
AmerisourceBergen Corp. | 6,052 | 862,592 | ||||
Amgen, Inc. | 23,491 | 5,320,242 | ||||
Anthem, Inc. | 10,019 | 4,527,085 | ||||
Baxter International, Inc. | 20,770 | 1,764,827 | ||||
Becton Dickinson and Co. | 11,777 | 3,194,865 | ||||
Biogen, Inc. (a) | 6,147 | 1,297,079 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 900 | 563,364 | ||||
Bio-Techne Corp. | 1,700 | 712,997 | ||||
Boston Scientific Corp. (a) | 58,877 | 2,600,597 | ||||
Bristol-Myers Squibb Co. | 92,477 | 6,350,396 | ||||
Cardinal Health, Inc. | 11,124 | 600,807 | ||||
Catalent, Inc. (a) | 7,200 | 734,688 | ||||
Centene Corp. (a) | 24,278 | 2,005,848 | ||||
Cerner Corp. | 11,963 | 1,115,550 | ||||
Charles River Laboratories International, Inc. (a) | 2,200 | 640,552 | ||||
Cigna Corp. | 13,784 | 3,277,560 | ||||
Cooper Cos., Inc. | 2,000 | 818,040 | ||||
CVS Health Corp. | 54,533 | 5,652,345 | ||||
Danaher Corp. | 26,278 | 7,210,946 | ||||
DaVita, Inc. (a) | 2,972 | 335,152 | ||||
DENTSPLY SIRONA, Inc. | 8,566 | 463,763 |
Security Description | Shares | Value | ||||
DexCom, Inc. (a) | 4,100 | $ 1,697,031 | ||||
Edwards Lifesciences Corp. (a) | 26,070 | 2,929,486 | ||||
Eli Lilly & Co. | 32,862 | 8,213,857 | ||||
Gilead Sciences, Inc. | 52,146 | 3,149,618 | ||||
HCA Healthcare, Inc. | 9,900 | 2,478,069 | ||||
Henry Schein, Inc. (a) | 5,200 | 449,176 | ||||
Hologic, Inc. (a) | 10,300 | 733,051 | ||||
Humana, Inc. | 5,417 | 2,352,711 | ||||
IDEXX Laboratories, Inc. (a) | 3,600 | 1,916,460 | ||||
Illumina, Inc. (a) | 6,600 | 2,155,560 | ||||
Incyte Corp. (a) | 8,200 | 560,060 | ||||
Intuitive Surgical, Inc. (a) | 14,768 | 4,287,593 | ||||
IQVIA Holdings, Inc. (a) | 8,000 | 1,840,960 | ||||
Johnson & Johnson | 108,841 | 17,911,963 | ||||
Laboratory Corp. of America Holdings (a) | 4,047 | 1,097,789 | ||||
McKesson Corp. | 6,429 | 1,767,718 | ||||
Medtronic PLC | 56,004 | 5,879,860 | ||||
Merck & Co., Inc. | 104,498 | 8,002,457 | ||||
Mettler-Toledo International, Inc. (a) | 900 | 1,267,866 | ||||
Moderna, Inc. (a) | 14,800 | 2,273,280 | ||||
Organon & Co. | 11,149 | 416,192 | ||||
PerkinElmer, Inc. | 5,332 | 957,681 | ||||
Pfizer, Inc. | 232,748 | 10,925,191 | ||||
Quest Diagnostics, Inc. | 5,358 | 703,345 | ||||
Regeneron Pharmaceuticals, Inc. (a) | 4,358 | 2,694,813 | ||||
ResMed, Inc. | 5,900 | 1,455,825 | ||||
STERIS PLC | 4,300 | 1,032,000 | ||||
Stryker Corp. | 13,795 | 3,632,913 | ||||
Teleflex, Inc. | 2,000 | 672,620 | ||||
Thermo Fisher Scientific, Inc. | 16,312 | 8,873,728 | ||||
UnitedHealth Group, Inc. | 38,922 | 18,521,812 | ||||
Universal Health Services, Inc. Class B | 3,200 | 460,576 | ||||
Vertex Pharmaceuticals, Inc. (a) | 10,548 | 2,426,251 | ||||
Viatris, Inc. | 49,672 | 546,889 | ||||
Waters Corp. (a) | 2,415 | 764,903 | ||||
West Pharmaceutical Services, Inc. | 3,100 | 1,199,948 | ||||
Zimmer Biomet Holdings, Inc. | 8,327 | 1,059,111 | ||||
Zoetis, Inc. | 19,728 | 3,820,327 | ||||
204,558,630 | ||||||
INDUSTRIALS — 7.8% | ||||||
3M Co. | 23,743 | 3,529,397 | ||||
A.O. Smith Corp. | 5,200 | 356,616 | ||||
Alaska Air Group, Inc. (a) | 5,900 | 331,226 | ||||
Allegion PLC | 4,037 | 462,317 | ||||
American Airlines Group, Inc. (a) | 28,800 | 496,800 | ||||
AMETEK, Inc. | 9,301 | 1,207,177 | ||||
Boeing Co. (a) | 23,224 | 4,768,816 |
Security Description | Shares | Value | |||
C.H. Robinson Worldwide, Inc. | 5,782 | $ 559,004 | |||
Carrier Global Corp. | 36,079 | 1,619,226 | |||
Caterpillar, Inc. | 22,455 | 4,212,109 | |||
Cintas Corp. | 3,622 | 1,359,409 | |||
Copart, Inc. (a) | 8,800 | 1,081,344 | |||
CSX Corp. | 91,977 | 3,118,940 | |||
Cummins, Inc. | 5,844 | 1,192,877 | |||
Deere & Co. | 11,654 | 4,195,673 | |||
Delta Air Lines, Inc. (a) | 25,766 | 1,028,579 | |||
Dover Corp. | 5,845 | 916,847 | |||
Eaton Corp. PLC | 16,599 | 2,561,060 | |||
Emerson Electric Co. | 24,369 | 2,264,367 | |||
Equifax, Inc. | 5,095 | 1,112,442 | |||
Expeditors International of Washington, Inc. | 6,844 | 707,396 | |||
Fastenal Co. | 24,284 | 1,249,655 | |||
FedEx Corp. | 10,050 | 2,233,814 | |||
Fortive Corp. | 15,381 | 995,920 | |||
Fortune Brands Home & Security, Inc. | 5,400 | 469,260 | |||
Generac Holdings, Inc. (a) | 2,600 | 820,222 | |||
General Dynamics Corp. | 9,489 | 2,224,696 | |||
General Electric Co. | 45,193 | 4,316,383 | |||
Honeywell International, Inc. | 28,703 | 5,446,394 | |||
Howmet Aerospace, Inc. | 16,863 | 605,719 | |||
Huntington Ingalls Industries, Inc. | 1,800 | 367,920 | |||
IDEX Corp. | 3,100 | 594,890 | |||
Illinois Tool Works, Inc. | 11,671 | 2,524,904 | |||
Ingersoll Rand, Inc. | 17,591 | 888,697 | |||
Jacobs Engineering Group, Inc. | 5,457 | 671,211 | |||
JB Hunt Transport Services, Inc. | 3,400 | 689,962 | |||
Johnson Controls International PLC | 29,693 | 1,928,857 | |||
L3Harris Technologies, Inc. | 8,012 | 2,021,508 | |||
Leidos Holdings, Inc. | 5,500 | 560,120 | |||
Lockheed Martin Corp. | 10,190 | 4,420,422 | |||
Masco Corp. | 9,439 | 528,962 | |||
Nielsen Holdings PLC | 17,175 | 299,189 | |||
Nordson Corp. | 2,200 | 498,278 | |||
Norfolk Southern Corp. | 10,068 | 2,582,643 | |||
Northrop Grumman Corp. | 6,186 | 2,735,078 | |||
Old Dominion Freight Line, Inc. | 3,900 | 1,224,717 | |||
Otis Worldwide Corp. | 17,289 | 1,354,247 | |||
PACCAR, Inc. | 13,935 | 1,279,372 | |||
Parker-Hannifin Corp. | 5,314 | 1,575,016 | |||
Pentair PLC | 7,291 | 422,222 | |||
Quanta Services, Inc. | 6,093 | 663,771 | |||
Raytheon Technologies Corp. | 62,252 | 6,393,280 | |||
Republic Services, Inc. | 8,614 | 1,036,092 | |||
Robert Half International, Inc. | 4,374 | 526,148 | |||
Rockwell Automation, Inc. | 4,879 | 1,300,644 | |||
Rollins, Inc. | 10,425 | 340,168 |
Security Description | Shares | Value | ||||
Roper Technologies, Inc. | 4,435 | $ 1,987,856 | ||||
Snap-on, Inc. | 2,272 | 477,529 | ||||
Southwest Airlines Co. (a) | 23,527 | 1,030,483 | ||||
Stanley Black & Decker, Inc. | 6,950 | 1,130,765 | ||||
Textron, Inc. | 9,706 | 709,800 | ||||
Trane Technologies PLC | 10,016 | 1,541,763 | ||||
TransDigm Group, Inc. (a) | 2,200 | 1,466,498 | ||||
Union Pacific Corp. | 26,538 | 6,527,021 | ||||
United Airlines Holdings, Inc. (a) | 14,300 | 634,920 | ||||
United Parcel Service, Inc. Class B | 30,155 | 6,345,215 | ||||
United Rentals, Inc. (a) | 3,000 | 964,860 | ||||
Verisk Analytics, Inc. | 6,700 | 1,188,178 | ||||
W.W. Grainger, Inc. | 1,812 | 864,433 | ||||
Waste Management, Inc. | 15,904 | 2,296,538 | ||||
Westinghouse Air Brake Technologies Corp. | 7,982 | 740,889 | ||||
Xylem, Inc. | 7,234 | 643,464 | ||||
121,422,215 | ||||||
INFORMATION TECHNOLOGY — 27.7% | ||||||
Accenture PLC Class A | 26,082 | 8,242,434 | ||||
Adobe, Inc. (a) | 19,713 | 9,219,376 | ||||
Advanced Micro Devices, Inc. (a) | 67,423 | 8,315,953 | ||||
Akamai Technologies, Inc. (a) | 6,734 | 729,023 | ||||
Amphenol Corp. Class A | 25,260 | 1,920,013 | ||||
Analog Devices, Inc. | 22,107 | 3,543,531 | ||||
ANSYS, Inc. (a) | 3,600 | 1,167,084 | ||||
Apple, Inc. | 644,918 | 106,488,860 | ||||
Applied Materials, Inc. | 37,553 | 5,039,612 | ||||
Arista Networks, Inc. (a) | 9,600 | 1,178,208 | ||||
Autodesk, Inc. (a) | 9,170 | 2,019,509 | ||||
Automatic Data Processing, Inc. | 17,365 | 3,550,101 | ||||
Broadcom, Inc. | 17,035 | 10,007,040 | ||||
Broadridge Financial Solutions, Inc. | 4,700 | 687,187 | ||||
Cadence Design Systems, Inc. (a) | 11,300 | 1,711,159 | ||||
CDW Corp. | 5,700 | 983,022 | ||||
Ceridian HCM Holding, Inc. (a) | 5,900 | 430,169 | ||||
Cisco Systems, Inc. | 174,729 | 9,744,636 | ||||
Citrix Systems, Inc. | 4,678 | 479,495 | ||||
Cognizant Technology Solutions Corp. Class A | 21,927 | 1,888,572 | ||||
Corning, Inc. | 31,250 | 1,262,500 | ||||
DXC Technology Co. (a) | 8,991 | 305,964 | ||||
Enphase Energy, Inc. (a) | 5,500 | 916,850 | ||||
EPAM Systems, Inc. (a) | 2,400 | 498,600 | ||||
F5, Inc. (a) | 2,659 | 534,060 | ||||
Fidelity National Information Services, Inc. | 25,186 | 2,398,463 | ||||
Fiserv, Inc. (a) | 24,584 | 2,401,119 |
Security Description | Shares | Value | |||
FleetCor Technologies, Inc. (a) | 3,200 | $ 749,440 | |||
Fortinet, Inc. (a) | 5,700 | 1,963,764 | |||
Gartner, Inc. (a) | 3,400 | 953,428 | |||
Global Payments, Inc. | 11,918 | 1,589,623 | |||
Hewlett Packard Enterprise Co. | 55,063 | 876,603 | |||
HP, Inc. | 47,363 | 1,627,393 | |||
Intel Corp. | 168,020 | 8,014,554 | |||
International Business Machines Corp. | 36,947 | 4,526,377 | |||
Intuit, Inc. | 11,626 | 5,515,026 | |||
IPG Photonics Corp. (a) | 1,400 | 182,490 | |||
Jack Henry & Associates, Inc. | 3,300 | 583,440 | |||
Juniper Networks, Inc. | 14,244 | 481,305 | |||
Keysight Technologies, Inc. (a) | 7,700 | 1,211,749 | |||
KLA Corp. | 6,373 | 2,220,990 | |||
Lam Research Corp. | 5,881 | 3,301,299 | |||
Mastercard, Inc. Class A | 35,949 | 12,971,118 | |||
Microchip Technology, Inc. | 23,212 | 1,632,500 | |||
Micron Technology, Inc. | 46,028 | 4,090,048 | |||
Microsoft Corp. | 310,634 | 92,814,333 | |||
Monolithic Power Systems, Inc. | 1,700 | 779,790 | |||
Motorola Solutions, Inc. | 7,028 | 1,549,182 | |||
NetApp, Inc. | 8,943 | 700,952 | |||
NortonLifeLock, Inc. | 22,603 | 655,035 | |||
NVIDIA Corp. | 103,548 | 25,250,180 | |||
NXP Semiconductors NV | 11,200 | 2,129,344 | |||
Oracle Corp. | 67,170 | 5,102,905 | |||
Paychex, Inc. | 13,231 | 1,575,283 | |||
Paycom Software, Inc. (a) | 2,000 | 678,420 | |||
PayPal Holdings, Inc. (a) | 48,558 | 5,435,097 | |||
PTC, Inc. (a) | 4,700 | 523,016 | |||
Qorvo, Inc. (a) | 4,500 | 615,510 | |||
QUALCOMM, Inc. | 46,185 | 7,943,358 | |||
salesforce.com, Inc. (a) | 40,405 | 8,506,465 | |||
Seagate Technology Holdings PLC | 8,276 | 853,752 | |||
ServiceNow, Inc. (a) | 8,200 | 4,755,344 | |||
Skyworks Solutions, Inc. | 6,800 | 939,556 | |||
SolarEdge Technologies, Inc. (a) | 2,200 | 702,724 | |||
Synopsys, Inc. (a) | 6,400 | 1,999,296 | |||
TE Connectivity, Ltd. | 13,749 | 1,958,270 | |||
Teledyne Technologies, Inc. (a) | 2,026 | 869,924 | |||
Teradyne, Inc. | 6,700 | 790,064 | |||
Texas Instruments, Inc. | 38,106 | 6,477,639 | |||
Trimble, Inc. (a) | 11,000 | 767,250 | |||
Tyler Technologies, Inc. (a) | 1,700 | 728,042 | |||
VeriSign, Inc. (a) | 4,020 | 859,154 | |||
Visa, Inc. Class A | 69,340 | 14,985,761 | |||
Western Digital Corp. (a) | 13,106 | 667,620 |
Security Description | Shares | Value | ||||
Zebra Technologies Corp. Class A (a) | 2,300 | $ 950,682 | ||||
430,717,635 | ||||||
MATERIALS — 2.5% | ||||||
Air Products & Chemicals, Inc. | 9,307 | 2,199,244 | ||||
Albemarle Corp. | 4,900 | 959,861 | ||||
Amcor PLC | 61,430 | 714,431 | ||||
Avery Dennison Corp. | 3,618 | 637,492 | ||||
Ball Corp. | 13,216 | 1,186,004 | ||||
Celanese Corp. | 4,500 | 626,760 | ||||
CF Industries Holdings, Inc. | 8,630 | 700,670 | ||||
Corteva, Inc. | 30,777 | 1,601,327 | ||||
Dow, Inc. | 30,410 | 1,792,974 | ||||
DuPont de Nemours, Inc. | 21,174 | 1,638,232 | ||||
Eastman Chemical Co. | 5,872 | 695,656 | ||||
Ecolab, Inc. | 10,489 | 1,848,791 | ||||
FMC Corp. | 5,622 | 659,179 | ||||
Freeport-McMoRan, Inc. | 61,464 | 2,885,735 | ||||
International Flavors & Fragrances, Inc. | 10,744 | 1,428,952 | ||||
International Paper Co. | 15,108 | 657,651 | ||||
Linde PLC | 21,329 | 6,254,516 | ||||
LyondellBasell Industries NV Class A | 11,122 | 1,081,392 | ||||
Martin Marietta Materials, Inc. | 2,655 | 1,007,307 | ||||
Mosaic Co. | 15,516 | 813,504 | ||||
Newmont Corp. | 32,673 | 2,162,952 | ||||
Nucor Corp. | 12,206 | 1,606,554 | ||||
Packaging Corp. of America | 3,700 | 544,603 | ||||
PPG Industries, Inc. | 9,788 | 1,306,209 | ||||
Sealed Air Corp. | 6,569 | 440,977 | ||||
Sherwin-Williams Co. | 9,861 | 2,594,725 | ||||
Vulcan Materials Co. | 5,290 | 959,870 | ||||
Westrock Co. | 11,848 | 536,359 | ||||
39,541,927 | ||||||
REAL ESTATE — 2.6% | ||||||
Alexandria Real Estate Equities, Inc. REIT | 5,700 | 1,079,580 | ||||
American Tower Corp. REIT | 18,782 | 4,261,072 | ||||
AvalonBay Communities, Inc. REIT | 5,829 | 1,390,741 | ||||
Boston Properties, Inc. REIT | 6,121 | 748,660 | ||||
CBRE Group, Inc. Class A (a) | 14,208 | 1,376,045 | ||||
Crown Castle International Corp. REIT | 18,142 | 3,022,276 | ||||
Digital Realty Trust, Inc. REIT | 12,000 | 1,619,040 | ||||
Duke Realty Corp. REIT | 16,600 | 879,800 | ||||
Equinix, Inc. REIT | 3,738 | 2,652,971 | ||||
Equity Residential REIT | 14,238 | 1,214,501 | ||||
Essex Property Trust, Inc. REIT | 2,655 | 842,086 | ||||
Extra Space Storage, Inc. REIT | 5,500 | 1,034,825 | ||||
Federal Realty Investment Trust REIT | 2,800 | 329,224 |
Security Description | Shares | Value | ||||
Healthpeak Properties, Inc. REIT | 22,877 | $ 710,560 | ||||
Host Hotels & Resorts, Inc. REIT (a) | 28,759 | 525,427 | ||||
Iron Mountain, Inc. REIT | 11,274 | 554,455 | ||||
Kimco Realty Corp. REIT | 26,816 | 630,980 | ||||
Mid-America Apartment Communities, Inc. REIT | 4,700 | 961,667 | ||||
Prologis, Inc. REIT | 30,745 | 4,484,158 | ||||
Public Storage REIT | 6,352 | 2,255,087 | ||||
Realty Income Corp. REIT | 23,700 | 1,566,333 | ||||
Regency Centers Corp. REIT | 5,799 | 382,096 | ||||
SBA Communications Corp. REIT | 4,500 | 1,365,255 | ||||
Simon Property Group, Inc. REIT | 13,435 | 1,848,119 | ||||
UDR, Inc. REIT | 12,200 | 669,414 | ||||
Ventas, Inc. REIT | 16,603 | 896,562 | ||||
Vornado Realty Trust REIT | 6,046 | 261,671 | ||||
Welltower, Inc. REIT | 18,181 | 1,514,296 | ||||
Weyerhaeuser Co. REIT | 31,198 | 1,212,978 | ||||
40,289,879 | ||||||
UTILITIES — 2.5% | ||||||
AES Corp. | 29,159 | 619,046 | ||||
Alliant Energy Corp. | 9,800 | 572,320 | ||||
Ameren Corp. | 10,856 | 933,073 | ||||
American Electric Power Co., Inc. | 21,143 | 1,916,613 | ||||
American Water Works Co., Inc. | 7,600 | 1,148,284 | ||||
Atmos Energy Corp. (b) | 5,200 | 571,012 | ||||
CenterPoint Energy, Inc. | 26,635 | 728,467 | ||||
CMS Energy Corp. | 12,501 | 800,189 | ||||
Consolidated Edison, Inc. | 14,800 | 1,269,396 | ||||
Constellation Energy Corp. | 13,353 | 613,971 | ||||
Dominion Energy, Inc. | 33,224 | 2,642,305 | ||||
DTE Energy Co. | 8,039 | 977,462 | ||||
Duke Energy Corp. | 32,191 | 3,232,298 | ||||
Edison International | 15,305 | 970,643 | ||||
Entergy Corp. | 8,400 | 883,764 | ||||
Evergy, Inc. | 9,399 | 586,592 | ||||
Eversource Energy | 14,143 | 1,156,897 | ||||
Exelon Corp. | 40,059 | 1,704,911 | ||||
FirstEnergy Corp. | 21,829 | 913,544 | ||||
NextEra Energy, Inc. | 80,928 | 6,334,235 | ||||
NiSource, Inc. | 15,578 | 450,672 | ||||
NRG Energy, Inc. | 9,498 | 359,404 |
Security Description | Shares | Value | |||
Pinnacle West Capital Corp. | 4,756 | $ 336,867 | |||
PPL Corp. | 30,356 | 794,416 | |||
Public Service Enterprise Group, Inc. | 20,836 | 1,350,798 | |||
Sempra Energy | 13,024 | 1,878,321 | |||
Southern Co. | 44,184 | 2,861,798 | |||
WEC Energy Group, Inc. | 12,887 | 1,171,171 | |||
Xcel Energy, Inc. | 22,800 | 1,535,124 | |||
39,313,593 | |||||
TOTAL COMMON STOCKS (Cost $312,564,485) | 1,533,241,675 |
SHORT-TERM INVESTMENTS — 1.2% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d) (e) | 17,333,439 | 17,333,439 | |
State Street Navigator Securities Lending Portfolio II (c) (f) | 861,894 | 861,894 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $18,195,333) | 18,195,333 | ||
TOTAL INVESTMENTS — 99.8% (Cost $330,759,818) | 1,551,437,008 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 2,765,518 | ||
NET ASSETS — 100.0% | $ 1,554,202,526 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at February 28, 2022. |
(c) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2022 are shown in the Affiliate Table below. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended February 28, 2022 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at February 28, 2022. |
(f) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini S&P 500 Index (long) | 100 | 03/18/2022 | $23,532,695 | $21,838,557 | $(1,694,138) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,533,241,675 | $— | $— | $1,533,241,675 | ||||
Short-Term Investments | 18,195,333 | — | — | 18,195,333 | ||||
TOTAL INVESTMENTS | $1,551,437,008 | $— | $— | $1,551,437,008 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | (1,694,138) | — | — | (1,694,138) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (1,694,138) | $— | $— | $ (1,694,138) |
Number of Shares Held at 8/31/21 | Value at 8/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/22 | Value at 2/28/22 | Dividend Income | |||||||||
State Street Corp. | 15,847 | $ 1,472,345 | $ — | $ 67,853 | $45,753 | $(166,284) | 15,047 | $ 1,283,961 | $17,154 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 19,985,484 | 19,985,484 | 116,805,642 | 119,457,687 | — | — | 17,333,439 | 17,333,439 | 2,463 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,230,063 | 1,230,063 | 5,684,422 | 6,052,591 | — | — | 861,894 | 861,894 | 345 | ||||||||
Total | $22,687,892 | $122,490,064 | $125,578,131 | $45,753 | $(166,284) | $19,479,294 | $19,962 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,531,957,714 |
Investments in affiliated issuers, at value | 19,479,294 |
Total Investments | 1,551,437,008 |
Net cash at broker | 2,820,683 |
Cash | 1,197 |
Receivable for fund shares sold | 2,252,865 |
Dividends receivable — unaffiliated issuers | 2,031,668 |
Dividends receivable — affiliated issuers | 446 |
Securities lending income receivable — unaffiliated issuers | 19 |
Securities lending income receivable — affiliated issuers | 39 |
Receivable from Adviser | 66,818 |
Prepaid expenses and other assets | 4,974 |
TOTAL ASSETS | 1,558,615,717 |
LIABILITIES | |
Payable upon return of securities loaned | 861,894 |
Payable for fund shares repurchased | 1,198,153 |
Payable to broker – accumulated variation margin on open futures contracts | 1,756,345 |
Advisory fee payable | 165,521 |
Custodian fees payable | 29,619 |
Administration fees payable | 96,523 |
Shareholder servicing fee payable | 62,475 |
Distribution fees payable | 96,316 |
Trustees’ fees and expenses payable | 540 |
Transfer agent fees payable | 76,395 |
Registration and filing fees payable | 763 |
Professional fees payable | 37,467 |
Printing and postage fees payable | 23,519 |
Accrued expenses and other liabilities | 7,661 |
TOTAL LIABILITIES | 4,413,191 |
NET ASSETS | $1,554,202,526 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 294,077,583 |
Total distributable earnings (loss) | 1,260,124,943 |
NET ASSETS | $1,554,202,526 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 250.22 |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 6,211,395 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 312,170,965 |
Investments in affiliated issuers | 18,588,853 |
Total cost of investments | $ 330,759,818 |
* Includes investments in securities on loan, at value | $ 1,505,550 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 450 |
Dividend income — unaffiliated issuers | 11,389,006 |
Dividend income — affiliated issuers | 19,617 |
Unaffiliated securities lending income | 157 |
Affiliated securities lending income | 345 |
Foreign taxes withheld | (1,932) |
TOTAL INVESTMENT INCOME (LOSS) | 11,407,643 |
EXPENSES | |
Advisory fee | 246,700 |
Administration fees | 411,167 |
Shareholder servicing fees | 197,360 |
Distribution fees | 304,264 |
Custodian fees | 55,781 |
Trustees’ fees and expenses | 16,190 |
Transfer agent fees | 116,595 |
Registration and filing fees | 38,329 |
Professional fees and expenses | 29,892 |
Printing and postage fees | 26,570 |
Insurance expense | 7,379 |
Miscellaneous expenses | 13,085 |
TOTAL EXPENSES | 1,463,312 |
Expenses waived/reimbursed by the Adviser | (172,247) |
NET EXPENSES | 1,291,065 |
NET INVESTMENT INCOME (LOSS) | $ 10,116,578 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 81,214,964 |
Investments — affiliated issuers | 45,753 |
Futures contracts | 2,217,179 |
Net realized gain (loss) | 83,477,896 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (132,774,260) |
Investments — affiliated issuers | (166,284) |
Futures contracts | (3,146,968) |
Net change in unrealized appreciation/depreciation | (136,087,512) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (52,609,616) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (42,493,038) |
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 10,116,578 | $ 20,651,490 | |
Net realized gain (loss) | 83,477,896 | 261,796,619 | |
Net change in unrealized appreciation/depreciation | (136,087,512) | 136,365,655 | |
Net increase (decrease) in net assets resulting from operations | (42,493,038) | 418,813,764 | |
Distributions to shareholders | (171,979,613) | (210,170,347) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 89,129,568 | 212,581,202 | |
Reinvestment of distributions | 167,891,255 | 204,655,169 | |
Cost of shares redeemed | (197,454,523) | (526,227,206) | |
Net increase (decrease) in net assets from beneficial interest transactions | 59,566,300 | (108,990,835) | |
Net increase (decrease) in net assets during the period | (154,906,351) | 99,652,582 | |
Net assets at beginning of period | 1,709,108,877 | 1,609,456,295 | |
NET ASSETS AT END OF PERIOD | $1,554,202,526 | $1,709,108,877 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 323,646 | 825,394 | |
Reinvestment of distributions | 643,058 | 871,746 | |
Shares redeemed | (713,466) | (2,085,747) | |
Net increase (decrease) | 253,238 | (388,607) |
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20(a) | Year Ended 8/31/19(a)(b) | Year Ended 8/31/18(a)(b) | Year Ended 8/31/17(a)(b) | ||||||
Net asset value, beginning of period | $ 286.85 | $ 253.59 | $ 222.06 | $ 244.74 | $ 215.94 | $ 203.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (c) | 1.69 | 3.43 | 4.55 | 4.38(d)(e) | 3.96(d)(e) | 3.96(d)(e) | |||||
Net realized and unrealized gain (loss) | (8.24) | 66.60 | 42.08 | (2.52) | 36.72 | 26.82 | |||||
Total from investment operations | (6.55) | 70.03 | 46.63 | 1.86 | 40.68 | 30.78 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (2.92) | (2.88) | (4.20) | (4.26) | (4.68) | (3.84) | |||||
Net realized gains | (27.16) | (33.89) | (10.90) | (20.28) | (7.20) | (14.10) | |||||
Total distributions | (30.08) | (36.77) | (15.10) | (24.54) | (11.88) | (17.94) | |||||
Net asset value, end of period | $ 250.22 | $ 286.85 | $ 253.59 | $ 222.06 | $ 244.74 | $ 215.94 | |||||
Total return (f) | (2.69)% | 31.01% | 22.14% | 2.71% | 19.41% | 16.06% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,554,203 | $1,709,109 | $1,609,456 | $1,527,785 | $1,606,947 | $1,571,873 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.18%(g) | 0.18% | 0.19% | 0.20% | 0.20% | 0.20% | |||||
Net expenses | 0.16%(d)(e)(g) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | |||||
Net investment income (loss) | 1.23%(d)(e)(g) | 1.33%(d)(e) | 2.02%(d)(e) | 2.00%(d)(e) | 1.74%(d)(e) | 1.91%(d)(e) | |||||
Portfolio turnover rate | 1%(h) | 4% | 5% | 3%(i) | 2%(i) | 3%(i) |
(a) | After the close of trading on April 17, 2020, State Street S&P 500 Index Fund underwent a 1-for-6 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. |
(b) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio prior to the discontinuance of the master feeder structure. |
(c) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(d) | Reflects amounts waived by the administrator. |
(e) | Reflects amounts waived and/or reimbursed by the investment adviser. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street S&P 500 Index Fund | Class N | December 30, 1992 | Diversified |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street S&P 500 Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | $2,252,865 | $— | $2,252,865 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street S&P 500 Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | $2,217,179 | $— | $2,217,179 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street S&P 500 Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | (3,146,968) | $— | (3,146,968) |
Purchases | Sales | ||
State Street S&P 500 Index Fund | $16,903,382 | $114,467,088 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street S&P 500 Index Fund | $363,918,194 | $1,198,682,598 | $12,857,922 | $1,185,824,676 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street S&P 500 Index Fund | $ 1,505,550 | $ 861,894 | $ 683,437 | $ 1,545,331 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of February 28, 2022 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street S&P 500 Index Fund | Common Stocks | $861,894 | $— | $— | $— | $861,894 | $861,894 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street S&P 500 Index Fund | 0.16% | $973.10 | $0.78 | $1,024.00 | $0.80 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
Boston, Massachusetts 02210
(800) 997-7327
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, Massachusetts 02111
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, Massachusetts 02210
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111
800 Boylston Street
Boston, MA 02199
200 Clarendon Street
Boston, MA 02116
State Street Defensive Emerging Markets Equity Fund |
State Street International Stock Selection Fund |
Description | % of Net Assets | ||
Cathay Financial Holding Co., Ltd. | 3.0% | ||
Fubon Financial Holding Co., Ltd. | 3.0 | ||
CTBC Financial Holding Co., Ltd. | 2.9 | ||
HCL Technologies, Ltd. | 2.9 | ||
AP Thailand PCL NVDR | 2.8 | ||
TOTAL | 14.6% |
Description | % of Net Assets | ||
Roche Holding AG | 2.6% | ||
Toyota Motor Corp. | 2.1 | ||
GlaxoSmithKline PLC | 1.6 | ||
Sanofi | 1.6 | ||
British American Tobacco PLC | 1.6 | ||
TOTAL | 9.5% |
Security Description | Shares | Value | |||
COMMON STOCKS — 97.9% | |||||
BRAZIL — 2.4% | |||||
Cia Energetica de Minas Gerais Preference Shares | 48,900 | $ 120,161 | |||
EDP - Energias do Brasil SA | 30,900 | 124,080 | |||
Sao Martinho SA | 12,900 | 99,725 | |||
SLC Agricola SA | 40,260 | 342,018 | |||
Transmissora Alianca de Energia Eletrica SA | 34,400 | 263,608 | |||
Unipar Carbocloro SA Class B, Preference Shares | 3,500 | 63,869 | |||
1,013,461 | |||||
CHINA — 23.0% | |||||
China BlueChemical, Ltd. Class H | 788,000 | 235,952 | |||
China Construction Bank Corp. Class H | 99,000 | 74,247 | |||
China Longyuan Power Group Corp., Ltd. Class H | 104,000 | 214,613 | |||
China Medical System Holdings, Ltd. | 408,000 | 726,507 | |||
China Meidong Auto Holdings, Ltd. | 14,000 | 65,919 | |||
China Petroleum & Chemical Corp. Class H | 650,000 | 323,366 | |||
China Resources Power Holdings Co., Ltd. | 368,000 | 821,954 | |||
China Shenhua Energy Co., Ltd. Class A | 132,200 | 529,775 | |||
China Shenhua Energy Co., Ltd. Class H | 347,000 | 956,327 | |||
China Yangtze Power Co., Ltd. Class A | 97,900 | 360,513 | |||
CMGE Technology Group, Ltd. (a) | 216,000 | 76,378 | |||
COFCO Joycome Foods., Ltd. (a) | 472,000 | 205,917 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (b) | 47,700 | 134,053 | |||
Haitian International Holdings, Ltd. | 58,000 | 154,529 | |||
JD.com, Inc. Class A (b) | 1,702 | 60,794 | |||
Lenovo Group, Ltd. | 606,000 | 674,823 | |||
Nanjing Iron & Steel Co., Ltd. Class A | 242,200 | 145,883 | |||
NetDragon Websoft Holdings, Ltd. | 213,000 | 477,644 | |||
NetEase, Inc. | 4,500 | 87,038 | |||
Nexteer Automotive Group, Ltd. | 48,000 | 48,076 | |||
Pharmaron Beijing Co., Ltd. Class H (c) | 8,900 | 107,904 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class A | 317,500 | 559,277 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 1,000 | 52,048 |
Security Description | Shares | Value | |||
Sihuan Pharmaceutical Holdings Group, Ltd. (a) | 829,000 | $ 177,761 | |||
Sinotrans, Ltd. Class A | 1,048,200 | 715,767 | |||
TangShan Port Group Co., Ltd. Class A | 191,700 | 88,886 | |||
Tencent Holdings, Ltd. | 8,800 | 474,860 | |||
Want Want China Holdings, Ltd. | 91,000 | 96,872 | |||
Yadea Group Holdings, Ltd. (c) | 158,000 | 234,398 | |||
Yuexiu Transport Infrastructure, Ltd. | 284,000 | 176,260 | |||
Zhongsheng Group Holdings, Ltd. | 133,500 | 932,220 | |||
9,990,561 | |||||
HONG KONG — 0.7% | |||||
Yuexiu Real Estate Investment Trust | 760,000 | 309,267 | |||
HUNGARY — 0.9% | |||||
Magyar Telekom Telecommunications PLC | 209,787 | 263,636 | |||
MOL Hungarian Oil & Gas PLC | 13,265 | 103,471 | |||
367,107 | |||||
INDIA — 11.2% | |||||
Apollo Tyres, Ltd. | 53,572 | 132,219 | |||
Chambal Fertilizers and Chemicals, Ltd. | 88,480 | 446,483 | |||
Gujarat State Petronet, Ltd. | 130,423 | 503,434 | |||
HCL Technologies, Ltd. | 82,581 | 1,241,789 | |||
Hindustan Petroleum Corp., Ltd. | 53,994 | 196,421 | |||
JB Chemicals & Pharmaceuticals, Ltd. | 15,815 | 339,840 | |||
Power Grid Corp. of India, Ltd. | 139,770 | 389,192 | |||
Redington India, Ltd. | 60,308 | 123,489 | |||
Sun Pharmaceutical Industries, Ltd. | 13,217 | 148,472 | |||
Tech Mahindra, Ltd. | 53,885 | 1,014,536 | |||
Wipro, Ltd. | 43,638 | 322,692 | |||
4,858,567 | |||||
INDONESIA — 0.2% | |||||
Telkom Indonesia Persero Tbk PT | 317,700 | 95,918 | |||
KUWAIT — 0.8% | |||||
Humansoft Holding Co. KSC | 29,057 | 353,685 | |||
MALAYSIA — 4.5% | |||||
AMMB Holdings Bhd (b) | 124,200 | 99,607 | |||
IGB Real Estate Investment Trust | 228,800 | 77,384 | |||
IHH Healthcare Bhd | 616,600 | 967,369 | |||
RHB Bank Bhd | 90,744 | 127,885 | |||
Supermax Corp. Bhd | 285,253 | 71,339 | |||
Telekom Malaysia Bhd | 498,500 | 600,788 | |||
1,944,372 |
Security Description | Shares | Value | |||
MEXICO — 1.6% | |||||
Alpek SAB de CV | 262,100 | $ 337,079 | |||
Altos Hornos de Mexico SA de CV (b)(d) | 499,000 | — | |||
Arca Continental SAB de CV | 42,100 | 277,748 | |||
Banco del Bajio SA (c) | 28,700 | 69,714 | |||
684,541 | |||||
PHILIPPINES — 1.6% | |||||
Globe Telecom, Inc. | 7,805 | 392,177 | |||
Manila Electric Co. | 42,610 | 306,608 | |||
698,785 | |||||
POLAND — 0.3% | |||||
Neuca SA | 814 | 144,994 | |||
QATAR — 1.9% | |||||
Masraf Al Rayan QSC | 94,326 | 129,533 | |||
Ooredoo QSC | 138,787 | 292,554 | |||
Qatar Islamic Bank SAQ | 68,878 | 398,967 | |||
821,054 | |||||
RUSSIA — 1.6% | |||||
Alrosa PJSC (b) | 736,749 | 510,102 | |||
PhosAgro PJSC GDR | 20,419 | 124,921 | |||
Ros Agro PLC GDR | 13,648 | 60,216 | |||
X5 Retail Group NV GDR | 4,487 | 11,740 | |||
706,979 | |||||
SAUDI ARABIA — 5.1% | |||||
Al Rajhi Bank | 10,813 | 463,896 | |||
Bank Al-Jazira | 95,544 | 686,491 | |||
Dallah Healthcare Co. | 4,002 | 87,679 | |||
Qassim Cement Co. | 5,072 | 104,233 | |||
Riyad Bank | 12,745 | 120,803 | |||
Sahara International Petrochemical Co. | 10,077 | 126,045 | |||
Saudi Telecom Co. | 10,710 | 326,776 | |||
United Electronics Co. | 8,099 | 281,500 | |||
2,197,423 | |||||
SINGAPORE — 0.3% | |||||
BOC Aviation, Ltd. (c) | 16,600 | 144,304 | |||
SOUTH KOREA — 11.9% | |||||
Cheil Worldwide, Inc. | 5,493 | 103,279 | |||
E-MART, Inc. | 1,197 | 130,538 | |||
Hyosung TNC Corp. | 167 | 67,908 | |||
Hyundai Glovis Co., Ltd. | 1,261 | 186,017 | |||
Kia Corp. | 6,189 | 383,689 | |||
Kolon Industries, Inc. | 4,185 | 206,429 | |||
Korean Reinsurance Co. | 5,603 | 45,242 | |||
KT&G Corp. | 15,638 | 1,039,560 | |||
Kumho Petrochemical Co., Ltd. (b) | 1,661 | 224,087 | |||
LG Uplus Corp. | 31,657 | 347,732 | |||
NongShim Co., Ltd. | 419 | 107,280 | |||
POSCO | 266 | 63,288 | |||
Samsung Card Co., Ltd. | 2,133 | 57,286 |
Security Description | Shares | Value | |||
Samsung Electro-Mechanics Co., Ltd. | 383 | $ 53,547 | |||
Samsung Electronics Co., Ltd. GDR | 91 | 136,516 | |||
Samsung Electronics Co., Ltd. Preference Shares | 1,592 | 87,986 | |||
Samsung Electronics Co., Ltd. | 11,984 | 722,076 | |||
Shinhan Financial Group Co., Ltd. | 7,426 | 241,610 | |||
SK Hynix, Inc. | 2,596 | 270,645 | |||
SK Square Co., Ltd. (b) | 3,543 | 164,427 | |||
SK Telecom Co., Ltd. | 5,481 | 250,115 | |||
Youngone Corp. | 7,549 | 268,472 | |||
5,157,729 | |||||
TAIWAN — 23.3% | |||||
Asustek Computer, Inc. | 45,000 | 600,321 | |||
Cathay Financial Holding Co., Ltd. | 581,746 | 1,308,135 | |||
Chunghwa Telecom Co., Ltd. | 31,000 | 137,783 | |||
CTBC Financial Holding Co., Ltd. | 1,294,000 | 1,264,856 | |||
First Financial Holding Co., Ltd. | 1,036,347 | 954,203 | |||
Fubon Financial Holding Co., Ltd. | 476,778 | 1,287,331 | |||
Greatek Electronics, Inc. | 215,000 | 562,713 | |||
Hon Hai Precision Industry Co., Ltd. | 35,000 | 130,010 | |||
Lite-On Technology Corp. | 201,000 | 494,235 | |||
Pou Chen Corp. | 49,000 | 56,507 | |||
Powertech Technology, Inc. | 168,000 | 569,846 | |||
Sampo Corp. | 330,200 | 369,451 | |||
SinoPac Financial Holdings Co., Ltd. | 223,000 | 136,936 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 39,782 | 855,295 | |||
Taiwan Shin Kong Security Co., Ltd. | 105,880 | 148,846 | |||
Ttet Union Corp. | 41,000 | 226,315 | |||
Uni-President Enterprises Corp. | 28,960 | 69,675 | |||
United Microelectronics Corp. | 272,000 | 512,544 | |||
Yuanta Financial Holding Co., Ltd. | 487,760 | 435,712 | |||
10,120,714 | |||||
THAILAND — 3.3% | |||||
Advanced Info Service PCL | 18,800 | 131,758 | |||
AP Thailand PCL NVDR | 3,692,200 | 1,200,150 | |||
Thai Union Group PCL Class F | 161,500 | 100,829 | |||
1,432,737 | |||||
TURKEY — 1.3% | |||||
Coca-Cola Icecek A/S | 26,734 | 210,488 | |||
Ford Otomotiv Sanayi A/S | 5,172 | 100,747 | |||
KOC Holding A/S | 48,390 | 110,624 |
Security Description | Shares | Value | |||
Turkiye Sise ve Cam Fabrikalari A/S | 174,047 | $ 155,684 | |||
577,543 | |||||
UNITED ARAB EMIRATES — 2.0% | |||||
Aldar Properties PJSC | 579,731 | 662,551 | |||
Emirates Telecommunications Group Co. PJSC | 19,776 | 188,869 | |||
851,420 | |||||
TOTAL COMMON STOCKS (Cost $35,351,704) | 42,471,161 |
PREFERRED STOCKS — 0.0% (e) | |||
BRAZIL — 0.0% (e) | |||
Banco Nacional SA, (d) (Cost: $0) | 20,471,000 | — | |
SHORT-TERM INVESTMENTS — 1.9% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (f)(g) | 751,540 | 751,540 | |
State Street Navigator Securities Lending Portfolio II (h)(i) | 79,610 | 79,610 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $831,150) | 831,150 | ||
TOTAL INVESTMENTS — 99.8% (Cost $36,182,854) | 43,302,311 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 78,170 | ||
NET ASSETS — 100.0% | $ 43,380,481 |
(a) | All or a portion of the shares of the security are on loan at February 28, 2022. |
(b) | Non-income producing security. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.3% of net assets as of February 28, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of February 28, 2022, total aggregate fair value of the securities is $0, representing 0.00% of the Fund's net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended February 28, 2022 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at February 28, 2022. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended February 28, 2022 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
GDR | Global Depositary Receipt |
NVDR | Non Voting Depositary Receipt |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 11 | 03/18/2022 | $655,175 | $646,502 | $(8,673) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $3,376,348 | $39,094,813 | $ 0(a) | $42,471,161 | ||||
Preferred Stocks | — | — | 0(a) | 0 | ||||
Short-Term Investments | 831,150 | — | — | 831,150 | ||||
TOTAL INVESTMENTS | $4,207,498 | $39,094,813 | $ 0 | $ 43,302,311 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | (8,673) | — | — | (8,673) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (8,673) | $ — | $— | $ (8,673) |
(a) | The Fund held Level 3 securities that were valued at $0 at February 28, 2022. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Banks | 11.0% | |
Semiconductors & Semiconductor Equipment | 6.8 | |
Technology Hardware, Storage & Peripherals | 6.3 | |
IT Services | 5.9 | |
Diversified Telecommunication Services | 5.2 | |
Oil, Gas & Consumable Fuels | 4.9 | |
Chemicals | 4.1 | |
Independent Power and Renewable Electricity Producers | 3.2 | |
Pharmaceuticals | 3.2 | |
Insurance | 3.1 | |
Food Products | 3.0 | |
Diversified Financial Services | 3.0 | |
Specialty Retail | 2.9 | |
Electric Utilities | 2.8 | |
Real Estate | 2.8 | |
Health Care Providers & Services | 2.8 | |
Real Estate Investment Trusts (REITs) | 2.4 | |
Tobacco | 2.4 | |
Air Freight & Logistics | 2.1 | |
Wireless Telecommunication Services | 1.8 | |
Metals & Mining | 1.7 | |
Automobiles | 1.7 | |
Entertainment | 1.5 | |
Real Estate Management & Development | 1.3 | |
Gas Utilities | 1.2 | |
Beverages | 1.1 | |
Interactive Media & Services | 1.1 | |
Capital Markets | 1.0 | |
Textiles, Apparel & Luxury Goods | 0.9 | |
Household Durables | 0.9 | |
Diversified Consumer Services | 0.8 | |
Electronic Equipment, Instruments & Components | 0.7 | |
Industrial Conglomerates | 0.6 | |
Transportation Infrastructure | 0.6 | |
Auto Components | 0.4 | |
Machinery | 0.4 | |
Commercial Services & Supplies | 0.3 | |
Trading Companies & Distributors | 0.3 | |
Food & Staples Retailing | 0.3 | |
Marine | 0.3 | |
Health Care Equipment & Supplies | 0.3 | |
Life Sciences Tools & Services | 0.2 | |
Construction Materials | 0.2 |
% of Net Assets | ||
Media | 0.2% | |
Internet & Direct Marketing Retail | 0.1 | |
Consumer Finance | 0.1 | |
Short-Term Investments | 1.9 | |
Other Assets in Excess of Liabilities | 0.2 | |
TOTAL | 100.0% |
Number of Shares Held at 8/31/21 | Value at 8/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/22 | Value at 2/28/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 802,600 | $802,600 | $3,828,105 | $3,879,165 | $— | $— | 751,540 | $751,540 | $ 111 | ||||||||
State Street Navigator Securities Lending Portfolio II | 97,200 | 97,200 | 3,996,770 | 4,014,360 | — | — | 79,610 | 79,610 | 4,464 | ||||||||
Total | $899,800 | $7,824,875 | $7,893,525 | $— | $— | $831,150 | $4,575 |
Security Description | Shares | Value | |||
COMMON STOCKS — 99.2% | |||||
AUSTRALIA — 7.9% | |||||
Aurizon Holdings, Ltd. | 108,463 | $ 276,679 | |||
Australia & New Zealand Banking Group, Ltd. | 9,265 | 175,404 | |||
BHP Group, Ltd. | 4,138 | 141,297 | |||
Dexus REIT | 207,523 | 1,642,748 | |||
Glencore PLC | 454,504 | 2,672,486 | |||
GPT Group REIT | 528,967 | 1,887,394 | |||
Growthpoint Properties Australia, Ltd. REIT | 309,722 | 944,064 | |||
Healius, Ltd. | 25,907 | 81,304 | |||
Nick Scali, Ltd. (a) | 44,535 | 387,315 | |||
Premier Investments, Ltd. | 11,967 | 241,309 | |||
Scentre Group REIT | 45,000 | 99,972 | |||
SmartGroup Corp., Ltd. | 97,041 | 591,621 | |||
Sonic Healthcare, Ltd. | 75,439 | 1,925,022 | |||
Stockland REIT | 351,971 | 1,065,027 | |||
Telstra Corp., Ltd. | 682,444 | 1,961,093 | |||
Waypoint REIT, Ltd. | 358,758 | 709,238 | |||
14,801,973 | |||||
AUSTRIA — 0.7% | |||||
OMV AG | 10,502 | 499,932 | |||
Raiffeisen Bank International AG | 28,758 | 468,609 | |||
Telekom Austria AG | 29,667 | 242,495 | |||
Zumtobel Group AG | 20,131 | 181,478 | |||
1,392,514 | |||||
BELGIUM — 0.5% | |||||
Bekaert SA | 19,690 | 856,681 | |||
D'ieteren Group | 700 | 113,081 | |||
969,762 | |||||
CHINA — 0.2% | |||||
Yangzijiang Shipbuilding Holdings, Ltd. | 314,900 | 322,127 | |||
DENMARK — 3.3% | |||||
AP Moller - Maersk A/S Class A | 36 | 107,945 | |||
AP Moller - Maersk A/S Class B | 601 | 1,901,271 | |||
D/S Norden A/S | 4,488 | 117,073 | |||
Matas A/S | 26,551 | 385,876 | |||
Novo Nordisk A/S Class B | 24,270 | 2,511,542 | |||
Solar A/S Class B | 1,664 | 193,617 | |||
Sydbank A/S | 27,179 | 884,264 | |||
6,101,588 | |||||
FINLAND — 2.0% | |||||
Kesko Oyj Class B | 52,445 | 1,543,441 | |||
Nordea Bank Abp | 199,666 | 2,209,009 | |||
3,752,450 | |||||
FRANCE — 11.5% | |||||
ALD SA (b) | 31,969 | 446,241 | |||
Arkema SA | 14,250 | 1,889,795 | |||
BNP Paribas SA | 24,413 | 1,416,553 | |||
Capgemini SE | 9,512 | 1,991,142 | |||
Carrefour SA | 102,403 | 2,058,735 |
Security Description | Shares | Value | |||
Cie de Saint-Gobain | 33,735 | $ 2,091,741 | |||
Coface SA (c) | 66,136 | 879,721 | |||
Derichebourg SA | 57,280 | 595,116 | |||
Ipsen SA | 14,095 | 1,640,089 | |||
LVMH Moet Hennessy Louis Vuitton SE | 843 | 619,525 | |||
Manitou BF SA | 10,215 | 354,488 | |||
Publicis Groupe SA | 28,737 | 1,907,152 | |||
Sanofi | 27,957 | 2,922,415 | |||
Societe Generale SA | 40,968 | 1,158,474 | |||
Television Francaise 1 | 34,441 | 339,979 | |||
Veolia Environnement SA | 31,098 | 1,084,284 | |||
Vivendi SE | 5,659 | 71,438 | |||
21,466,888 | |||||
GEORGIA — 0.3% | |||||
TBC Bank Group PLC | 29,583 | 476,089 | |||
GERMANY — 7.8% | |||||
Allianz SE | 4,546 | 1,024,747 | |||
Aurubis AG | 8,153 | 953,955 | |||
Bayer AG | 35,936 | 2,075,770 | |||
Bayerische Motoren Werke AG | 21,090 | 2,031,118 | |||
Daimler AG | 10,056 | 785,569 | |||
Deutsche Post AG | 46,558 | 2,340,107 | |||
E.ON SE | 92,371 | 1,256,388 | |||
Merck KGaA | 8,993 | 1,783,739 | |||
SAP SE | 3,073 | 346,647 | |||
Siemens Healthineers AG (b) | 5,128 | 329,066 | |||
STO SE & Co. KGaA Preference Shares | 460 | 104,993 | |||
Telefonica Deutschland Holding AG | 171,968 | 469,274 | |||
Wacker Chemie AG | 4,941 | 765,509 | |||
Wacker Neuson SE | 10,783 | 253,885 | |||
14,520,767 | |||||
HONG KONG — 1.8% | |||||
Chow Sang Sang Holdings International, Ltd. | 270,000 | 378,952 | |||
CK Asset Holdings, Ltd. | 57,500 | 363,172 | |||
Hutchison Port Holdings Trust Stapled Security | 2,215,200 | 553,800 | |||
Kerry Properties, Ltd. | 305,500 | 837,127 | |||
Luk Fook Holdings International, Ltd. | 138,000 | 366,627 | |||
Sun Hung Kai & Co., Ltd. | 452,000 | 229,048 | |||
Texhong Textile Group, Ltd. | 500,000 | 622,256 | |||
3,350,982 | |||||
INDONESIA — 0.4% | |||||
Golden Agri-Resources, Ltd. | 3,594,600 | 760,055 | |||
ISRAEL — 0.5% | |||||
Delek Automotive Systems, Ltd. | 21,044 | 334,129 | |||
ZIM Integrated Shipping Services, Ltd. | 8,700 | 607,173 | |||
941,302 |
Security Description | Shares | Value | |||
ITALY — 1.7% | |||||
A2A SpA | 455,591 | $ 812,816 | |||
Eni SpA | 23,350 | 363,203 | |||
Iren SpA | 312,197 | 878,818 | |||
Poste Italiane SpA (b) | 59,906 | 687,093 | |||
Sanlorenzo SpA/Ameglia | 11,476 | 494,793 | |||
3,236,723 | |||||
JAPAN — 24.1% | |||||
ADEKA Corp. | 13,500 | 313,096 | |||
AGC, Inc. | 41,100 | 1,823,300 | |||
Brother Industries, Ltd. | 44,900 | 817,220 | |||
Canon, Inc. | 88,600 | 2,085,019 | |||
Dai Nippon Printing Co., Ltd. | 20,900 | 545,588 | |||
Dai-ichi Life Holdings, Inc. | 94,900 | 1,970,896 | |||
Daiwa Securities Group, Inc. | 18,600 | 109,972 | |||
Dentsu Group, Inc. | 8,900 | 355,112 | |||
Dexerials Corp. | 6,000 | 171,308 | |||
Ebara Corp. | 3,600 | 187,888 | |||
FUJIFILM Holdings Corp. | 25,700 | 1,633,598 | |||
Fujitsu, Ltd. | 7,400 | 1,075,101 | |||
Idemitsu Kosan Co., Ltd. | 70,800 | 1,897,903 | |||
ITOCHU Corp. | 23,000 | 749,538 | |||
Japan Post Holdings Co., Ltd. | 249,800 | 2,064,772 | |||
Japan Tobacco, Inc. | 107,400 | 1,975,211 | |||
KDDI Corp. | 57,800 | 1,880,884 | |||
Kintetsu World Express, Inc. | 3,100 | 81,243 | |||
Lintec Corp. | 1,900 | 42,352 | |||
Marubeni Corp. | 194,300 | 2,039,497 | |||
Mirait Holdings Corp. | 5,500 | 93,472 | |||
Mitsui & Co., Ltd. | 88,900 | 2,216,517 | |||
Mitsui OSK Lines, Ltd. | 12,800 | 1,049,216 | |||
NGK Spark Plug Co., Ltd. | 8,400 | 151,373 | |||
Nippon Electric Glass Co., Ltd. | 4,100 | 98,690 | |||
Nippon Telegraph & Telephone Corp. | 81,000 | 2,328,012 | |||
Nippon Yusen KK | 20,300 | 1,901,927 | |||
NTT Data Corp. | 53,900 | 1,023,783 | |||
Ono Pharmaceutical Co., Ltd. | 3,100 | 76,322 | |||
ORIX Corp. | 103,300 | 2,047,729 | |||
SCREEN Holdings Co., Ltd. | 4,500 | 444,094 | |||
Seiko Epson Corp. | 111,600 | 1,716,456 | |||
Sekisui House, Ltd. | 38,800 | 791,058 | |||
Sompo Holdings, Inc. | 10,400 | 463,219 | |||
Sumitomo Chemical Co., Ltd. | 201,200 | 960,575 | |||
T Hasegawa Co., Ltd. | 4,100 | 86,087 | |||
TOPPAN, INC. | 71,400 | 1,406,888 | |||
Toshiba Corp. | 21,400 | 853,214 | |||
Toyota Motor Corp. | 218,400 | 3,995,885 | |||
Wacom Co., Ltd. | 5,300 | 40,247 | |||
Yamaha Motor Co., Ltd. | 54,900 | 1,234,131 | |||
44,798,393 | |||||
LUXEMBOURG — 1.3% | |||||
APERAM SA | 3,983 | 223,017 | |||
ArcelorMittal SA | 71,880 | 2,230,337 | |||
2,453,354 |
Security Description | Shares | Value | |||
NETHERLANDS — 3.7% | |||||
ASML Holding NV | 1,741 | $ 1,164,770 | |||
ASR Nederland NV | 19,858 | 858,282 | |||
Brunel International NV | 44,762 | 532,595 | |||
Koninklijke Ahold Delhaize NV | 69,212 | 2,129,116 | |||
NN Group NV | 14,744 | 707,637 | |||
Shell PLC | 32,192 | 848,928 | |||
TKH Group NV | 12,267 | 679,491 | |||
6,920,819 | |||||
NEW ZEALAND — 0.6% | |||||
Fletcher Building, Ltd. | 195,309 | 892,139 | |||
Kiwi Property Group, Ltd. | 236,797 | 173,361 | |||
1,065,500 | |||||
NIGERIA — 0.2% | |||||
Airtel Africa PLC (b) | 148,733 | 283,526 | |||
NORWAY — 2.2% | |||||
DNB Bank ASA | 9,545 | 213,696 | |||
Equinor ASA | 33,977 | 1,068,084 | |||
Europris ASA (b) | 65,704 | 418,858 | |||
Norsk Hydro ASA | 94,352 | 895,975 | |||
SpareBank 1 Nord Norge | 59,531 | 729,298 | |||
SpareBank 1 SMN | 36,305 | 599,937 | |||
Veidekke ASA | 6,771 | 104,609 | |||
4,030,457 | |||||
PORTUGAL — 0.3% | |||||
Sonae SGPS SA | 508,793 | 553,807 | |||
RUSSIA — 0.2% | |||||
Coca-Cola HBC AG | 18,354 | 466,312 | |||
SINGAPORE — 0.7% | |||||
STMicroelectronics NV | 2,080 | 87,314 | |||
United Overseas Bank, Ltd. | 53,900 | 1,197,948 | |||
1,285,262 | |||||
SPAIN — 0.8% | |||||
Aedas Homes SA (b) | 5,978 | 167,236 | |||
Banco de Sabadell SA (c) | 279,888 | 242,012 | |||
Fluidra SA (a) | 12,206 | 369,663 | |||
Telefonica SA | 156,483 | 747,350 | |||
1,526,261 | |||||
SWEDEN — 3.6% | |||||
Arjo AB Class B | 47,983 | 411,607 | |||
Bilia AB Class A | 37,635 | 488,723 | |||
Coor Service Management Holding AB (b) | 99,430 | 757,671 | |||
Getinge AB Class B | 21,348 | 828,613 | |||
Inwido AB | 59,747 | 925,132 | |||
Lundin Energy AB | 39,801 | 1,468,619 | |||
Mekonomen AB (c) | 39,255 | 484,247 | |||
New Wave Group AB Class B | 51,829 | 783,692 | |||
SSAB AB Class A (c) | 96,356 | 603,008 | |||
6,751,312 |
Security Description | Shares | Value | |||
SWITZERLAND — 9.5% | |||||
Bell Food Group AG | 839 | $ 250,414 | |||
Cie Financiere Richemont SA | 5,722 | 766,213 | |||
Mobilezone Holding AG | 61,569 | 910,418 | |||
Nestle SA | 17,768 | 2,315,094 | |||
Novartis AG | 22,175 | 1,948,992 | |||
Roche Holding AG Bearer Shares | 343 | 143,171 | |||
Roche Holding AG | 12,921 | 4,893,613 | |||
Sonova Holding AG | 3,686 | 1,427,198 | |||
Swiss Life Holding AG | 3,289 | 2,006,873 | |||
UBS Group AG | 136,950 | 2,519,438 | |||
Zehnder Group AG | 5,376 | 464,983 | |||
17,646,407 | |||||
UNITED KINGDOM — 12.5% | |||||
3i Group PLC | 110,519 | 1,968,799 | |||
AstraZeneca PLC | 2,869 | 348,716 | |||
Barratt Developments PLC | 27,458 | 223,651 | |||
BP PLC | 567,587 | 2,766,483 | |||
British American Tobacco PLC | 66,572 | 2,917,645 | |||
CK Hutchison Holdings, Ltd. | 136,500 | 957,010 | |||
Diageo PLC | 2,894 | 143,376 | |||
EMIS Group PLC | 15,874 | 261,867 | |||
GlaxoSmithKline PLC (a) | 142,384 | 2,969,295 | |||
Inchcape PLC | 81,347 | 813,657 | |||
Kingfisher PLC | 436,249 | 1,779,615 | |||
Legal & General Group PLC | 60,801 | 224,807 | |||
Man Group PLC | 331,861 | 854,617 | |||
Morgan Sindall Group PLC | 27,460 | 849,275 | |||
Natwest Group PLC | 404,742 | 1,240,194 | |||
Pets at Home Group PLC | 11,443 | 55,320 | |||
Redde Northgate PLC | 99,619 | 505,585 | |||
Redrow PLC | 102,888 | 784,367 | |||
SSE PLC | 14,935 | 338,946 | |||
Tesco PLC | 564,576 | 2,187,142 | |||
WPP PLC | 73,825 | 1,038,340 | |||
23,228,707 | |||||
UNITED STATES — 0.9% | |||||
Stellantis NV | 88,535 | 1,608,847 | |||
TOTAL COMMON STOCKS (Cost $181,427,457) | 184,712,184 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.01% (d)(e) | 51,227 | $ 51,227 | ||||
State Street Navigator Securities Lending Portfolio II (f)(g) | 504,945 | 504,945 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $556,172) | 556,172 | |||||
TOTAL INVESTMENTS — 99.5% (Cost $181,983,629) | 185,268,356 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 908,476 | |||||
NET ASSETS — 100.0% | $ 186,176,832 |
(a) | All or a portion of the shares of the security are on loan at February 28, 2022. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.7% of net assets as of February 28, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Non-income producing security. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended February 28, 2022 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at February 28, 2022. |
(f) | The Fund invested in an affiliated entity. Amounts related to these investments during the year ended February 28, 2022 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $4,257,885 | $180,454,299 | $— | $184,712,184 | ||||
Short-Term Investments | 556,172 | — | — | 556,172 | ||||
TOTAL INVESTMENTS | $4,814,057 | $180,454,299 | $— | $185,268,356 |
% of Net Assets | ||
Pharmaceuticals | 11.4% | |
Banks | 5.9 | |
Insurance | 5.8 | |
Automobiles | 5.2 | |
Oil, Gas & Consumable Fuels | 4.8 | |
Metals & Mining | 4.6 | |
Food & Staples Retailing | 4.5 | |
Equity Real Estate Investment Trusts (REITs) | 3.5 | |
Technology Hardware, Storage & Peripherals | 3.4 | |
Building Products | 3.3 | |
Diversified Telecommunication Services | 3.1 | |
Marine | 3.0 | |
Capital Markets | 2.9 | |
Specialty Retail | 2.9 | |
Trading Companies & Distributors | 2.8 | |
Tobacco | 2.6 | |
IT Services | 2.2 | |
Chemicals | 2.2 | |
Multi-Utilities | 2.2 | |
Media | 2.0 | |
Food Products | 1.8 | |
Commercial Services & Supplies | 1.8 | |
Textiles, Apparel & Luxury Goods | 1.7 | |
Health Care Equipment & Supplies | 1.6 | |
Air Freight & Logistics | 1.3 | |
Wireless Telecommunication Services | 1.2 | |
Diversified Financial Services | 1.1 | |
Health Care Providers & Services | 1.1 | |
Industrial Conglomerates | 1.0 | |
Household Durables | 1.0 | |
Semiconductors & Semiconductor Equipment | 0.9 | |
Machinery | 0.8 | |
Real Estate Management & Development | 0.7 | |
Road & Rail | 0.7 | |
Professional Services | 0.6 | |
Construction & Engineering | 0.6 | |
Distributors | 0.5 | |
Electrical Equipment | 0.5 | |
Beverages | 0.3 | |
Transportation Infrastructure | 0.3 | |
Leisure Equipment & Products | 0.3 | |
Multiline Retail | 0.2 | |
Software | 0.2 | |
Electric Utilities | 0.2 | |
Electronic Equipment, Instruments & Components | 0.1 | |
Health Care Technology | 0.1 | |
Consumer Finance | 0.1 | |
Auto Components | 0.1 | |
Construction Materials | 0.1 | |
Short-Term Investments | 0.3 | |
Other Assets in Excess of Liabilities | 0.5 | |
TOTAL | 100.0% |
Number of Shares Held at 8/31/21 | Value at 8/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 2/28/22 | Value at 2/28/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 738,939 | $ 738,940 | $30,861,976 | $31,549,689 | $— | $— | 51,227 | $ 51,227 | $ 381 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,372,214 | 1,372,214 | 15,408,553 | 16,275,822 | — | — | 504,945 | 504,945 | 3,368 | ||||||||
Total | $ 2,111,154 | $46,270,529 | $ 47,825,511 | $— | $— | $556,172 | $3,749 |
State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | ||
ASSETS | |||
Investments in unaffiliated issuers, at value* | $42,471,161 | $184,712,184 | |
Investments in affiliated issuers, at value | 831,150 | 556,172 | |
Total Investments | 43,302,311 | 185,268,356 | |
Foreign currency, at value | 111,347 | 950,683 | |
Net cash at broker | 31,642 | 20 | |
Receivable for investments sold | 453,544 | 31,552 | |
Receivable for fund shares sold | 633 | 140,581 | |
Foreign currency contracts sold | 12 | — | |
Dividends receivable — unaffiliated issuers | 165,762 | 344,906 | |
Dividends receivable — affiliated issuers | 46 | 7 | |
Securities lending income receivable — unaffiliated issuers | 735 | 161 | |
Securities lending income receivable — affiliated issuers | 79 | 583 | |
Receivable from Adviser | 25,726 | — | |
Net receivable for foreign taxes recoverable | 580 | 768,051 | |
Prepaid expenses and other assets | 145 | 617 | |
TOTAL ASSETS | 44,092,562 | 187,505,517 | |
LIABILITIES | |||
Payable upon return of securities loaned | 79,610 | 504,945 | |
Payable for investments purchased | 20,061 | 463,219 | |
Payable for fund shares repurchased | 2,685 | 38,433 | |
Payable to broker – variation margin on open futures contracts | 8,650 | — | |
Deferred foreign taxes payable | 163,567 | 351 | |
Payable to shareholders | 94,150 | — | |
Payable to Custodian | 81,953 | — | |
Payable for taxes and fees | 160,782 | — | |
Advisory fee payable | — | 138,429 | |
Custodian fees payable | 23,521 | 26,446 | |
Administration fees payable | 4,640 | 13,129 | |
Shareholder servicing fee payable | 1,345 | 3,756 | |
Distribution fees payable | 15,554 | 41,872 | |
Trustees’ fees and expenses payable | 126 | 107 | |
Transfer agent fees payable | 17,493 | 42,738 | |
Sub-transfer agent fee payable | 268 | 297 | |
Registration and filing fees payable | — | 7,235 | |
Professional fees payable | 16,668 | 23,878 | |
Printing and postage fees payable | 11,041 | 23,596 | |
Accrued expenses and other liabilities | 9,967 | 254 | |
TOTAL LIABILITIES | 712,081 | 1,328,685 | |
NET ASSETS | $43,380,481 | $186,176,832 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $34,968,737 | $190,050,141 | |
Total distributable earnings (loss)** | 8,411,744 | (3,873,309) | |
NET ASSETS | $43,380,481 | $186,176,832 | |
Class A | |||
Net Assets | $ 7,575 | $ 4,237,960 | |
Shares Outstanding | 1,215 | 400,422 | |
Net asset value, offering and redemption price per share | $ 6.23 | $ 10.58 | |
Maximum sales charge | 5.25% | 5.25% | |
Maximum offering price per share | $ 6.58 | $ 11.17 | |
Class I | |||
Net Assets | $ 1,800,138 | $ 2,899,457 | |
Shares Outstanding | 287,884 | 272,619 | |
Net asset value, offering and redemption price per share | $ 6.25 | $ 10.64 | |
Class K | |||
Net Assets | $ 797,452 | $ 74,446,948 | |
Shares Outstanding | 126,371 | 7,001,115 | |
Net asset value, offering and redemption price per share | $ 6.31 | $ 10.63 |
State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | ||
Class N | |||
Net Assets | $40,775,316 | $104,592,467 | |
Shares Outstanding | 6,486,699 | 9,812,255 | |
Net asset value, offering and redemption price per share | $ 6.29 | $ 10.66 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $35,351,704 | $181,427,457 | |
Investments in affiliated issuers | 831,150 | 556,172 | |
Total cost of investments | $36,182,854 | $181,983,629 | |
Foreign currency, at cost | $ 112,264 | $ 947,034 | |
* Includes investments in securities on loan, at value | $ 412,930 | $ 704,094 | |
** Includes deferred foreign taxes | $ 184,342 | $ — |
State Street Defensive Emerging Markets Equity Fund | State Street International Stock Selection Fund | ||
INVESTMENT INCOME | |||
Dividend income — unaffiliated issuers | $ 1,072,623 | $ 2,208,364 | |
Dividend income — affiliated issuers | 111 | 381 | |
Dividend income — non-cash transactions | — | 313,463 | |
Unaffiliated securities lending income | 2,060 | 26,230 | |
Affiliated securities lending income | 4,464 | 3,368 | |
Foreign taxes withheld | (104,518) | (215,766) | |
TOTAL INVESTMENT INCOME (LOSS) | 974,740 | 2,336,040 | |
EXPENSES | |||
Advisory fee | 170,529 | 734,401 | |
Administration fees | 11,369 | 48,960 | |
Shareholder servicing fees | |||
Class N | 5,133 | 12,847 | |
Distribution fees | |||
Class A | 10 | 5,590 | |
Class N | 48,123 | 125,675 | |
Custodian fees | 39,055 | 54,083 | |
Trustees’ fees and expenses | 10,770 | 11,227 | |
Transfer agent fees | 21,910 | 54,953 | |
Class A | — | 4,472 | |
Class I | 998 | 1,093 | |
Registration and filing fees | 36,086 | 34,904 | |
Professional fees and expenses | 51,501 | 18,626 | |
Printing and postage fees | 3,205 | 10,885 | |
Insurance expense | 215 | 916 | |
Taxes and fees | — | 1,189 | |
Miscellaneous expenses | 2,448 | 3,949 | |
TOTAL EXPENSES | 401,352 | 1,123,770 | |
Expenses waived/reimbursed by the Adviser | (119,718) | (238,504) | |
NET EXPENSES | 281,634 | 885,266 | |
NET INVESTMENT INCOME (LOSS) | $ 693,106 | $ 1,450,774 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 946,454 | 5,667,296 | |
Foreign currency transactions | (30,786) | (11,572) | |
Futures contracts | (67,301) | (156,791) | |
Net realized gain (loss) | 848,367 | 5,498,933 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers* | (4,125,405) | (20,238,075) | |
Foreign currency translations | (15,120) | (27,146) | |
Futures contracts | (7,976) | — | |
Net change in unrealized appreciation/depreciation | (4,148,501) | (20,265,221) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (3,300,134) | (14,766,288) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(2,607,028) | $(13,315,514) | |
* Includes foreign capital gain taxes | $ (123,910) | $ — | |
* Includes foreign deferred taxes | $ 173,609 | $ — |
State Street Defensive Emerging Markets Equity Fund | |||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 693,106 | $ 1,038,712 | |
Net realized gain (loss) | 848,367 | 1,715,503 | |
Net change in unrealized appreciation/depreciation | (4,148,501) | 10,038,290 | |
Net increase (decrease) in net assets resulting from operations | (2,607,028) | 12,792,505 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class A | (457) | (294) | |
Class I | (109,516) | (67,967) | |
Class K | (49,392) | (37,618) | |
Class N | (2,408,088) | (1,830,851) | |
Total distributions to shareholders | (2,567,453) | (1,936,730) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Reinvestment of distributions | 249 | 158 | |
Net increase (decrease) from capital share transactions | 249 | 158 | |
Class I | |||
Proceeds from shares sold | 121,945 | 418,926 | |
Reinvestment of distributions | 104,361 | 63,541 | |
Cost of shares redeemed | (121,900) | (468,536) | |
Net increase (decrease) from capital share transactions | 104,406 | 13,931 | |
Class K | |||
Proceeds from shares sold | — | 6 | |
Reinvestment of distributions | 49,176 | 37,465 | |
Cost of shares redeemed | (45,796) | (93,521) | |
Net increase (decrease) from capital share transactions | 3,380 | (56,050) | |
Class N | |||
Proceeds from shares sold | 1,118,248 | 1,262,591 | |
Reinvestment of distributions | 2,367,050 | 1,797,945 | |
Cost of shares redeemed | (3,046,661) | (7,821,755) | |
Net increase (decrease) from capital share transactions | 438,637 | (4,761,219) | |
Net increase (decrease) in net assets from beneficial interest transactions | 546,672 | (4,803,180) | |
Capital Reimbursement (Note 4) | — | (94,150) | |
Contribution from Affiliate (Note 4) | — | 22,036 | |
Net increase (decrease) in net assets during the period | (4,627,809) | 5,980,481 | |
Net assets at beginning of period | 48,008,290 | 42,027,809 | |
NET ASSETS AT END OF PERIOD | $43,380,481 | $48,008,290 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Reinvestment of distributions | 38 | 26 | |
Net increase (decrease) from capital share transactions | 38 | 26 | |
Class I | |||
Shares sold | 18,037 | 63,620 | |
Reinvestment of distributions | 15,885 | 10,616 | |
Shares redeemed | (18,165) | (75,579) | |
Net increase (decrease) from capital share transactions | 15,757 | (1,343) | |
Class K | |||
Shares sold | — | 1 | |
Reinvestment of distributions | 7,417 | 6,223 | |
Shares redeemed | (6,729) | (14,694) | |
Net increase (decrease) from capital share transactions | 688 | (8,470) | |
Class N | |||
Shares sold | 166,969 | 202,928 | |
Reinvestment of distributions | 358,101 | 298,938 | |
Shares redeemed | (451,267) | (1,242,451) | |
Net increase (decrease) from capital share transactions | 73,803 | (740,585) |
State Street International Stock Selection Fund | |||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 1,450,774 | $ 5,186,023 | |
Net realized gain (loss) | 5,498,933 | 22,343,154 | |
Net change in unrealized appreciation/depreciation | (20,265,221) | 18,500,083 | |
Net increase (decrease) in net assets resulting from operations | (13,315,514) | 46,029,260 | |
DISTRIBUTIONS TO SHAREHOLDERS: | |||
Class A | (187,690) | (79,462) | |
Class I | (140,625) | (55,371) | |
Class K | (3,772,129) | (1,427,961) | |
Class N | (4,922,997) | (2,064,307) | |
Total distributions to shareholders | (9,023,441) | (3,627,101) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Class A | |||
Proceeds from shares sold | 137,670 | 298,858 | |
Reinvestment of distributions | 187,689 | 79,462 | |
Cost of shares redeemed | (229,250) | (885,198) | |
Net increase (decrease) from capital share transactions | 96,109 | (506,878) | |
Class I | |||
Proceeds from shares sold | 146,036 | 522,871 | |
Reinvestment of distributions | 135,836 | 54,572 | |
Cost of shares redeemed | (449,920) | (380,406) | |
Net increase (decrease) from capital share transactions | (168,048) | 197,037 | |
Class K | |||
Proceeds from shares sold | 17,853,408 | 8,621,813 | |
Reinvestment of distributions | 3,772,129 | 1,427,961 | |
Cost of shares redeemed | (14,973,986) | (9,080,362) | |
Net increase (decrease) from capital share transactions | 6,651,551 | 969,412 | |
Class N | |||
Proceeds from shares sold | 2,128,255 | 4,614,275 | |
Reinvestment of distributions | 4,877,616 | 2,043,169 | |
Cost of shares redeemed | (7,353,186) | (18,281,351) | |
Net increase (decrease) from capital share transactions | (347,315) | (11,623,907) | |
Net increase (decrease) in net assets from beneficial interest transactions | 6,232,297 | (10,964,336) | |
Net increase (decrease) in net assets during the period | (16,106,658) | 31,437,823 | |
Net assets at beginning of period | 202,283,490 | 170,845,667 | |
NET ASSETS AT END OF PERIOD | $186,176,832 | $202,283,490 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 11,902 | 29,750 | |
Reinvestment of distributions | 16,773 | 7,604 | |
Shares redeemed | (20,360) | (83,135) | |
Net increase (decrease) from capital share transactions | 8,315 | (45,781) | |
Class I | |||
Shares sold | 12,969 | 47,323 | |
Reinvestment of distributions | 12,085 | 5,202 | |
Shares redeemed | (39,016) | (34,818) | |
Net increase (decrease) from capital share transactions | (13,962) | 17,707 | |
Class K | |||
Shares sold | 1,551,340 | 808,210 | |
Reinvestment of distributions | 335,897 | 136,126 | |
Shares redeemed | (1,318,420) | (836,399) | |
Net increase (decrease) from capital share transactions | 568,817 | 107,937 | |
Class N | |||
Shares sold | 186,149 | 432,798 | |
Reinvestment of distributions | 433,181 | 194,218 | |
Shares redeemed | (643,075) | (1,705,572) | |
Net increase (decrease) from capital share transactions | (23,745) | (1,078,556) |
State Street Defensive Emerging Markets Equity Fund Class A | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 6.99 | $ 5.50 | $ 5.90 | $ 7.96 | $ 8.50 | $ 7.48 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.10 | 0.15 | 0.10 | 0.24 | 0.22 | 0.11 | |||||
Net realized and unrealized gain (loss) (c) | (0.47) | 1.61 | (0.10) | (0.66) | (0.33) | 1.03 | |||||
Total from investment operations | (0.37) | 1.76 | 0.00 | (0.42) | (0.11) | 1.14 | |||||
Contribution from Adviser (Note 4) | — | 0.00(d) | — | — | 0.01 | — | |||||
Capital Reimbursement | — | (0.01) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.16) | (0.17) | (0.15) | (0.33) | (0.13) | (0.12) | |||||
Net realized gains | (0.23) | (0.09) | (0.25) | (1.31) | (0.31) | — | |||||
Total distributions | (0.39) | (0.26) | (0.40) | (1.64) | (0.44) | (0.12) | |||||
Net asset value, end of period | $ 6.23 | $ 6.99 | $ 5.50 | $ 5.90 | $ 7.96 | $ 8.50 | |||||
Total return (e) | (5.56)% | 32.46%(f) | (0.47)% | (5.00)% | (1.31)%(g) | 15.57% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 8 | $ 8 | $ 6 | $ 52 | $ 52 | $ 53 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.77%(h) | 2.07%(i) | 1.77% | 1.76% | 1.62% | 1.77% | |||||
Net expenses (b) | 1.26%(h) | 1.59%(i) | 1.25% | 1.25% | 1.25% | 1.37% | |||||
Net investment income (loss) (b) | 3.04%(h) | 2.31% | 1.74% | 3.63% | 2.70% | 1.42% | |||||
Portfolio turnover rate | 18%(j) | 35% | 42% | 39% | 51% | 38% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If an Affiliate had not made a contribution during the year ended August 31, 2021, the total return would have remained 32.46%. |
(g) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.44)%. |
(h) | Annualized. |
(i) | Includes the effect of taxes and fees, that are not subject to the expense limitation agreement, which impacted the ratio by 0.35%. |
(j) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class I | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 7.01 | $ 5.54 | $ 5.94 | $ 8.03 | $ 8.57 | $ 7.52 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.11 | 0.16 | 0.17 | 0.21 | 0.26 | 0.14 | |||||
Net realized and unrealized gain (loss) (c) | (0.47) | 1.60 | (0.15) | (0.64) | (0.35) | 1.02 | |||||
Total from investment operations | (0.36) | 1.76 | 0.02 | (0.43) | (0.09) | 1.16 | |||||
Contribution from Adviser (Note 4) | — | 0.00(d) | — | — | 0.01 | — | |||||
Capital Reimbursement | — | (0.01) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.17) | (0.19) | (0.17) | (0.35) | (0.15) | (0.11) | |||||
Net realized gains | (0.23) | (0.09) | (0.25) | (1.31) | (0.31) | — | |||||
Total distributions | (0.40) | (0.28) | (0.42) | (1.66) | (0.46) | (0.11) | |||||
Net asset value, end of period | $ 6.25 | $ 7.01 | $ 5.54 | $ 5.94 | $ 8.03 | $ 8.57 | |||||
Total return (e) | (5.43)% | 32.56%(f) | (0.37)% | (5.13)% | (1.15)%(g) | 15.96% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,800 | $1,907 | $1,514 | $1,418 | $1,568 | $1,496 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.64%(h) | 1.97%(i) | 1.64% | 1.57% | 1.37% | 1.51% | |||||
Net expenses (b) | 1.11%(h) | 1.48%(i) | 1.12% | 1.06% | 1.00% | 1.11% | |||||
Net investment income (loss) (b) | 3.16%(h) | 2.46% | 3.11% | 3.20% | 3.15% | 1.81% | |||||
Portfolio turnover rate | 18%(j) | 35% | 42% | 39% | 51% | 38% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If an Affiliate had not made a contribution during the year ended August 31, 2021, the total return would have remained 32.56%. |
(g) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.27)%. |
(h) | Annualized. |
(i) | Includes the effect of taxes and fees, that are not subject to the expense limitation agreement, which impacted the ratio by 0.35%. |
(j) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class K | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 7.08 | $ 5.58 | $ 5.98 | $ 8.05 | $ 8.60 | $ 7.55 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.11 | 0.16 | 0.18 | 0.25 | 0.20 | 0.15 | |||||
Net realized and unrealized gain (loss) (c) | (0.48) | 1.64 | (0.16) | (0.66) | (0.30) | 1.03 | |||||
Total from investment operations | (0.37) | 1.80 | 0.02 | (0.41) | (0.10) | 1.18 | |||||
Contribution from Adviser (Note 4) | — | 0.00(d) | — | — | 0.01 | ��� | |||||
Capital Reimbursement | — | (0.01) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.17) | (0.20) | (0.17) | (0.35) | (0.15) | (0.13) | |||||
Net realized gains | (0.23) | (0.09) | (0.25) | (1.31) | (0.31) | — | |||||
Total distributions | (0.40) | (0.29) | (0.42) | (1.66) | (0.46) | (0.13) | |||||
Net asset value, end of period | $ 6.31 | $ 7.08 | $ 5.58 | $ 5.98 | $ 8.05 | $ 8.60 | |||||
Total return (e) | (5.41)% | 32.80%(f) | (0.14)% | (4.82)% | (1.22)%(g) | 16.02% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $ 797 | $ 890 | $ 749 | $ 826 | $ 952 | $2,243 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.53%(h) | 1.84%(i) | 1.52% | 1.51% | 1.37% | 1.40% | |||||
Net expenses (b) | 1.00%(h) | 1.35%(i) | 1.00% | 1.00% | 1.00% | 1.00% | |||||
Net investment income (loss) (b) | 3.30%(h) | 2.54% | 3.27% | 3.80% | 2.29% | 1.93% | |||||
Portfolio turnover rate | 18%(j) | 35% | 42% | 39% | 51% | 38% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If an Affiliate had not made a contribution during the year ended August 31, 2021, the total return would have remained 32.80%. |
(g) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.35)%. |
(h) | Annualized. |
(i) | Includes the effect of taxes and fees, that are not subject to the expense limitation agreement, which impacted the ratio by 0.35%. |
(j) | Not annualized. |
State Street Defensive Emerging Markets Equity Fund Class N | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 7.05 | $ 5.56 | $ 5.95 | $ 8.02 | $ 8.56 | $ 7.52 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.10 | 0.14 | 0.17 | 0.23 | 0.21 | 0.12 | |||||
Net realized and unrealized gain (loss) (c) | (0.47) | 1.63 | (0.15) | (0.66) | (0.32) | 1.03 | |||||
Total from investment operations | (0.37) | 1.77 | 0.02 | (0.43) | (0.11) | 1.15 | |||||
Contribution from Adviser (Note 4) | — | 0.00(d) | — | — | 0.01 | — | |||||
Capital Reimbursement | — | (0.01) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.16) | (0.18) | (0.16) | (0.33) | (0.13) | (0.11) | |||||
Net realized gains | (0.23) | (0.09) | (0.25) | (1.31) | (0.31) | — | |||||
Total distributions | (0.39) | (0.27) | (0.41) | (1.64) | (0.44) | (0.11) | |||||
Net asset value, end of period | $ 6.29 | $ 7.05 | $ 5.56 | $ 5.95 | $ 8.02 | $ 8.56 | |||||
Total return (e) | (5.54)% | 32.66%(f) | (0.42)% | (5.16)% | (1.29)%(g) | 15.58% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $40,775 | $45,203 | $39,758 | $49,777 | $66,373 | $86,670 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.78%(h) | 2.09%(i) | 1.77% | 1.76% | 1.62% | 1.65% | |||||
Net expenses (b) | 1.25%(h) | 1.60%(i) | 1.25% | 1.25% | 1.25% | 1.25% | |||||
Net investment income (loss) (b) | 3.04%(h) | 2.27% | 2.93% | 3.47% | 2.56% | 1.60% | |||||
Portfolio turnover rate | 18%(j) | 35% | 42% | 39% | 51% | 38% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(f) | If an Affiliate had not made a contribution during the year ended August 31, 2021, the total return would have remained 32.66%. |
(g) | If the Adviser had not made a contribution during the period ended August 31, 2018, the total return would have been (1.41)%. |
(h) | Annualized. |
(i) | Includes the effect of taxes and fees, that are not subject to the expense limitation agreement, which impacted the ratio by 0.35%. |
(j) | Not annualized. |
State Street International Stock Selection Fund Class A | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 11.84 | $ 9.46 | $ 9.59 | $10.96 | $ 11.76 | $10.05 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.07 | 0.25 | 0.19 | 0.22 | 0.26 | 0.27 | |||||
Net realized and unrealized gain (loss) | (0.85) | 2.31 | (0.00)(c) | (1.07) | (0.63) | 1.69 | |||||
Total from investment operations | (0.78) | 2.56 | 0.19 | (0.85) | (0.37) | 1.96 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.48) | (0.18) | (0.32) | (0.52) | (0.43) | (0.25) | |||||
Net asset value, end of period | $10.58 | $ 11.84 | $ 9.46 | $ 9.59 | $10.96 | $ 11.76 | |||||
Total return (d) | (6.81)% | 27.33% | 1.75% | (7.46)% | (3.35)% | 19.95% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $4,238 | $4,642 | $4,141 | $4,148 | $6,933 | $6,679 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.44%(e) | 1.55% | 1.48% | 1.49% | 1.49% | 1.31% | |||||
Net expenses (b) | 1.20%(e) | 1.29% | 1.20% | 1.22% | 1.25% | 1.07% | |||||
Net investment income (loss) (b) | 1.20%(e) | 2.30% | 2.03% | 2.19% | 2.28% | 2.51% | |||||
Portfolio turnover rate | 67%(f) | 111% | 104% | 125% | 72% | 94% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class I | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 11.93 | $ 9.51 | $ 9.65 | $ 11.05 | $ 11.81 | $10.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.09 | 0.31 | 0.22 | 0.34 | 0.44 | 0.25 | |||||
Net realized and unrealized gain (loss) | (0.84) | 2.32 | 0.00(c) | (1.17) | (0.74) | 1.74 | |||||
Total from investment operations | (0.75) | 2.63 | 0.22 | (0.83) | (0.30) | 1.99 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.54) | (0.21) | (0.36) | (0.57) | (0.46) | (0.28) | |||||
Net asset value, end of period | $10.64 | $ 11.93 | $ 9.51 | $ 9.65 | $ 11.05 | $ 11.81 | |||||
Total return (d) | (6.65)% | 27.94% | 2.02% | (7.03)% | (2.84)% | 20.23% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,899 | $3,419 | $2,557 | $4,610 | $2,551 | $ 594 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.06%(e) | 1.11% | 1.15% | 1.12% | 1.00% | 1.09% | |||||
Net expenses (b) | 0.82%(e) | 0.85% | 0.87% | 0.84% | 0.76% | 0.85% | |||||
Net investment income (loss) (b) | 1.62%(e) | 2.88% | 2.33% | 3.38% | 3.84% | 2.33% | |||||
Portfolio turnover rate | 67%(f) | 111% | 104% | 125% | 72% | 94% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class K | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 11.93 | $ 9.52 | $ 9.65 | $ 11.04 | $ 11.82 | $ 10.12 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.09 | 0.32 | 0.24 | 0.31 | 0.32 | 0.25 | |||||
Net realized and unrealized gain (loss) | (0.85) | 2.31 | (0.00)(c) | (1.12) | (0.64) | 1.75 | |||||
Total from investment operations | (0.76) | 2.63 | 0.24 | (0.81) | (0.32) | 2.00 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.54) | (0.22) | (0.37) | (0.58) | (0.46) | (0.30) | |||||
Net asset value, end of period | $ 10.63 | $ 11.93 | $ 9.52 | $ 9.65 | $ 11.04 | $ 11.82 | |||||
Total return (d) | (6.59)% | 27.97% | 2.21% | (6.98)% | (2.80)% | 20.25% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $74,447 | $76,748 | $60,185 | $53,350 | $67,632 | $80,137 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.00%(e) | 1.01% | 1.03% | 1.03% | 0.99% | 0.99% | |||||
Net expenses (b) | 0.75%(e) | 0.75% | 0.75% | 0.75% | 0.75% | 0.75% | |||||
Net investment income (loss) (b) | 1.60%(e) | 2.93% | 2.52% | 3.07% | 2.72% | 2.37% | |||||
Portfolio turnover rate | 67%(f) | 111% | 104% | 125% | 72% | 94% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
(f) | Not annualized. |
State Street International Stock Selection Fund Class N | |||||||||||
Six Months Ended 2/28/22 (Unaudited) | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | Year Ended 8/31/17 | ||||||
Net asset value, beginning of period | $ 11.94 | $ 9.53 | $ 9.66 | $ 11.04 | $ 11.81 | $ 10.11 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a)(b) | 0.08 | 0.29 | 0.21 | 0.29 | 0.29 | 0.21 | |||||
Net realized and unrealized gain (loss) | (0.85) | 2.32 | 0.01 | (1.12) | (0.63) | 1.76 | |||||
Total from investment operations | (0.77) | 2.61 | 0.22 | (0.83) | (0.34) | 1.97 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.51) | (0.20) | (0.35) | (0.55) | (0.43) | (0.27) | |||||
Net asset value, end of period | $ 10.66 | $ 11.94 | $ 9.53 | $ 9.66 | $ 11.04 | $ 11.81 | |||||
Total return (c) | (6.65)% | 27.63% | 1.94% | (7.19)% | (3.06)% | 20.04% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $104,592 | $117,474 | $103,963 | $130,895 | $180,398 | $213,660 | |||||
Ratios to Average Net Assets: | |||||||||||
Total expenses (b) | 1.24%(d) | 1.26% | 1.28% | 1.28% | 1.23% | 1.24% | |||||
Net expenses (b) | 1.00%(d) | 1.00% | 1.00% | 1.00% | 1.00% | 1.00% | |||||
Net investment income (loss) (b) | 1.41%(d) | 2.64% | 2.20% | 2.85% | 2.49% | 1.98% | |||||
Portfolio turnover rate | 67%(e) | 111% | 104% | 125% | 72% | 94% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Defensive Emerging Markets Equity Fund | Class A Class I Class K Class N | July 7, 2014 July 7, 2014 July 7, 2014 March 1, 1994 | Diversified |
State Street International Stock Selection Fund | Class A Class I Class K Class N | July 7, 2014 July 7, 2014 July 7, 2014 March 7, 1995 | Diversified |
Funds | Strategies |
State Street Defensive Emerging Markets Equity Fund | Exposing cash reserves to markets |
State Street International Stock Selection Fund | Exposing cash reserves to markets |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | $— | $— | $— | $8,650 | $— | $8,650 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | $— | $— | $— | $ (67,301) | $— | $ (67,301) | |||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | — | — | — | (156,791) | — | (156,791) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street Defensive Emerging Markets Equity Fund | |||||||||||
Futures Contracts | $— | $— | $— | $(7,976) | $— | $(7,976) |
Annual Rate | |
State Street Defensive Emerging Markets Equity Fund | 0.75% |
State Street International Stock Selection Fund | 0.75 |
Expense Limitations | |
State Street Defensive Emerging Markets Equity Fund | 1.00% |
State Street International Stock Selection Fund | 0.75 |
Funds | Amount Waived or Reimbursed |
State Street Defensive Emerging Markets Equity Fund | $ 117,444 |
State Street International Stock Selection Fund | 228,712 |
Amount Waived | |
State Street Defensive Emerging Markets Equity Fund | $2,274 |
State Street International Stock Selection Fund | 9,792 |
Purchases | Sales | ||
State Street Defensive Emerging Markets Equity Fund | $ 8,033,174 | $ 9,577,109 | |
State Street International Stock Selection Fund | 129,127,502 | 129,016,881 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Emerging Markets Equity Fund | $ 36,225,744 | $10,407,203 | $3,339,309 | $7,067,894 | |||
State Street International Stock Selection Fund | 182,075,506 | 10,580,447 | 7,850,816 | 2,729,631 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street Defensive Emerging Markets Equity Fund | $ 412,930 | $ 79,610 | $ 397,075 | $ 476,685 | ||||
State Street International Stock Selection Fund | 704,094 | 504,945 | 222,442 | 727,387 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of February 28, 2022 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
State Street Defensive Emerging Markets Equity Fund | Common Stocks | $ 79,610 | $— | $— | $— | $ 79,610 | $ 79,610 | |||||||
State Street International Stock Selection Fund | Common Stocks | 504,945 | — | — | — | 504,945 | 504,945 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Defensive Emerging Markets Equity Fund | |||||||||
Class A | 1.26% | $ 958.30 | $6.12 | $1,018.50 | $6.31 | ||||
Class I | 1.11 | 1,000.00 | 5.50 | 1,019.30 | 5.56 | ||||
Class K | 1.00 | 1,000.00 | 4.96 | 1,019.80 | 5.01 | ||||
Class N | 1.25 | 956.90 | 6.07 | 1,018.60 | 6.26 | ||||
State Street International Stock Selection Fund | |||||||||
Class A | 1.20 | 931.90 | 5.75 | 1,018.80 | 6.01 | ||||
Class I | 0.82 | 933.50 | 3.93 | 1,020.70 | 4.11 | ||||
Class K | 0.75 | 934.10 | 3.60 | 1,021.10 | 3.76 | ||||
Class N | 1.00 | 933.50 | 4.79 | 1,019.80 | 5.01 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, Massachusetts 02210
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111
800 Boylston Street
Boston, MA 02199
200 Clarendon Street
Boston, MA 02116
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
(a) | The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable to the Registrant. |
(b) | Not applicable to the Registrant. |
Item 13. Exhibits.
(a)(1) | Not applicable; this Form N-CSR is a Semi-Annual Report. | |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto. | |
(a)(3) | Not applicable to the Registrant. | |
(a)(4) | Not applicable. | |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | SSGA FUNDS |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham President | ||
Date: | May 6, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham President (Principal Executive Officer) | ||
Date: | May 6, 2022 |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg Treasurer (Principal Financial and Accounting Officer) | ||
Date: | May 6, 2022 |