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 General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: August 31
Date of reporting period: August 31, 2022
Item 1. Reports to Stockholders.
(a) The Reports to Shareholders are attached herewith.
State Street S&P 500 Index Fund |
1 | |
5 | |
12 | |
13 | |
14 | |
15 | |
16 | |
23 | |
24 |
(Based on Net Asset Value)
Total Return One Year Ended August 31, 2022 | Average Annual Total Return Five Years Ended August 31, 2022 | Average Annual Total Return Ten Years Ended August 31, 2022 | |
State Street S&P 500 Index Fund | (11.36%) | 11.71% | 12.93% |
S&P 500® Index (1) | (11.23%) | 11.82% | 13.08% |
(1) | The State Street S&P 500 Index Fund seeks to replicate the total return of the S&P 500® Index. |
Description | % of Net Assets | ||
Apple, Inc. | 7.3% | ||
Microsoft Corp. | 5.9 | ||
Amazon.com, Inc. | 3.3 | ||
Tesla, Inc. | 2.1 | ||
Alphabet, Inc. Class A | 2.0 | ||
TOTAL | 20.6% |
% of Net Assets | |||
Software | 8.8% | ||
Technology Hardware, Storage & Peripherals | 7.5 | ||
Semiconductors & Semiconductor Equipment | 5.1 | ||
Interactive Media & Services | 5.0 | ||
IT Services | 4.4 | ||
Oil, Gas & Consumable Fuels | 4.3 | ||
Pharmaceuticals | 4.2 | ||
Banks | 3.7 | ||
Health Care Providers & Services | 3.5 | ||
Internet & Direct Marketing Retail | 3.4 | ||
Capital Markets | 3.0 | ||
Equity Real Estate Investment Trusts (REITs) | 2.8 | ||
Health Care Equipment & Supplies | 2.6 | ||
Automobiles | 2.4 | ||
Insurance | 2.1 | ||
Specialty Retail | 2.1 | ||
Biotechnology | 2.0 | ||
Electric Utilities | 2.0 | ||
Hotels, Restaurants & Leisure | 1.9 | ||
Life Sciences Tools & Services | 1.9 | ||
Beverages | 1.8 | ||
Chemicals | 1.8 | ||
Aerospace & Defense | 1.7 | ||
Machinery | 1.6 | ||
Food & Staples Retailing | 1.6 | ||
Diversified Financial Services | 1.5 | ||
Household Products | 1.4 | ||
Entertainment | 1.4 | ||
Food Products | 1.1 | ||
Multi-Utilities | 1.0 | ||
Diversified Telecommunication Services | 0.9 | ||
Road & Rail | 0.9 | ||
Industrial Conglomerates | 0.8 | ||
Media | 0.8 | ||
Communications Equipment | 0.8 | ||
Tobacco | 0.7 | ||
Air Freight & Logistics | 0.7 | ||
Electronic Equipment, Instruments & Components | 0.7 | ||
Consumer Finance | 0.5 | ||
Electrical Equipment | 0.5 | ||
Textiles, Apparel & Luxury Goods | 0.5 | ||
Commercial Services & Supplies | 0.5 | ||
Multiline Retail | 0.5 | ||
Building Products | 0.4 | ||
Metals & Mining | 0.3 | ||
Household Durables | 0.3 | ||
Energy Equipment & Services | 0.3 | ||
Professional Services | 0.3 | ||
Containers & Packaging | 0.3 | ||
Wireless Telecommunication Services | 0.3 | ||
Trading Companies & Distributors | 0.2 | ||
Airlines | 0.2 | ||
Personal Products | 0.2 | ||
Distributors | 0.2 | ||
Construction Materials | 0.1 | ||
Auto Components | 0.1 | ||
Water Utilities | 0.1 | ||
Real Estate Management & Development | 0.1 | ||
Construction & Engineering | 0.1 | ||
Independent Power & Renewable Electricity Producers | 0.1 | ||
Gas Utilities | 0.0* | ||
Leisure Equipment & Products | 0.0* |
% of Net Assets | |||
Short-Term Investments | 0.2% | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Shares | Value | ||||
COMMON STOCKS — 100.0% | ||||||
COMMUNICATION SERVICES — 8.4% | ||||||
Activision Blizzard, Inc. | 31,700 | $ 2,488,133 | ||||
Alphabet, Inc. Class A (a) | 246,460 | 26,671,901 | ||||
Alphabet, Inc. Class C (a) | 226,900 | 24,766,135 | ||||
AT&T, Inc. | 295,400 | 5,181,316 | ||||
Charter Communications, Inc. Class A (a) | 4,800 | 1,980,624 | ||||
Comcast Corp. Class A | 184,930 | 6,692,617 | ||||
DISH Network Corp. Class A (a)(b) | 11,017 | 191,145 | ||||
Electronic Arts, Inc. | 11,421 | 1,448,982 | ||||
Fox Corp. Class A | 12,603 | 430,771 | ||||
Fox Corp. Class B | 5,600 | 177,072 | ||||
Interpublic Group of Cos., Inc. | 15,428 | 426,430 | ||||
Live Nation Entertainment, Inc. (a) | 5,300 | 478,908 | ||||
Lumen Technologies, Inc. (b) | 35,987 | 358,430 | ||||
Match Group, Inc. (a) | 11,500 | 650,095 | ||||
Meta Platforms, Inc. Class A (a) | 94,007 | 15,316,560 | ||||
Netflix, Inc. (a) | 18,296 | 4,090,254 | ||||
News Corp. Class A | 14,614 | 247,269 | ||||
News Corp. Class B | 3,800 | 65,512 | ||||
Omnicom Group, Inc. | 8,450 | 565,305 | ||||
Paramount Global Class B (b) | 25,531 | 597,170 | ||||
Take-Two Interactive Software, Inc. (a) | 6,500 | 796,640 | ||||
T-Mobile US, Inc. (a) | 23,850 | 3,433,446 | ||||
Twitter, Inc. (a) | 30,000 | 1,162,500 | ||||
Verizon Communications, Inc. | 171,751 | 7,180,909 | ||||
Walt Disney Co. (a) | 74,538 | 8,354,219 | ||||
Warner Bros Discovery, Inc. (a) | 91,819 | 1,215,684 | ||||
114,968,027 | ||||||
CONSUMER DISCRETIONARY — 11.4% | ||||||
Advance Auto Parts, Inc. | 2,500 | 421,600 | ||||
Amazon.com, Inc. (a) | 360,040 | 45,642,271 | ||||
Aptiv PLC (a) | 11,281 | 1,053,984 | ||||
AutoZone, Inc. (a) | 788 | 1,669,937 | ||||
Bath & Body Works, Inc. | 8,646 | 322,755 | ||||
Best Buy Co., Inc. | 8,913 | 630,060 | ||||
Booking Holdings, Inc. (a) | 1,608 | 3,016,302 | ||||
BorgWarner, Inc. | 10,723 | 404,257 | ||||
Caesars Entertainment, Inc. (a) | 8,800 | 379,456 | ||||
CarMax, Inc. (a) | 6,697 | 592,283 | ||||
Carnival Corp. (a)(b) | 31,149 | 294,670 | ||||
Chipotle Mexican Grill, Inc. (a) | 1,114 | 1,778,835 | ||||
D.R. Horton, Inc. | 13,479 | 959,031 | ||||
Darden Restaurants, Inc. | 5,317 | 657,766 | ||||
Dollar General Corp. | 9,587 | 2,276,146 | ||||
Dollar Tree, Inc. (a) | 8,982 | 1,218,678 | ||||
Domino's Pizza, Inc. | 1,500 | 557,790 | ||||
eBay, Inc. | 23,058 | 1,017,550 | ||||
Etsy, Inc. (a) | 5,200 | 549,172 | ||||
Expedia Group, Inc. (a) | 5,975 | 613,334 | ||||
Ford Motor Co. | 161,360 | 2,459,126 |
Security Description | Shares | Value | ||||
Garmin, Ltd. | 6,560 | $ 580,494 | ||||
General Motors Co. | 60,177 | 2,299,363 | ||||
Genuine Parts Co. | 6,120 | 954,781 | ||||
Hasbro, Inc. | 5,628 | 443,599 | ||||
Hilton Worldwide Holdings, Inc. | 11,600 | 1,477,376 | ||||
Home Depot, Inc. | 42,310 | 12,203,050 | ||||
Las Vegas Sands Corp. (a) | 14,800 | 556,924 | ||||
Lennar Corp. Class A | 10,225 | 791,926 | ||||
LKQ Corp. | 9,900 | 526,878 | ||||
Lowe's Cos., Inc. | 26,912 | 5,224,696 | ||||
Marriott International, Inc. Class A | 11,352 | 1,745,256 | ||||
McDonald's Corp. | 30,215 | 7,622,640 | ||||
MGM Resorts International | 15,500 | 505,920 | ||||
Mohawk Industries, Inc. (a) | 2,169 | 239,371 | ||||
Newell Brands, Inc. | 17,050 | 304,343 | ||||
NIKE, Inc. Class B | 51,802 | 5,514,323 | ||||
Norwegian Cruise Line Holdings, Ltd. (a) | 16,300 | 213,204 | ||||
NVR, Inc. (a) | 140 | 579,608 | ||||
O'Reilly Automotive, Inc. (a) | 2,620 | 1,826,454 | ||||
Penn Entertainment, Inc. (a) | 6,700 | 209,241 | ||||
Pool Corp. | 1,600 | 542,704 | ||||
PulteGroup, Inc. | 10,343 | 420,546 | ||||
PVH Corp. | 2,951 | 165,994 | ||||
Ralph Lauren Corp. | 2,236 | 204,214 | ||||
Ross Stores, Inc. | 14,444 | 1,246,084 | ||||
Royal Caribbean Cruises, Ltd. (a) | 8,900 | 363,565 | ||||
Starbucks Corp. | 47,692 | 4,009,466 | ||||
Tapestry, Inc. | 11,000 | 382,030 | ||||
Target Corp. | 18,744 | 3,005,413 | ||||
Tesla, Inc. (a) | 103,500 | 28,525,635 | ||||
TJX Cos., Inc. | 48,450 | 3,020,858 | ||||
Tractor Supply Co. | 4,574 | 846,876 | ||||
Ulta Beauty, Inc. (a) | 2,100 | 881,727 | ||||
Under Armour, Inc. Class A (a) | 8,476 | 71,368 | ||||
Under Armour, Inc. Class C (a) | 9,278 | 70,420 | ||||
VF Corp. | 13,328 | 552,446 | ||||
Whirlpool Corp. | 2,359 | 369,419 | ||||
Wynn Resorts, Ltd. (a)(b) | 4,559 | 276,230 | ||||
Yum! Brands, Inc. | 11,890 | 1,322,644 | ||||
156,612,089 | ||||||
CONSUMER STAPLES — 6.8% | ||||||
Altria Group, Inc. | 75,670 | 3,414,230 | ||||
Archer-Daniels-Midland Co. | 23,092 | 2,029,556 | ||||
Brown-Forman Corp. Class B | 7,127 | 518,133 | ||||
Campbell Soup Co. | 8,783 | 442,488 | ||||
Church & Dwight Co., Inc. | 10,100 | 845,471 | ||||
Clorox Co. | 4,979 | 718,669 | ||||
Coca-Cola Co. | 160,822 | 9,924,326 | ||||
Colgate-Palmolive Co. | 34,879 | 2,727,887 | ||||
Conagra Brands, Inc. | 20,751 | 713,419 | ||||
Constellation Brands, Inc. Class A | 6,676 | 1,642,630 | ||||
Costco Wholesale Corp. | 18,134 | 9,467,761 |
Security Description | Shares | Value | ||||
Estee Lauder Cos., Inc. Class A | 9,563 | $ 2,432,636 | ||||
General Mills, Inc. | 25,122 | 1,929,370 | ||||
Hershey Co. | 6,015 | 1,351,390 | ||||
Hormel Foods Corp. | 11,598 | 583,147 | ||||
J.M. Smucker Co. | 4,255 | 595,657 | ||||
Kellogg Co. | 10,307 | 749,731 | ||||
Keurig Dr. Pepper, Inc. | 30,400 | 1,158,848 | ||||
Kimberly-Clark Corp. | 13,973 | 1,781,837 | ||||
Kraft Heinz Co. | 30,051 | 1,123,907 | ||||
Kroger Co. | 28,010 | 1,342,799 | ||||
Lamb Weston Holdings, Inc. | 5,700 | 453,321 | ||||
McCormick & Co., Inc. | 10,022 | 842,550 | ||||
Molson Coors Beverage Co. Class B | 7,409 | 382,823 | ||||
Mondelez International, Inc. Class A | 56,394 | 3,488,533 | ||||
Monster Beverage Corp. (a) | 15,487 | 1,375,710 | ||||
PepsiCo, Inc. | 56,638 | 9,757,028 | ||||
Philip Morris International, Inc. | 63,287 | 6,043,276 | ||||
Procter & Gamble Co. | 98,413 | 13,575,089 | ||||
Sysco Corp. | 21,235 | 1,745,942 | ||||
Tyson Foods, Inc. Class A | 11,691 | 881,268 | ||||
Walgreens Boots Alliance, Inc. | 29,713 | 1,041,738 | ||||
Walmart, Inc. | 57,899 | 7,674,512 | ||||
92,755,682 | ||||||
ENERGY — 4.6% | ||||||
APA Corp. | 14,370 | 562,011 | ||||
Baker Hughes Co. | 36,294 | 916,786 | ||||
Chevron Corp. | 80,998 | 12,802,544 | ||||
ConocoPhillips | 53,027 | 5,803,805 | ||||
Coterra Energy, Inc. | 33,622 | 1,039,256 | ||||
Devon Energy Corp. | 24,380 | 1,721,716 | ||||
Diamondback Energy, Inc. | 7,000 | 932,960 | ||||
EOG Resources, Inc. | 23,963 | 2,906,712 | ||||
Exxon Mobil Corp. | 172,772 | 16,515,276 | ||||
Halliburton Co. | 35,967 | 1,083,686 | ||||
Hess Corp. | 11,144 | 1,345,972 | ||||
Kinder Morgan, Inc. | 79,576 | 1,457,832 | ||||
Marathon Oil Corp. | 30,689 | 785,332 | ||||
Marathon Petroleum Corp. | 22,284 | 2,245,113 | ||||
Occidental Petroleum Corp. | 35,937 | 2,551,527 | ||||
ONEOK, Inc. | 18,304 | 1,120,754 | ||||
Phillips 66 | 18,892 | 1,690,078 | ||||
Pioneer Natural Resources Co. | 9,324 | 2,361,023 | ||||
Schlumberger NV | 57,893 | 2,208,618 | ||||
Valero Energy Corp. | 16,686 | 1,954,264 | ||||
Williams Cos., Inc. | 49,610 | 1,688,228 | ||||
63,693,493 | ||||||
FINANCIALS — 10.9% | ||||||
Aflac, Inc. | 23,974 | 1,424,535 | ||||
Allstate Corp. | 11,767 | 1,417,923 | ||||
American Express Co. | 24,752 | 3,762,304 | ||||
American International Group, Inc. | 31,532 | 1,631,781 |
Security Description | Shares | Value | |||
Ameriprise Financial, Inc. | 4,663 | $ 1,249,731 | |||
Aon PLC Class A | 8,647 | 2,414,761 | |||
Arthur J Gallagher & Co. | 8,600 | 1,561,502 | |||
Assurant, Inc. | 2,246 | 355,968 | |||
Bank of America Corp. | 291,466 | 9,796,172 | |||
Bank of New York Mellon Corp. | 31,291 | 1,299,515 | |||
Berkshire Hathaway, Inc. Class B (a) | 74,519 | 20,924,935 | |||
BlackRock, Inc. | 5,918 | 3,943,696 | |||
Brown & Brown, Inc. | 10,200 | 643,008 | |||
Capital One Financial Corp. | 16,668 | 1,763,808 | |||
Cboe Global Markets, Inc. | 4,700 | 554,459 | |||
Charles Schwab Corp. | 62,189 | 4,412,309 | |||
Chubb, Ltd. | 17,141 | 3,240,506 | |||
Cincinnati Financial Corp. | 6,005 | 582,245 | |||
Citigroup, Inc. | 78,793 | 3,845,886 | |||
Citizens Financial Group, Inc. | 20,200 | 740,936 | |||
CME Group, Inc. | 14,892 | 2,913,024 | |||
Comerica, Inc. | 5,417 | 434,985 | |||
Discover Financial Services | 11,977 | 1,203,569 | |||
Everest Re Group, Ltd. | 1,600 | 430,480 | |||
FactSet Research Systems, Inc. | 1,600 | 693,344 | |||
Fifth Third Bancorp | 28,254 | 964,874 | |||
First Republic Bank | 7,300 | 1,108,359 | |||
Franklin Resources, Inc. | 10,551 | 275,065 | |||
Globe Life, Inc. | 3,684 | 358,048 | |||
Goldman Sachs Group, Inc. | 14,188 | 4,719,922 | |||
Hartford Financial Services Group, Inc. | 13,730 | 882,976 | |||
Huntington Bancshares, Inc. | 60,065 | 804,871 | |||
Intercontinental Exchange, Inc. | 22,625 | 2,281,731 | |||
Invesco, Ltd. | 12,889 | 212,282 | |||
JPMorgan Chase & Co. | 120,372 | 13,689,908 | |||
KeyCorp. | 38,779 | 686,000 | |||
Lincoln National Corp. | 7,410 | 341,305 | |||
Loews Corp. | 8,312 | 459,737 | |||
M&T Bank Corp. | 7,344 | 1,334,992 | |||
MarketAxess Holdings, Inc. | 1,500 | 372,885 | |||
Marsh & McLennan Cos., Inc. | 20,834 | 3,361,983 | |||
MetLife, Inc. | 28,226 | 1,815,779 | |||
Moody's Corp. | 6,634 | 1,887,506 | |||
Morgan Stanley | 57,861 | 4,930,914 | |||
MSCI, Inc. | 3,400 | 1,527,416 | |||
Nasdaq, Inc. | 15,075 | 897,415 | |||
Northern Trust Corp. | 8,210 | 780,689 | |||
PNC Financial Services Group, Inc. | 16,642 | 2,629,436 | |||
Principal Financial Group, Inc. | 10,126 | 757,020 | |||
Progressive Corp. | 24,152 | 2,962,243 | |||
Prudential Financial, Inc. | 15,537 | 1,487,668 | |||
Raymond James Financial, Inc. | 7,500 | 782,775 | |||
Regions Financial Corp. | 39,343 | 852,563 | |||
S&P Global, Inc. | 14,109 | 4,968,908 | |||
Signature Bank | 2,600 | 453,336 | |||
State Street Corp. (c) | 15,047 | 1,028,462 |
Security Description | Shares | Value | ||||
SVB Financial Group (a) | 2,400 | $ 975,648 | ||||
Synchrony Financial | 22,071 | 722,825 | ||||
T Rowe Price Group, Inc. | 9,120 | 1,094,400 | ||||
Travelers Cos., Inc. | 9,698 | 1,567,585 | ||||
Truist Financial Corp. | 54,798 | 2,566,738 | ||||
US Bancorp | 55,730 | 2,541,845 | ||||
Wells Fargo & Co. | 154,646 | 6,759,577 | ||||
Willis Towers Watson PLC | 4,328 | 895,160 | ||||
WR Berkley Corp. | 9,150 | 592,920 | ||||
Zions Bancorp NA | 5,758 | 316,863 | ||||
148,892,011 | ||||||
HEALTH CARE — 14.1% | ||||||
Abbott Laboratories | 73,049 | 7,498,480 | ||||
AbbVie, Inc. | 72,552 | 9,755,342 | ||||
ABIOMED, Inc. (a) | 1,800 | 466,704 | ||||
Agilent Technologies, Inc. | 12,275 | 1,574,269 | ||||
Align Technology, Inc. (a) | 3,000 | 731,100 | ||||
AmerisourceBergen Corp. | 6,052 | 886,981 | ||||
Amgen, Inc. | 21,991 | 5,284,437 | ||||
Baxter International, Inc. | 20,770 | 1,193,444 | ||||
Becton Dickinson & Co. | 11,777 | 2,972,750 | ||||
Biogen, Inc. (a) | 6,147 | 1,201,001 | ||||
Bio-Rad Laboratories, Inc. Class A (a) | 900 | 436,536 | ||||
Bio-Techne Corp. | 1,700 | 564,077 | ||||
Boston Scientific Corp. (a) | 58,877 | 2,373,332 | ||||
Bristol-Myers Squibb Co. | 86,977 | 5,863,119 | ||||
Cardinal Health, Inc. | 11,124 | 786,689 | ||||
Catalent, Inc. (a) | 7,200 | 633,600 | ||||
Centene Corp. (a) | 24,278 | 2,178,708 | ||||
Charles River Laboratories International, Inc. (a) | 2,200 | 451,550 | ||||
Cigna Corp. | 12,884 | 3,651,970 | ||||
Cooper Cos., Inc. | 2,000 | 574,880 | ||||
CVS Health Corp. | 53,533 | 5,254,264 | ||||
Danaher Corp. | 26,278 | 7,092,695 | ||||
DaVita, Inc. (a) | 2,072 | 176,721 | ||||
DENTSPLY SIRONA, Inc. | 8,566 | 280,708 | ||||
DexCom, Inc. (a) | 16,000 | 1,315,360 | ||||
Edwards Lifesciences Corp. (a) | 26,070 | 2,348,907 | ||||
Elevance Health, Inc. | 10,019 | 4,860,317 | ||||
Eli Lilly & Co. | 32,562 | 9,808,651 | ||||
Gilead Sciences, Inc. | 52,146 | 3,309,707 | ||||
HCA Healthcare, Inc. | 9,100 | 1,800,617 | ||||
Henry Schein, Inc. (a) | 5,200 | 381,732 | ||||
Hologic, Inc. (a) | 10,300 | 695,868 | ||||
Humana, Inc. | 5,317 | 2,561,624 | ||||
IDEXX Laboratories, Inc. (a) | 3,500 | 1,216,670 | ||||
Illumina, Inc. (a) | 6,500 | 1,310,660 | ||||
Incyte Corp. (a) | 8,200 | 577,526 | ||||
Intuitive Surgical, Inc. (a) | 14,768 | 3,038,368 | ||||
IQVIA Holdings, Inc. (a) | 8,000 | 1,701,280 | ||||
Johnson & Johnson | 108,241 | 17,463,603 | ||||
Laboratory Corp. of America Holdings | 3,647 | 821,560 | ||||
McKesson Corp. | 5,929 | 2,175,943 |
Security Description | Shares | Value | ||||
Medtronic PLC | 55,504 | $ 4,879,912 | ||||
Merck & Co., Inc. | 103,398 | 8,826,053 | ||||
Mettler-Toledo International, Inc. (a) | 900 | 1,091,214 | ||||
Moderna, Inc. (a) | 14,200 | 1,878,234 | ||||
Molina Healthcare, Inc. (a) | 2,400 | 809,688 | ||||
Organon & Co. | 11,149 | 318,081 | ||||
PerkinElmer, Inc. | 5,332 | 720,140 | ||||
Pfizer, Inc. | 230,248 | 10,414,117 | ||||
Quest Diagnostics, Inc. | 5,058 | 633,818 | ||||
Regeneron Pharmaceuticals, Inc. (a) | 4,358 | 2,532,259 | ||||
ResMed, Inc. | 5,900 | 1,297,528 | ||||
STERIS PLC | 4,100 | 825,658 | ||||
Stryker Corp. | 13,795 | 2,830,734 | ||||
Teleflex, Inc. | 2,000 | 452,520 | ||||
Thermo Fisher Scientific, Inc. | 16,112 | 8,786,196 | ||||
UnitedHealth Group, Inc. | 38,522 | 20,005,630 | ||||
Universal Health Services, Inc. Class B | 3,200 | 313,088 | ||||
Vertex Pharmaceuticals, Inc. (a) | 10,548 | 2,972,004 | ||||
Viatris, Inc. | 49,672 | 474,368 | ||||
Waters Corp. (a) | 2,415 | 721,119 | ||||
West Pharmaceutical Services, Inc. | 3,100 | 919,739 | ||||
Zimmer Biomet Holdings, Inc. | 8,327 | 885,327 | ||||
Zoetis, Inc. | 19,528 | 3,056,718 | ||||
192,915,895 | ||||||
INDUSTRIALS — 7.9% | ||||||
3M Co. (b) | 23,743 | 2,952,442 | ||||
A.O. Smith Corp. | 5,200 | 293,540 | ||||
Alaska Air Group, Inc. (a) | 5,200 | 226,512 | ||||
Allegion PLC | 3,737 | 355,389 | ||||
American Airlines Group, Inc. (a) | 28,800 | 374,112 | ||||
AMETEK, Inc. | 9,301 | 1,117,608 | ||||
Boeing Co. (a) | 22,124 | 3,545,371 | ||||
C.H. Robinson Worldwide, Inc. | 5,382 | 614,355 | ||||
Carrier Global Corp. | 36,079 | 1,411,410 | ||||
Caterpillar, Inc. | 22,055 | 4,073,779 | ||||
Cintas Corp. | 3,622 | 1,473,575 | ||||
Copart, Inc. (a) | 8,800 | 1,052,920 | ||||
CSX Corp. | 87,677 | 2,774,977 | ||||
Cummins, Inc. | 5,844 | 1,258,622 | ||||
Deere & Co. | 11,454 | 4,183,574 | ||||
Delta Air Lines, Inc. (a) | 25,766 | 800,550 | ||||
Dover Corp. | 5,845 | 730,391 | ||||
Eaton Corp. PLC | 16,599 | 2,268,087 | ||||
Emerson Electric Co. | 24,369 | 1,991,922 | ||||
Equifax, Inc. | 5,095 | 961,681 | ||||
Expeditors International of Washington, Inc. | 6,844 | 704,179 | ||||
Fastenal Co. | 24,284 | 1,222,214 | ||||
FedEx Corp. | 9,650 | 2,034,317 | ||||
Fortive Corp. | 14,781 | 936,081 |
Security Description | Shares | Value | |||
Fortune Brands Home & Security, Inc. | 5,400 | $ 331,722 | |||
Generac Holdings, Inc. (a) | 2,600 | 573,066 | |||
General Dynamics Corp. | 9,489 | 2,172,317 | |||
General Electric Co. | 45,193 | 3,318,974 | |||
Honeywell International, Inc. | 27,703 | 5,245,563 | |||
Howmet Aerospace, Inc. | 14,463 | 512,424 | |||
Huntington Ingalls Industries, Inc. | 1,800 | 414,468 | |||
IDEX Corp. | 3,100 | 623,751 | |||
Illinois Tool Works, Inc. | 11,671 | 2,273,861 | |||
Ingersoll Rand, Inc. | 16,791 | 795,390 | |||
Jacobs Solutions, Inc. | 5,457 | 679,833 | |||
JB Hunt Transport Services, Inc. | 3,400 | 591,668 | |||
Johnson Controls International PLC | 28,093 | 1,520,955 | |||
L3Harris Technologies, Inc. | 8,012 | 1,828,258 | |||
Leidos Holdings, Inc. | 5,500 | 522,775 | |||
Lockheed Martin Corp. | 9,590 | 4,028,855 | |||
Masco Corp. | 9,439 | 480,162 | |||
Nielsen Holdings PLC | 14,775 | 411,336 | |||
Nordson Corp. | 2,200 | 499,774 | |||
Norfolk Southern Corp. | 9,668 | 2,350,581 | |||
Northrop Grumman Corp. | 5,986 | 2,861,248 | |||
Old Dominion Freight Line, Inc. | 3,900 | 1,058,499 | |||
Otis Worldwide Corp. | 17,289 | 1,248,612 | |||
PACCAR, Inc. | 13,935 | 1,219,452 | |||
Parker-Hannifin Corp. | 5,314 | 1,408,210 | |||
Pentair PLC | 7,291 | 324,450 | |||
Quanta Services, Inc. | 6,093 | 860,941 | |||
Raytheon Technologies Corp. | 60,652 | 5,443,517 | |||
Republic Services, Inc. | 8,614 | 1,229,390 | |||
Robert Half International, Inc. | 4,374 | 336,667 | |||
Rockwell Automation, Inc. | 4,879 | 1,156,030 | |||
Rollins, Inc. | 9,325 | 314,812 | |||
Snap-on, Inc. | 2,272 | 494,978 | |||
Southwest Airlines Co. (a) | 23,527 | 863,441 | |||
Stanley Black & Decker, Inc. | 6,750 | 594,675 | |||
Textron, Inc. | 9,106 | 568,032 | |||
Trane Technologies PLC | 9,316 | 1,435,316 | |||
TransDigm Group, Inc. | 2,200 | 1,320,858 | |||
Union Pacific Corp. | 26,038 | 5,845,791 | |||
United Airlines Holdings, Inc. (a) | 13,400 | 469,134 | |||
United Parcel Service, Inc. Class B | 30,155 | 5,865,449 | |||
United Rentals, Inc. (a) | 3,000 | 876,120 | |||
Verisk Analytics, Inc. | 6,700 | 1,253,972 | |||
W.W. Grainger, Inc. | 1,812 | 1,005,551 | |||
Waste Management, Inc. | 15,904 | 2,688,253 | |||
Westinghouse Air Brake Technologies Corp. | 7,982 | 699,622 | |||
Xylem, Inc. | 7,234 | 659,017 | |||
108,635,378 |
Security Description | Shares | Value | ||||
INFORMATION TECHNOLOGY — 27.4% | ||||||
Accenture PLC Class A | 26,082 | $ 7,523,614 | ||||
Adobe, Inc. (a) | 19,313 | 7,212,247 | ||||
Advanced Micro Devices, Inc. (a) | 66,223 | 5,620,346 | ||||
Akamai Technologies, Inc. (a) | 6,734 | 607,945 | ||||
Amphenol Corp. Class A | 24,660 | 1,813,250 | ||||
Analog Devices, Inc. | 21,407 | 3,243,803 | ||||
ANSYS, Inc. (a) | 3,600 | 893,880 | ||||
Apple, Inc. | 632,318 | 99,413,036 | ||||
Applied Materials, Inc. | 36,053 | 3,391,506 | ||||
Arista Networks, Inc. (a) | 9,300 | 1,114,884 | ||||
Autodesk, Inc. (a) | 9,170 | 1,849,956 | ||||
Automatic Data Processing, Inc. | 17,365 | 4,244,180 | ||||
Broadcom, Inc. | 16,835 | 8,402,517 | ||||
Broadridge Financial Solutions, Inc. | 4,700 | 804,499 | ||||
Cadence Design Systems, Inc. (a) | 11,300 | 1,963,601 | ||||
CDW Corp. | 5,700 | 972,990 | ||||
Ceridian HCM Holding, Inc. (a) | 5,900 | 351,876 | ||||
Cisco Systems, Inc. | 169,729 | 7,590,281 | ||||
Citrix Systems, Inc. | 4,678 | 480,758 | ||||
Cognizant Technology Solutions Corp. Class A | 21,927 | 1,385,129 | ||||
Corning, Inc. | 31,250 | 1,072,500 | ||||
DXC Technology Co. (a) | 8,991 | 222,797 | ||||
Enphase Energy, Inc. (a) | 5,500 | 1,575,420 | ||||
EPAM Systems, Inc. (a) | 2,400 | 1,023,600 | ||||
F5, Inc. (a) | 2,659 | 417,623 | ||||
Fidelity National Information Services, Inc. | 25,186 | 2,301,245 | ||||
Fiserv, Inc. (a) | 23,484 | 2,376,346 | ||||
FleetCor Technologies, Inc. (a) | 3,200 | 680,096 | ||||
Fortinet, Inc. (a) | 26,500 | 1,290,285 | ||||
Gartner, Inc. (a) | 3,400 | 970,088 | ||||
Global Payments, Inc. | 11,918 | 1,480,573 | ||||
Hewlett Packard Enterprise Co. | 55,063 | 748,857 | ||||
HP, Inc. | 44,863 | 1,288,017 | ||||
Intel Corp. | 168,020 | 5,363,198 | ||||
International Business Machines Corp. | 36,947 | 4,745,842 | ||||
Intuit, Inc. | 11,526 | 4,976,696 | ||||
Jack Henry & Associates, Inc. | 3,100 | 595,820 | ||||
Juniper Networks, Inc. | 14,244 | 404,814 | ||||
Keysight Technologies, Inc. (a) | 7,700 | 1,261,953 | ||||
KLA Corp. | 6,273 | 2,158,727 | ||||
Lam Research Corp. | 5,781 | 2,531,558 | ||||
Mastercard, Inc. Class A | 35,449 | 11,498,592 | ||||
Microchip Technology, Inc. | 23,212 | 1,514,583 | ||||
Micron Technology, Inc. | 46,028 | 2,601,963 | ||||
Microsoft Corp. | 307,534 | 80,410,915 | ||||
Monolithic Power Systems, Inc. | 1,700 | 770,406 | ||||
Motorola Solutions, Inc. | 7,028 | 1,710,685 | ||||
NetApp, Inc. | 8,943 | 645,059 | ||||
NortonLifeLock, Inc. | 22,603 | 510,602 |
Security Description | Shares | Value | ||||
NVIDIA Corp. | 102,848 | $ 15,523,877 | ||||
NXP Semiconductors NV | 11,000 | 1,810,380 | ||||
ON Semiconductor Corp. (a) | 17,900 | 1,230,983 | ||||
Oracle Corp. | 65,270 | 4,839,770 | ||||
Paychex, Inc. | 13,231 | 1,631,912 | ||||
Paycom Software, Inc. (a) | 2,000 | 702,400 | ||||
PayPal Holdings, Inc. (a) | 47,358 | 4,425,131 | ||||
PTC, Inc. (a) | 4,400 | 505,516 | ||||
Qorvo, Inc. (a) | 4,500 | 404,010 | ||||
QUALCOMM, Inc. | 46,085 | 6,095,663 | ||||
Roper Technologies, Inc. | 4,335 | 1,745,184 | ||||
Salesforce, Inc. (a) | 41,005 | 6,401,701 | ||||
Seagate Technology Holdings PLC | 8,276 | 554,161 | ||||
ServiceNow, Inc. (a) | 8,200 | 3,563,884 | ||||
Skyworks Solutions, Inc. | 6,800 | 670,140 | ||||
SolarEdge Technologies, Inc. (a) | 2,200 | 607,134 | ||||
Synopsys, Inc. (a) | 6,400 | 2,214,528 | ||||
TE Connectivity, Ltd. | 13,449 | 1,697,398 | ||||
Teledyne Technologies, Inc. (a) | 1,926 | 709,461 | ||||
Teradyne, Inc. (b) | 6,700 | 567,088 | ||||
Texas Instruments, Inc. | 38,106 | 6,295,492 | ||||
Trimble, Inc. (a) | 10,400 | 657,800 | ||||
Tyler Technologies, Inc. (a) | 1,700 | 631,567 | ||||
VeriSign, Inc. (a) | 4,020 | 732,524 | ||||
Visa, Inc. Class A | 67,440 | 13,401,002 | ||||
Western Digital Corp. (a) | 13,106 | 553,860 | ||||
Zebra Technologies Corp. Class A (a) | 2,200 | 663,608 | ||||
374,865,332 | ||||||
MATERIALS — 2.6% | ||||||
Air Products & Chemicals, Inc. | 9,107 | 2,299,062 | ||||
Albemarle Corp. | 4,900 | 1,313,004 | ||||
Amcor PLC | 61,430 | 737,774 | ||||
Avery Dennison Corp. | 3,618 | 664,337 | ||||
Ball Corp. | 13,216 | 737,585 | ||||
Celanese Corp. | 4,500 | 498,870 | ||||
CF Industries Holdings, Inc. | 8,630 | 892,860 | ||||
Corteva, Inc. | 29,277 | 1,798,486 | ||||
Dow, Inc. | 30,410 | 1,550,910 | ||||
DuPont de Nemours, Inc. | 21,174 | 1,178,122 | ||||
Eastman Chemical Co. | 5,572 | 507,052 | ||||
Ecolab, Inc. | 10,489 | 1,718,413 | ||||
FMC Corp. | 5,222 | 564,394 | ||||
Freeport-McMoRan, Inc. | 60,564 | 1,792,695 | ||||
International Flavors & Fragrances, Inc. | 10,744 | 1,186,997 | ||||
International Paper Co. | 15,108 | 628,795 | ||||
Linde PLC (a) | 20,729 | 5,863,405 | ||||
LyondellBasell Industries NV Class A | 11,122 | 923,126 | ||||
Martin Marietta Materials, Inc. | 2,655 | 923,170 | ||||
Mosaic Co. | 15,516 | 835,847 | ||||
Newmont Corp. | 32,673 | 1,351,355 | ||||
Nucor Corp. | 10,706 | 1,423,256 |
Security Description | Shares | Value | ||||
Packaging Corp. of America | 3,700 | $ 506,604 | ||||
PPG Industries, Inc. | 9,788 | 1,242,880 | ||||
Sealed Air Corp. | 6,569 | 353,478 | ||||
Sherwin-Williams Co. | 9,861 | 2,288,738 | ||||
Vulcan Materials Co. | 5,290 | 880,732 | ||||
Westrock Co. | 11,048 | 448,438 | ||||
35,110,385 | ||||||
REAL ESTATE — 2.8% | ||||||
Alexandria Real Estate Equities, Inc. REIT | 6,200 | 951,080 | ||||
American Tower Corp. REIT | 18,782 | 4,771,567 | ||||
AvalonBay Communities, Inc. REIT | 5,829 | 1,171,104 | ||||
Boston Properties, Inc. REIT | 6,121 | 486,191 | ||||
Camden Property Trust REIT | 4,200 | 539,742 | ||||
CBRE Group, Inc. Class A (a) | 13,808 | 1,090,280 | ||||
Crown Castle, Inc. REIT | 17,842 | 3,047,949 | ||||
Digital Realty Trust, Inc. REIT | 11,700 | 1,446,471 | ||||
Duke Realty Corp. REIT | 15,700 | 923,945 | ||||
Equinix, Inc. REIT | 3,738 | 2,457,249 | ||||
Equity Residential REIT | 14,238 | 1,041,937 | ||||
Essex Property Trust, Inc. REIT | 2,655 | 703,734 | ||||
Extra Space Storage, Inc. REIT | 5,500 | 1,093,015 | ||||
Federal Realty Investment Trust REIT | 2,800 | 283,556 | ||||
Healthpeak Properties, Inc. REIT | 22,877 | 600,521 | ||||
Host Hotels & Resorts, Inc. REIT | 28,759 | 511,048 | ||||
Iron Mountain, Inc. REIT | 11,274 | 593,125 | ||||
Kimco Realty Corp. REIT | 26,816 | 565,281 | ||||
Mid-America Apartment Communities, Inc. REIT | 4,700 | 778,649 | ||||
Prologis, Inc. REIT | 30,045 | 3,740,903 | ||||
Public Storage REIT | 6,352 | 2,101,432 | ||||
Realty Income Corp. REIT | 23,700 | 1,618,236 | ||||
Regency Centers Corp. REIT | 5,799 | 352,811 | ||||
SBA Communications Corp. REIT | 4,500 | 1,463,625 | ||||
Simon Property Group, Inc. REIT | 13,435 | 1,370,101 | ||||
UDR, Inc. REIT | 12,200 | 547,414 | ||||
Ventas, Inc. REIT | 16,603 | 794,620 | ||||
VICI Properties, Inc. REIT | 39,700 | 1,309,703 | ||||
Vornado Realty Trust REIT | 6,046 | 158,526 | ||||
Welltower, Inc. REIT | 18,181 | 1,393,574 | ||||
Weyerhaeuser Co. REIT | 31,198 | 1,065,724 | ||||
38,973,113 | ||||||
UTILITIES — 3.1% | ||||||
AES Corp. | 29,159 | 742,097 | ||||
Alliant Energy Corp. | 9,800 | 598,192 | ||||
Ameren Corp. | 10,856 | 1,005,483 | ||||
American Electric Power Co., Inc. | 20,243 | 2,028,349 |
Security Description | Shares | Value | |||
American Water Works Co., Inc. | 7,600 | $ 1,128,220 | |||
Atmos Energy Corp. | 5,200 | 589,576 | |||
CenterPoint Energy, Inc. | 26,635 | 839,802 | |||
CMS Energy Corp. | 11,301 | 763,269 | |||
Consolidated Edison, Inc. | 14,800 | 1,446,552 | |||
Constellation Energy Corp. | 13,353 | 1,089,471 | |||
Dominion Energy, Inc. | 33,224 | 2,717,723 | |||
DTE Energy Co. | 8,039 | 1,047,803 | |||
Duke Energy Corp. | 31,791 | 3,398,776 | |||
Edison International | 15,305 | 1,037,220 | |||
Entergy Corp. (b) | 8,400 | 968,520 | |||
Evergy, Inc. | 9,399 | 644,113 | |||
Eversource Energy | 14,143 | 1,268,486 | |||
Exelon Corp. | 40,059 | 1,758,991 | |||
FirstEnergy Corp. | 22,429 | 887,067 | |||
NextEra Energy, Inc. | 80,928 | 6,883,736 | |||
NiSource, Inc. | 15,578 | 459,707 | |||
NRG Energy, Inc. | 9,498 | 392,077 | |||
Pinnacle West Capital Corp. | 4,756 | 358,365 | |||
PPL Corp. | 30,356 | 882,752 | |||
Public Service Enterprise Group, Inc. | 20,836 | 1,341,005 | |||
Sempra Energy | 13,024 | 2,148,569 | |||
Southern Co. | 42,984 | 3,312,777 | |||
WEC Energy Group, Inc. | 12,887 | 1,329,165 | |||
Xcel Energy, Inc. | 22,200 | 1,648,350 | |||
42,716,213 | |||||
TOTAL COMMON STOCKS (Cost $312,734,986) | 1,370,137,618 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.29% (d) (e) | 100 | $ 100 | ||||
State Street Navigator Securities Lending Portfolio II (c) (f) | 2,791,762 | 2,791,762 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,791,862) | 2,791,862 | |||||
TOTAL INVESTMENTS — 100.2% (Cost $315,526,848) | 1,372,929,480 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (2,160,848) | |||||
NET ASSETS — 100.0% | $ 1,370,768,632 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2022. |
(c) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended August 31, 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 August 31, 2022 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at August 31, 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) | 22 | 09/16/2022 | $4,116,016 | $4,352,150 | $236,134 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,370,137,618 | $— | $— | $1,370,137,618 | ||||
Short-Term Investments | 2,791,862 | — | — | 2,791,862 | ||||
TOTAL INVESTMENTS | $1,372,929,480 | $— | $— | $1,372,929,480 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | $ 236,134 | $— | $— | $ 236,134 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 236,134 | $— | $— | $ 236,134 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $1,373,165,614 | $— | $— | $1,373,165,614 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
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 8/31/22 | Value at 8/31/22 | Dividend Income | |||||||||
State Street Corp. | 15,847 | $ 1,472,345 | $ — | $ 67,854 | $45,753 | $(421,782) | 15,047 | $1,028,462 | $34,307 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 19,985,484 | 19,985,484 | 160,114,879 | 180,100,263 | — | — | 100 | 100 | 24,016 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,230,063 | 1,230,063 | 16,479,203 | 14,917,504 | — | — | 2,791,762 | 2,791,762 | 2,369 | ||||||||
Total | $22,687,892 | $176,594,082 | $195,085,621 | $45,753 | $(421,782) | $3,820,324 | $60,692 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $1,369,109,156 |
Investments in affiliated issuers, at value | 3,820,324 |
Total Investments | 1,372,929,480 |
Receivable from broker — accumulated variation margin on futures contracts | 172,791 |
Receivable for fund shares sold | 105,438 |
Dividends receivable — unaffiliated issuers | 2,247,111 |
Dividends receivable — affiliated issuers | 4,016 |
Securities lending income receivable — unaffiliated issuers | 94 |
Securities lending income receivable — affiliated issuers | 542 |
Receivable from Adviser | 43 |
Prepaid expenses and other assets | 13,287 |
TOTAL ASSETS | 1,375,472,802 |
LIABILITIES | |
Net Cash at Broker | 28,548 |
Due to custodian | 264,493 |
Payable upon return of securities loaned | 2,791,762 |
Payable for fund shares repurchased | 1,248,101 |
Advisory fee payable | 64,977 |
Custodian fees payable | 14,397 |
Administration fees payable | 41,690 |
Shareholder servicing fee payable | 29,575 |
Distribution fees payable | 45,595 |
Trustees’ fees and expenses payable | 1,146 |
Transfer agent fees payable | 63,240 |
Registration and filing fees payable | 477 |
Professional fees payable | 61,652 |
Printing and postage fees payable | 44,384 |
Accrued expenses and other liabilities | 4,133 |
TOTAL LIABILITIES | 4,704,170 |
NET ASSETS | $1,370,768,632 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 263,220,202 |
Total distributable earnings (loss) | 1,107,548,430 |
NET ASSETS | $1,370,768,632 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 226.34 |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 6,056,266 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 312,341,467 |
Investments in affiliated issuers | 3,185,381 |
Total cost of investments | $ 315,526,848 |
* Includes investments in securities on loan, at value | $ 4,618,187 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 1,749 |
Dividend income — unaffiliated issuers | 22,785,644 |
Dividend income — affiliated issuers | 58,323 |
Unaffiliated securities lending income | 751 |
Affiliated securities lending income | 2,369 |
Foreign taxes withheld | (4,721) |
TOTAL INVESTMENT INCOME (LOSS) | 22,844,115 |
EXPENSES | |
Advisory fee | 466,243 |
Administration fees | 777,072 |
Shareholder servicing fees | 372,995 |
Distribution fees | 575,033 |
Custodian fees | 79,309 |
Trustees’ fees and expenses | 33,066 |
Transfer agent fees | 184,746 |
Registration and filing fees | 46,910 |
Professional fees and expenses | 60,297 |
Printing and postage fees | 84,635 |
Insurance expense | 15,065 |
Miscellaneous expenses | 15,447 |
TOTAL EXPENSES | 2,710,818 |
Expenses waived/reimbursed by the Adviser | (271,063) |
NET EXPENSES | 2,439,755 |
NET INVESTMENT INCOME (LOSS) | $ 20,404,360 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 98,397,546 |
Investments — affiliated issuers | 45,753 |
Futures contracts | (820,543) |
Net realized gain (loss) | 97,622,756 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (295,793,320) |
Investments — affiliated issuers | (421,782) |
Futures contracts | (1,217,656) |
Net change in unrealized appreciation/depreciation | (297,432,758) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (199,810,002) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(179,405,642) |
Year Ended 8/31/22 | Year Ended 8/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 20,404,360 | $ 20,651,490 | |
Net realized gain (loss) | 97,622,756 | 261,796,619 | |
Net change in unrealized appreciation/depreciation | (297,432,758) | 136,365,655 | |
Net increase (decrease) in net assets resulting from operations | (179,405,642) | 418,813,764 | |
Distributions to shareholders | (181,920,500) | (210,170,347) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 150,445,702 | 212,581,202 | |
Reinvestment of distributions | 177,563,946 | 204,655,169 | |
Cost of shares redeemed | (305,023,751) | (526,227,206) | |
Net increase (decrease) in net assets from beneficial interest transactions | 22,985,897 | (108,990,835) | |
Net increase (decrease) in net assets during the period | (338,340,245) | 99,652,582 | |
Net assets at beginning of period | 1,709,108,877 | 1,609,456,295 | |
NET ASSETS AT END OF PERIOD | $1,370,768,632 | $1,709,108,877 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 580,960 | 825,394 | |
Reinvestment of distributions | 684,802 | 871,746 | |
Shares redeemed | (1,167,653) | (2,085,747) | |
Net increase (decrease) | 98,109 | (388,607) |
Year Ended 8/31/22 | 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) | |||||
Net asset value, beginning of period | $ 286.85 | $ 253.59 | $ 222.06 | $ 244.74 | $ 215.94 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (c) | 3.36 | 3.43 | 4.55 | 4.38(d)(e) | 3.96(d)(e) | ||||
Net realized and unrealized gain (loss) | (32.17) | 66.60 | 42.08 | (2.52) | 36.72 | ||||
Total from investment operations | (28.81) | 70.03 | 46.63 | 1.86 | 40.68 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (4.54) | (2.88) | (4.20) | (4.26) | (4.68) | ||||
Net realized gains | (27.16) | (33.89) | (10.90) | (20.28) | (7.20) | ||||
Total distributions | (31.70) | (36.77) | (15.10) | (24.54) | (11.88) | ||||
Net asset value, end of period | $ 226.34 | $ 286.85 | $ 253.59 | $ 222.06 | $ 244.74 | ||||
Total return (f) | (11.36)% | 31.01% | 22.14% | 2.71% | 19.41% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $1,370,769 | $1,709,109 | $1,609,456 | $1,527,785 | $1,606,947 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.17% | 0.18% | 0.19% | 0.20% | 0.20% | ||||
Net expenses | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | 0.16%(d)(e) | ||||
Net investment income (loss) | 1.31%(d)(e) | 1.33%(d)(e) | 2.02%(d)(e) | 2.00%(d)(e) | 1.74%(d)(e) | ||||
Portfolio turnover rate | 2% | 4% | 5% | 3%(g) | 2%(g) |
(a) | After the close of trading on April 17, 2020, State Street S&P 500 Index Fund underwent a 1-for-6 reverse share split. The historical per share activity presented here has been retroactively adjusted to reflect this split. |
(b) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio prior to the discontinuance of the master feeder structure. |
(c) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(d) | Reflects amounts waived by the administrator. |
(e) | Reflects amounts waived and/or reimbursed by the investment adviser. |
(f) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Results represent past performance and are not indicative of future results. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street S&P 500 Index Fund | Class N | December 30, 1992 | Diversified |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street S&P 500 Index Fund | |||||||||||
Futures Contracts | $— | $— | $— | $172,791 | $— | $172,791 |
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 | $— | $— | $— | $(820,543) | $— | $(820,543) |
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 | $— | $— | $— | (1,217,656) | $— | (1,217,656) |
Purchases | Sales | ||
State Street S&P 500 Index Fund | $28,204,784 | $142,319,013 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $32,277,987 | $149,642,513 | $181,920,500 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street S&P 500 Index Fund | $ 23,910,683 | $ 186,259,664 | $ 210,170,347 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street S&P 500 Index Fund | $3,487,278 | $— | $77,615,858 | $1,027,468,623 | $(1,023,329) | $1,107,548,430 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street S&P 500 Index Fund | $345,696,991 | $1,044,084,302 | $16,615,679 | $1,027,468,623 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street S&P 500 Index Fund | $ 4,618,187 | $ 2,791,762 | $ 1,987,388 | $ 4,779,150 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of August 31, 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 | $2,791,762 | $— | $— | $— | $2,791,762 | $2,791,762 |
October 25, 2022
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% | $910.90 | $0.77 | $1,024.40 | $0.82 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street S&P 500 Index Fund | $155,365,534 |
o | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2021, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
o | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
o | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
o | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, as applicable, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
o | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2021; and the relevant operations of other Affiliated Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2021; |
o | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Fund, with respect to its operations relating to the Fund; and |
o | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 59 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1988 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Europe, Limited (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 59 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 59 | Director of Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present);Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | 59 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Indefinite Elected: 1988 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 59 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 to 2017) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 59 | None. | |||||
Margaret McLaughlin c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee | Term: Indefinite Appointed: 9/22 | Consultant (since 2020) Bates Group (consultants); Consultant (2019 - 2020) Madison Dearborn Partners (private equity); General Counsel/CCO (2011 - 2019) Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology). | 59 | Director, Manning & Napier Fund Inc. (2021 – present). | |||||
George Pereira c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1964 | Trustee | Term: Indefinite Appointed: 9/22 | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 – September 2020), Charles Schwab Investment Management. | 59 | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds plc. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected: 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 59 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Fund Controller, GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
RYAN HILL SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Treasurer | Term: Indefinite Elected: 5/22 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 – present); Assistant Vice President, State Street Bank and Trust Company (May 2014 – May 2017). | |||
JOHN BETTENCOURT SSGA Funds Management, Inc. One Iron Street, Boston, MA 02210 YOB:1976 | Assistant Treasurer | Term: Indefinite Elected: 5/22 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 – present); Assistant Vice President, State Street Global Advisors (June 2007 – March 2020). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indifinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present); Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
Boston, Massachusetts 02210
(800) 997-7327
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
Margaret McLaughlin
George Pereira
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 International Stock Selection Fund |
1 | |
5 | |
10 | |
14 | |
18 | |
27 | |
28 |
(Based on Net Asset Value)
the fee structure of those classes.
Total Return One Year Ended August 31, 2022 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Five Years Ended August 31, 2022 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | Average Annual Total Return Ten Years Ended August 31, 2022 | Adjusted for the Maximum Sales Charge (Max 5.25% Load) | |
State Street International Stock Selection Fund Class A | (19.76%) | (24.00%) | (1.45%) | (2.50%) | 3.83% | 3.27% |
State Street International Stock Selection Fund Class I | (19.47%) | N/A | (1.03%) | N/A | 4.17% | N/A |
State Street International Stock Selection Fund Class K | (19.42%) | N/A | (0.96%) | N/A | 4.25% | N/A |
State Street International Stock Selection Fund Class N | (19.61%) | N/A | (1.21%) | N/A | 4.05% | N/A |
MSCI ® EAFE® Net Dividend Index (reflects no deduction for fees, expenses or taxes) (1) | (19.80%) | N/A | 1.63% | N/A | 5.00% | N/A |
(1) | The MSCI® EAFE® Net Dividend Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The MSCI® EAFE® Net Dividend Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. |
Description | % of Net Assets | ||
Roche Holding AG | 2.3% | ||
Novartis AG | 2.0 | ||
BP PLC | 1.6 | ||
British American Tobacco PLC | 1.5 | ||
Shell PLC | 1.4 | ||
TOTAL | 8.8% |
Security Description | Shares | Value | ||||
COMMON STOCKS — 90.8% | ||||||
AUSTRALIA — 10.4% | ||||||
Ampol, Ltd. | 15,714 | $ 369,348 | ||||
Aurizon Holdings, Ltd. | 403,587 | 1,020,725 | ||||
Austal, Ltd. | 104,750 | 183,216 | ||||
BHP Group, Ltd. | 72,837 | 1,986,994 | ||||
Brambles, Ltd. | 29,670 | 249,709 | ||||
Coles Group, Ltd. | 128,377 | 1,536,566 | ||||
Genworth Mortgage Insurance Australia, Ltd. | 23,408 | 45,037 | ||||
Glencore PLC (a) | 360,440 | 1,970,727 | ||||
GPT Group REIT | 380,178 | 1,083,319 | ||||
GrainCorp, Ltd. Class A | 55,459 | 313,674 | ||||
Growthpoint Properties Australia, Ltd. REIT | 171,430 | 410,065 | ||||
Incitec Pivot, Ltd. | 297,122 | 785,191 | ||||
JB Hi-Fi, Ltd. (b) | 6,556 | 180,813 | ||||
NRW Holdings, Ltd. | 281,136 | 467,361 | ||||
Orora, Ltd. | 32,835 | 73,957 | ||||
Rio Tinto PLC | 12,631 | 697,361 | ||||
Scentre Group REIT | 822,113 | 1,633,781 | ||||
Seven West Media, Ltd. (a)(b) | 449,266 | 158,071 | ||||
SmartGroup Corp., Ltd. | 81,249 | 328,137 | ||||
Sonic Healthcare, Ltd. | 64,603 | 1,493,943 | ||||
Stockland REIT | 53,139 | 130,715 | ||||
Vicinity Centres REIT | 1,154,905 | 1,512,012 | ||||
Woodside Energy Group, Ltd. | 2,140 | 49,709 | ||||
16,680,431 | ||||||
AUSTRIA — 0.1% | ||||||
Strabag SE | 3,520 | 135,306 | ||||
BELGIUM — 0.4% | ||||||
Bekaert SA | 19,019 | 583,368 | ||||
CHINA — 0.0% (c) | ||||||
Kerry Logistics Network, Ltd. | 23,500 | 51,666 | ||||
DENMARK — 2.4% | ||||||
AP Moller - Maersk A/S Class A | 36 | 84,100 | ||||
AP Moller - Maersk A/S Class B | 551 | 1,321,933 | ||||
D/S Norden A/S | 8,635 | 402,600 | ||||
Matas A/S | 20,419 | 209,402 | ||||
Novo Nordisk A/S Class B | 8,398 | 897,862 | ||||
Solar A/S Class B | 2,952 | 238,666 | ||||
Sydbank A/S | 24,948 | 720,894 | ||||
3,875,457 | ||||||
FINLAND — 2.7% | ||||||
Citycon Oyj (a)(b) | 73,124 | 518,180 | ||||
Kesko Oyj Class B | 17,139 | 360,564 | ||||
Nokia Oyj | 327,375 | 1,649,762 | ||||
Nordea Bank Abp | 191,471 | 1,775,290 | ||||
4,303,796 | ||||||
FRANCE — 8.4% | ||||||
Arkema SA | 13,594 | 1,147,628 | ||||
BNP Paribas SA | 790 | 36,711 | ||||
Capgemini SE | 8,784 | 1,517,682 |
Security Description | Shares | Value | ||||
Carmila SA REIT (a) | 27,053 | $ 430,851 | ||||
Cie de Saint-Gobain | 32,099 | 1,292,875 | ||||
Cie des Alpes (a) | 7,574 | 119,819 | ||||
Coface SA | 60,316 | 603,128 | ||||
Derichebourg SA | 36,040 | 202,743 | ||||
Eiffage SA | 17,023 | 1,497,257 | ||||
Ipsen SA | 12,975 | 1,243,487 | ||||
LVMH Moet Hennessy Louis Vuitton SE | 823 | 531,055 | ||||
Publicis Groupe SA (a) | 26,919 | 1,314,328 | ||||
Rexel SA (a) | 42,290 | 686,872 | ||||
Sanofi | 25,754 | 2,105,384 | ||||
Societe Generale SA | 31,725 | 699,391 | ||||
13,429,211 | ||||||
GEORGIA — 0.4% | ||||||
TBC Bank Group PLC | 31,140 | 641,751 | ||||
GERMANY — 5.8% | ||||||
Bayer AG | 34,543 | 1,826,910 | ||||
Bayerische Motoren Werke AG | 19,672 | 1,449,406 | ||||
Bilfinger SE | 18,771 | 557,336 | ||||
Elmos Semiconductor SE | 7,653 | 324,657 | ||||
GFT Technologies SE | 8,677 | 288,448 | ||||
Mercedes-Benz Group AG | 8,302 | 465,457 | ||||
Merck KGaA | 8,244 | 1,416,154 | ||||
RWE AG | 32,693 | 1,248,134 | ||||
Telefonica Deutschland Holding AG | 342,138 | 888,171 | ||||
Volkswagen AG | 279 | 51,607 | ||||
Wacker Chemie AG | 5,096 | 724,742 | ||||
9,241,022 | ||||||
HONG KONG — 0.6% | ||||||
Hutchison Port Holdings Trust Stapled Security | 1,760,400 | 377,741 | ||||
Kerry Properties, Ltd. | 30,000 | 69,166 | ||||
Luk Fook Holdings International, Ltd. | 14,000 | 35,788 | ||||
Sun Hung Kai & Co., Ltd. | 156,000 | 71,898 | ||||
Texhong Textile Group, Ltd. | 174,500 | 163,951 | ||||
WH Group, Ltd. (d) | 433,000 | 295,013 | ||||
1,013,557 | ||||||
INDONESIA — 1.0% | ||||||
Bumitama Agri, Ltd. | 565,000 | 252,416 | ||||
First Pacific Co., Ltd. | 1,970,000 | 759,698 | ||||
Golden Agri-Resources, Ltd. | 3,099,100 | 621,273 | ||||
1,633,387 | ||||||
ISRAEL — 1.3% | ||||||
Bank Leumi Le-Israel BM | 152,877 | 1,616,096 | ||||
Delek Automotive Systems, Ltd. | 17,547 | 270,588 | ||||
ICL Group, Ltd. | 15,643 | 149,370 | ||||
ZIM Integrated Shipping Services, Ltd. (b) | 1,400 | 50,526 | ||||
2,086,580 |
Security Description | Shares | Value | ||||
ITALY — 0.5% | ||||||
Eni SpA | 20,644 | $ 243,866 | ||||
Sanlorenzo SpA/Ameglia | 6,313 | 198,339 | ||||
Unipol Gruppo SpA | 70,281 | 294,308 | ||||
736,513 | ||||||
JAPAN — 22.4% | ||||||
Astellas Pharma, Inc. | 28,700 | 406,902 | ||||
Brother Industries, Ltd. | 51,600 | 987,495 | ||||
Canon, Inc. | 70,300 | 1,683,636 | ||||
Citizen Watch Co., Ltd. | 9,800 | 41,872 | ||||
Dai Nippon Printing Co., Ltd. | 38,200 | 804,065 | ||||
Dai-ichi Life Holdings, Inc. | 63,100 | 1,090,242 | ||||
Dentsu Group, Inc. | 23,300 | 750,377 | ||||
Dexerials Corp. (b) | 17,400 | 483,782 | ||||
Electric Power Development Co., Ltd. | 2,900 | 44,672 | ||||
Fujikura, Ltd. | 52,900 | 375,658 | ||||
Idec Corp. | 5,900 | 123,262 | ||||
Idemitsu Kosan Co., Ltd. (b) | 41,500 | 1,094,241 | ||||
ITOCHU Corp. | 21,000 | 577,935 | ||||
Japan Post Holdings Co., Ltd. | 241,500 | 1,666,056 | ||||
Japan Post Insurance Co., Ltd. | 81,100 | 1,242,258 | ||||
Japan Tobacco, Inc. | 68,100 | 1,153,847 | ||||
Kawasaki Kisen Kaisha, Ltd. (b) | 500 | 31,634 | ||||
KDDI Corp. | 53,200 | 1,627,980 | ||||
Marubeni Corp. | 159,800 | 1,665,481 | ||||
Mazda Motor Corp. | 172,500 | 1,527,678 | ||||
Mitsui & Co., Ltd. | 80,500 | 1,889,264 | ||||
Mitsui OSK Lines, Ltd. (b) | 31,500 | 820,688 | ||||
NGK Insulators, Ltd. | 63,700 | 909,475 | ||||
NGK Spark Plug Co., Ltd. | 36,400 | 746,842 | ||||
Nippon Telegraph & Telephone Corp. | 61,300 | 1,661,492 | ||||
Nippon Yusen KK (b) | 17,600 | 1,342,425 | ||||
Ono Pharmaceutical Co., Ltd. | 35,500 | 847,391 | ||||
ORIX Corp. | 98,200 | 1,614,150 | ||||
Osaka Soda Co., Ltd. (b) | 4,900 | 132,995 | ||||
Renesas Electronics Corp. (a) | 104,800 | 992,304 | ||||
SCREEN Holdings Co., Ltd. | 8,800 | 584,522 | ||||
Seiko Epson Corp. | 45,900 | 721,264 | ||||
Sekisui House, Ltd. | 37,400 | 635,973 | ||||
Sompo Holdings, Inc. | 8,300 | 355,873 | ||||
Sumitomo Forestry Co., Ltd. | 3,000 | 50,722 | ||||
Takeda Pharmaceutical Co., Ltd. | 54,800 | 1,514,675 | ||||
Tokyo Gas Co., Ltd. | 32,100 | 602,235 | ||||
Tomy Co., Ltd. | 6,700 | 63,515 | ||||
Topcon Corp. | 15,800 | 213,130 | ||||
TOPPAN, INC. | 66,400 | 1,042,788 | ||||
Toyo Seikan Group Holdings, Ltd. | 3,700 | 43,785 | ||||
Toyota Motor Corp. | 102,200 | 1,529,429 | ||||
35,694,010 | ||||||
LUXEMBOURG — 0.8% | ||||||
ArcelorMittal SA | 55,378 | 1,314,348 |
Security Description | Shares | Value | ||||
NETHERLANDS — 3.5% | ||||||
ASML Holding NV | 1,622 | $ 791,723 | ||||
ASR Nederland NV | 18,295 | 746,696 | ||||
Brunel International NV | 27,125 | 253,970 | ||||
Eurocommercial Properties NV REIT | 10,739 | 224,753 | ||||
Koninklijke Ahold Delhaize NV | 2,392 | 65,796 | ||||
Koninklijke KPN NV | 56,976 | 181,303 | ||||
NN Group NV | 13,020 | 535,096 | ||||
OCI NV | 4,067 | 152,687 | ||||
Shell PLC | 84,709 | 2,242,081 | ||||
TKH Group NV | 11,166 | 389,555 | ||||
5,583,660 | ||||||
NIGERIA — 0.1% | ||||||
Airtel Africa PLC | 106,493 | 163,489 | ||||
NORWAY — 2.3% | ||||||
Austevoll Seafood ASA | 19,764 | 211,855 | ||||
Elkem ASA (a)(d) | 203,881 | 811,354 | ||||
Equinor ASA | 50,409 | 1,956,405 | ||||
Golden Ocean Group, Ltd. | 4,113 | 38,765 | ||||
Grieg Seafood ASA | 47,763 | 577,889 | ||||
Stolt-Nielsen, Ltd. | 3,370 | 72,015 | ||||
3,668,283 | ||||||
PORTUGAL — 0.4% | ||||||
Sonae SGPS SA | 629,771 | 633,008 | ||||
SINGAPORE — 0.6% | ||||||
STMicroelectronics NV | 28,742 | 1,001,663 | ||||
SPAIN — 1.1% | ||||||
Aedas Homes SA (d) | 4,355 | 76,590 | ||||
Banco Bilbao Vizcaya Argentaria SA | 183,423 | 823,054 | ||||
Telefonica SA (b) | 189,793 | 783,279 | ||||
1,682,923 | ||||||
SWEDEN — 2.9% | ||||||
Bilia AB Class A | 32,499 | 404,319 | ||||
Boliden AB (a) | 5,476 | 175,353 | ||||
Clas Ohlson AB Class B | 29,226 | 263,626 | ||||
Coor Service Management Holding AB (d) | 87,447 | 677,096 | ||||
Evolution AB (d) | 1,829 | 146,326 | ||||
Inwido AB | 57,461 | 561,933 | ||||
Loomis AB | 28,257 | 763,321 | ||||
New Wave Group AB Class B | 43,559 | 700,624 | ||||
SSAB AB Class A | 150,382 | 723,300 | ||||
Swedish Orphan Biovitrum AB (a) | 5,890 | 130,062 | ||||
Telia Co. AB | 29,855 | 105,082 | ||||
4,651,042 | ||||||
SWITZERLAND — 7.7% | ||||||
Cie Financiere Richemont SA Class A | 2,264 | 253,180 | ||||
Holcim AG (a) | 19,003 | 842,318 | ||||
Mobilezone Holding AG | 42,080 | 696,638 |
Security Description | Shares | Value | ||||
Novartis AG | 40,410 | $ 3,268,685 | ||||
Roche Holding AG Bearer Shares (b) | 217 | 82,885 | ||||
Roche Holding AG | 11,571 | 3,728,655 | ||||
Swiss Life Holding AG | 2,611 | 1,364,709 | ||||
UBS Group AG | 126,235 | 2,000,410 | ||||
12,237,480 | ||||||
UNITED KINGDOM — 11.7% | ||||||
3i Group PLC | 85,776 | 1,207,408 | ||||
AstraZeneca PLC | 5,796 | 716,921 | ||||
Balfour Beatty PLC (b) | 104,580 | 382,938 | ||||
BP PLC | 497,175 | 2,540,527 | ||||
British American Tobacco PLC | 60,076 | 2,406,209 | ||||
Burberry Group PLC | 70,642 | 1,428,995 | ||||
CK Hutchison Holdings, Ltd. | 125,000 | 807,207 | ||||
Coca-Cola Europacific Partners PLC | 14,700 | 722,799 | ||||
Diageo PLC | 2,894 | 125,734 | ||||
Inchcape PLC (b) | 74,260 | 652,089 | ||||
Legal & General Group PLC | 505,535 | 1,480,747 | ||||
Man Group PLC | 224,111 | 633,308 | ||||
Morgan Sindall Group PLC | 26,530 | 529,664 | ||||
NatWest Group PLC | 507,965 | 1,449,562 | ||||
OSB Group PLC | 110,303 | 703,260 | ||||
Redde Northgate PLC | 83,463 | 332,085 | ||||
Redrow PLC (b) | 24,775 | 145,540 | ||||
SSE PLC | 44,602 | 854,696 | ||||
Tesco PLC | 529,283 | 1,528,712 | ||||
18,648,401 | ||||||
UNITED STATES — 3.3% | ||||||
GSK PLC | 96,025 | 1,534,961 | ||||
Nestle SA | 17,333 | 2,028,358 | ||||
Stellantis NV | 126,300 | 1,682,383 | ||||
5,245,702 | ||||||
TOTAL COMMON STOCKS (Cost $159,135,708) | 144,936,054 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 0.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.29% (e)(f) | 100 | $ 100 | ||||
State Street Navigator Securities Lending Portfolio II (g)(h) | 1,198,958 | 1,198,958 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $1,199,058) | 1,199,058 | |||||
TOTAL INVESTMENTS — 91.5% (Cost $160,334,766) | 146,135,112 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 8.5% | 13,494,457 | |||||
NET ASSETS — 100.0% | $ 159,629,569 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at August 31, 2022. |
(c) | Amount is less than 0.05% of net assets. |
(d) | 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 August 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended August 31, 2022 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at August 31, 2022. |
(g) | The Fund invested in an affiliated entity. Amounts related to these investments during the year ended August 31, 2022 are shown in the Affiliate Table below. |
(h) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 17 | 09/16/2022 | $1,573,945 | $1,553,035 | $(20,910) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $2,341,995 | $142,594,059 | $— | $144,936,054 | ||||
Short-Term Investments | 1,199,058 | — | — | 1,199,058 | ||||
TOTAL INVESTMENTS | $3,541,053 | $142,594,059 | $— | $ 146,135,112 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (20,910) | — | — | (20,910) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (20,910) | $ — | $— | $ (20,910) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
% of Net Assets | ||
Pharmaceuticals | 12.3% | |
Insurance | 5.9 | |
Oil, Gas & Consumable Fuels | 5.3 | |
Banks | 4.9 | |
Metals & Mining | 4.7 | |
Automobiles | 4.2 | |
Equity Real Estate Investment Trusts (REITs) | 3.4 | |
Trading Companies & Distributors | 3.2 | |
Food Products | 3.0 | |
Food & Staples Retailing | 2.8 | |
Commercial Services & Supplies | 2.7 | |
Marine | 2.6 | |
Chemicals | 2.4 | |
Capital Markets | 2.4 | |
Semiconductors & Semiconductor Equipment | 2.3 | |
Diversified Telecommunication Services | 2.3 | |
Tobacco | 2.2 | |
Technology Hardware, Storage & Peripherals | 2.1 | |
Textiles, Apparel & Luxury Goods | 1.9 | |
Construction & Engineering | 1.9 | |
Media | 1.4 | |
Specialty Retail | 1.3 | |
Building Products | 1.2 | |
IT Services | 1.1 | |
Wireless Telecommunication Services | 1.1 | |
Communications Equipment | 1.0 | |
Diversified Financial Services | 1.0 | |
Health Care Providers & Services | 0.9 | |
Road & Rail | 0.8 | |
Independent Power and Renewable Electricity Producers | 0.8 | |
Machinery | 0.6 | |
Electrical Equipment | 0.6 | |
Electric Utilities | 0.5 | |
Beverages | 0.5 | |
Construction Materials | 0.5 | |
Household Durables | 0.5 | |
Industrial Conglomerates | 0.5 | |
Thrifts & Mortgage Finance | 0.5 | |
Auto Components | 0.5 | |
Electronic Equipment, Instruments & Components | 0.5 | |
Real Estate Management & Development | 0.4 | |
Distributors | 0.4 | |
Gas Utilities | 0.4 | |
Professional Services | 0.4 | |
Transportation Infrastructure | 0.2 |
% of Net Assets | ||
Hotels, Restaurants & Leisure | 0.2% | |
Leisure Equipment & Products | 0.2 | |
Aerospace & Defense | 0.1 | |
Biotechnology | 0.1 | |
Containers & Packaging | 0.1 | |
Consumer Finance | 0.0* | |
Air Freight & Logistics | 0.0* | |
Short-Term Investments | 0.7 | |
Other Assets in Excess of Liabilities | 8.5 | |
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
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 8/31/22 | Value at 8/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 738,939 | $ 738,940 | $54,270,694 | $55,009,534 | $— | $— | 100 | $ 100 | $ 9,655 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,372,214 | 1,372,214 | 38,904,969 | 39,078,225 | — | — | 1,198,958 | 1,198,958 | 35,350 | ||||||||
Total | $ 2,111,154 | $93,175,663 | $94,087,759 | $— | $— | $1,199,058 | $45,005 |
ASSETS | |
Investments in unaffiliated issuers, at value* | $144,936,054 |
Investments in affiliated issuers, at value | 1,199,058 |
Total Investments | 146,135,112 |
Foreign currency, at value | 1,085,817 |
Net cash at broker | 89,665 |
Receivable for fund shares sold | 12,686,763 |
Dividends receivable — unaffiliated issuers | 566,675 |
Dividends receivable — affiliated issuers | 1,752 |
Securities lending income receivable — unaffiliated issuers | 1,302 |
Securities lending income receivable — affiliated issuers | 3,289 |
Receivable from Adviser | 36,504 |
Net receivable for foreign taxes recoverable | 577,926 |
Prepaid expenses and other assets | 1,481 |
TOTAL ASSETS | 161,186,286 |
LIABILITIES | |
Due to custodian | 17,697 |
Payable upon return of securities loaned | 1,198,958 |
Payable for fund shares repurchased | 88,154 |
Payable to broker – variation margin on open futures contracts | 20,910 |
Deferred foreign taxes payable | 350 |
Advisory fee payable | 90,375 |
Custodian fees payable | 18,468 |
Administration fees payable | 5,547 |
Shareholder servicing fee payable | 1,424 |
Distribution fees payable | 18,086 |
Trustees’ fees and expenses payable | 537 |
Transfer agent fees payable | 33,407 |
Sub-transfer agent fee payable | 238 |
Registration and filing fees payable | 873 |
Professional fees payable | 39,819 |
Printing and postage fees payable | 21,357 |
Accrued expenses and other liabilities | 517 |
TOTAL LIABILITIES | 1,556,717 |
NET ASSETS | $159,629,569 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $187,049,499 |
Total distributable earnings (loss)** | (27,419,930) |
NET ASSETS | $159,629,569 |
Class A | |
Net Assets | $ 3,725,028 |
Shares Outstanding | 408,887 |
Net asset value, offering and redemption price per share | $ 9.11 |
Maximum sales charge | 5.25% |
Maximum offering price per share | $ 9.61 |
Class I | |
Net Assets | $ 2,604,347 |
Shares Outstanding | 283,898 |
Net asset value, offering and redemption price per share | $ 9.17 |
Class K | |
Net Assets | $ 66,730,823 |
Shares Outstanding | 7,274,458 |
Net asset value, offering and redemption price per share | $ 9.17 |
Class N | |
Net Assets | $ 86,569,371 |
Shares Outstanding | 9,425,155 |
Net asset value, offering and redemption price per share | $ 9.18 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $159,135,708 |
Investments in affiliated issuers | 1,199,058 |
Total cost of investments | $160,334,766 |
Foreign currency, at cost | $ 1,090,554 |
* Includes investments in securities on loan, at value | $ 3,939,956 |
INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $ 8,079,071 |
Dividend income — affiliated issuers | 9,655 |
Unaffiliated securities lending income | 49,882 |
Affiliated securities lending income | 35,350 |
Foreign taxes withheld | (753,282) |
TOTAL INVESTMENT INCOME (LOSS) | 7,420,676 |
EXPENSES | |
Advisory fee | 1,340,152 |
Administration fees | 89,344 |
Shareholder servicing fees | |
Class N | 23,974 |
Distribution fees | |
Class A | 10,583 |
Class N | 234,531 |
Custodian fees | 102,455 |
Trustees’ fees and expenses | 22,844 |
Transfer agent fees | 81,954 |
Class A | 8,535 |
Class I | 1,802 |
Registration and filing fees | 71,225 |
Professional fees and expenses | 38,081 |
Printing and postage fees | 18,021 |
Insurance expense | 1,836 |
Taxes and fees | 2,183 |
Miscellaneous expenses | 4,779 |
TOTAL EXPENSES | 2,052,299 |
Expenses waived/reimbursed by the Adviser | (430,560) |
NET EXPENSES | 1,621,739 |
NET INVESTMENT INCOME (LOSS) | $ 5,798,937 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (4,252,445) |
Foreign currency transactions | 18,657 |
Futures contracts | (557,329) |
Net realized gain (loss) | (4,791,117) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers* | (37,722,456) |
Foreign currency translations | (126,551) |
Futures contracts | (20,947) |
Net change in unrealized appreciation/depreciation | (37,869,954) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (42,661,071) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(36,862,134) |
Year Ended 8/31/22 | Year Ended 8/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 5,798,937 | $ 5,186,023 | |
Net realized gain (loss) | (4,791,117) | 22,343,154 | |
Net change in unrealized appreciation/depreciation | (37,869,954) | 18,500,083 | |
Net increase (decrease) in net assets resulting from operations | (36,862,134) | 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 | 352,002 | 298,858 | |
Reinvestment of distributions | 187,689 | 79,462 | |
Cost of shares redeemed | (361,993) | (885,198) | |
Net increase (decrease) from capital share transactions | 177,698 | (506,878) | |
Class I | |||
Proceeds from shares sold | 419,672 | 522,871 | |
Reinvestment of distributions | 135,836 | 54,572 | |
Cost of shares redeemed | (607,779) | (380,406) | |
Net increase (decrease) from capital share transactions | (52,271) | 197,037 | |
Class K | |||
Proceeds from shares sold | 40,971,886 | 8,621,813 | |
Reinvestment of distributions | 3,772,129 | 1,427,961 | |
Cost of shares redeemed | (37,489,034) | (9,080,362) | |
Net increase (decrease) from capital share transactions | 7,254,981 | 969,412 | |
Class N | |||
Proceeds from shares sold | 4,197,758 | 4,614,275 | |
Reinvestment of distributions | 4,877,616 | 2,043,169 | |
Cost of shares redeemed | (13,224,128) | (18,281,351) | |
Net increase (decrease) from capital share transactions | (4,148,754) | (11,623,907) | |
Net increase (decrease) in net assets from beneficial interest transactions | 3,231,654 | (10,964,336) | |
Net increase (decrease) in net assets during the period | (42,653,921) | 31,437,823 | |
Net assets at beginning of period | 202,283,490 | 170,845,667 | |
NET ASSETS AT END OF PERIOD | $159,629,569 | $202,283,490 | |
SHARES OF BENEFICIAL INTEREST: | |||
Class A | |||
Shares sold | 33,934 | 29,750 | |
Reinvestment of distributions | 16,773 | 7,604 | |
Shares redeemed | (33,927) | (83,135) | |
Net increase (decrease) from capital share transactions | 16,780 | (45,781) | |
Class I | |||
Shares sold | 40,278 | 47,323 | |
Reinvestment of distributions | 12,085 | 5,202 | |
Shares redeemed | (55,046) | (34,818) | |
Net increase (decrease) from capital share transactions | (2,683) | 17,707 | |
Class K | |||
Shares sold | 4,032,448 | 808,210 | |
Reinvestment of distributions | 335,897 | 136,126 | |
Shares redeemed | (3,526,185) | (836,399) | |
Net increase (decrease) from capital share transactions | 842,160 | 107,937 | |
Class N | |||
Shares sold | 392,672 | 432,798 | |
Reinvestment of distributions | 433,181 | 194,218 | |
Shares redeemed | (1,236,698) | (1,705,572) | |
Net increase (decrease) from capital share transactions | (410,845) | (1,078,556) |
Class A | |||||||||
Year Ended 8/31/22 | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | |||||
Net asset value, beginning of period | $ 11.84 | $ 9.46 | $ 9.59 | $10.96 | $ 11.76 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.32 | 0.25 | 0.19 | 0.22 | 0.26 | ||||
Net realized and unrealized gain (loss) | (2.57) | 2.31 | (0.00)(c) | (1.07) | (0.63) | ||||
Total from investment operations | (2.25) | 2.56 | 0.19 | (0.85) | (0.37) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.48) | (0.18) | (0.32) | (0.52) | (0.43) | ||||
Net asset value, end of period | $ 9.11 | $ 11.84 | $ 9.46 | $ 9.59 | $10.96 | ||||
Total return (d) | (19.76)% | 27.33% | 1.75% | (7.46)% | (3.35)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 3,725 | $4,642 | $4,141 | $4,148 | $6,933 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.44% | 1.55% | 1.48% | 1.49% | 1.49% | ||||
Net expenses (b) | 1.20% | 1.29% | 1.20% | 1.22% | 1.25% | ||||
Net investment income (loss) (b) | 3.05% | 2.30% | 2.03% | 2.19% | 2.28% | ||||
Portfolio turnover rate | 120% | 111% | 104% | 125% | 72% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Results represent past performance and are not indicative of future results. |
Class I | |||||||||
Year Ended 8/31/22 | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | |||||
Net asset value, beginning of period | $ 11.93 | $ 9.51 | $ 9.65 | $ 11.05 | $ 11.81 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.37 | 0.31 | 0.22 | 0.34 | 0.44 | ||||
Net realized and unrealized gain (loss) | (2.59) | 2.32 | 0.00(c) | (1.17) | (0.74) | ||||
Total from investment operations | (2.22) | 2.63 | 0.22 | (0.83) | (0.30) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.54) | (0.21) | (0.36) | (0.57) | (0.46) | ||||
Net asset value, end of period | $ 9.17 | $ 11.93 | $ 9.51 | $ 9.65 | $ 11.05 | ||||
Total return (d) | (19.47)% | 27.94% | 2.02% | (7.03)% | (2.84)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $ 2,604 | $3,419 | $2,557 | $4,610 | $2,551 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.04% | 1.11% | 1.15% | 1.12% | 1.00% | ||||
Net expenses (b) | 0.81% | 0.85% | 0.87% | 0.84% | 0.76% | ||||
Net investment income (loss) (b) | 3.46% | 2.88% | 2.33% | 3.38% | 3.84% | ||||
Portfolio turnover rate | 120% | 111% | 104% | 125% | 72% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Results represent past performance and are not indicative of future results. |
Class K | |||||||||
Year Ended 8/31/22 | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | |||||
Net asset value, beginning of period | $ 11.93 | $ 9.52 | $ 9.65 | $ 11.04 | $ 11.82 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.35 | 0.32 | 0.24 | 0.31 | 0.32 | ||||
Net realized and unrealized gain (loss) | (2.57) | 2.31 | (0.00)(c) | (1.12) | (0.64) | ||||
Total from investment operations | (2.22) | 2.63 | 0.24 | (0.81) | (0.32) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.54) | (0.22) | (0.37) | (0.58) | (0.46) | ||||
Net asset value, end of period | $ 9.17 | $ 11.93 | $ 9.52 | $ 9.65 | $ 11.04 | ||||
Total return (d) | (19.42)% | 27.97% | 2.21% | (6.98)% | (2.80)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $66,731 | $76,748 | $60,185 | $53,350 | $67,632 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 0.98% | 1.01% | 1.03% | 1.03% | 0.99% | ||||
Net expenses (b) | 0.75% | 0.75% | 0.75% | 0.75% | 0.75% | ||||
Net investment income (loss) (b) | 3.25% | 2.93% | 2.52% | 3.07% | 2.72% | ||||
Portfolio turnover rate | 120% | 111% | 104% | 125% | 72% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Results represent past performance and are not indicative of future results. |
Class N | |||||||||
Year Ended 8/31/22 | Year Ended 8/31/21 | Year Ended 8/31/20 | Year Ended 8/31/19 | Year Ended 8/31/18 | |||||
Net asset value, beginning of period | $ 11.94 | $ 9.53 | $ 9.66 | $ 11.04 | $ 11.81 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a)(b) | 0.35 | 0.29 | 0.21 | 0.29 | 0.29 | ||||
Net realized and unrealized gain (loss) | (2.60) | 2.32 | 0.01 | (1.12) | (0.63) | ||||
Total from investment operations | (2.25) | 2.61 | 0.22 | (0.83) | (0.34) | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.51) | (0.20) | (0.35) | (0.55) | (0.43) | ||||
Net asset value, end of period | $ 9.18 | $ 11.94 | $ 9.53 | $ 9.66 | $ 11.04 | ||||
Total return (c) | (19.61)% | 27.63% | 1.94% | (7.19)% | (3.06)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $86,569 | $117,474 | $103,963 | $130,895 | $180,398 | ||||
Ratios to Average Net Assets: | |||||||||
Total expenses (b) | 1.23% | 1.26% | 1.28% | 1.28% | 1.23% | ||||
Net expenses (b) | 1.00% | 1.00% | 1.00% | 1.00% | 1.00% | ||||
Net investment income (loss) (b) | 3.25% | 2.64% | 2.20% | 2.85% | 2.49% | ||||
Portfolio turnover rate | 120% | 111% | 104% | 125% | 72% |
(a) | Average daily shares outstanding were used for this calculation. |
(b) | May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of the Fund. Results represent past performance and are not indicative of future results. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street 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 |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | $— | $— | $— | $20,910 | $— | $20,910 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | $— | $— | $— | $(557,329) | $— | $(557,329) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
State Street International Stock Selection Fund | |||||||||||
Futures Contracts | $— | $— | $— | $(20,947) | $— | $(20,947) |
Annual Rate | |
State Street International Stock Selection Fund | 0.75% |
Expense Limitations | |
State Street International Stock Selection Fund | 0.75% |
Fund | Amount Waived or Reimbursed |
State Street International Stock Selection Fund | $412,691 |
Amount Waived | |
State Street International Stock Selection Fund | $17,869 |
Purchases | Sales | ||
State Street International Stock Selection Fund | $209,266,499 | $221,156,512 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Stock Selection Fund | $9,023,441 | $— | $9,023,441 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street International Stock Selection Fund | $ 3,627,101 | $ — | $ 3,627,101 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
State Street International Stock Selection Fund | $2,788,501 | $(15,527,882) | $— | $(14,680,549) | $(27,419,930) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
State Street International Stock Selection Fund | $15,527,882 | $— |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street International Stock Selection Fund | $160,706,105 | $3,908,368 | $18,500,271 | $(14,591,903) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
State Street International Stock Selection Fund | $ 3,939,956 | $ 1,198,958 | $ 2,977,941 | $ 4,176,899 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of August 31, 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 International Stock Selection Fund | Common Stocks | $1,198,958 | $— | $— | $— | $1,198,958 | $1,198,958 |
October 25, 2022
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 International Stock Selection Fund | |||||||||
Class A | 1.20% | $861.10 | $5.63 | $1,019.20 | $ 6.11 | ||||
Class I | 0.80 | 862.70 | 3.76 | 1,021.20 | 4.08 | ||||
Class K | 0.75 | 862.70 | 3.52 | 1,021.40 | 3.82 | ||||
Class N | 1.00 | 861.20 | 4.69 | 1,020.20 | 5.09 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
State Street International Stock Selection Fund | $400,245 |
Amount | |
State Street International Stock Selection Fund | $6,672,732 |
• | A report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
o | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2021, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
o | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
o | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
o | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to the Fund and (b) affiliates of the Adviser that provide services to the Fund (“Affiliated Service Providers”). |
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
• | Information concerning the nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Fund, as applicable, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the Fund; |
• | Responses to a request for information reviewed prior to the April 6, 2022 and May 11-12, 2022 meetings by Independent Counsel, requesting specific information from each of: |
o | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2021; and the relevant operations of other Affiliated Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2021; |
o | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Fund, with respect to its operations relating to the Fund; and |
o | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 11-12, 2022; and |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1944 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1/14 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 - present). | 59 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1948 | Trustee and Co- Chairperson of the Board | Term: Indefinite Elected: 1988 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Europe, Limited (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to present, Independent Director, SSGA Fixed Income plc; and January 2009 - 2019, Independent Director, SSGA Qualified Funds PLC. | 59 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - present); Board Director and Chairman, SPDR Europe II, PLC (2013 - present). | |||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | 59 | Director of Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present);Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (since 2019); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). | |||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1962 | Trustee and Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | 59 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1945 | Trustee and Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Indefinite Elected: 1988 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 59 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (2001 to 2017) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past Five Years | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1946 | Trustee and Co- Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 59 | None. | |||||
Margaret McLaughlin c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee | Term: Indefinite Appointed: 9/22 | Consultant (since 2020) Bates Group (consultants); Consultant (2019 - 2020) Madison Dearborn Partners (private equity); General Counsel/CCO (2011 - 2019) Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology). | 59 | Director, Manning & Napier Fund Inc. (2021 – present). | |||||
George Pereira c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1964 | Trustee | Term: Indefinite Appointed: 9/22 | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 – September 2020), Charles Schwab Investment Management. | 59 | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds plc. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). | |||||
Interested Trustee(1) | ||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | Trustee and President | Term: Indefinite Elected: 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 59 | Board Director, SSGA SPDR ETFs Europe 1 plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. | ||||||||||
(1) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). | ||||||||||
(2) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. | ||||||||||
* Served in various capacities and/or with various affiliated entities during noted time period. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1967 | President, Trustee | Term: Indefinite Elected: 10/12 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Fund Controller, GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
RYAN HILL SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1982 | Assistant Treasurer | Term: Indefinite Elected: 5/22 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 – present); Assistant Vice President, State Street Bank and Trust Company (May 2014 – May 2017). | |||
JOHN BETTENCOURT SSGA Funds Management, Inc. One Iron Street, Boston, MA 02210 YOB:1976 | Assistant Treasurer | Term: Indefinite Elected: 5/22 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 – present); Assistant Vice President, State Street Global Advisors (June 2007 – March 2020). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indifinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present); Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
Name, Address and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DAVID BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB:1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston,MA 02210 YOB:1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. | ||||||
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
Margaret McLaughlin
George Pereira
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 to the Registrant.
Item 2. Code of Ethics.
As of the end of the period covered by this report, SSGA Funds (the “Trust,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended August 31, 2022 and August 31, 2021, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $62,605 and $84,270, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended August 31, 2022 and August 31, 2021, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended August 31, 2022 and August 31, 2021, the aggregate tax fees billed for professional services rendered by E&Y for the review of year-end distribution requirements and a tax compliance matter were $35,987 and $18,981, respectively.
(d) | All Other Fees |
For the fiscal years ended August 31, 2022 and August 31, 2021, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended August 31, 2022 and August 31, 2021, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $9,327,125 and $7,321,519, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Fund Entity’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable to the Registrant. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
The aggregate non-audit fees billed for by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were as follows:
FY 2022 (in millions) | FY 2021 (in millions) | |||||||
Non audit services billed to: | ||||||||
Registrant: | See Item 4 | (c) | See Item 4 | (c) | ||||
Investment Adviser: | — | — | ||||||
Other entities in the Investment Company Complex (1)(2): | ||||||||
Audit Related Fees | $ | 18.1 | $ | 18.4 | ||||
Tax Fees | $ | 5.4 | $ | 4.4 | ||||
All Other Fees | $ | 14.5 | $ | 14.5 |
(1) | Information is for the calendar years 2022 and 2021, respectively. |
(2) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
(i) | Not applicable to the Registrant. |
(j) | Not applicable to the Registrant. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
(a) | The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | SSGA FUNDS | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | November 3, 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: | November 3, 2022 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | November 3, 2022 |