Quarterly Report
November 30, 2020
SSGA Funds
State Street Dynamic Small Cap Fund |
State Street Defensive Emerging Markets Equity Fund |
State Street International Stock Selection Fund |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
STATE STREET DYNAMIC SMALL CAP FUND
SCHEDULE OF INVESTMENTS
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
COMMON STOCKS — 99.6% | |||||
COMMUNICATION SERVICES — 1.3% | |||||
Consolidated Communications Holdings, Inc. (a) | 2,077 | $11,631 | |||
Glu Mobile, Inc. (a) | 1,788 | 18,077 | |||
Gray Television, Inc. (a) | 5,626 | 99,355 | |||
IDT Corp. Class B (a) | 899 | 10,716 | |||
ORBCOMM, Inc. (a) | 959 | 5,486 | |||
Shenandoah Telecommunications Co. | 995 | 44,218 | |||
TechTarget, Inc. (a) | 214 | 11,235 | |||
TEGNA, Inc. | 617 | 8,891 | |||
Yelp, Inc. (a) | 1,615 | 51,583 | |||
261,192 | |||||
CONSUMER DISCRETIONARY — 14.0% | |||||
1-800-Flowers.com, Inc. Class A (a)(b) | 376 | 8,813 | |||
American Eagle Outfitters, Inc. | 3,688 | 66,347 | |||
America's Car-Mart, Inc. (a) | 191 | 19,960 | |||
Asbury Automotive Group, Inc. (a) | 459 | 51,761 | |||
Beazer Homes USA, Inc. (a) | 1,718 | 25,444 | |||
Bed Bath & Beyond, Inc. (b) | 348 | 7,294 | |||
Big Lots, Inc. | 855 | 44,178 | |||
Buckle, Inc. (b) | 3,023 | 81,077 | |||
Caesars Entertainment, Inc. (a) | 834 | 56,812 | |||
Century Communities, Inc. (a) | 536 | 23,852 | |||
Citi Trends, Inc. | 574 | 19,453 | |||
Cooper Tire & Rubber Co. | 2,238 | 88,916 | |||
Core-Mark Holding Co., Inc. | 1,960 | 61,132 | |||
Dana, Inc. | 1,389 | 23,391 | |||
Deckers Outdoor Corp. (a) | 327 | 83,251 | |||
Dine Brands Global, Inc. | 87 | 5,478 | |||
Escalade, Inc. | 1,861 | 35,861 | |||
Green Brick Partners, Inc. (a) | 446 | 9,709 | |||
Group 1 Automotive, Inc. | 269 | 31,960 | |||
Helen of Troy, Ltd. (a) | 49 | 9,898 | |||
Hibbett Sports, Inc. (a) | 807 | 33,216 | |||
International Game Technology PLC | 2,108 | 26,540 | |||
iRobot Corp. (a)(b) | 489 | 38,352 | |||
Jack in the Box, Inc. | 1,092 | 100,453 | |||
Johnson Outdoors, Inc. Class A | 456 | 38,122 | |||
KB Home | 1,948 | 68,570 | |||
Kontoor Brands, Inc. (a) | 545 | 22,710 | |||
LCI Industries | 527 | 66,286 | |||
Lithia Motors, Inc. Class A | 390 | 112,827 | |||
M/I Homes, Inc. (a) | 253 | 11,499 | |||
Malibu Boats, Inc. Class A (a) | 272 | 15,501 | |||
Marine Products Corp. | 539 | 8,311 | |||
MarineMax, Inc. (a) | 1,115 | 36,617 | |||
MDC Holdings, Inc. | 872 | 42,091 | |||
Meritage Homes Corp. (a) | 1,533 | 138,200 | |||
Murphy USA, Inc. | 958 | 122,816 |
Security Description | Shares | Value | |||
ODP Corp. | 1,446 | $41,457 | |||
Overstock.com, Inc. (a) | 366 | 24,701 | |||
Patrick Industries, Inc. | 1,127 | 71,046 | |||
Penn National Gaming, Inc. (a) | 994 | 69,580 | |||
Perdoceo Education Corp. (a) | 1,094 | 12,406 | |||
PetMed Express, Inc. (b) | 203 | 6,232 | |||
Rent-A-Center, Inc. | 2,422 | 81,912 | |||
Rocky Brands, Inc. | 2,537 | 73,573 | |||
Signet Jewelers, Ltd. (b) | 382 | 11,571 | |||
Sleep Number Corp. (a) | 842 | 58,426 | |||
Sonic Automotive, Inc. Class A | 729 | 29,437 | |||
Stamps.com, Inc. (a) | 173 | 32,431 | |||
Standard Motor Products, Inc. | 2,650 | 122,669 | |||
Steven Madden, Ltd. | 459 | 14,445 | |||
Sturm Ruger & Co., Inc. | 79 | 4,838 | |||
Taylor Morrison Home Corp. (a) | 2,740 | 69,267 | |||
Texas Roadhouse, Inc. | 898 | 68,068 | |||
TopBuild Corp. (a) | 706 | 123,006 | |||
TRI Pointe Group, Inc. (a) | 8,435 | 147,444 | |||
Tupperware Brands Corp. (a) | 626 | 21,065 | |||
Workhorse Group, Inc. (a)(b) | 252 | 6,393 | |||
Zumiez, Inc. (a) | 451 | 16,728 | |||
2,743,393 | |||||
CONSUMER STAPLES — 3.9% | |||||
Andersons, Inc. | 522 | 11,865 | |||
B&G Foods, Inc. (b) | 3,166 | 87,667 | |||
BellRing Brands, Inc. Class A (a) | 892 | 18,197 | |||
BJ's Wholesale Club Holdings, Inc. (a) | 1,135 | 46,524 | |||
Central Garden & Pet Co. (a) | 2,412 | 96,576 | |||
Central Garden & Pet Co. Class A (a) | 3,527 | 130,111 | |||
Darling Ingredients, Inc. (a) | 2,887 | 139,384 | |||
Ingles Markets, Inc. Class A | 1,310 | 49,243 | |||
Medifast, Inc. | 261 | 53,281 | |||
Oil-Dri Corp. of America | 139 | 4,786 | |||
Seneca Foods Corp. Class A (a) | 1,279 | 53,564 | |||
SpartanNash Co. | 1,622 | 30,623 | |||
USANA Health Sciences, Inc. (a) | 411 | 30,899 | |||
Vector Group, Ltd. | 1,401 | 15,747 | |||
768,467 | |||||
ENERGY — 1.8% | |||||
Berry Corp. | 4,193 | 16,101 | |||
Bonanza Creek Energy, Inc. (a) | 263 | 5,804 | |||
Cactus, Inc. Class A | 831 | 19,279 | |||
CNX Resources Corp. (a) | 787 | 7,406 | |||
DHT Holdings, Inc. | 3,719 | 19,004 | |||
Green Plains, Inc. (a) | 597 | 8,824 | |||
Matador Resources Co. (a) | 1,298 | 13,214 | |||
Ovintiv, Inc. | 4,029 | 51,410 | |||
Patterson-UTI Energy, Inc. | 7,737 | 33,346 | |||
Range Resources Corp. | 3,727 | 27,207 | |||
Renewable Energy Group, Inc. (a) | 956 | 55,524 | |||
Southwestern Energy Co. (a) | 13,161 | 40,931 |
See accompanying notes to schedule of investments.
1
STATE STREET DYNAMIC SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
World Fuel Services Corp. | 1,483 | $42,147 | |||
340,197 | |||||
FINANCIALS — 17.2% | |||||
1st Source Corp. | 3,429 | 127,970 | |||
Amalgamated Bank Class A | 2,003 | 25,478 | |||
A-Mark Precious Metals, Inc. | 439 | 13,429 | |||
Artisan Partners Asset Management, Inc. Class A | 3,679 | 165,555 | |||
Bancorp, Inc. (a) | 4,646 | 54,823 | |||
BankFinancial Corp. | 3,360 | 27,115 | |||
Brightsphere Investment Group, Inc. | 3,437 | 60,835 | |||
Cadence BanCorp | 6,517 | 90,847 | |||
Central Pacific Financial Corp. | 1,417 | 23,225 | |||
Chemung Financial Corp. | 342 | 11,474 | |||
Cherry Hill Mortgage Investment Corp. REIT | 1,691 | 15,321 | |||
Civista Bancshares, Inc. | 2,866 | 48,235 | |||
CNO Financial Group, Inc. | 7,578 | 161,260 | |||
Cowen, Inc. Class A (b) | 1,913 | 45,836 | |||
Donegal Group, Inc. Class A | 2,217 | 30,994 | |||
Donnelley Financial Solutions, Inc. (a) | 1,483 | 24,158 | |||
Dynex Capital, Inc. REIT (b) | 1,534 | 27,014 | |||
Eagle Bancorp Montana, Inc. | 1,718 | 35,408 | |||
ESSA Bancorp, Inc. | 1,274 | 20,155 | |||
Essent Group, Ltd. | 790 | 34,649 | |||
Federated Hermes, Inc. | 5,718 | 153,471 | |||
First Commonwealth Financial Corp. | 889 | 8,597 | |||
First Financial Bancorp | 372 | 5,971 | |||
First Internet Bancorp | 431 | 11,025 | |||
First Northwest Bancorp | 3,101 | 46,515 | |||
Flagstar Bancorp, Inc. | 4,226 | 148,079 | |||
FS Bancorp, Inc. | 626 | 33,491 | |||
HCI Group, Inc. | 958 | 49,960 | |||
Heartland Financial USA, Inc. | 130 | 5,067 | |||
Independent Bank Corp. | 3,583 | 60,947 | |||
International Bancshares Corp. | 1,345 | 43,591 | |||
Investors Bancorp, Inc. | 4,237 | 41,014 | |||
Investors Title Co. | 103 | 17,510 | |||
KKR Real Estate Finance Trust, Inc. REIT | 6,544 | 119,297 | |||
Macatawa Bank Corp. | 1,491 | 11,570 | |||
Meridian Corp. | 735 | 13,671 | |||
Mr Cooper Group, Inc. (a) | 1,513 | 40,337 | |||
Navient Corp. | 11,425 | 107,052 | |||
Northeast Bank (a) | 1,418 | 30,884 | |||
Northrim BanCorp, Inc. | 1,921 | 61,030 | |||
Oppenheimer Holdings, Inc. Class A | 578 | 17,045 | |||
PennyMac Financial Services, Inc. | 2,262 | 130,382 | |||
Piper Sandler Cos. | 485 | 44,702 | |||
Premier Financial Bancorp, Inc. | 566 | 7,534 | |||
Premier Financial Corp. | 2,547 | 52,748 |
Security Description | Shares | Value | |||
Prog Holdings, Inc. (a) | 1,453 | $91,437 | |||
Radian Group, Inc. | 6,286 | 118,680 | |||
Shore Bancshares, Inc. | 3,187 | 44,140 | |||
Sierra Bancorp | 4,414 | 97,108 | |||
Stewart Information Services Corp. | 1,975 | 82,693 | |||
Stifel Financial Corp. | 2,658 | 184,199 | |||
Territorial Bancorp, Inc. | 672 | 14,992 | |||
UMB Financial Corp. | 510 | 34,685 | |||
Unity Bancorp, Inc. | 429 | 7,546 | |||
Virtus Investment Partners, Inc. | 827 | 147,934 | |||
Waddell & Reed Financial, Inc. Class A | 7,672 | 126,281 | |||
Walker & Dunlop, Inc. | 1,428 | 114,254 | |||
3,369,220 | |||||
HEALTH CARE — 19.2% | |||||
Addus HomeCare Corp. (a) | 204 | 20,247 | |||
Allakos, Inc. (a)(b) | 130 | 13,914 | |||
Allogene Therapeutics, Inc. (a) | 242 | 7,514 | |||
Allscripts Healthcare Solutions, Inc. (a) | 4,515 | 61,765 | |||
Amicus Therapeutics, Inc. (a) | 3,261 | 74,644 | |||
AMN Healthcare Services, Inc. (a) | 642 | 41,833 | |||
Amneal Pharmaceuticals, Inc. (a)(b) | 7,519 | 29,700 | |||
Amphastar Pharmaceuticals, Inc. (a) | 6,817 | 121,070 | |||
ANI Pharmaceuticals, Inc. (a) | 519 | 15,342 | |||
Anika Therapeutics, Inc. (a) | 332 | 12,550 | |||
Apellis Pharmaceuticals, Inc. (a) | 300 | 14,142 | |||
Arcturus Therapeutics Holdings, Inc. (a)(b) | 232 | 21,288 | |||
Arena Pharmaceuticals, Inc. (a) | 753 | 49,600 | |||
Arrowhead Pharmaceuticals, Inc. (a)(b) | 1,019 | 63,718 | |||
Atara Biotherapeutics, Inc. (a) | 489 | 11,340 | |||
Biohaven Pharmaceutical Holding Co., Ltd. (a) | 327 | 29,087 | |||
Bioxcel Therapeutics, Inc. (a) | 88 | 3,872 | |||
Blueprint Medicines Corp. (a) | 416 | 44,961 | |||
Bridgebio Pharma, Inc. (a)(b) | 450 | 22,608 | |||
CareDx, Inc. (a) | 256 | 14,636 | |||
Castle Biosciences, Inc. (a) | 170 | 8,085 | |||
Catabasis Pharmaceuticals, Inc. (a)(b) | 3,318 | 5,475 | |||
Champions Oncology, Inc. (a) | 944 | 10,733 | |||
Checkpoint Therapeutics, Inc. (a)(b) | 3,383 | 8,119 | |||
ChemoCentryx, Inc. (a) | 269 | 14,835 | |||
Chinook Therapeutics, Inc. (a) | 1,258 | 17,587 | |||
Clovis Oncology, Inc. (a) | 909 | 4,472 | |||
Coherus Biosciences, Inc. (a)(b) | 1,890 | 34,889 | |||
Community Health Systems, Inc. (a) | 1,525 | 12,474 |
See accompanying notes to schedule of investments.
2
STATE STREET DYNAMIC SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
Computer Programs & Systems, Inc. | 3,122 | $88,758 | |||
Concert Pharmaceuticals, Inc. (a) | 1,181 | 13,463 | |||
CONMED Corp. | 336 | 34,235 | |||
Contra Aduro Biotech I (a) | 1,258 | 164 | |||
Contra Pfenex, Inc. (a) | 2,042 | 1,532 | |||
Corcept Therapeutics, Inc. (a) | 1,096 | 24,813 | |||
CorVel Corp. (a) | 895 | 80,147 | |||
Covetrus, Inc. (a) | 1,591 | 42,981 | |||
Cue Biopharma, Inc. (a) | 382 | 5,342 | |||
CytomX Therapeutics, Inc. (a) | 1,955 | 14,702 | |||
Deciphera Pharmaceuticals, Inc. (a) | 181 | 11,186 | |||
Denali Therapeutics, Inc. (a) | 377 | 22,986 | |||
Dicerna Pharmaceuticals, Inc. (a) | 176 | 4,448 | |||
Eagle Pharmaceuticals, Inc. (a) | 395 | 17,972 | |||
Editas Medicine, Inc. (a)(b) | 620 | 18,966 | |||
Emergent BioSolutions, Inc. (a) | 640 | 52,435 | |||
Enanta Pharmaceuticals, Inc. (a) | 650 | 26,780 | |||
Endo International PLC (a) | 1,512 | 7,681 | |||
Ensign Group, Inc. | 1,571 | 112,908 | |||
Evolent Health, Inc. Class A (a) | 360 | 5,231 | |||
Fate Therapeutics, Inc. (a) | 859 | 50,221 | |||
FibroGen, Inc. (a) | 524 | 21,646 | |||
FONAR Corp. (a) | 3,644 | 70,001 | |||
Fortress Biotech, Inc. (a)(b) | 3,657 | 10,057 | |||
Halozyme Therapeutics, Inc. (a) | 1,846 | 72,179 | |||
Harvard Bioscience, Inc. (a) | 5,829 | 22,850 | |||
Heron Therapeutics, Inc. (a)(b) | 245 | 4,246 | |||
ImmunoGen, Inc. (a) | 1,410 | 7,685 | |||
Immunovant, Inc. (a) | 106 | 5,214 | |||
InfuSystem Holdings, Inc. (a) | 3,082 | 49,312 | |||
Inovalon Holdings, Inc. Class A (a) | 2,612 | 48,766 | |||
Inovio Pharmaceuticals, Inc. (a)(b) | 1,414 | 17,279 | |||
Insmed, Inc. (a) | 665 | 25,942 | |||
Intellia Therapeutics, Inc. (a)(b) | 153 | 6,008 | |||
Invitae Corp. (a)(b) | 840 | 41,706 | |||
iRhythm Technologies, Inc. (a) | 150 | 36,676 | |||
Ironwood Pharmaceuticals, Inc. (a) | 2,966 | 34,168 | |||
Jounce Therapeutics, Inc. (a) | 542 | 3,875 | |||
Kodiak Sciences, Inc. (a) | 166 | 22,687 | |||
Kura Oncology, Inc. (a) | 190 | 6,897 | |||
Lannett Co., Inc. (a)(b) | 1,531 | 9,431 | |||
LHC Group, Inc. (a) | 496 | 97,375 | |||
Ligand Pharmaceuticals, Inc. (a)(b) | 475 | 40,076 | |||
Luminex Corp. | 317 | 7,522 | |||
MacroGenics, Inc. (a) | 1,121 | 25,861 | |||
Magellan Health, Inc. (a) | 746 | 58,971 | |||
Medpace Holdings, Inc. (a) | 248 | 31,833 | |||
Meridian Bioscience, Inc. (a) | 1,919 | 36,269 | |||
Minerva Neurosciences, Inc. (a) | 4,139 | 16,101 |
Security Description | Shares | Value | |||
Mirati Therapeutics, Inc. (a) | 318 | $75,636 | |||
Natera, Inc. (a) | 722 | 63,731 | |||
National HealthCare Corp. | 1,340 | 83,375 | |||
Neogen Corp. (a) | 307 | 22,786 | |||
NeoGenomics, Inc. (a) | 279 | 13,275 | |||
NextGen Healthcare, Inc. (a) | 3,061 | 54,302 | |||
Novavax, Inc. (a)(b) | 604 | 84,258 | |||
Omnicell, Inc. (a) | 381 | 39,948 | |||
OPKO Health, Inc. (a)(b) | 4,021 | 18,657 | |||
Osmotica Pharmaceuticals PLC (a)(b) | 1,825 | 11,169 | |||
Owens & Minor, Inc. | 646 | 16,641 | |||
Pacific Biosciences of California, Inc. (a) | 550 | 8,696 | |||
Patterson Cos., Inc. | 1,262 | 35,033 | |||
PetIQ, Inc. (a)(b) | 230 | 6,619 | |||
Phibro Animal Health Corp. Class A | 1,057 | 19,967 | |||
Prestige Consumer Healthcare, Inc. (a) | 3,308 | 117,666 | |||
Providence Service Corp. (a) | 1,182 | 160,504 | |||
PTC Therapeutics, Inc. (a) | 437 | 27,343 | |||
R1 RCM, Inc. (a) | 233 | 4,725 | |||
Relay Therapeutics, Inc. (a) | 102 | 5,438 | |||
Retractable Technologies, Inc. (a)(b) | 982 | 11,372 | |||
Select Medical Holdings Corp. (a) | 6,677 | 160,916 | |||
Seres Therapeutics, Inc. (a) | 455 | 12,563 | |||
Simulations Plus, Inc. | 126 | 7,052 | |||
Sorrento Therapeutics, Inc. (a)(b) | 2,069 | 16,966 | |||
Supernus Pharmaceuticals, Inc. (a) | 1,976 | 42,089 | |||
Syndax Pharmaceuticals, Inc. (a) | 309 | 7,160 | |||
Tenet Healthcare Corp. (a) | 1,941 | 61,006 | |||
TG Therapeutics, Inc. (a) | 906 | 26,582 | |||
Tivity Health, Inc. (a) | 429 | 7,906 | |||
Travere Therapeutics, Inc. (a) | 1,155 | 26,484 | |||
Triple-S Management Corp. Class B (a) | 1,301 | 29,155 | |||
Turning Point Therapeutics, Inc. (a) | 210 | 22,365 | |||
Twist Bioscience Corp. (a) | 188 | 21,007 | |||
Ultragenyx Pharmaceutical, Inc. (a) | 472 | 55,951 | |||
Utah Medical Products, Inc. | 341 | 29,439 | |||
Vanda Pharmaceuticals, Inc. (a) | 2,392 | 29,206 | |||
Veracyte, Inc. (a) | 286 | 15,590 | |||
Vir Biotechnology, Inc. (a)(b) | 105 | 3,347 | |||
Voyager Therapeutics, Inc. (a) | 2,005 | 16,682 | |||
Xencor, Inc. (a) | 445 | 18,832 | |||
3,749,523 | |||||
INDUSTRIALS — 16.6% | |||||
Altra Industrial Motion Corp. | 516 | 29,288 | |||
Apogee Enterprises, Inc. | 438 | 11,493 |
See accompanying notes to schedule of investments.
3
STATE STREET DYNAMIC SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
ArcBest Corp. | 1,185 | $49,663 | |||
ASGN, Inc. (a) | 841 | 65,749 | |||
Atkore International Group, Inc. (a) | 1,427 | 55,625 | |||
Atlas Air Worldwide Holdings, Inc. (a) | 323 | 18,027 | |||
Barrett Business Services, Inc. | 352 | 23,482 | |||
Comfort Systems USA, Inc. | 735 | 37,037 | |||
Costamare, Inc. | 5,157 | 37,027 | |||
CSW Industrials, Inc. | 677 | 72,635 | |||
EMCOR Group, Inc. | 2,181 | 187,959 | |||
Franklin Electric Co., Inc. | 982 | 66,373 | |||
GATX Corp. | 212 | 16,909 | |||
GMS, Inc. (a) | 1,127 | 35,196 | |||
Great Lakes Dredge & Dock Corp. (a) | 1,765 | 19,927 | |||
Griffon Corp. | 672 | 14,011 | |||
H&E Equipment Services, Inc. | 1,267 | 34,057 | |||
Herman Miller, Inc. | 1,305 | 46,510 | |||
HNI Corp. | 4,184 | 152,549 | |||
Hub Group, Inc. Class A (a) | 703 | 38,398 | |||
Insperity, Inc. | 479 | 40,955 | |||
KAR Auction Services, Inc. | 2,921 | 52,724 | |||
Kforce, Inc. | 2,829 | 116,131 | |||
LSI Industries, Inc. | 813 | 6,358 | |||
Marten Transport, Ltd. | 1,091 | 19,234 | |||
Masonite International Corp. (a) | 827 | 82,741 | |||
Matson, Inc. | 75 | 4,360 | |||
Maxar Technologies, Inc. | 994 | 27,643 | |||
McGrath RentCorp | 1,877 | 119,452 | |||
Meritor, Inc. (a) | 2,263 | 59,743 | |||
Mueller Industries, Inc. | 1,500 | 49,140 | |||
MYR Group, Inc. (a) | 501 | 25,616 | |||
National Presto Industries, Inc. | 95 | 8,080 | |||
Orion Energy Systems, Inc. (a) | 2,113 | 21,806 | |||
Pitney Bowes, Inc. | 2,569 | 14,643 | |||
Plug Power, Inc. (a) | 1,958 | 51,672 | |||
Primoris Services Corp. | 3,877 | 94,017 | |||
Quanex Building Products Corp. | 3,099 | 63,839 | |||
Rexnord Corp. | 1,411 | 52,927 | |||
Rush Enterprises, Inc. Class A | 4,243 | 162,634 | |||
Rush Enterprises, Inc. Class B | 4,491 | 152,649 | |||
Simpson Manufacturing Co., Inc. | 1,298 | 119,286 | |||
SkyWest, Inc. | 358 | 15,369 | |||
Standex International Corp. | 1,253 | 94,551 | |||
Steelcase, Inc. Class A | 3,126 | 37,981 | |||
Sunrun, Inc. (a) | 95 | 6,088 | |||
Textainer Group Holdings, Ltd. (a) | 2,275 | 41,906 | |||
TriNet Group, Inc. (a) | 1,613 | 120,975 | |||
Triton International, Ltd. | 3,639 | 164,701 | |||
UFP Industries, Inc. | 2,295 | 123,127 | |||
Universal Logistics Holdings, Inc. | 553 | 11,895 | |||
Wabash National Corp. | 3,573 | 63,171 | |||
Werner Enterprises, Inc. | 3,486 | 139,405 |
Security Description | Shares | Value | |||
WESCO International, Inc. (a) | 1,022 | $66,655 | |||
3,243,389 | |||||
INFORMATION TECHNOLOGY — 14.5% | |||||
ADTRAN, Inc. | 898 | 11,346 | |||
Advanced Energy Industries, Inc. (a) | 1,054 | 101,669 | |||
Alarm.com Holdings, Inc. (a) | 671 | 50,936 | |||
Alpha & Omega Semiconductor, Ltd. (a) | 1,087 | 27,001 | |||
Amkor Technology, Inc. (a) | 6,854 | 101,028 | |||
Avaya Holdings Corp. (a) | 2,997 | 55,774 | |||
Avid Technology, Inc. (a) | 2,514 | 30,545 | |||
Axcelis Technologies, Inc. (a) | 2,172 | 58,601 | |||
Cambium Networks Corp. (a) | 188 | 5,087 | |||
Cerence, Inc. (a)(b) | 457 | 41,473 | |||
ChannelAdvisor Corp. (a) | 685 | 10,104 | |||
CommVault Systems, Inc. (a) | 152 | 7,260 | |||
CTS Corp. | 612 | 18,642 | |||
Digital Turbine, Inc. (a) | 882 | 39,672 | |||
Diodes, Inc. (a) | 2,443 | 166,026 | |||
Domo, Inc. Class B (a) | 231 | 8,776 | |||
Ebix, Inc. (b) | 1,244 | 42,308 | |||
EVERTEC, Inc. | 2,069 | 76,905 | |||
ExlService Holdings, Inc. (a) | 129 | 10,741 | |||
Extreme Networks, Inc. (a) | 4,545 | 25,543 | |||
Fabrinet (a) | 1,887 | 128,901 | |||
FormFactor, Inc. (a) | 3,035 | 124,435 | |||
Hackett Group, Inc. | 740 | 10,419 | |||
II-VI, Inc. (a) | 269 | 18,198 | |||
Information Services Group, Inc. (a) | 4,619 | 13,949 | |||
InterDigital, Inc. | 972 | 58,232 | |||
J2 Global, Inc. (a) | 1,680 | 150,545 | |||
MACOM Technology Solutions Holdings, Inc. (a) | 390 | 17,425 | |||
ManTech International Corp. Class A | 96 | 7,389 | |||
Methode Electronics, Inc. | 471 | 16,494 | |||
MicroStrategy, Inc. Class A (a) | 487 | 166,929 | |||
NETGEAR, Inc. (a) | 2,844 | 90,468 | |||
NetScout Systems, Inc. (a) | 1,635 | 38,292 | |||
OneSpan, Inc. (a) | 652 | 12,897 | |||
OSI Systems, Inc. (a) | 1,716 | 151,180 | |||
Perficient, Inc. (a) | 672 | 30,596 | |||
Perspecta, Inc. | 904 | 20,268 | |||
Photronics, Inc. (a) | 2,350 | 27,236 | |||
Plexus Corp. (a) | 2,070 | 154,650 | |||
Progress Software Corp. | 2,744 | 110,034 | |||
Qualys, Inc. (a) | 878 | 83,419 | |||
Rambus, Inc. (a) | 1,180 | 18,550 | |||
Semtech Corp. (a) | 1,330 | 89,735 | |||
SPS Commerce, Inc. (a) | 1,071 | 110,388 | |||
Super Micro Computer, Inc. (a) | 1,426 | 40,227 | |||
Sykes Enterprises, Inc. (a) | 1,934 | 72,776 | |||
Synaptics, Inc. (a) | 64 | 4,977 |
See accompanying notes to schedule of investments.
4
STATE STREET DYNAMIC SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
Telenav, Inc. (a) | 1,376 | $6,536 | |||
Verint Systems, Inc. (a) | 1,121 | 63,852 | |||
Vishay Intertechnology, Inc. | 5,458 | 105,667 | |||
Xperi Holding Corp. | 314 | 5,991 | |||
2,840,092 | |||||
MATERIALS — 4.5% | |||||
Avient Corp. | 2,352 | 85,966 | |||
Balchem Corp. | 370 | 38,365 | |||
Boise Cascade Co. | 2,334 | 100,945 | |||
Coeur Mining, Inc. (a) | 922 | 6,537 | |||
Compass Minerals International, Inc. | 299 | 18,676 | |||
FutureFuel Corp. | 1,080 | 12,949 | |||
Hawkins, Inc. | 1,432 | 71,858 | |||
HB Fuller Co. | 643 | 33,648 | |||
Koppers Holdings, Inc. (a) | 1,242 | 33,621 | |||
Kraton Corp. (a) | 353 | 9,531 | |||
Louisiana-Pacific Corp. | 1,842 | 63,052 | |||
Minerals Technologies, Inc. | 1,721 | 104,413 | |||
Schnitzer Steel Industries, Inc. Class A | 204 | 5,226 | |||
Schweitzer-Mauduit International, Inc. | 638 | 22,190 | |||
Stepan Co. | 759 | 88,165 | |||
SunCoke Energy, Inc. | 1,847 | 8,312 | |||
Trinseo SA | 1,076 | 40,877 | |||
Tronox Holdings PLC Class A (a) | 1,175 | 14,864 | |||
Worthington Industries, Inc. | 2,324 | 120,197 | |||
879,392 | |||||
REAL ESTATE — 4.9% | |||||
American Finance Trust, Inc. REIT | 1,952 | 14,406 | |||
Bluerock Residential Growth REIT, Inc. | 2,253 | 22,981 | |||
Colony Capital, Inc. REIT | 2,772 | 11,975 | |||
Columbia Property Trust, Inc. REIT | 2,228 | 31,147 | |||
CorePoint Lodging, Inc. REIT | 4,687 | 30,512 | |||
Diversified Healthcare Trust REIT | 7,097 | 31,298 | |||
Farmland Partners, Inc. REIT (b) | 978 | 7,804 | |||
Franklin Street Properties Corp. REIT | 1,071 | 4,969 | |||
GEO Group, Inc. REIT (b) | 2,333 | 22,047 | |||
Investors Real Estate Trust REIT | 324 | 22,486 | |||
Kite Realty Group Trust REIT | 2,482 | 35,741 | |||
Lexington Realty Trust REIT | 5,194 | 53,031 | |||
National Health Investors, Inc. REIT | 329 | 21,273 | |||
Office Properties Income Trust REIT | 2,992 | 68,367 | |||
Piedmont Office Realty Trust, Inc. Class A, REIT | 7,621 | 119,116 | |||
Plymouth Industrial REIT, Inc. | 328 | 4,310 | |||
PotlatchDeltic Corp. REIT | 1,892 | 88,054 |
Security Description | Shares | Value | |||
PS Business Parks, Inc. REIT | 932 | $122,837 | |||
Realogy Holdings Corp. (a)(b) | 4,466 | 54,976 | |||
RPT Realty REIT | 4,233 | 31,028 | |||
Sabra Health Care REIT, Inc. | 3,906 | 64,371 | |||
UMH Properties, Inc. REIT | 330 | 4,729 | |||
Uniti Group, Inc. REIT | 2,045 | 21,023 | |||
Urban Edge Properties REIT | 1,597 | 20,729 | |||
Whitestone REIT | 6,111 | 45,955 | |||
955,165 | |||||
UTILITIES — 1.7% | |||||
Atlantic Power Corp. (a)(b) | 21,486 | 44,261 | |||
Black Hills Corp. | 423 | 25,731 | |||
Brookfield Infrastructure Corp. Class A | 1,669 | 111,239 | |||
Genie Energy, Ltd. Class B | 1,181 | 9,802 | |||
Otter Tail Corp. | 1,244 | 49,536 | |||
Portland General Electric Co. | 2,213 | 91,574 | |||
332,143 | |||||
TOTAL COMMON STOCKS (Cost $16,883,014) | 19,482,173 |
SHORT-TERM INVESTMENTS — 3.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.06% (c) (d) | 146,839 | 146,839 | |
State Street Navigator Securities Lending Portfolio II (e) (f) | 533,857 | 533,857 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $680,696) | 680,696 | ||
TOTAL INVESTMENTS — 103.1% (Cost $17,563,710) | 20,162,869 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.1)% | (597,013) | ||
NET ASSETS — 100.0% | $19,565,856 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at November 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended November 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at November 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended November 30, 2020 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
See accompanying notes to schedule of investments.
5
STATE STREET DYNAMIC SMALL CAP FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
At November 30, 2020, open futures contracts purchased were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-Mini Russell 2000 Index (long) | 1 | 12/18/2020 | $77,942 | $91,005 | $13,063 |
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of November 30, 2020.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $19,480,477 | $1,696 | $— | $19,482,173 | ||||
Short-Term Investments | 680,696 | — | — | 680,696 | ||||
TOTAL INVESTMENTS | $20,161,173 | $1,696 | $— | $20,162,869 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 13,063 | — | — | 13,063 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $13,063 | $— | $— | $13,063 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $20,174,236 | $1,696 | $— | $20,175,932 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 11/30/20 | Value at 11/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 97,730 | $97,730 | $1,289,708 | $1,240,599 | $— | $— | 146,839 | $146,839 | $28 | ||||||||
State Street Navigator Securities Lending Portfolio II | 649,271 | 649,271 | 1,003,478 | 1,118,892 | — | — | 533,857 | 533,857 | 2,546 | ||||||||
Total | $747,001 | $2,293,186 | $2,359,491 | $— | $— | $680,696 | $2,574 |
See accompanying notes to schedule of investments.
6
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
COMMON STOCKS — 97.5% | |||||
BRAZIL — 1.5% | |||||
EDP - Energias do Brasil SA | 30,900 | $106,991 | |||
SLC Agricola SA | 36,600 | 183,840 | |||
Transmissora Alianca de Energia Eletrica SA | 60,800 | 375,759 | |||
666,590 | |||||
CHILE — 0.2% | |||||
AES Gener SA | 506,998 | 89,834 | |||
CHINA — 29.4% | |||||
Alibaba Group Holding, Ltd. ADR (a) | 3,900 | 1,027,104 | |||
Baidu, Inc. ADR (a) | 5,600 | 778,344 | |||
Bank of Communications Co., Ltd. Class A | 115,800 | 82,863 | |||
Bank of Communications Co., Ltd. Class H | 117,000 | 64,756 | |||
CGN Power Co., Ltd. Class H (b) | 305,000 | 65,320 | |||
China Communications Services Corp., Ltd. Class H | 372,000 | 198,693 | |||
China Construction Bank Corp. Class H | 1,212,000 | 950,705 | |||
China Longyuan Power Group Corp., Ltd. Class H | 135,000 | 113,559 | |||
China Meidong Auto Holdings, Ltd. | 14,000 | 60,689 | |||
China Minsheng Banking Corp., Ltd. Class H (c) | 245,500 | 135,561 | |||
China Petroleum & Chemical Corp. Class H | 650,000 | 294,347 | |||
China Railway Construction Corp., Ltd. Class H | 114,500 | 75,634 | |||
China Resources Power Holdings Co., Ltd. | 446,000 | 474,134 | |||
China Shenhua Energy Co., Ltd. Class A | 139,700 | 416,413 | |||
China Shenhua Energy Co., Ltd. Class H | 362,000 | 699,616 | |||
China Telecom Corp., Ltd. Class H | 724,000 | 218,572 | |||
China Yangtze Power Co., Ltd. Class A | 165,200 | 504,721 | |||
Daqin Railway Co., Ltd. Class A | 417,200 | 429,737 | |||
Guangdong Provincial Expressway Development Co., Ltd. Class B | 1,133,400 | 627,307 | |||
Hengan International Group Co., Ltd. | 134,000 | 924,907 | |||
JD.com, Inc. ADR (a) | 1,300 | 110,955 | |||
Jiangsu Expressway Co., Ltd. Class H | 370,000 | 416,253 | |||
Lenovo Group, Ltd. | 426,000 | 303,930 | |||
Meituan Class B (a) | 2,900 | 108,501 | |||
Nanjing Iron & Steel Co., Ltd. Class A | 455,400 | 225,548 | |||
NetEase, Inc. ADR | 900 | 81,333 |
Security Description | Shares | Value | |||
SDIC Power Holdings Co., Ltd. Class A | 389,600 | $560,529 | |||
Shanghai Yuyuan Tourist Mart Group Co., Ltd. Class A | 163,985 | 225,217 | |||
Sinotruk Hong Kong, Ltd. | 28,500 | 70,744 | |||
TangShan Port Group Co., Ltd. Class A | 305,800 | 121,722 | |||
Tencent Holdings, Ltd. | 10,500 | 762,671 | |||
Tianneng Power International, Ltd. (c) | 64,000 | 134,258 | |||
Vipshop Holdings, Ltd. ADR (a) | 11,400 | 291,156 | |||
Wuchan Zhongda Group Co., Ltd. Class A | 226,900 | 158,225 | |||
Zhongsheng Group Holdings, Ltd. | 139,000 | 1,043,704 | |||
12,757,728 | |||||
CZECH REPUBLIC — 2.5% | |||||
Moneta Money Bank A/S (a)(b) | 19,018 | 56,768 | |||
O2 Czech Republic A/S | 87,177 | 950,577 | |||
Philip Morris CR A/S | 118 | 77,093 | |||
1,084,438 | |||||
GREECE — 0.2% | |||||
Aegean Airlines SA (a) | 16,501 | 88,574 | |||
HONG KONG — 3.0% | |||||
China Mobile, Ltd. | 18,200 | 108,950 | |||
China Resources Cement Holdings, Ltd. | 426,000 | 529,817 | |||
Yuexiu Real Estate Investment Trust | 760,000 | 366,712 | |||
Yuexiu Transport Infrastructure, Ltd. | 502,000 | 317,998 | |||
1,323,477 | |||||
HUNGARY — 0.7% | |||||
Magyar Telekom Telecommunications PLC | 242,849 | 313,327 | |||
INDIA — 9.7% | |||||
Coal India, Ltd. | 50,966 | 86,404 | |||
Divi's Laboratories, Ltd. | 7,581 | 369,047 | |||
Dr Reddy's Laboratories, Ltd. | 6,963 | 454,033 | |||
HCL Technologies, Ltd. | 92,188 | 1,023,381 | |||
Hindustan Petroleum Corp., Ltd. | 53,994 | 152,636 | |||
Infosys, Ltd. | 66,603 | 989,293 | |||
Tata Consultancy Services, Ltd. | 7,762 | 280,860 | |||
Tech Mahindra, Ltd. | 56,147 | 664,799 | |||
Wipro, Ltd. | 43,638 | 206,534 | |||
4,226,987 | |||||
MALAYSIA — 2.1% | |||||
AMMB Holdings Bhd | 124,200 | 101,214 | |||
IGB Real Estate Investment Trust | 329,400 | 134,218 | |||
MISC Bhd | 232,400 | 387,333 | |||
PPB Group Bhd | 35,220 | 160,798 |
See accompanying notes to schedule of investments.
7
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
RHB Bank Bhd | 87,400 | $110,484 | |||
894,047 | |||||
MEXICO — 0.9% | |||||
Altos Hornos de Mexico SA de CV (a)(d) | 499,000 | — | |||
Arca Continental SAB de CV | 42,100 | 205,436 | |||
Gruma SAB de CV Class B | 14,885 | 163,777 | |||
369,213 | |||||
PAKISTAN — 1.3% | |||||
Indus Motor Co., Ltd. | 17,140 | 123,637 | |||
MCB Bank, Ltd. | 56,300 | 62,534 | |||
Oil & Gas Development Co., Ltd. | 599,800 | 373,991 | |||
560,162 | |||||
PHILIPPINES — 2.8% | |||||
Globe Telecom, Inc. | 13,815 | 559,726 | |||
Manila Electric Co. | 108,420 | 635,006 | |||
1,194,732 | |||||
POLAND — 0.3% | |||||
Neuca SA | 814 | 135,110 | |||
QATAR — 3.0% | |||||
Barwa Real Estate Co. | 172,618 | 156,466 | |||
Masraf Al Rayan QSC | 62,132 | 72,851 | |||
Ooredoo QSC | 177,963 | 330,344 | |||
Qatar Gas Transport Co., Ltd. | 253,190 | 225,189 | |||
Qatar Islamic Bank SAQ | 110,760 | 506,696 | |||
1,291,546 | |||||
RUSSIA — 3.2% | |||||
Alrosa PJSC (a) | 880,349 | 1,012,180 | |||
Mobile TeleSystems PJSC ADR | 26,100 | 225,243 | |||
X5 Retail Group NV GDR | 4,487 | 161,083 | |||
1,398,506 | |||||
SAUDI ARABIA — 4.7% | |||||
Advanced Petrochemical Co. | 11,872 | 194,670 | |||
Al Rajhi Bank | 10,813 | 215,649 | |||
Bank Al-Jazira | 95,544 | 349,508 | |||
Jarir Marketing Co. | 9,513 | 446,405 | |||
Qassim Cement Co. | 14,089 | 285,116 | |||
Riyad Bank | 12,745 | 70,749 | |||
Samba Financial Group | 12,761 | 105,134 | |||
Saudi Basic Industries Corp. | 4,091 | 105,694 | |||
Saudi Telecom Co. | 6,981 | 200,648 | |||
Yanbu Cement Co. | 5,447 | 50,976 | |||
2,024,549 | |||||
SINGAPORE — 0.6% | |||||
BOC Aviation, Ltd. (b) | 27,500 | 244,451 | |||
SOUTH KOREA — 7.2% | |||||
Hyundai Glovis Co., Ltd. | 1,261 | 202,845 | |||
Hyundai Mobis Co., Ltd. | 267 | 58,875 | |||
KT&G Corp. | 16,202 | 1,207,957 | |||
LG Electronics, Inc. | 573 | 44,274 | |||
NongShim Co., Ltd. | 419 | 108,674 |
Security Description | Shares | Value | |||
Samsung Card Co., Ltd. | 2,133 | $63,804 | |||
Samsung Electro-Mechanics Co., Ltd. | 383 | 53,995 | |||
Samsung Electronics Co., Ltd. | 12,438 | 749,731 | |||
Shinhan Financial Group Co., Ltd. | 7,426 | 216,093 | |||
SK Hynix, Inc. | 2,151 | 189,528 | |||
SK Telecom Co., Ltd. | 1,113 | 238,884 | |||
3,134,660 | |||||
TAIWAN — 22.0% | |||||
Asustek Computer, Inc. | 47,000 | 410,596 | |||
Cathay Financial Holding Co., Ltd. | 142,746 | 202,331 | |||
Chunghwa Telecom Co., Ltd. | 31,000 | 118,007 | |||
CTBC Financial Holding Co., Ltd. | 1,344,000 | 902,995 | |||
First Financial Holding Co., Ltd. | 1,518,087 | 1,134,471 | |||
Fubon Financial Holding Co., Ltd. | 202,000 | 313,959 | |||
Greatek Electronics, Inc. | 225,000 | 434,173 | |||
Hon Hai Precision Industry Co., Ltd. | 35,000 | 101,061 | |||
Lite-On Technology Corp. | 201,000 | 338,849 | |||
Pegatron Corp. | 123,000 | 281,796 | |||
Pou Chen Corp. | 49,000 | 53,723 | |||
Powertech Technology, Inc. | 163,000 | 526,129 | |||
Sampo Corp. | 330,200 | 311,056 | |||
Taiwan Cement Corp. | 69,000 | 103,854 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2,500 | 242,550 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 84,782 | 1,429,269 | |||
Taiwan Shin Kong Security Co., Ltd. | 290,880 | 379,131 | |||
Tripod Technology Corp. | 17,000 | 73,064 | |||
Ttet Union Corp. | 65,000 | 282,782 | |||
Uni-President Enterprises Corp. | 325,960 | 743,352 | |||
United Microelectronics Corp. | 583,000 | 828,401 | |||
Yuanta Financial Holding Co., Ltd. | 487,760 | 326,856 | |||
9,538,405 | |||||
UNITED ARAB EMIRATES — 2.2% | |||||
Aldar Properties PJSC | 1,042,803 | 863,052 | |||
Emirates Telecommunications Group Co. PJSC | 19,776 | 93,250 | |||
956,302 | |||||
TOTAL COMMON STOCKS (Cost $37,769,032) | 42,292,638 |
See accompanying notes to schedule of investments.
8
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 1.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.06% (e) (f) (Cost $756,550) | 756,550 | $756,550 | ||||
TOTAL INVESTMENTS — 99.2% (Cost $38,525,582) | 43,049,188 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 335,400 | |||||
NET ASSETS — 100.0% | $43,384,588 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.8% of net assets as of November 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | All or a portion of the shares of the security are on loan at November 30, 2020. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of November 30, 2020, total aggregate fair value of this security is $0, representing less than 0.05% of the Fund's net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended November 30, 2020 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at November 30, 2020. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
At November 30, 2020, open futures contracts purchased were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 14 | 12/18/2020 | $793,900 | $841,610 | $47,710 |
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of November 30, 2020.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $42,292,638 | $— | $0(a) | $42,292,638 | ||||
Short-Term Investment | 756,550 | — | — | 756,550 | ||||
TOTAL INVESTMENTS | $43,049,188 | $— | $0 | $43,049,188 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 47,710 | — | — | 47,710 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $47,710 | $— | $— | $47,710 |
See accompanying notes to schedule of investments.
9
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $43,096,898 | $— | $— | $43,096,898 |
(a) | The Fund held Level 3 securities that were valued at $0 at November 30, 2020. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Industry Breakdown as of November 30, 2020
% of Net Assets | ||
Banks | 11.8% | |
Semiconductors & Semiconductor Equipment | 8.4 | |
IT Services | 7.3 | |
Oil, Gas & Consumable Fuels | 5.2 | |
Diversified Telecommunication Services | 5.1 | |
Technology Hardware, Storage & Peripherals | 4.8 | |
Independent Power and Renewable Electricity Producers | 4.2 | |
Specialty Retail | 4.1 | |
Food Products | 3.8 | |
Interactive Media & Services | 3.6 | |
Internet & Direct Marketing Retail | 3.5 | |
Equity Real Estate Investment Trusts (REITs) | 3.5 | |
Transportation Infrastructure | 3.4 | |
Tobacco | 3.0 | |
Metals & Mining | 2.9 | |
Wireless Telecommunication Services | 2.6 | |
Electric Utilities | 2.6 | |
Construction Materials | 2.2 | |
Personal Products | 2.1 | |
Insurance | 1.2 | |
Pharmaceuticals | 1.0 | |
Road & Rail | 1.0 | |
Marine | 0.9 | |
Commercial Services & Supplies | 0.9 | |
Life Sciences Tools & Services | 0.8 | |
Household Durables | 0.8 | |
Diversified Financial Services | 0.8 | |
Chemicals | 0.7 | |
Construction & Engineering | 0.6 | |
Trading Companies & Distributors | 0.6 | |
Electronic Equipment, Instruments & Components | 0.5 | |
Beverages | 0.5 | |
Air Freight & Logistics | 0.5 | |
Auto Components | 0.4 | |
Food & Staples Retailing | 0.4 | |
Distributors | 0.4 | |
Health Care Providers & Services | 0.3 | |
Automobiles | 0.3 | |
Airlines | 0.2 | |
Entertainment | 0.2 | |
Machinery | 0.2 | |
Consumer Finance | 0.1 | |
Textiles, Apparel & Luxury Goods | 0.1 | |
Short-Term Investment | 1.7 | |
Other Assets in Excess of Liabilities | 0.8 | |
TOTAL | 100.0% |
(The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to schedule of investments.
10
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Affiliate Table
Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 11/30/20 | Value at 11/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 752,339 | $752,339 | $1,716,642 | $1,712,431 | $— | $— | 756,550 | $756,550 | $80 |
See accompanying notes to schedule of investments.
11
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
COMMON STOCKS — 97.8% | |||||
AUSTRALIA — 8.6% | |||||
Aurizon Holdings, Ltd. | 256,193 | $799,249 | |||
Australia & New Zealand Banking Group, Ltd. | 15,500 | 257,593 | |||
BHP Group PLC (a) | 91,424 | 2,070,286 | |||
BHP Group, Ltd. | 55,936 | 1,563,147 | |||
Brambles, Ltd. | 117,948 | 948,914 | |||
Coles Group, Ltd. | 46,181 | 605,439 | |||
Fortescue Metals Group, Ltd. | 133,931 | 1,792,229 | |||
JB Hi-Fi, Ltd. (a) | 13,408 | 449,884 | |||
Rio Tinto, Ltd. | 7,189 | 535,096 | |||
Scentre Group REIT | 380,615 | 782,293 | |||
Sonic Healthcare, Ltd. | 69,139 | 1,671,754 | |||
Stockland REIT | 497,267 | 1,660,836 | |||
Telstra Corp., Ltd. | 402,415 | 906,856 | |||
Wesfarmers, Ltd. | 36,359 | 1,319,787 | |||
15,363,363 | |||||
AUSTRIA — 0.2% | |||||
BAWAG Group AG (b)(c) | 4,048 | 183,392 | |||
Semperit AG Holding (c) | 4,517 | 129,315 | |||
312,707 | |||||
BELGIUM — 0.5% | |||||
Ageas SA/NV | 6,193 | 304,505 | |||
Etablissements Franz Colruyt NV | 2,729 | 162,830 | |||
Telenet Group Holding NV | 7,317 | 312,465 | |||
UCB SA | 976 | 104,268 | |||
884,068 | |||||
CHINA — 0.5% | |||||
BOC Hong Kong Holdings, Ltd. | 33,500 | 109,130 | |||
SITC International Holdings Co., Ltd. | 406,000 | 780,462 | |||
889,592 | |||||
DENMARK — 3.6% | |||||
AP Moller - Maersk A/S Class A | 558 | 1,056,947 | |||
AP Moller - Maersk A/S Class B (a) | 691 | 1,410,193 | |||
Carlsberg AS Class B | 7,038 | 1,047,094 | |||
Novo Nordisk A/S Class B | 27,319 | 1,837,406 | |||
Per Aarsleff Holding A/S | 7,936 | 338,287 | |||
Scandinavian Tobacco Group A/S Class A (b) | 44,409 | 682,482 | |||
Spar Nord Bank A/S (c) | 12,705 | 125,010 | |||
6,497,419 | |||||
FINLAND — 0.6% | |||||
Nordea Bank Abp (c) | 4,761 | 40,672 | |||
Tokmanni Group Corp. | 23,442 | 427,272 | |||
Uponor Oyj | 18,203 | 370,432 | |||
Valmet Oyj | 7,579 | 191,751 | |||
1,030,127 |
Security Description | Shares | Value | |||
FRANCE — 9.3% | |||||
Arkema SA | 3,752 | $437,353 | |||
Atos SE (c) | 1,281 | 117,476 | |||
BNP Paribas SA (c) | 50,868 | 2,607,027 | |||
Cie de Saint-Gobain (c) | 43,319 | 2,057,622 | |||
CNP Assurances (c) | 70,847 | 1,128,207 | |||
Coface SA (c) | 30,604 | 310,666 | |||
Electricite de France SA (c) | 32,115 | 487,091 | |||
Gaztransport Et Technigaz SA | 4,587 | 452,502 | |||
Iliad SA | 1,698 | 344,733 | |||
L'Oreal SA | 1,661 | 607,870 | |||
LVMH Moet Hennessy Louis Vuitton SE | 244 | 140,551 | |||
Maisons du Monde SA (b)(c) | 13,631 | 224,872 | |||
Mersen SA (c) | 11,323 | 329,562 | |||
Metropole Television SA (c) | 4,834 | 75,538 | |||
Peugeot SA (c) | 79,184 | 1,866,897 | |||
Sanofi | 14,918 | 1,507,410 | |||
Schneider Electric SE | 18,297 | 2,545,955 | |||
Societe BIC SA | 11,949 | 709,248 | |||
TOTAL SE | 15,585 | 666,007 | |||
16,616,587 | |||||
GERMANY — 7.7% | |||||
ADVA Optical Networking SE (c) | 14,377 | 120,905 | |||
Allianz SE | 11,318 | 2,668,545 | |||
Aurubis AG | 10,553 | 803,879 | |||
bet-at-home.com AG | 2,049 | 78,579 | |||
Deutsche Post AG | 47,944 | 2,316,196 | |||
Deutsche Telekom AG | 139,505 | 2,515,266 | |||
Fresenius Medical Care AG & Co. KGaA | 21,539 | 1,811,343 | |||
Hornbach Holding AG & Co. KGaA | 3,405 | 362,300 | |||
Jungheinrich AG Preference Shares | 15,933 | 695,608 | |||
Merck KGaA | 12,929 | 2,064,284 | |||
STO SE & Co. KGaA Preference Shares | 1,083 | 161,741 | |||
Takkt AG (c) | 9,378 | 120,591 | |||
United Internet AG | 2,265 | 90,321 | |||
13,809,558 | |||||
HONG KONG — 1.9% | |||||
Chow Sang Sang Holdings International, Ltd. | 149,000 | 180,890 | |||
K Wah International Holdings, Ltd. | 1,193,000 | 594,111 | |||
Luk Fook Holdings International, Ltd. | 48,000 | 121,253 | |||
Pacific Textiles Holdings, Ltd. | 587,000 | 404,407 | |||
Stella International Holdings, Ltd. | 144,000 | 166,274 | |||
Sun Hung Kai & Co., Ltd. | 314,000 | 140,572 | |||
United Laboratories International Holdings, Ltd. | 394,000 | 295,333 | |||
VTech Holdings, Ltd. | 97,600 | 751,733 | |||
WH Group, Ltd. (b) | 677,500 | 553,290 |
See accompanying notes to schedule of investments.
12
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
Yue Yuen Industrial Holdings, Ltd. | 91,500 | $188,169 | |||
3,396,032 | |||||
IRELAND — 0.3% | |||||
Smurfit Kappa Group PLC | 10,683 | 454,169 | |||
ISRAEL — 0.2% | |||||
Plus500, Ltd. | 21,170 | 438,582 | |||
ITALY — 3.4% | |||||
Anima Holding SpA (b) | 61,304 | 268,521 | |||
Credito Valtellinese SpA (c) | 11,740 | 155,865 | |||
Enel SpA | 91,723 | 915,777 | |||
Intesa Sanpaolo SpA (c) | 845,751 | 1,942,448 | |||
Iren SpA | 63,949 | 171,481 | |||
Mediobanca Banca di Credito Finanziario SpA (c) | 52,742 | 470,214 | |||
Snam SpA | 302,980 | 1,699,711 | |||
Unipol Gruppo SpA (c) | 95,004 | 455,569 | |||
6,079,586 | |||||
JAPAN — 26.3% | |||||
Cawachi, Ltd. | 15,600 | 447,977 | |||
Chubu Shiryo Co., Ltd. | 4,900 | 65,568 | |||
Dai-Dan Co., Ltd. | 3,500 | 93,266 | |||
Daihen Corp. | 10,700 | 465,307 | |||
Daiichi Jitsugyo Co., Ltd. | 2,400 | 92,529 | |||
Daikokutenbussan Co., Ltd. | 3,100 | 170,441 | |||
Daiwabo Holdings Co., Ltd. | 4,900 | 306,015 | |||
DCM Holdings Co., Ltd. | 17,100 | 194,259 | |||
Denyo Co., Ltd. | 10,900 | 218,104 | |||
Dexerials Corp. | 16,500 | 201,509 | |||
Doshisha Co., Ltd. | 23,800 | 457,990 | |||
Ebara Corp. | 14,900 | 476,686 | |||
EDION Corp. | 31,100 | 290,445 | |||
FUJIFILM Holdings Corp. | 14,100 | 759,698 | |||
Fujitsu, Ltd. | 15,600 | 2,167,414 | |||
Glory, Ltd. | 15,600 | 313,793 | |||
GungHo Online Entertainment, Inc. (a) | 23,700 | 602,262 | |||
Gunze, Ltd. | 700 | 24,138 | |||
Hachijuni Bank, Ltd. | 86,700 | 308,101 | |||
Hitachi Zosen Corp. | 41,300 | 159,029 | |||
Hokuto Corp. | 6,100 | 120,364 | |||
Honda Motor Co., Ltd. | 19,800 | 544,595 | |||
Icom, Inc. | 3,100 | 78,925 | |||
Iida Group Holdings Co., Ltd. | 70,000 | 1,406,705 | |||
Inaba Denki Sangyo Co., Ltd. | 20,500 | 470,675 | |||
Inabata & Co., Ltd. | 19,400 | 256,065 | |||
Itochu Enex Co., Ltd. | 27,000 | 258,621 | |||
Itoham Yonekyu Holdings, Inc. | 49,600 | 310,713 | |||
Japan Post Insurance Co., Ltd. | 100,100 | 1,668,333 | |||
Japan Wool Textile Co., Ltd. (a) | 46,000 | 465,287 | |||
J-Oil Mills, Inc. | 4,000 | 136,398 | |||
Joyful Honda Co., Ltd. | 16,300 | 226,857 | |||
KDDI Corp. | 45,800 | 1,308,415 | |||
Kintetsu World Express, Inc. | 35,300 | 733,726 |
Security Description | Shares | Value | |||
Komeri Co., Ltd. | 22,200 | $602,845 | |||
K's Holdings Corp. | 54,300 | 659,506 | |||
Life Corp. | 4,500 | 158,836 | |||
Maruzen Showa Unyu Co., Ltd. | 3,900 | 124,957 | |||
Meidensha Corp. | 9,800 | 170,655 | |||
Meitec Corp. | 4,900 | 225,522 | |||
Mitsubishi Gas Chemical Co., Inc. | 84,500 | 1,791,983 | |||
NEC Corp. | 33,800 | 1,822,739 | |||
NGK Spark Plug Co., Ltd. | 51,500 | 932,821 | |||
NH Foods, Ltd. | 20,600 | 879,052 | |||
Nikkon Holdings Co., Ltd. | 23,700 | 461,287 | |||
Nippon Telegraph & Telephone Corp. | 44,500 | 1,050,694 | |||
Nippon Yusen KK | 85,900 | 1,872,686 | |||
Nitto Denko Corp. | 18,100 | 1,497,931 | |||
Nitto Kogyo Corp. | 8,100 | 144,000 | |||
Nojima Corp. | 25,600 | 669,425 | |||
Nomura Holdings, Inc. | 336,600 | 1,689,448 | |||
North Pacific Bank, Ltd. | 144,900 | 323,388 | |||
Ono Pharmaceutical Co., Ltd. | 19,200 | 607,448 | |||
Prima Meat Packers, Ltd. | 22,900 | 633,260 | |||
Relia, Inc. | 7,600 | 89,831 | |||
Sanwa Holdings Corp. | 29,000 | 352,778 | |||
Sekisui Chemical Co., Ltd. | 61,700 | 1,065,566 | |||
Sekisui House, Ltd. | 22,200 | 399,345 | |||
Showa Sangyo Co., Ltd. | 6,500 | 196,743 | |||
Sinko Industries, Ltd. | 8,600 | 141,521 | |||
SKY Perfect JSAT Holdings, Inc. | 54,700 | 247,827 | |||
SoftBank Group Corp. | 2,700 | 188,069 | |||
Sompo Holdings, Inc. | 9,700 | 372,577 | |||
Sony Corp. | 34,100 | 3,169,602 | |||
T&D Holdings, Inc. | 153,400 | 1,791,136 | |||
Taiheiyo Cement Corp. | 13,500 | 362,845 | |||
Taikisha, Ltd. | 1,300 | 34,580 | |||
Tamron Co., Ltd. | 15,500 | 237,399 | |||
TDK Corp. | 14,700 | 2,072,644 | |||
TIS, Inc. | 42,200 | 839,958 | |||
Toa Corp. | 16,300 | 310,699 | |||
TOKAI Holdings Corp. | 24,900 | 236,359 | |||
Tokyo Electron, Ltd. | 7,300 | 2,480,182 | |||
Toyo Construction Co., Ltd. | 15,000 | 57,040 | |||
Toyota Motor Corp. | 500 | 33,520 | |||
Valor Holdings Co., Ltd. | 9,800 | 243,310 | |||
47,042,224 | |||||
JORDAN — 0.6% | |||||
Hikma Pharmaceuticals PLC | 33,229 | 1,155,325 | |||
LUXEMBOURG — 0.2% | |||||
SES SA | 34,802 | 316,583 | |||
NETHERLANDS — 5.6% | |||||
ASM International NV | 3,684 | 651,039 | |||
ASML Holding NV | 778 | 337,667 | |||
Koninklijke Ahold Delhaize NV | 68,350 | 1,955,937 | |||
Koninklijke KPN NV | 476,227 | 1,419,601 | |||
Koninklijke Philips NV (c) | 19,429 | 1,004,907 |
See accompanying notes to schedule of investments.
13
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
Security Description | Shares | Value | |||
NN Group NV | 15,083 | $612,620 | |||
Randstad NV (c) | 31,507 | 1,954,323 | |||
Royal Dutch Shell PLC Class A | 39,808 | 674,626 | |||
Royal Dutch Shell PLC Class B | 33,048 | 543,763 | |||
Signify NV (b)(c) | 20,686 | 875,973 | |||
10,030,456 | |||||
NEW ZEALAND — 1.2% | |||||
Argosy Property, Ltd. | 246,105 | 257,128 | |||
Spark New Zealand, Ltd. | 574,511 | 1,836,982 | |||
2,094,110 | |||||
NORWAY — 1.5% | |||||
Europris ASA (b) | 147,715 | 800,353 | |||
Selvaag Bolig ASA | 14,639 | 85,406 | |||
SpareBank 1 Nord Norge | 74,025 | 609,115 | |||
SpareBank 1 Oestlandet | 8,853 | 92,950 | |||
SpareBank 1 SMN | 81,529 | 873,404 | |||
Telenor ASA | 8,984 | 152,950 | |||
2,614,178 | |||||
RUSSIA — 0.3% | |||||
Evraz PLC | 117,454 | 604,883 | |||
SPAIN — 0.8% | |||||
Iberdrola SA | 90,731 | 1,238,675 | |||
Unicaja Banco SA (b)(c) | 220,483 | 174,240 | |||
1,412,915 | |||||
SWEDEN — 3.2% | |||||
Betsson AB (c) | 25,252 | 218,164 | |||
Bilia AB Class A (c) | 5,298 | 59,516 | |||
Electrolux AB Class B | 5,053 | 121,127 | |||
Husqvarna AB Class B | 140,974 | 1,500,979 | |||
Investor AB Class B | 11,345 | 785,178 | |||
Inwido AB (c) | 58,703 | 717,969 | |||
Kinnevik AB Class B | 3,906 | 194,437 | |||
Lundin Energy AB | 4,474 | 107,091 | |||
NCC AB Class B | 29,892 | 515,109 | |||
Swedish Match AB | 18,608 | 1,498,724 | |||
5,718,294 | |||||
SWITZERLAND — 11.2% | |||||
ABB, Ltd. | 48,747 | 1,285,794 | |||
Coca-Cola HBC AG (c) | 20,139 | 580,460 | |||
Credit Suisse Group AG | 172,336 | 2,177,075 | |||
LafargeHolcim, Ltd. (c) | 6,744 | 353,694 | |||
Nestle SA | 33,247 | 3,701,713 | |||
Novartis AG | 42,442 | 3,842,315 | |||
Roche Holding AG | 13,056 | 4,296,448 | |||
Sonova Holding AG (c) | 2,242 | 555,350 | |||
STMicroelectronics NV | 998 | 39,071 | |||
Swiss Life Holding AG | 1,608 | 718,048 | |||
UBS Group AG | 168,523 | 2,390,384 | |||
19,940,352 | |||||
UNITED KINGDOM — 10.1% | |||||
Ashtead Group PLC | 45,889 | 1,946,038 | |||
AstraZeneca PLC | 3,554 | 369,802 |
Security Description | Shares | Value | |||
Barratt Developments PLC (c) | 5,686 | $46,998 | |||
Berkeley Group Holdings PLC | 18,420 | 1,135,498 | |||
British American Tobacco PLC | 23,709 | 834,284 | |||
Coca-Cola European Partners PLC | 15,900 | 710,412 | |||
Direct Line Insurance Group PLC | 394,369 | 1,555,178 | |||
EMIS Group PLC | 15,874 | 207,180 | |||
GlaxoSmithKline PLC | 140,986 | 2,574,991 | |||
ITV PLC (c) | 169,316 | 212,361 | |||
Kingfisher PLC (c) | 277,783 | 1,013,213 | |||
Legal & General Group PLC | 415,546 | 1,399,921 | |||
M&G PLC | 118,335 | 295,797 | |||
Mondi PLC | 78,219 | 1,728,924 | |||
Morgan Advanced Materials PLC | 64,759 | 243,029 | |||
Persimmon PLC | 15,249 | 539,944 | |||
Rio Tinto PLC | 29,911 | 1,927,599 | |||
SSE PLC | 62,049 | 1,109,284 | |||
Tate & Lyle PLC | 6,481 | 55,107 | |||
Unilever PLC | 2,036 | 124,070 | |||
18,029,630 | |||||
TOTAL COMMON STOCKS (Cost $160,189,230) | 174,730,740 |
SHORT-TERM INVESTMENTS — 1.8% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.06% (d) (e) | 1,773,625 | 1,773,625 | |
State Street Navigator Securities Lending Portfolio II (f) (g) | 1,462,904 | 1,462,904 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $3,236,529) | 3,236,529 | ||
TOTAL INVESTMENTS — 99.6% (Cost $163,425,759) | 177,967,269 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4% | 638,860 | ||
NET ASSETS — 100.0% | $178,606,129 |
(a) | All or a portion of the shares of the security are on loan at November 30, 2020. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.1% of net assets as of November 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Non-income producing security. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended November 30, 2020 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at November 30, 2020. |
See accompanying notes to schedule of investments.
14
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended November 30, 2020 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
At November 30, 2020, open futures contracts purchased were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI EAFE (long) | 36 | 12/18/2020 | $3,488,225 | $3,659,400 | $171,175 |
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of November 30, 2020.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $174,730,740 | $— | $— | $174,730,740 | ||||
Short-Term Investments | 3,236,529 | — | — | 3,236,529 | ||||
TOTAL INVESTMENTS | $177,967,269 | $— | $— | $177,967,269 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 171,175 | — | — | 171,175 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $171,175 | $— | $— | $171,175 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $178,138,444 | $— | $— | $178,138,444 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Industry Breakdown as of November 30, 2020
% of Net Assets | ||
Pharmaceuticals | 10.4% | |
Insurance | 7.3 | |
Household Durables | 5.4 | |
Metals & Mining | 5.2 | |
Diversified Telecommunication Services | 4.7 | |
Banks | 4.6 | |
Food Products | 3.7 | |
Capital Markets | 3.7 | |
Electrical Equipment | 3.3 | |
Marine | 2.9 | |
IT Services | 2.8 | |
Specialty Retail | 2.7 | |
Electric Utilities | 2.1 | |
Food & Staples Retailing | 2.1 | |
Chemicals | 2.1 | |
Building Products | 2.0 | |
Semiconductors & Semiconductor Equipment | 2.0 | |
Health Care Providers & Services | 1.9 | |
Equity Real Estate Investment Trusts (REITs) | 1.9 | |
Air Freight & Logistics | 1.7 | |
Tobacco | 1.7 | |
Trading Companies & Distributors | 1.5 | |
Oil, Gas & Consumable Fuels | 1.5 | |
Electronic Equipment, Instruments & Components | 1.4 | |
Multiline Retail | 1.4 | |
Automobiles | 1.4 | |
Machinery | 1.3 | |
Beverages | 1.3 | |
Professional Services | 1.2 | |
Commercial Services & Supplies | 1.0 |
See accompanying notes to schedule of investments.
15
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
% of Net Assets | ||
Paper & Forest Products | 1.0% | |
Diversified Financial Services | 1.0 | |
Gas Utilities | 0.9 | |
Textiles, Apparel & Luxury Goods | 0.9 | |
Health Care Equipment & Supplies | 0.9 | |
Wireless Telecommunication Services | 0.8 | |
Road & Rail | 0.8 | |
Construction & Engineering | 0.8 | |
Media | 0.6 | |
Communications Equipment | 0.5 | |
Auto Components | 0.5 | |
Construction Materials | 0.5 | |
Technology Hardware, Storage & Peripherals | 0.4 | |
Personal Products | 0.4 | |
Entertainment | 0.3 | |
Distributors | 0.3 | |
Containers & Packaging | 0.3 | |
Hotels, Restaurants & Leisure | 0.2 | |
Industrial Conglomerates | 0.1 | |
Health Care Technology | 0.1 | |
Multi-Utilities | 0.1 | |
Consumer Finance | 0.1 | |
Internet & Direct Marketing Retail | 0.1 | |
Short-Term Investments | 1.8 | |
Other Assets in Excess of Liabilities | 0.4 | |
TOTAL | 100.0% |
(The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.)
Affiliate Table
Number of Shares Held at 8/31/20 | Value at 8/31/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 11/30/20 | Value at 11/30/20 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $9,415,143 | $7,641,518 | $— | $— | 1,773,625 | $1,773,625 | $261 | ||||||||
State Street Navigator Securities Lending Portfolio II | 28,939 | 28,939 | 7,557,326 | 6,123,361 | — | — | 1,462,904 | 1,462,904 | 3,987 | ||||||||
Total | $28,939 | $16,972,469 | $13,764,879 | $— | $— | $3,236,529 | $4,248 |
See accompanying notes to schedule of investments.
16
SSGA FUNDS
NOTES TO SCHEDULES OF INVESTMENTS
November 30, 2020 (Unaudited)
Security Valuation
Each Fund's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
• Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.
Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability
17
SSGA FUNDS
NOTES TO SCHEDULES OF INVESTMENTS (continued)
November 30, 2020 (Unaudited)
either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
• Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according to the fair value hierarchy as of November 30, 2020 is disclosed in each Fund’s respective Schedule of Investments.
Futures Contracts
Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Funds equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended November 30, 2020, are disclosed in the Funds' respective Schedules of Investments.
Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date on which the Form N-PORT filings were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the Form N-PORT filings other than below.
On December 18, 2020, the State Street Dynamic Small Cap Fund liquidated and closed.
18